Source code for solvency2.solvency2

"""The main module to build a solvency2 model.

This module contains only one function :py:func:`build`,
which creates a model from source modules and return it.

If this module is run as a script, the :py:func:`build`
function is called and the created model is available as
``model`` global variable.
import os
import modelx as mx

[docs]def build(load_saved=False): """Build a model and return it. Read input data from `input.xlsx`, create `Input` space and its subspace and cells and populate them with the data. Args: load_saved: If ``True``, input data is read from `` file instead of `input.xlsx`, which is saved when :py:func:`build_input <solvency2.build_input.build_input>` is executed last time. Defaults to ``False`` """ # Make sure the current directory is this folder os.chdir(os.path.abspath(os.path.dirname(__file__))) # ------------------------------------------------------------------------ # Build Input space from build_input import build_input from build_input_scr import build_input_scr if load_saved: model = mx.open_model('') input = model.Input else: model = mx.new_model(name='solvency2') input = build_input(model, 'input.xlsx') build_input_scr(input, 'input_scr.xlsx')'') # ------------------------------------------------------------------------ # Build CommFunc space lifetable_refs = {'Input': input} def lifetable_params(Sex, IntRate, TableID): refs={'MortalityTable': Input.MortalityTables(TableID).MortalityTable} return {'refs': refs} lifetable = model.import_module( module='lifetable', name='LifeTable', formula=lifetable_params, refs=lifetable_refs) # ------------------------------------------------------------------------ # Build Policy space from policy import policy_attrs policy_refs = {'PolicyData': input.PolicyData, 'ProductSpec': input.ProductSpec, 'LifeTable': lifetable, 'PolicyAttrs': policy_attrs} def policy_params(PolicyID): refs = {attr: PolicyData[PolicyID].cells[attr] for attr in PolicyAttrs} alias = {'PremTerm': refs['PolicyTerm'], 'x': refs['IssueAge'], 'm': refs['PolicyTerm'], 'n': refs['PolicyTerm']} refs.update(alias) return {'refs': refs} policy = model.import_module( module='policy', name='Policy', formula=policy_params, refs=policy_refs) # ------------------------------------------------------------------------ # Build Assumption space asmp_refs = {'Policy': policy, 'ProductSpec': input.ProductSpec, 'MortalityTables': input.MortalityTables, 'asmp': input.Assumption, 'asmp_tbl': input.AssumptionTables} def asmp_params(PolicyID): refs = {'pol': Policy[PolicyID]} alias = {'prod': refs['pol'].Product, 'polt': refs['pol'].PolicyType, 'gen': refs['pol'].Gen} refs.update(alias) return {'refs': refs} asmp = model.import_module( module='assumption', name='Assumption', formula=asmp_params, refs=asmp_refs) asmp.allow_none = True # ------------------------------------------------------------------------ # Build Assumption space def econ_params(ScenID): refs = {'Scenario': Input.Scenarios[ScenID]} return {'refs': refs} economic = model.import_module( module='economic', name='Economic', formula=econ_params, refs={'asmp': asmp, 'Input': input}) # ------------------------------------------------------------------------ # Build SCR_life space def scrlife_params(t0, PolicyID, ScenID=1): pass scr_life = model.import_module( module='scr_life', name='SCR_life', formula=scrlife_params, refs={'Corr': input.CorrLife}) # ------------------------------------------------------------------------ # Build Projection space projbase = model.import_module( module='projection', name='BaseProj') pvmixin = model.import_module( module='present_value', name='PV') override = model.new_space(name='Override') override.import_module( module='override.mortality', name='Mortality') override.import_module( module='override.lapse', name='Lapse') override.import_module( module='override.lapse_mass', name='LapseMass') override.import_module( module='override.expense', name='Expense') proj_refs = {'Policy': policy, 'Assumption': asmp, 'Economic': economic} def proj_params(Risk='base', Shock=None, Scope=None): if Risk == 'mort' or Risk == 'longev': bases = [_space.model.Override.Mortality, _space] elif Risk == 'lapse': if Shock == 'mass': bases = [_space.model.Override.LapseMass, _space] else: bases = [_space.model.Override.Lapse, _space] elif Risk == 'exps': bases = [_space.model.Override.Expense, _space] else: bases = [_space] refs = {'pol': Policy[PolicyID], 'asmp': Assumption[PolicyID], 'scen': Economic[ScenID], 'DiscRate': Economic[ScenID].DiscRate, 'Factor': _space.model.Input.Factor} return {'bases':bases, 'refs': refs} proj = scr_life.new_space( name='Projection', bases=[projbase, pvmixin], formula=proj_params, refs=proj_refs) return model
if __name__ == '__main__': model = build()