Merge reinsurance code into fmcalc

bbetov · Jan 25, 2018 · a24b168 · a24b168
1 parent 01dbb9c
commit a24b168
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Showing 16 changed files with 143 additions and 145 deletions.
diff --git a/reinsurance_tests/.gitignore b/reinsurance_tests/.gitignore
@@ -0,0 +1 @@
+test1
diff --git a/reinsurance_tests/ri_tests.py b/reinsurance_tests/ri_tests.py
@@ -397,7 +397,7 @@ def apply_fm(self, loss_percentage_of_tiv=1.0, net=False):
         net_flag = ""
         if net:
             net_flag = "-n"
-        command = "gultobin -S 1 < guls.csv | xfmcalc -p direct {} | tee ils.bin | fmtocsv > ils.csv".format(
+        command = "gultobin -S 1 < guls.csv | fmcalc -p direct {} | tee ils.bin | fmtocsv > ils.csv".format(
             net_flag)
         proc = subprocess.Popen(command, shell=True)
         proc.wait()
@@ -624,7 +624,7 @@ def write_oasis_files(self):
 
     def apply_fm(self, input):
         command = \
-            "xfmcalc -p {0} -n < {1}.bin | tee {0}.bin | fmtocsv > {0}.csv".format(
+            "fmcalc -p {0} -n < {1}.bin | tee {0}.bin | fmtocsv > {0}.csv".format(
                 self.name, input)
 
         proc = subprocess.Popen(command, shell=True)

diff --git a/reinsurance_tests/test1/fm_policytc_2.csv b/reinsurance_tests/test1/fm_policytc_2.csv
diff --git a/reinsurance_tests/test1/fm_profile_2.csv b/reinsurance_tests/test1/fm_profile_2.csv
diff --git a/reinsurance_tests/test1/fm_programme_2.csv b/reinsurance_tests/test1/fm_programme_2.csv
diff --git a/reinsurance_tests/test1/ri1/fm_policytc_2.csv b/reinsurance_tests/test1/ri1/fm_policytc_2.csv
diff --git a/reinsurance_tests/test1/ri1/fm_profile_2.csv b/reinsurance_tests/test1/ri1/fm_profile_2.csv
diff --git a/reinsurance_tests/test1/ri1/fm_programme_2.csv b/reinsurance_tests/test1/ri1/fm_programme_2.csv
diff --git a/reinsurance_tests/test1/ri2/fm_policytc.csv b/reinsurance_tests/test1/ri2/fm_policytc.csv
diff --git a/reinsurance_tests/test1/ri2/fm_profile.csv b/reinsurance_tests/test1/ri2/fm_profile.csv
diff --git a/reinsurance_tests/test1/ri2/fm_programme.csv b/reinsurance_tests/test1/ri2/fm_programme.csv
diff --git a/reinsurance_tests/test1/ri2/fm_xref.csv b/reinsurance_tests/test1/ri2/fm_xref.csv
diff --git a/src/fmcalc/fmcalc.cpp b/src/fmcalc/fmcalc.cpp
@@ -351,7 +351,11 @@ inline void fmcalc::dofmcalc_r(std::vector<std::vector<int>>  &aggid_to_vectorlo
 		for (LossRec &x : agg_vec) {
 			if (x.allocrule_id == -1 || x.allocrule_id == 0 ) { // no back allocation
 				if (x.agg_id > 0) {	// agg id cannot be zero
-					rec.loss = x.loss;
+					if (netvalue_) { // get net gul value							
+						rec.loss = x.retained_loss;
+					}else {
+						rec.loss = x.loss;
+					}
 					if (rec.loss > 0.0 || rec.sidx < 0) {
 						fmxref_key k;
 						k.layer_id = layer;
@@ -376,8 +380,12 @@ inline void fmcalc::dofmcalc_r(std::vector<std::vector<int>>  &aggid_to_vectorlo
 				for (int idx : avx[layer][vec_idx].item_idx) {
                     OASIS_FLOAT prop = 0;
                     if (gultotal > 0) prop = guls[idx] / gultotal;
-					//fmhdr.output_id = items[idx];
-					rec.loss = x.loss * prop;
+					//fmhdr.output_id = items[idx];					
+					if (netvalue_) { // get net gul value							
+						rec.loss = x.retained_loss * prop;
+					}else {
+						rec.loss = x.loss * prop;
+					}
 					if (rec.loss > 0.0 || rec.sidx < 0) {
 						fmxref_key k;
 						k.layer_id = layer;
@@ -402,7 +410,12 @@ inline void fmcalc::dofmcalc_r(std::vector<std::vector<int>>  &aggid_to_vectorlo
 				for (int idx : avx[layer][vec_idx].item_idx) {
 					OASIS_FLOAT prop = 0;
 					if (prev_gul_total > 0) prop = prev_agg_vec[idx].loss / prev_gul_total;
-					rec.loss = x.loss * prop;
+					if (netvalue_) { // get net gul value							
+						rec.loss = x.retained_loss * prop;
+					}
+					else {
+						rec.loss = x.loss * prop;
+					}
 					if (rec.loss > 0.0 || rec.sidx < 0) {
 						fmxref_key k;
 						k.layer_id = layer;
@@ -570,6 +583,10 @@ void fmcalc::dofm(int event_id, const std::vector<int> &items, std::vector<vecto
 							fmhdr.output_id = it->second;
 						}
 						rec.loss = x.loss;
+						// do the flip here
+						if (netvalue_) { // get net gul value		
+							rec.loss = guls[idx] - rec.loss;
+						}
 						outmap[fmhdr].push_back(rec);			// neglible cost
 					}
 					if (x.allocrule_id == 1 || x.allocrule_id == 2) {	// back allocate as a proportion of the total of the original guls
@@ -584,6 +601,9 @@ void fmcalc::dofm(int event_id, const std::vector<int> &items, std::vector<vecto
 							if (gultotal > 0) prop = guls[gidx] / gultotal;
 							// fmhdr.output_id = items[gidx];
 							rec.loss = x.loss * prop;
+							if (netvalue_) { // get net gul value							
+								rec.loss = guls[idx] - rec.loss;
+							}
 							if (rec.loss > 0.0 || rec.sidx < 0) {
 								fmxref_key k;
 								k.layer_id = layer;
@@ -631,10 +651,15 @@ void fmcalc::dofm(int event_id, const std::vector<int> &items, std::vector<vecto
 void fmcalc::init_policytc(int maxRunLevel)
 {
     if (maxRunLevel == -1) maxRunLevel = 10000;
+	FILE *fin = NULL;
+	std::string file = FMPOLICYTC_FILE;
+	if (inputpath_.length() > 0) {
+		file = inputpath_ + file.substr(5);
+	}
+	fin = fopen(file.c_str(), "rb");
 
-	FILE *fin = fopen(FMPOLICYTC_FILE, "rb");
 	if (fin == NULL) {
-		fprintf(stderr, "%s: cannot open %s\n", __func__, FMPOLICYTC_FILE);
+		fprintf(stderr, "%s: cannot open %s\n", __func__, file.c_str());
 		exit(EXIT_FAILURE);
 	}
 
@@ -669,9 +694,15 @@ void fmcalc::init_policytc(int maxRunLevel)
 
 void fmcalc::init_programme(int maxRunLevel)
 {
-	FILE *fin = fopen(FMPROGRAMME_FILE, "rb");
+
+	FILE *fin = NULL;
+	std::string file = FMPROGRAMME_FILE;
+	if (inputpath_.length() > 0) {
+		file = inputpath_ + file.substr(5);
+	}
+	fin = fopen(file.c_str(), "rb");
 	if (fin == NULL){
-		fprintf(stderr, "%s: cannot open %s\n", __func__, FMPROGRAMME_FILE);
+		fprintf(stderr, "%s: cannot open %s\n", __func__, file.c_str());
 		exit(EXIT_FAILURE);
 	}
 
@@ -715,12 +746,18 @@ inline void add_tc(unsigned char tc_id, OASIS_FLOAT &tc_val, std::vector<tc_rec>
 
 bool fmcalc::loadcoverages(std::vector<OASIS_FLOAT> &coverages)
 {
-	FILE *fin = fopen(COVERAGES_FILE, "rb");
+
+	FILE *fin = NULL;
+	std::string file = COVERAGES_FILE;
+	if (inputpath_.length() > 0) {
+		file = inputpath_ + file.substr(5);
+	}
+	fin = fopen(file.c_str(), "rb");
 	if (fin == NULL) {
-		fprintf(stderr, "%s: cannot open %s\n", __func__, COVERAGES_FILE);
-		exit(-1);
+		fprintf(stderr, "%s: cannot open %s\n", __func__, file.c_str());
+		exit(EXIT_FAILURE);
 	}
-
+	
 	flseek(fin, 0L, SEEK_END);
 	long long sz = fltell(fin);
 	flseek(fin, 0L, SEEK_SET);
@@ -740,17 +777,43 @@ bool fmcalc::loadcoverages(std::vector<OASIS_FLOAT> &coverages)
 	fclose(fin);
 	return true;
 
+}
+int fmcalc::getmaxnoofitems()
+{
+
+	FILE *fin = NULL;
+	std::string file = ITEMS_FILE;
+	if (inputpath_.length() > 0) {
+		file = inputpath_ + file.substr(5);
+	}
+	fin = fopen(file.c_str(), "rb");
+	if (fin == NULL) {
+		fprintf(stderr, "%s: cannot open %s\n", __func__, file.c_str());
+		exit(EXIT_FAILURE);
+	}
+
+	flseek(fin, 0L, SEEK_END);
+	long long p = fltell(fin);
+	p = p / sizeof(item);
+	fclose(fin);
+	return int(p);
+
 }
 
 void fmcalc::init_itemtotiv()
 {
 	std::vector<OASIS_FLOAT> coverages;
 	loadcoverages(coverages);
 
-	FILE *fin = fopen(ITEMS_FILE, "rb");
+	FILE *fin = NULL;
+	std::string file = ITEMS_FILE;
+	if (inputpath_.length() > 0) {
+		file = inputpath_ + file.substr(5);
+	}
+	fin = fopen(file.c_str(), "rb");
 	if (fin == NULL) {
-		fprintf(stderr, "%s: cannot open %s\n", __func__, ITEMS_FILE);
-		exit(-1);
+		fprintf(stderr, "%s: cannot open %s\n", __func__, file.c_str());
+		exit(EXIT_FAILURE);
 	}
 
 	flseek(fin, 0L, SEEK_END);
@@ -777,9 +840,15 @@ void fmcalc::init_itemtotiv()
 }
 void fmcalc::init_profile()
 {
-	FILE *fin = fopen(FMPROFILE_FILE, "rb");
+
+	FILE *fin = NULL;
+	std::string file = FMPROFILE_FILE;
+	if (inputpath_.length() > 0) {
+		file = inputpath_ + file.substr(5);
+	}
+	fin = fopen(file.c_str(), "rb");
 	if (fin == NULL) {
-		fprintf(stderr, "%s: cannot open %s\n", __func__, FMPROFILE_FILE);
+		fprintf(stderr, "%s: cannot open %s\n", __func__, file.c_str());
 		exit(EXIT_FAILURE);
 	}
 
@@ -812,11 +881,17 @@ void fmcalc::init_profile()
 
 void fmcalc::init_fmxref()
 {
-	FILE *fin = fopen(FMXREF_FILE, "rb");
+	FILE *fin = NULL;
+	std::string file = FMXREF_FILE;
+	if (inputpath_.length() > 0) {
+		file = inputpath_ + file.substr(5);
+	}
+	fin = fopen(file.c_str(), "rb");
 	if (fin == NULL) {
-		fprintf(stderr, "%s: cannot open %s\n", __func__, FMXREF_FILE);
+		fprintf(stderr, "%s: cannot open %s\n", __func__, file.c_str());
 		exit(EXIT_FAILURE);
 	}
+
 	fmXref f;
 	int i = fread(&f, sizeof(f), 1, fin);
 	while (i != 0) {

diff --git a/src/fmcalc/fmcalc.h b/src/fmcalc/fmcalc.h
@@ -49,15 +49,18 @@ class fmcalc {
 public:
 	void setmaxlevel(int maxlevel) { if (maxlevel > -1) maxLevel_ = maxlevel; }
 	void dofm(int event_id_, const std::vector<int> &items_, std::vector<std::vector<OASIS_FLOAT>> &event_guls_);
-	fmcalc(int maxRunLevel) { init(maxRunLevel); }
+	fmcalc(int maxRunLevel,const std::string &inputpath, bool netvalue): inputpath_(inputpath) , netvalue_(netvalue) { init(maxRunLevel); }
 	inline OASIS_FLOAT gettiv(int item_id) { return item_to_tiv_[item_id]; }
+	int getmaxnoofitems();
 private:
 	std::vector<std::vector<std::vector<int>>> policy_tc_vec_vec_vec_; // policy_tc_vec_vec_vec_[level][agg_id][layer_id]
 	std::vector<int> level_to_maxagg_id_;
 	int max_layer_ = 0;		// initialized from policy_tc
 	int max_agg_id_ = 0;	// initialized from policy_tc
 	std::vector <profile_rec> profile_vec_;
 	int maxLevel_ = 0;
+	std::string inputpath_;
+	bool netvalue_ = false;
 	std::vector<std::vector<int>> pfm_vec_vec_;  // initialized from fm/programme.bin  pfm_vec_vec[level_id][item_id] returns agg_id 
 	std::vector<OASIS_FLOAT> item_to_tiv_;	
 	void init_programme(int maxrunLevel);