Source code for ifrs17sim.ifrs17sim

"""The main module to build a simplelife 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.xlsm`, create `Input` space and its subspace and cells and populate them with the data. Args: load_saved: If ``True``, input data is read from `lifelib.mx` file instead of `input.xlsm`, which is saved when :py:func:`build_input <simplelife.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 if load_saved: model = mx.open_model('ifrs17sim.mx') input = model.Input else: model = mx.new_model(name='ifrs17sim') input = build_input(model, 'input.xlsm') model.save('ifrs17sim.mx') # ------------------------------------------------------------------------ # Build CommFunc space lifetable_refs = {'Input': input} def lifetable_params(Sex, IntRate, TableID): refs={'MortalityTable': Input.MortalityTables(TableID).MortalityTable} return {'bases': _self, '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 {'bases': _self, 'refs': refs} policy = model.import_module( module_='policy', name='Policy', formula=policy_params, refs=policy_refs) # ------------------------------------------------------------------------ # Build Assumptions space asmp_refs = {'Policy': policy, 'ProductSpec': input.ProductSpec, 'MortalityTables': input.MortalityTables, 'asmp': input.Assumptions, 'asmp_tbl': input.AssumptionTables} def asmp_params(PolicyID): refs = {'pol': Policy[PolicyID]} alias = {'prd': refs['pol'].Product, 'polt': refs['pol'].PolicyType, 'gen': refs['pol'].Gen} refs.update(alias) return {'bases': _self, 'refs': refs} asmp = model.import_module( module_='assumptions', name='Assumptions', formula=asmp_params, refs=asmp_refs) asmp.allow_none = True # ------------------------------------------------------------------------ # Build Assumptions space def econ_params(ScenID): refs = {'Scenario': Input.Scenarios[ScenID]} return {'bases': _self, 'refs': refs} economic = model.import_module( module_='economic', name='Economic', formula=econ_params, refs={'asmp': asmp, 'Input': input}) # ------------------------------------------------------------------------ # Build Projection space # Model tree structure # # lifelib --+ # +--BaseProjection # +--OuterProjection[PolicyID] <--- BaseProjection # +--InnerProjection[t] <-- BaseProjection proj_refs = {'Pol': policy, 'Asmp': asmp, 'Scen': economic} def proj_params(PolicyID, ScenID=1): refs = {'pol': Pol[PolicyID], 'asmp': Asmp[PolicyID], 'scen': Scen[ScenID]} return {'bases': _self, 'refs': refs} baseproj = model.import_module( module_='projection', name='BaseProjection') outerproj = model.new_space( bases=baseproj, name='OuterProjection', formula=proj_params, refs=proj_refs) outerproj.import_funcs('ifrs') def innerproj_params(t0): refs = {'pol': _self.parent.pol, 'asmp': _self.parent.asmp, 'scen': _self.parent.scen, 'outer': _self.parent} return {'bases': _self, 'refs': refs} innerproj = outerproj.new_space( bases=baseproj, name='InnerProjection', formula=innerproj_params) pvs = innerproj.import_module( module_='present_values', name='PresentValues') def pvs_params(t_rate): refs = {'last_t': _self.parent.last_t, 'prj_InsInForce_BoP1': _self.parent.prj_InsInForce_BoP1, 'prj_InsInForce_EoP': _self.parent.prj_InsInForce_EoP, 'prj_incm_Premium': _self.parent.prj_incm_Premium, 'prj_bnft_Surrender': _self.parent.prj_bnft_Surrender, 'prj_bnft_Death': _self.parent.prj_bnft_Death, 'prj_bnft_Total': _self.parent.prj_bnft_Total, 'prj_exps_CommTotal': _self.parent.prj_exps_CommTotal, 'prj_exps_Acq': _self.parent.prj_exps_Acq, 'prj_exps_Maint': _self.parent.prj_exps_Maint, 'prj_exps_Total': _self.parent.prj_exps_Total, 'DiscRate': _self.parent.scen.DiscRate} return {'bases': _self, 'refs': refs} pvs.set_formula(pvs_params) return model
if __name__ == '__main__': import pandas as pd import numpy as np model = build(load_saved=True) outer = model.OuterProjection vars = ['prj_incm_Premium', 'prj_bnft_Surrender', 'prj_bnft_Death', 'prj_exps_Maint', 'prj_exps_CommTotal', 'prj_exps_Acq'] polid = 171 for cells in vars: list(getattr(outer[polid], cells)(t) for t in range(50)) cfs = outer[polid].frame[vars].sort_index().dropna() cfs[vars[1:]] = cfs[vars[1:]].mul(-1) [outer[polid].prj_NetLiabilityCashflow[t] for t in range(50)] ncf = outer[polid].prj_NetLiabilityCashflow.frame.sort_index() inner = outer[polid].InnerProjection ncf = [[inner[t0].prj_NetLiabilityCashflow[t] for t in range(t0, 10)] for t0 in range(0, 6)] data = [] for t0 in range(0, 6): for t in range(0, 11): data.append( {'t0': t0, 't': t, 'NCF': inner[t0].prj_NetLiabilityCashflow[t] if t >= t0 else np.nan}) df = pd.DataFrame(data) import seaborn as sns import matplotlib.pyplot as plt