class DocModel:
"""This is a model to test documentation."""
param_1 = def_parameter(dtype=int, description="This is parameter 1.")
param_2 = def_parameter(dtype=int, description="This is parameter 2.")
sensit_1 = def_sensitivity(dtype=int,
default=1,
description="This is sensitivity 1.")
sensit_2 = def_sensitivity(dtype=int,
default=2,
description="This is sensitivity 2.")
meta_1 = def_meta(meta="meta_1", description="This is meta 1.")
meta_2 = def_meta(meta="meta_2", description="This is meta 2.")
return_1 = def_return(dtype=int, description="This is return 1.")
return_2 = def_return(dtype=int, description="This is return 2.")
@step(uses=["param_1", "sensit_1"], impacts=["return_1"])
def _step_1(self):
"""Step 1 summary"""
pass
@step(uses=["param_2", "sensit_2"], impacts=["return_2"])
def _step_2(self):
"""Step 2 summary"""
pass
class TestAttributes:
param1 = def_parameter()
param2 = def_parameter()
sensitivity1 = def_sensitivity(default=1)
sensitivity2 = def_sensitivity(default=2)
meta1 = def_meta(meta="meta1", dtype=str)
meta2 = def_meta(meta="meta2", dtype=str)
intermediate1 = def_intermediate()
intermediate2 = def_intermediate()
return1 = def_return()
return2 = def_return()
@step(uses=["param1", "param2"], impacts=["return1"])
def _step1(self):
pass
class IntegerModel:
"""Integer model for testing."""
a = def_parameter(dtype=int, description="A number A")
b = def_parameter(dtype=int, description="A number B")
c = def_parameter(dtype=int, description="A number C")
d = def_parameter(dtype=int, description="A number D")
ret_1 = def_intermediate(dtype=int, description="Results a + b")
ret_2 = def_intermediate(dtype=int, description="Results c - d")
ret_3 = def_return(dtype=int,
description="Result total of step_1 and step_2")
@step(uses=["a", "b"], impacts=["ret_1"])
def _step_1(self):
"""Add a and b together."""
self.ret_1 = self.a + self.b
@step(uses=["c", "d"], impacts=["ret_2"])
def _step_2(self):
"""Subtract d from c"""
self.ret_2 = self.c - self.d
@step(uses=["ret_1", "ret_2"], impacts=["ret_3"])
def _step_3(self):
"""Add total of steps 1 and 2."""
self.ret_3 = self.ret_1 + self.ret_2
class FailStepImpactsWrong:
parameter = def_parameter(dtype=int)
ret = def_return(init_value=0)
@step(uses=["ret", "parameter"], impacts=["x"])
def _add(self):
self.ret = self.ret + self.parameter
class FailStepNoUses:
parameter = def_parameter(dtype=int)
ret = def_return(init_value=0)
@step(impacts=["ret"])
def _add(self):
self.ret = self.ret + self.parameter
class ModelParent:
x = def_parameter()
y = def_parameter()
out = def_return()
@step(uses=["x", "y"], impacts=["out"])
def _add(self):
self.out = self.x + self.y
class Model1:
k1 = def_parameter()
k2 = def_parameter()
a = def_parameter()
b = def_parameter()
r = def_return()
@step(uses=["a", "b"], impacts=["r"])
def _add_a_b(self):
self.r = self.a + self.b
class Model2:
k1 = def_parameter()
k2 = def_parameter()
a = def_parameter()
b = def_parameter()
r = def_return()
@step(uses=["a", "b"], impacts=["r"])
def _subtract_a_b(self):
self.r = self.a - self.b
class Test:
x = def_parameter()
y = def_parameter()
z = def_parameter()
out = def_return()
@step(uses=["x", "y"], impacts=["out"])
def _add(self):
self.out = self.x + self.y
@step(uses=["z", "out"], impacts=["out"])
def _subtract(self):
self.out = self.out - self.z
class Test:
parameter = def_parameter(description="This is a parameter.")
sensitivity = def_sensitivity(default=1,
description="This is a sensitivity.")
meta = def_meta(meta="meta", description="This is meta.")
ret = def_return(dtype="int", description="This is a return.")
@step(uses=["parameter"], impacts=["ret"])
def _add(self):
"""Do addition."""
pass
@step(uses=["ret", "sensitivity"], impacts=["ret"])
def _subtract(self):
"""Do subtraction."""
pass
class FailMissingStep:
parameter = def_parameter(dtype=int)
ret = def_return(init_value=0)
class ModelNoSteps:
parameter = def_parameter(dtype=int)
ret = def_return(init_value=0)
class Test:
ret = def_return()
placeholder = def_intermediate()
meta = def_meta(meta="meta")
modifier = def_sensitivity(default=1)
parameter = def_parameter()
class FailStepNotDecorated:
parameter = def_parameter(dtype=int)
ret = def_return(init_value=0)
def _add(self):
self.ret = self.ret + self.parameter
class DisabledLivesValEMD:
"""Disabled lives deterministic valuation extract model.
This model takes an extract of policies and runs them through the respective Policy Models
based on the COVERAGE_ID column (i.e., whether it is base policy or rider).
"""
# parameters
extract_base = def_parameter(
dtype=pd.DataFrame, description="The disabled lives base extract.")
extract_riders = def_parameter(
dtype=pd.DataFrame, description="The disabled lives rider extract.")
valuation_dt = param_valuation_dt
assumption_set = param_assumption_set
# sensitivities
modifier_ctr = modifier_ctr
modifier_interest = modifier_interest
# meta
model_version = meta_model_version
last_commit = meta_last_commit
run_date_time = meta_run_date_time
# intermediates
records = def_intermediate(
dtype=dict, description="The extract transformed to records.")
# return
projected = def_return(
dtype=pd.DataFrame,
description="The projected reserves for the policyholders.")
time_0 = def_return(
dtype=pd.DataFrame,
description="The time 0 reserve for the policyholders.")
errors = def_return(dtype=list, description="Any errors captured.")
@step(
name="Create Records from Extracts",
uses=["extract_base", "extract_riders"],
impacts=["records"],
)
def _create_records(self):
"""Turn extract into a list of records for each row in extract."""
frame = self.extract_base.copy()
del frame["IDI_MARKET"]
del frame["TOBACCO_USAGE"]
records = convert_to_records(frame, column_case="lower")
rider_data = self.extract_riders.copy()
rider_data.columns = [col.lower() for col in rider_data.columns]
rider_data = rider_data.pivot(
index=["policy_id", "claim_id", "coverage_id"],
columns="rider_attribute",
values="value",
).to_dict(orient="index")
def update_record(record):
key = (
record["policy_id"],
record["claim_id"],
record["coverage_id"],
)
kwargs_add = rider_data.get(key, None)
if kwargs_add is not None:
return {**record, **kwargs_add}
return record
self.records = [
record
if record["coverage_id"] not in ["RES"] else update_record(record)
for record in records
]
@step(
name="Run Records with Policy Models",
uses=["records"] + list(FOREACH_PARAMS),
impacts=["projected", "errors"],
)
def _run_foreach(self):
"""Foreach record run through respective policy model based on COVERAGE_ID value."""
projected, errors = foreach_model(**get_kws(foreach_model, self))
if isinstance(projected, list):
projected = pd.DataFrame(
columns=list(DisabledLivesValOutput.columns))
self.projected = projected
self.errors = errors
@step(name="Get Time0 Values", uses=["projected"], impacts=["time_0"])
def _get_time0(self):
"""Filter projected reserves frame down to time_0 reserve for each record."""
cols = [
"MODEL_VERSION",
"LAST_COMMIT",
"RUN_DATE_TIME",
"SOURCE",
"POLICY_ID",
"CLAIM_ID",
"COVERAGE_ID",
"DATE_DLR",
"DLR",
]
self.time_0 = self.projected.groupby(cols[4:7],
as_index=False).head(1)[cols]
class AValBasePMD(ALRBasePMD):
"""The active life reserve (ALR) valuation model for the base policy."""
# meta
claim_cost_model = def_meta(
meta=claim_cost_model, dtype=callable, description="The claim cost model used.",
)
coverage_id = def_meta(
meta="BASE",
dtype=str,
description="The coverage id which recognizes base policy vs riders.",
)
# intermediate objects
age_issued = def_intermediate(
dtype=date, description="The calculate age policy was issued."
)
lapse_rates = def_intermediate(
dtype=pd.DataFrame, description="The placholder for lapse rates."
)
mortality_rates = def_intermediate(
dtype=pd.DataFrame, description="The placholder for lapse rates."
)
incidence_rates = def_intermediate(
dtype=pd.DataFrame, description="The placholder for incidence rates."
)
modeled_claim_cost = def_intermediate(
dtype=dict, description="The placholder for modeled disabled lives."
)
# return object
frame = def_return(dtype=pd.DataFrame, description="The frame of projected reserves.")
#####################################################################################
# Step: Calculate Issue Age
#####################################################################################
@step(
name="Calculate Issue Age",
uses=["birth_dt", "policy_start_dt"],
impacts=["age_issued"],
)
def _calculate_age_issued(self):
"""Calculate the age policy issued."""
self.age_issued = calculate_age(self.birth_dt, self.policy_start_dt, method="ALB")
#####################################################################################
# Step: Create Projectetd Frame
#####################################################################################
@step(
name="Create Projectetd Frame",
uses=["policy_start_dt", "policy_end_dt"],
impacts=["frame"],
)
def _create_frame(self):
"""Create projected benefit frame from policy start date to policy end date by duration year."""
kwargs_frame = {
"frequency": "Y",
"col_date_nm": "DATE_BD",
"duration_year": "DURATION_YEAR",
}
kwargs_wt = {
"as_of_dt": self.valuation_dt,
"begin_duration_col": "DATE_BD",
"end_duration_col": "DATE_ED",
"wt_current_name": "WT_BD",
"wt_next_name": "WT_ED",
}
self.frame = (
create_frame(self.policy_start_dt, self.policy_end_dt, **kwargs_frame)
.pipe(_assign_end_date)
.pipe(frame_add_weights, **kwargs_wt)
.query("DATE_BD <= @self.policy_end_dt")
)[["DATE_BD", "DATE_ED", "DURATION_YEAR", "WT_BD", "WT_ED"]]
#####################################################################################
# Step: Calculate Age Attained
#####################################################################################
@step(name="Calculate Age Attained", uses=["frame", "birth_dt"], impacts=["frame"])
def _calculate_age_attained(self):
"""Calculate age attained by policy duration on the frame."""
self.frame["AGE_ATTAINED"] = calculate_age(
self.birth_dt, self.frame["DATE_BD"], method="ALB"
)
#####################################################################################
# Step: Calculate Benefit Term Date
#####################################################################################
@step(
name="Calculate Benefit Term Date",
uses=[
"frame",
"idi_benefit_period",
"elimination_period",
"birth_dt",
"policy_end_dt",
],
impacts=["frame"],
)
def _calculate_termination_dt(self):
"""Calculate benefit termination date if active individual were to become disabled for each policy duration."""
if self.idi_benefit_period[-1] == "M": # pylint: disable=E1136
months = int(self.idi_benefit_period[:-1]) # pylint: disable=E1136
self.frame["TERMINATION_DT"] = (
self.frame["DATE_BD"]
+ pd.DateOffset(days=self.elimination_period)
+ pd.DateOffset(months=months)
)
elif self.idi_benefit_period[:2] == "TO": # pylint: disable=E1136
self.frame["TERMINATION_DT"] = self.policy_end_dt
elif self.idi_benefit_period == "LIFE":
self.frame["TERMINATION_DT"] = pd.to_datetime(
date(
year=self.birth_dt.year + 120,
month=self.birth_dt.month,
day=self.birth_dt.day,
)
)
#####################################################################################
# Step: Model Claim Cost
#####################################################################################
@step(
name="Model Claim Cost",
uses=["frame", "claim_cost_model",],
impacts=["modeled_claim_cost"],
)
def _model_claim_cost(self):
"""Model claim cost for active live if policy holder were to become disabled for each policy duration"""
# create records
record_cols = ["policy_id", "incurred_dt", "valuation_dt", "termination_dt"]
frame = self.frame[["DATE_BD", "TERMINATION_DT"]].assign(
policy_id=self.policy_id,
incurred_dt=lambda df: df.DATE_BD,
valuation_dt=lambda df: df.DATE_BD,
termination_dt=lambda df: df.TERMINATION_DT,
)[record_cols]
records = convert_to_records(frame)
# model disabled lives
kwargs = {
kw: getattr(self, kw)
for kw in self.claim_cost_model.constant_params
if kw not in record_cols + ["claim_id", "idi_diagnosis_grp"]
}
success, errors = self.claim_cost_model(
records=records, claim_id="NA", idi_diagnosis_grp="AG", **kwargs,
)
if len(errors) == 0:
self.modeled_claim_cost = {y: val for y, val in enumerate(success, start=1)}
else:
raise ModelRunError(str(errors))
#####################################################################################
# Step: Get Incidence Rate
#####################################################################################
@step(
name="Get Incidence Rate",
uses=[], # idi_assumptions.uses("incidence_rate", "assumption_set"),
impacts=["incidence_rates"],
)
def _get_incidence_rates(self):
"""Get incidence rates and multiply by incidence sensitivity to form final rate."""
assumption_func = idi_assumptions.get(self.assumption_set, "incidence_rates")
self.incidence_rates = assumption_func(**get_kws(assumption_func, self))
#####################################################################################
# Step: Get Mortality Rates
#####################################################################################
@step(
name="Get Mortality Rates",
uses=[], # assumptions.uses("mortality_rate", "assumption_set"),
impacts=["mortality_rates"],
)
def _get_mortality_rates(self):
"""Get lapse rates and multiply by incidence sensitivity to form final rate."""
assumption_func = idi_assumptions.get(self.assumption_set, "mortality_rates")
self.mortality_rates = assumption_func(**get_kws(assumption_func, self))
#####################################################################################
# Step: Get Lapse Rates
#####################################################################################
@step(
name="Get Lapse Rates",
uses=[], # assumptions.uses("lapse_rate", "assumption_set"),
impacts=["lapse_rates"],
)
def _get_lapse_rates(self):
"""Get lapse rates and multiply by incidence sensitivity to form final rate."""
assumption_func = idi_assumptions.get(self.assumption_set, "lapse_rates")
self.lapse_rates = assumption_func(**get_kws(assumption_func, self))
#####################################################################################
# Step: Calculate Premiums
#####################################################################################
@step(
name="Calculate Premiums",
uses=["frame", "gross_premium", "gross_premium_freq"],
impacts=["frame"],
)
def _calculate_premiums(self):
"""Calculate premiums for each duration."""
if self.gross_premium_freq == "MONTH" or self.gross_premium_freq == "M":
premium = self.gross_premium * 12
elif self.gross_premium_freq == "QUARTER" or self.gross_premium_freq == "Q":
premium = self.gross_premium * 4
elif self.gross_premium_freq == "SEMIANNUAL" or self.gross_premium_freq == "S":
premium = self.gross_premium * 2
elif self.gross_premium_freq == "ANNUAL" or self.gross_premium_freq == "A":
premium = self.gross_premium
self.frame["GROSS_PREMIUM"] = premium
#####################################################################################
# Step: Calculate Benefit Cost
#####################################################################################
@step(
name="Calculate Benefit Cost",
uses=["frame", "modeled_claim_cost", "incidence_rates"],
impacts=["frame"],
)
def _calculate_benefit_cost(self):
"""Calculate benefit cost by multiplying disabled claim cost by final incidence
rate for each duration.
"""
# merge final incidence rate
self.frame = self.frame.merge(
self.incidence_rates[["AGE_ATTAINED", "INCIDENCE_RATE"]],
how="left",
on=["AGE_ATTAINED"],
)
# add modeled claim cost (i.e., DLR)
self.frame["DLR"] = [df["DLR"].iat[0] for df in self.modeled_claim_cost.values()]
# calculate benefit cost
self.frame["BENEFIT_COST"] = self.frame["DLR"] * self.frame["INCIDENCE_RATE"]
#####################################################################################
# Step: Calculate Lives
#####################################################################################
@step(name="Calculate Lives", uses=["frame", "lapse_rates"], impacts=["frame"])
def _calculate_lives(self):
"""Calculate the beginning, middle, and ending lives for each duration using lapse rates."""
# merge mortality rates
self.frame = self.frame.merge(
self.mortality_rates[["AGE_ATTAINED", "MORTALITY_RATE"]],
how="left",
on=["AGE_ATTAINED"],
)
# merge lapse rates
self.frame = self.frame.merge(
self.lapse_rates[["DURATION_YEAR", "LAPSE_RATE"]],
how="left",
on=["DURATION_YEAR"],
)
self.frame["LAPSE_RATE"] = self.frame["LAPSE_RATE"].ffill()
# calculate lives
lives_ed = calc_continuance(
self.frame["MORTALITY_RATE"], self.frame["LAPSE_RATE"]
)
lives_bd = lives_ed.shift(1, fill_value=1)
lives_md = calc_interpolation(
val_0=lives_bd,
val_1=lives_ed,
wt_0=self.frame["WT_BD"],
wt_1=self.frame["WT_ED"],
method="log",
)
# assign lives to frame
self.frame["LIVES_BD"] = lives_bd
self.frame["LIVES_MD"] = lives_md
self.frame["LIVES_ED"] = lives_ed
#####################################################################################
# Step: Calculate Discount Factors
#####################################################################################
@step(
name="Calculate Discount Factors", uses=["frame"], impacts=["frame"],
)
def _calculate_discount(self):
"""Calculate beginning, middle, and ending discount factors for each duration."""
assumption_func = idi_assumptions.get(self.assumption_set, "interest_rate_al")
base_int_rate = assumption_func(**get_kws(assumption_func, self))
self.frame["INTEREST_RATE_BASE"] = base_int_rate
self.frame["INTEREST_RATE_MODIFIER"] = self.modifier_interest
self.frame["INTEREST_RATE"] = (
self.frame["INTEREST_RATE_BASE"] * self.frame["INTEREST_RATE_MODIFIER"]
)
self.frame["DISCOUNT_BD"] = calc_discount(self.frame["INTEREST_RATE"], t_adj=0)
self.frame["DISCOUNT_MD"] = calc_discount(self.frame["INTEREST_RATE"], t_adj=0.5)
self.frame["DISCOUNT_ED"] = calc_discount(self.frame["INTEREST_RATE"])
#####################################################################################
# Step: Calculate Durational ALR
#####################################################################################
@step(
name="Calculate Durational ALR",
uses=["frame", "net_benefit_method"],
impacts=["frame"],
)
def _calculate_durational_alr(self):
"""Calculate active life reserves (ALR) for each duration."""
# calculate present value of future benefits
benefit_cols = ["BENEFIT_COST", "LIVES_MD", "DISCOUNT_MD"]
pvfb = calc_pv(self.frame[benefit_cols].prod(axis=1))
# calculate present value of future premium
premium_cols = ["GROSS_PREMIUM", "LIVES_BD", "DISCOUNT_BD"]
pvfp = calc_pv(self.frame[premium_cols].prod(axis=1))
# calculate present value of future net benefifts
pvfnb = calc_pvfnb(pvfb, pvfp, net_benefit_method=self.net_benefit_method)
# calculate alr at end of duration
alr_bd = (
(pvfb - pvfnb) / self.frame["LIVES_BD"] / self.frame["DISCOUNT_BD"]
).clip(lower=0)
# assign values to frame
self.frame["PVFB"] = pvfb
self.frame["PVFP"] = pvfp
self.frame["PVFNB"] = pvfnb
self.frame["ALR_BD"] = alr_bd
self.frame["ALR_ED"] = alr_bd.shift(-1, fill_value=0)
#####################################################################################
# Step: Calculate Valuation Date ALR
#####################################################################################
@step(
name="Calculate Valuation Date ALR",
uses=["frame", "valuation_dt"],
impacts=["frame"],
)
def _calculate_valuation_dt_alr(self):
"""Calculate active life reserves (ALR) for each duration as of valuation date."""
def alr_date(period):
return self.valuation_dt + pd.DateOffset(years=period)
# filter frame to valuation_dt starting in duration
self.frame = self.frame[self.frame["DATE_ED"] >= self.valuation_dt].copy()
# create projected alr date column
self.frame["ALR_DATE"] = pd.to_datetime(
[alr_date(period) for period in range(0, self.frame.shape[0])]
)
# calcualte interpolated alr
self.frame["ALR"] = calc_interpolation(
val_0=self.frame["ALR_BD"],
val_1=self.frame["ALR_ED"],
wt_0=self.frame["WT_BD"],
wt_1=self.frame["WT_ED"],
method="log",
).round(2)
#####################################################################################
# Step: Create Output Frame
#####################################################################################
@step(
name="Create Output Frame",
uses=[
"frame",
"policy_id",
"model_version",
"last_commit",
"run_date_time",
"coverage_id",
"benefit_amount",
],
impacts=["frame"],
)
def _to_output(self):
"""Reduce output to only needed columns."""
self.frame = self.frame.assign(
POLICY_ID=self.policy_id,
MODEL_VERSION=self.model_version,
LAST_COMMIT=self.last_commit,
RUN_DATE_TIME=self.run_date_time,
SOURCE=self.__class__.__qualname__,
COVERAGE_ID=self.coverage_id,
BENEFIT_AMOUNT=self.benefit_amount,
# set column order
)[list(ActiveLivesValOutput.columns)]
