def run_fa_acct_iter(self):
raw_input = {
"Acct Value": 1344581.6,
"Attained Age": 52.8,
"DB Rider Name": "Step-up",
"WB Rider Name": "PP",
"ID": "000001",
"Issue Age": 45.1,
"Issue Date": dt.date(2005, 6, 22),
"Initial Date": dt.date(2013, 2, 1),
"Maturity Age": 90,
"Population": 1,
"Riders": dict({}),
"ROP Amount": 1038872.0,
"Gender": "F",
"RPB": 1038872.0,
"Free Withdrawal Rate": 0.1,
"Asset Names": ["Credit Account"],
"Asset Values": [1344581.6]
}
# For now, we assume the init_date is month begin
step_per_year = 12
credit_rate = 0.03
periods = 360
init_date = dt.date(2013, 2, 1)
# Set up the investment index
credit_rider = isr.InsCreditRateFixed(credit_rate)
# Set up non-rider fees
annual_fee_rate = 0.01
annual_booking_fee = 100
mgmt_fee = mif.InsFeeProp(annual_fee_rate, fee_name="Mgmt Fee")
booking_fee = mif.InsFeeConst(annual_booking_fee,
fee_name="Booking Fee")
fees = [mgmt_fee, booking_fee]
# Set up rider
db_rider_fee_rate = 0.005
db_rider = mir.InsRiderDB(extract_strict(raw_input, "ROP Amount"),
db_rider_fee_rate,
rider_name="UWL")
riders = [db_rider]
# Setup investment index
inv_index = credit_rider.inv_index(init_date, periods, step_per_year)
# Setup iteration
product = InsProduct(riders, fees, inv_index)
acct = InsAcct(raw_input, product)
acct_iter = acct.acct_iterator()
# model iterator to evolve the model_iter to move forward
time_line = pd.date_range(init_date, periods=60, freq='3MS').date
rs = {
'Account Value': [],
'UWL Benefit Base': [],
'UWL Fee': [],
'UWL Benefit': [],
'Mgmt Fee': [],
'Booking Fee': [],
'Date': [],
'Age': [],
'Pre Fee Acct': [],
'Anniv Flag': []
}
for d in time_line:
if d == init_date:
rs['Account Value'].append(acct_iter.acct_value)
rs['UWL Fee'].append(acct_iter.rider_fee("UWL"))
rs['Date'].append(acct_iter.date)
rs['Age'].append(acct_iter.attained_age)
rs['Booking Fee'].append(
acct_iter.non_rider_fee("Booking Fee"))
rs['Mgmt Fee'].append(acct_iter.non_rider_fee('Mgmt Fee'))
rs['UWL Benefit'].append(acct_iter.rider_benefit('UWL'))
rs['UWL Benefit Base'].append(
acct_iter.rider_benefit_base('UWL'))
rs['Pre Fee Acct'].append(acct_iter.acct_value_pre_fee)
rs['Anniv Flag'].append(acct_iter.anniv_flag)
else:
acct_iter.next(d)
rs['Account Value'].append(acct_iter.acct_value)
rs['UWL Fee'].append(acct_iter.rider_fee("UWL"))
rs['Date'].append(acct_iter.date)
rs['Age'].append(acct_iter.attained_age)
rs['Booking Fee'].append(
acct_iter.non_rider_fee("Booking Fee"))
rs['Mgmt Fee'].append(acct_iter.non_rider_fee('Mgmt Fee'))
rs['UWL Benefit'].append(acct_iter.rider_benefit('UWL'))
rs['UWL Benefit Base'].append(
acct_iter.rider_benefit_base('UWL'))
rs['Pre Fee Acct'].append(acct_iter.acct_value_pre_fee)
rs['Anniv Flag'].append(acct_iter.anniv_flag)
df = pd.DataFrame.from_dict(rs)
df.set_index(['Date'], inplace=True)
df['Anniv Flag'] = df['Anniv Flag'].astype(int)
return df
def run_va_model(self):
raw_input = {"Acct Value": 1344581.6,
"Attained Age": 52.8,
"ID": "000001",
"Issue Age": 45.1,
"Issue Date": dt.date(2005, 6, 22),
"Initial Date": dt.date(2013, 2, 1),
"Maturity Age": 90,
"Population": 1,
"Riders": dict({}),
"ROP Amount": 1038872.0,
"Gender": "F",
"RPB": 1038872.0,
"Free Withdrawal Rate": 0.1,
"Asset Names": ["Fund A", "Fund B"],
"Asset Values": [1344581.6/2, 1344581.6/2]}
# For now, we assume the init_date is month begin
step_per_year = 12
periods = 360
init_date = dt.date(2013, 2, 1)
pricing_date = init_date
# Set up the investment index
#credit_rider = isr.InsCreditRateFixed(credit_rate)
# set up the mutual fund return index
init_df = [ pd.TimeSeries(data=[100], index=[init_date], name='stock A'),
pd.TimeSeries(data=[100], index=[init_date], name='stock B')
]
eq_index = [ip.IndexProvider(init_df[0], 'stock A'), ip.IndexProvider(init_df[1], 'stock B')]
# no vol, otherwise randomness will break my test
sim_engine = EqBSEngine(np.array([0.02, 0.02]), np.array([0.0, 0.0]), corr=np.array([[1., 0.3], [0.3, 1.]]))
simulator = ScenarioGenerator(eq_index, sim_engine, **{'max_time_step': 5. / BDAYS_PER_YEAR})
MARKET_DATA_MANAGER.reset()
MARKET_DATA_MANAGER.setup(init_date)
MARKET_DATA_MANAGER.index_table[ 'stock A'] = eq_index[0]
MARKET_DATA_MANAGER.index_table[ 'stock B'] = eq_index[1]
MARKET_DATA_MANAGER.scen_gen_table['stock A']=simulator
MARKET_DATA_MANAGER.scen_gen_table['stock B']=simulator
fund_info = {'Fund A':
{
'Allocations': {
'stock A': 1,
'stock B': 0,
},
'Management Fee': 0.01,
'Description': 'blah blah',
},
'Fund B':
{
'Allocations': {
'stock A': 0,
'stock B': 1,
},
'Management Fee': 0.01,
'Description': 'blah blah',
},
}
credit_rider = isr.InsCreditRateMutualFunds(fund_info=fund_info)
# Set up non-rider fees
annual_fee_rate = 0.01
annual_booking_fee = 100
mgmt_fee = mif.InsFeeProp(annual_fee_rate, fee_name="Mgmt Fee")
booking_fee = mif.InsFeeConst(annual_booking_fee, fee_name="Booking Fee")
fees = [mgmt_fee, booking_fee]
# Set up rider
db_rider_fee_rate = 0.005
db_rider = mir.InsRiderDB(extract_strict(raw_input, "ROP Amount"), db_rider_fee_rate, rider_name="UWL")
riders = [db_rider]
# Setup investment index
inv_index = credit_rider.inv_index(init_date, periods, step_per_year)
# Setup iteration
product = InsProduct(riders, fees, inv_index)
acct = InsAcct(raw_input, product)
acct_iter = acct.acct_iterator()
# Setup lapse function and lapse model
xs = [0]
ys = [0.0, 0.1]
shock_func = linear_comp_bounded(1, 0, floor=0.5, cap=1.5)
lapse_model = LapseDynamic(InsStepFunc(xs, ys), shock_func, rider_name='UWL')
# Setup surrender charge
xs = [0]
ys = [100, 100]
fixed_charge_func = InsStepFunc(xs, ys)
xs = [0, 1, 2]
ys = [0.0, 0.3, 0.2, 0.0]
pct_charge_func = InsStepFunc(xs, ys)
surrender_charge = SurrenderCharge(fixed_charge_func, pct_charge_func)
# Setup mortality function and mortality model
xs = [x for x in range(0, 100)]
ys = [0.01] * 100
ys.append(float('inf'))
mort_model = InsMortModel(InsStepFunc(xs, ys))
# Setup VA Model
model = InsModelVA(acct, lapse_model, mort_model, surrender_charge)
model_iter = model.create_iterator(pricing_date)
# model iterator to evolve the model_iter to move forward
metrics = ['Account Value',
'Active Population',
'Benefit Base.UWL',
'Rider Fee.UWL',
'Benefit.UWL',
'Fee.Mgmt Fee',
'Fee.Booking Fee',
'Date',
'Attained Age',
'Anniv Flag',
'Death',
'Lapse',
'Paid Benefit.UWL',
'Surrender Charge',
]
crv_aggregator = create_curve_aggregator(metrics)
params = {'pricing date': init_date, 'periods': 60, 'frequency': 'MS'}
proj_mgr = ProjectionManager(crv_aggregator, model_iter, **params)
proj_mgr.run()
df = crv_aggregator.to_dataframe()
# df[['Rider Fee.UWL', 'Fee.Mgmt Fee', 'Fee.Booking Fee', 'Surrender Charge']].plot(kind='bar', stacked=True)
return df
def run_fa_model(self):
raw_input = {
"Acct Value": 1344581.6,
"Attained Age": 52.8,
"ID": "000001",
"Issue Age": 45.1,
"Issue Date": dt.date(2005, 6, 22),
"Initial Date": dt.date(2013, 2, 1),
"Maturity Age": 90,
"Population": 1,
"Riders": dict({}),
"ROP Amount": 1038872.0,
"Gender": "F",
"RPB": 1038872.0,
"Free Withdrawal Rate": 0.1,
"Asset Names": ["Credit Account"],
"Asset Values": [1344581.6]
}
# For now, we assume the init_date is month begin
step_per_year = 12
credit_rate = 0.03
periods = 360
init_date = dt.date(2013, 2, 1)
pricing_date = init_date
# Set up the investment index
credit_rider = isr.InsCreditRateFixed(credit_rate)
# Set up non-rider fees
annual_fee_rate = 0.01
annual_booking_fee = 100
mgmt_fee = mif.InsFeeProp(annual_fee_rate, fee_name="Mgmt Fee")
booking_fee = mif.InsFeeConst(annual_booking_fee,
fee_name="Booking Fee")
fees = [mgmt_fee, booking_fee]
# Set up rider
db_rider_fee_rate = 0.005
db_rider = mir.InsRiderDB(extract_strict(raw_input, "ROP Amount"),
db_rider_fee_rate,
rider_name="UWL")
riders = [db_rider]
# Setup investment index
inv_index = credit_rider.inv_index(init_date, periods, step_per_year)
# Setup iteration
product = InsProduct(riders, fees, inv_index)
acct = InsAcct(raw_input, product)
# Setup lapse function and lapse model
xs = [0]
ys = [0.0, 0.1]
lapse_model = LapseStatic(InsStepFunc(xs, ys))
# Setup surrender charge
xs = [0]
ys = [100, 100]
fixed_charge_func = InsStepFunc(xs, ys)
xs = [0, 1, 2]
ys = [0.0, 0.3, 0.2, 0.0]
pct_charge_func = InsStepFunc(xs, ys)
surrender_charge = SurrenderCharge(fixed_charge_func, pct_charge_func)
# Setup mortality function and mortality model
xs = [x for x in range(0, 100)]
ys = [0.01] * 100
ys.append(float('inf'))
mort_model = InsMortModel(InsStepFunc(xs, ys))
# Setup FA Model
model = InsModelFA(acct, lapse_model, mort_model, surrender_charge)
model_iter = model.create_iterator(pricing_date)
# model iterator to evolve the model_iter to move forward
metrics = [
'Account Value',
'Active Population',
'Benefit Base.UWL',
'Rider Fee.UWL',
'Benefit.UWL',
'Fee.Mgmt Fee',
'Fee.Booking Fee',
'Date',
'Attained Age',
'Anniv Flag',
'Death',
'Lapse',
'Paid Benefit.UWL',
'Surrender Charge',
]
crv_aggregator = create_curve_aggregator(metrics)
time_line = pd.date_range(init_date, periods=60, freq='MS').date
prev_date = init_date
for d in time_line:
if d != init_date:
year_frac = (d - prev_date).days / DAYS_PER_YEAR
model_iter.next(d, year_frac)
crv_aggregator.collect_element(model_iter)
prev_date = d
df = crv_aggregator.to_dataframe()
return df
init_date = dt.date(2013, 2, 1)
pricing_date = init_date
# Set up the investment index
credit_rider = isr.InsCreditRateFixed(credit_rate)
# Set up non-rider fees
annual_fee_rate = 0.01
annual_booking_fee = 100
mgmt_fee = mif.InsFeeProp(annual_fee_rate, fee_name="Mgmt Fee")
booking_fee = mif.InsFeeConst(annual_booking_fee, fee_name="Booking Fee")
fees = [mgmt_fee, booking_fee]
# Set up rider
db_rider_fee_rate = 0.005
db_rider = mir.InsRiderDB(extract_strict(raw_input, "ROP Amount"),
db_rider_fee_rate,
rider_name="UWL")
riders = [db_rider]
# Setup investment index
inv_index = credit_rider.inv_index(init_date, periods, step_per_year)
# Setup iteration
product = InsProduct(riders, fees, inv_index)
acct = InsAcct(raw_input, product)
acct_iter = acct.acct_iterator()
# Setup lapse function and lapse model
xs = [0]
ys = [0.0, 0.1]
shock_func = linear_comp_bounded(1, 0, floor=0.5, cap=1.5)
from Products.InsProduct import InsProduct
# Here is an example of creating a product family and then a specified product
# --- Create a new product family ----------
# parameters, TODO: all these redundant info are due to the current way of creating index!
step_per_year = 12
periods = 360
init_date = dt.date(2013, 2, 1)
pricing_date = init_date
# Dummy place holder
TBD = 0.0
# riders
db_rider = mir.InsRiderDB(rider_name="UWL")
riders = [db_rider]
# fees
mgmt_fee = mif.InsFeeProp(fee_name="Mgmt Fee")
booking_fee = mif.InsFeeConst(fee_name="Booking Fee")
fees = [mgmt_fee, booking_fee]
# inv_index, Todo: This part is nasty since the index is 'hard' created for now. Once the logic of searching from
# database is set up, this should be much better.
credit_rider = isr.InsCreditRateFixed()
# define the product family
class FASample(InsProduct):
def __init__(self, default_params):