Ditching Excel for Python in a legacy industry

Re:Ditching Excel for Python in a legacy industry by yold__ on Wednesday December 30, 2020 @09:01PM (#25588736)

Think about the calculation of an insurance product with a Fund Value. Everything is forward recursive with respect to time. Been a while, so I might butcher some of this. It is likely that you'll want a 30 year projection, so you'll call fundValue(30 * 12)

fundValue(t+1) = if t > 0 fundValue(t) - charges(t) + intCred(t) else initialPrem

charges(t) = netAmtAtRisk(t) * costOfInsurance(t) + riderCosts(t) + policyFee(t)

netAmtAtRisk = (FaceAmt - fundValue(t))

Now think layering on decrements

surrenderMargin(t) = lapseDecrement(t) * (surrenderCharge(t) * fundValue(t))

mortalityMargin(t) = mortalityDecrement(t) * netAmtAtRisk(t)

investmentMargin(t) = (earnedRate(t) - intCred(t)) * assetBase(t)

Now think layering on calcs necessary to calculate the assetBase (e.g. reserves + required capital)...

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Re:Ditching Excel for Python in a legacy industry by klelatti on Wednesday December 30, 2020 @09:11PM (#25588813)

That code looks very familiar! I see what you mean now. I don't think I've ever seen this implemented recursively though - can certainly see how this would end up being problematic if you tried to do this in Python!

ps Thanks so much for taking the time to set this out.

pps I've been working on something that implements a highly optimised version of this style of calculation - with a DSL to describe the calcs - can do 30 year cashflow projection for 1m contracts in about 1 min on quad core laptop. UK focus initially but might have wider application?

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Re:Ditching Excel for Python in a legacy industry by cutler on Thursday December 31, 2020 @01:15PM (#25595305)

Clojure now has libpython which would enable you to add the recursion.

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