Ported from the open-source IFRS 17 Calculation Engine — ifrs17/Import/1ImportScope-Identities.ipynb — originally written for Systemorph Cloud.

The analysis-of-change structure

The calculations that run when data arrive — the original calls this data loading — are written as scopes. A scope is a C# interface keyed by an identity; its members are the business logic, and it can ask for other scopes. Scopes make the logic structured and easy to read through.

The original splits its import scopes into six notebooks: identities (this page), present values, actuals, the technical margin, and two that create and compute the stored IFRS variables. This page covers the identities and the structure of the AoC steps.

In the port these scopes are in Ifrs17/Engine/Source/AocStructure.cs and Ifrs17/Engine/Source/Identities.cs. The step rules, with the reference steps the port hard-codes, are summarised under Step structure on The IFRS 17 formulas.

Identities

An identity is the set of identifiers for one slice of data: an AoC type, a novelty, a data node (a group of contracts), an accident year, and whether the data are reinsurance.

In the port the identity is the record ImportIdentity. It carries the group, the AoC type and the novelty, and — copied from the group so that rules need not look them up — whether it is reinsurance, its valuation approach and its liability type, plus the projection period. The accident year is not on the import identity; it is on the valuation identity (ValuationIdentity in PresentValue.cs) together with the amount type and estimate type.

Generating the identities

Given a data node, GetIdentities returns every identity to compute for it.

In the port:

For a cash-flow import (GetCashflowIdentities) the identities are the steps the inputs actually supplied, plus the calculated steps for every novelty that has data (and always for the combined novelty, where the chains merge), plus the opening steps. The reinsurance-only steps (CRU, RCU) are added only for reinsurance groups.
For any other import it is every configured step.

The original also has a scope ValidAmountType, returning the amount types present in the imported data of a data node. The port has no scope of that name; the scopes that need it read the amount types straight from the group's raw variables.

The AoC step structure

The step structure is derived from the input. It is assumed to depend only on the group of contracts, not on the amount type or the accident year.

Previous AoC steps

PreviousAocSteps gives, for an identity, every step before it back to BOP. A step of the combined novelty branches into the in-force and new-business steps (and those of any other novelty).

The original defines it through the parent step: if PAS is the parent AoC step,

PreviousAocSteps(step) = { PAS₁, PAS₂, … }
  where  PAS₁ = ParentAocStep(step)
         PAS₂ = ParentAocStep(PAS₁)
         …   until there is no parent

It depends on the input source (actuals or cash flows) because the actuals chain differs from the others, and on the order of the steps, which the AocConfiguration sets.

The port defines it by order, not recursively. PreviousAocSteps returns every step of the group with a lower Order, of the same novelty — or of every novelty when the identity's novelty is combined (C) — in order. A step that is not configured for the requested input source has no previous steps.

Previous steps are what the margin is aggregated over and what the parent and reference steps are chosen from.

Parent AoC step

ParentAocStep gives the step immediately before this one — the step whose value this step's telescoping difference is taken against. It is more than one step only for the first combined step, CL, which has a parent in each novelty.

ParentAocStep(step) =
  empty                                         if the AoC type is BOP, or the step is Calculated
  the last previous step of EACH novelty         if it is the first combined step
  the last previous step of the SAME novelty     otherwise

"Last" means last in the order the configuration gives.

In the port the candidates are the previous steps minus every Calculated step, and minus the credit-risk update CRU unless the amount type is credit default risk (CDR) — for every other amount type CRU must not enter the chain, or it would double-count into its successor. The consequence for the yield-curve update is worked through on The IFRS 17 formulas: it telescopes against the opening balance, not against interest accretion.

Reference AoC step

ReferenceAocStep gives the step whose data a step reads in order to compute its value. A calculated step has no input of its own: the experience adjustment EA reads the cash flows of CF, the yield-curve update reads the nominal cash flows of the last supplied step.

ReferenceAocStep(step) =
  the last previous step whose data type is not Calculated   if the step is Calculated or CalculatedTelescopic
  the step a custom setting names                             otherwise, if a custom setting exists
  the step itself                                             in every other case

The original keeps the custom settings in its helper variables, to be overwritten by projects.

In the port the custom settings are ComputationHelper.ReferenceAocSteps: EA/C reads CF/C, and AM/C and EOP/C read CL/C. They take precedence over the general rule for calculated steps as well. For a calculated step the port takes the last non-calculated previous step of each novelty and prefers the combined novelty's when there is one. In projection periods (Shift ≥ 12), in-force steps read CL/C (ReferenceAocStepForProjections).