Exemple #1
0
        private static void TestRITEMap(PartitionData pd, long conID)
        {
            //Default SubSampling Settings
            SubSamplingAnalysisSetting subSamplingSettings = new SubSamplingAnalysisSetting(false, 1, 0, 250, "", "");

            PartitionDataAdpator PDataAdap    = new PartitionDataAdpator(pd, subSamplingSettings);
            ExposureDataAdaptor  expData      = PDataAdap.GetExposureAdaptor(conID);
            ISubPerilConfig      subperilInfo = new RMSSubPerilConfig();

            RITEmapper1 mapper = new RITEmapper1(expData, new RAPSettings(new HashSet <string> {
                "EQ"
            }), subperilInfo);
        }
Exemple #2
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        private void Initialize(PartitionData partitionData, bool append = false)
        {
            Initialize(append);

            #region VECTORIZED REFERENCE PROTOTYPE INTEGRATION

            _ReferencePrototype = null;
            UseReference        = Convert.ToBoolean(ConfigurationManager.AppSettings["UseReference"]);
            if (UseReference)
            {
                //Sunny hack... need to change to read from Model Setings Provider from the DLM..
                RAPSettings RapSettings = new RAPSettings(new HashSet <string> {
                    "WS", "WI", "WA"
                });
                SubSamplingAnalysisSetting subSamplingSetiings = new SubSamplingAnalysisSetting(false, 1, 0, 250, "", "");

                if (RapSettings != null || subSamplingSetiings != null)
                {
                    _ReferencePrototype = new ReferencePrototype(partitionData, RapSettings, subSamplingSetiings);
                }
                else
                {
                    throw new InvalidOperationException("Cannot run in Array Mode and have null RapSettings or null SubSampling Settings!");
                }
            }

            #endregion

            if (null != partitionData && null != partitionData.Exposures)
            {
                foreach (ContractExposure ce in partitionData.Exposures)
                {
                    if ((ce.ContractType != null) && ce.ContractType.IsReinsuranceContract())
                    { //Treaty Contract
                        ContractExposureDataIndex.TryAdd(ce.ExposureID, new TreatyContractExposureData(JavaScriptHarness, false, ce));
                    }
                    else if (null != ce.ContractSubjectExposures && null != ce.Subschedules)
                    { // Primary Contract
                        ContractExposureDataIndex.TryAdd(ce.ExposureID, new PrimaryContractExposureData(JavaScriptHarness, false, ce, "", _ReferencePrototype));
                    }
                }
            }
        }
Exemple #3
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        private static void TestGULossVector(PartitionData pd, long conID)
        {
            //Default SubSampling Settings
            SubSamplingAnalysisSetting subSamplingSettings = new SubSamplingAnalysisSetting(false, 1, 0, 250, "", "");

            PartitionDataAdpator PDataAdap    = new PartitionDataAdpator(pd, subSamplingSettings);
            ExposureDataAdaptor  expData      = PDataAdap.GetExposureAdaptor(conID);
            ISubPerilConfig      subperilInfo = new RMSSubPerilConfig();

            IRITEindexMapper mapper = new RITEmapper1(expData, new RAPSettings(new HashSet <string> {
                "EQ"
            }), subperilInfo);
            HashSet <String> subperils = new HashSet <string> {
                "EQ", "WS"
            };


            VectorGUInputGeneratorFactory vectorgeneratorFactory = new VectorGUInputGeneratorFactory(pd, new HashSet <string> {
                "EQ"
            }, TimeStyle.ConstantTimeStamps, LossStyle.GroundUp, true, subSamplingSettings);
            VectorGUInputGenerator ReferenceEventGen = vectorgeneratorFactory.GetGeneratorForContract(conID);

            IVectorEvent Event = ReferenceEventGen.GenerateRITELoss(1);
        }
Exemple #4
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        public static void TestReferenceWithPeriods(GraphType type, PartitionData PD, int conID, COLCollection COLSet)
        {
            RAPSettings settings = new RAPSettings(COLSet.GetSubperils());
            //Default SubSampling Settings
            SubSamplingAnalysisSetting subSamplingSettings = new SubSamplingAnalysisSetting(false, 1, 0, 250, "", "");

            //NGFMPrototype NGFM = new NGFMPrototype(PD);
            ReferencePrototype Reference = new ReferencePrototype(PD, settings, subSamplingSettings);
            //Reference.ReferencePrepare(GraphType.Auto);

            NGFMPrototype NGFM = new NGFMPrototype(1);

            NGFM.Prepare(PD);  //NGFM result is cached, so create another object for each event

            DateTime           start            = DateTime.Now;
            PLTGenertorFactory generatorFactory = new PLTGenertorFactory(PD, COLSet, subSamplingSettings, start, TimeStyle.ConstantTimeStamps, LossStyle.DamagaeRatio);
            PLTGenerator       NGFMEventGen     = generatorFactory.GetGeneratorForContract(conID);

            //GUInputGenerator ReferenceEventGen = generatorFactory.GetGeneratorForContract(conID);

            //VectorGUInputGeneratorFactory vectorgeneratorFactory = new VectorGUInputGeneratorFactory(PD, COLSet.GetSubperils(), TimeStyle.ConstantTimeStamps, LossStyle.DamagaeRatio, true, subSamplingSettings);
            //VectorGUInputGenerator ReferenceEventGen = vectorgeneratorFactory.GetGeneratorForContract(conID);

            int counter = 0;
            int total   = 0;

            Console.WriteLine("State at: " + DateTime.Now.ToString("h:mm:ss tt"));
            //NGFMPrototype NGFM = new NGFMPrototype(PD);
            for (int i = 1; i < 200; i += 1)
            {
                Period NGFMPeriod;
                List <Dictionary <string, Dictionary <int, Dictionary <long, Tuple <double, uint, List <float> > > > > > NGFMguLossList;

                IVectorEvent RefguLoss;

                if (NGFMEventGen.GeneratePeriodLoss(i))
                {
                    NGFMPeriod = NGFMEventGen.PeriodLoss;
                }
                else
                {
                    throw new InvalidOperationException("Cannot get ground-up loss for event: " + i);
                }
                //if (ReferenceEventGen.GenerateRITELoss(i))
                //{
                //    RefguLoss = ReferenceEventGen.GULosses;
                //}
                //else
                //    throw new InvalidOperationException("Cannot get ground-up loss for event: " + i);

                //RefguLoss = ReferenceEventGen.GenerateRITELoss(i);


                //Contract ID 11236672 hard coded.. 11324656
                //double ReferencePayout = 0;
                ReferenceResultOutput ReferenceOutput = Reference.ExecutePeriod(conID, type, NGFMPeriod.EventLossList);
                double ReferencePayout = ReferenceOutput.TotalPayout;
                //double ReferencePayout2 = Reference.Execute(conIndex, GraphType.FixedGraph1, RefguLoss);
                //double NGFMpayout = NGFM.ExecuteFM(NGFMguLoss)[11324656];
                List <RMS.ContractObjectModel.ResultPosition> results = NGFM.ProcessPeriod(i, NGFMPeriod.EventLossList, true, 1, conID)[conID];
                double NGFMpayout = results.Select(result => result.PayOut).Sum();
                //double NGFMpayout = 0;
                double diff = NGFMpayout - ReferencePayout;

                total += 1;
                if (Math.Abs(diff) > 0.1)
                {
                    counter += 1;
                    Console.WriteLine("Event ID: " + i + " || " + "NGFM: " + Math.Round(NGFMpayout, 5) + " || " + "Reference: " + Math.Round(ReferencePayout, 5) + " || " + Math.Round(diff, 5));
                }
                Console.WriteLine("Event ID: " + i + " || " + "NGFM: " + Math.Round(NGFMpayout, 2) + " || " + "Reference: " + Math.Round(ReferencePayout, 2) + " || " + Math.Round(diff, 2));
            }

            Console.WriteLine("Number of difference: " + counter);
            Console.WriteLine("total event = " + total);
            Console.WriteLine("End at: " + DateTime.Now.ToString("h:mm:ss tt"));
            Console.ReadLine();
        }
Exemple #5
0
        public static void TestReferenceSpeed(GraphType type, PartitionData PD, int conIndex, COLCollection COLSet)
        {
            RAPSettings settings = new RAPSettings(COLSet.GetSubperils());

            //Default SubSampling Settings
            SubSamplingAnalysisSetting subSamplingSettings = new SubSamplingAnalysisSetting(false, 1, 0, 250, "", "");

            //NGFMPrototype NGFM = new NGFMPrototype(PD);
            ReferencePrototype Reference = new ReferencePrototype(PD, settings, subSamplingSettings);

            Reference.ReferencePrepare(GraphType.Auto);

            NGFMPrototype NGFM = new NGFMPrototype();

            NGFM.Prepare(PD);  //NGFM result is cached, so create another object for each event

            double    MicroSecondTicks = Stopwatch.Frequency / 1000000.0;
            Stopwatch stopwatch        = new Stopwatch();

            stopwatch.Start();
            NGFM.Prepare(PD);  //NGFM result is cached, so create another object for each event
            stopwatch.Stop();
            double NGFMGraphTime = Convert.ToDouble(stopwatch.ElapsedTicks) / MicroSecondTicks;

            PartitionDataAdpator PDataAdap = new PartitionDataAdpator(PD, subSamplingSettings);
            ExposureDataAdaptor  expData   = PDataAdap.GetExposureAdaptor(conIndex);

            GUInputGeneratorFactory generatorFactory = new GUInputGeneratorFactory(PD, COLSet, subSamplingSettings, TimeStyle.ConstantTimeStamps, LossStyle.DamagaeRatio);
            GUInputGenerator        NGFMEventGen     = generatorFactory.GetGeneratorForContract(conIndex);

            VectorGUInputGeneratorFactory vectorgeneratorFactory = new VectorGUInputGeneratorFactory(PD, COLSet.GetSubperils(), TimeStyle.ConstantTimeStamps, LossStyle.GroundUp, true, subSamplingSettings);
            VectorGUInputGenerator        ReferenceEventGen      = vectorgeneratorFactory.GetGeneratorForContract(conIndex);


            int counter = 0;
            int total   = 0;

            Console.WriteLine("State at: " + DateTime.Now.ToString("h:mm:ss tt"));
            //NGFMPrototype NGFM = new NGFMPrototype(PD);
            for (int i = 1; i < 100; i += 1)
            {
                Dictionary <string, Dictionary <int, Dictionary <long, Tuple <double, uint, List <float> > > > > NGFMguLoss;
                //Dictionary<string, Dictionary<int, Dictionary<long, Tuple<double, uint, List<float>>>>> RefguLoss;
                if (NGFMEventGen.GenerateRITELoss(i))
                {
                    NGFMguLoss = NGFMEventGen.GULosses;
                }
                else
                {
                    throw new InvalidOperationException("Cannot get ground-up loss for event: " + i);
                }

                IVectorEvent RefguLoss = ReferenceEventGen.GenerateRITELoss(i);

                stopwatch = new Stopwatch();

                stopwatch.Start();
                double ReferencePayout = Reference.Execute(conIndex, type, RefguLoss).TotalPayout;
                stopwatch.Stop();
                double ReferenceTime = Convert.ToDouble(stopwatch.ElapsedTicks) / MicroSecondTicks;

                stopwatch.Reset();
                stopwatch.Start();
                double NGFMpayout = 0;
                //double NGFMpayout = NGFM.ExecuteFM(NGFMguLoss)[conIndex];
                RMS.ContractObjectModel.ResultPosition result = NGFM.ProcessEvent(i, NGFMguLoss, true, 1, new long[] { conIndex })[conIndex];
                NGFMpayout = result.PayOut;
                stopwatch.Stop();
                double NGFMTime = Convert.ToDouble(stopwatch.ElapsedTicks) / MicroSecondTicks;

                double diff = NGFMTime - ReferenceTime;

                Console.WriteLine("Event ID: " + i + " || " + "NGFM: " + NGFMTime + " || " + "Reference: " + ReferenceTime + " || " + diff);
            }

            Console.WriteLine("total event = " + total);
            Console.WriteLine("NGFM Graph Building Time = " + NGFMGraphTime);
            Console.WriteLine("End at: " + DateTime.Now.ToString("h:mm:ss tt"));
            Console.ReadLine();
        }
Exemple #6
0
        public static void TestReference(GraphType type, PartitionData PD, int conID, COLCollection COLSet)
        {
            RAPSettings settings = new RAPSettings(COLSet.GetSubperils());

            //Default SubSampling Settings
            SubSamplingAnalysisSetting subSamplingSettings = new SubSamplingAnalysisSetting(false, 1, 0, 250, "", "");

            //NGFMPrototype NGFM = new NGFMPrototype(PD);
            ReferencePrototype Reference = new ReferencePrototype(PD, settings, subSamplingSettings);

            Reference.ReferencePrepare(GraphType.Auto);

            NGFMPrototype NGFM = new NGFMPrototype();

            NGFM.Prepare(PD);  //NGFM result is cached, so create another object for each event

            PartitionDataAdpator PDataAdap = new PartitionDataAdpator(PD, subSamplingSettings);
            ExposureDataAdaptor  expData   = PDataAdap.GetExposureAdaptor(conID);

            GUInputGeneratorFactory generatorFactory = new GUInputGeneratorFactory(PD, COLSet, subSamplingSettings, TimeStyle.RandomTimeStamps, LossStyle.DamagaeRatio);
            GUInputGenerator        NGFMEventGen     = generatorFactory.GetGeneratorForContract(conID);

            GUInputGenerator ReferenceEventGen = generatorFactory.GetGeneratorForContract(conID);


            int counter = 0;
            int total   = 0;

            Console.WriteLine("State at: " + DateTime.Now.ToString("h:mm:ss tt"));
            //NGFMPrototype NGFM = new NGFMPrototype(PD);
            for (int i = 247; i < 248; i += 1)
            {
                Dictionary <string, Dictionary <int, Dictionary <long, Tuple <double, uint, List <float> > > > > NGFMguLoss;
                Dictionary <string, Dictionary <int, Dictionary <long, Tuple <double, uint, List <float> > > > > RefguLoss;
                if (NGFMEventGen.GenerateRITELoss(i))
                {
                    NGFMguLoss = NGFMEventGen.GULosses;
                }
                else
                {
                    throw new InvalidOperationException("Cannot get ground-up loss for event: " + i);
                }
                if (ReferenceEventGen.GenerateRITELoss(i))
                {
                    RefguLoss = ReferenceEventGen.GULosses;
                }
                else
                {
                    throw new InvalidOperationException("Cannot get ground-up loss for event: " + i);
                }

                //Contract ID 11236672 hard coded.. 11324656
                double ReferencePayout = Reference.Execute(conID, type, RefguLoss).TotalPayout;
                //double ReferencePayout2 = Reference.Execute(conIndex, GraphType.FixedGraph1, RefguLoss);
                //double NGFMpayout = NGFM.ExecuteFM(NGFMguLoss)[11324656];
                RMS.ContractObjectModel.ResultPosition result = NGFM.ProcessEvent(i, NGFMguLoss, true, 1, new long[] { conID })[conID];
                double NGFMpayout = result.PayOut;
                //double NGFMpayout = 0;
                double diff = NGFMpayout - ReferencePayout;

                total += 1;
                if (Math.Abs(diff) > 0.1)
                {
                    counter += 1;
                    Console.WriteLine("Event ID: " + i + " || " + "NGFM: " + Math.Round(NGFMpayout, 5) + " || " + "Reference: " + Math.Round(ReferencePayout, 5) + " || " + Math.Round(diff, 5));
                }
                Console.WriteLine("Event ID: " + i + " || " + "NGFM: " + Math.Round(NGFMpayout, 2) + " || " + "Reference: " + Math.Round(ReferencePayout, 2) + " || " + Math.Round(diff, 2));
            }

            Console.WriteLine("Number of difference: " + counter);
            Console.WriteLine("total event = " + total);
            Console.WriteLine("End at: " + DateTime.Now.ToString("h:mm:ss tt"));
            Console.ReadLine();
        }
Exemple #7
0
        private static void TestMatrixHDFM(PartitionData pd, long conID)
        {
            Stopwatch sw = new Stopwatch();

            //Default SubSampling Settings
            SubSamplingAnalysisSetting subSamplingSettings = new SubSamplingAnalysisSetting(false, 1, 0, 250, "", "");

            PartitionDataAdpator PDataAdap    = new PartitionDataAdpator(pd, subSamplingSettings);
            ExposureDataAdaptor  expData      = PDataAdap.GetExposureAdaptor(conID);
            ISubPerilConfig      subperilInfo = new RMSSubPerilConfig();

            HashSet <String> subperils = new HashSet <string> {
                "WI"
            };
            IRITEindexMapper mapper = new RITEmapper1(expData, new RAPSettings(subperils), subperilInfo);



            VectorGUInputGeneratorFactory vectorgeneratorFactory = new VectorGUInputGeneratorFactory(pd, subperils, TimeStyle.ConstantTimeStamps, LossStyle.GroundUp, true, subSamplingSettings);
            VectorGUInputGenerator        vectorGenerator        = vectorgeneratorFactory.GetGeneratorForContract(conID);


            FixedMatrixGraphJPTY JPTYGraph = new FixedMatrixGraphJPTY(expData);

            JPTYGraph.Initialize();

            MatrixGraphExecuter executer = new MatrixGraphExecuter(JPTYGraph);

            int    NumOfEvents = 100;
            double totalTime   = 0;

            for (int eventId = 6; eventId < NumOfEvents; eventId++)
            {
                IVectorEvent Event = vectorGenerator.GenerateRITELoss(eventId);

                sw.Start();
                float payout = (float)(executer.Run(Event).TotalPayOut);
                sw.Stop();
                long test = sw.ElapsedMilliseconds;

                //totalTime += sw.Elapsed.TotalMilliseconds;
            }

            double avgTime         = sw.Elapsed.TotalMilliseconds / NumOfEvents;
            double avgGraphState   = executer.IniGraphState.Elapsed.TotalMilliseconds / NumOfEvents;
            double avgAggregation  = executer.Aggregation.Elapsed.TotalMilliseconds / NumOfEvents;
            double avgInteraction  = executer.Interaction.Elapsed.TotalMilliseconds / NumOfEvents;
            double avgFillARite    = executer.AssignGUtoARite.Elapsed.TotalMilliseconds / NumOfEvents;
            double avgSumByPattern = executer.Aggregation1.Elapsed.TotalMilliseconds / NumOfEvents;
            double avgAllocation   = executer.Allocationtimer.Elapsed.TotalMilliseconds / NumOfEvents;


            Console.WriteLine("For " + NumOfEvents + " Events avg execution time is "
                              + avgTime + " Milliseconds");
            Console.WriteLine("For" + NumOfEvents + "avg GraphState Instantiation is "
                              + avgGraphState + "Milliseconds");
            Console.WriteLine("For" + NumOfEvents + "avg Aggregation is "
                              + avgAggregation + "Milliseconds");
            Console.WriteLine("For" + NumOfEvents + "avg Interaction is "
                              + avgInteraction + "Milliseconds");
            Console.WriteLine("For" + NumOfEvents + "avg Assigning GU to Arites is "
                              + avgFillARite + "Milliseconds");
            Console.WriteLine("For" + NumOfEvents + "avg SumArrayByPattern is "
                              + avgSumByPattern + "Milliseconds");
            Console.WriteLine("For" + NumOfEvents + "avg allocation time is "
                              + avgAllocation + "Milliseconds");

            Console.ReadLine();
        }