Merge branch 'master' of https://github.com/casact/chainladder-python

casact · Jan 22, 2020 · c206ef4 · c206ef4
2 parents b845713 + 2f177cc
commit c206ef4
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diff --git a/chainladder/__init__.py b/chainladder/__init__.py
@@ -5,4 +5,4 @@
 from chainladder.methods import * # noqa (API Import)
 from chainladder.workflow import * # noqa (API Import)
 
-__version__ = '0.4.5'
+__version__ = '0.4.7'
diff --git a/chainladder/core/tests/test_triangle.py b/chainladder/core/tests/test_triangle.py
@@ -259,3 +259,9 @@ def test_commutative():
     assert full.cum_to_incr().grain('OYDY').val_to_dev() == full.val_to_dev().cum_to_incr().grain('OYDY')
     assert np.allclose(np.nan_to_num(full.grain('OYDY').cum_to_incr().val_to_dev().incr_to_cum().values),
             np.nan_to_num(full.val_to_dev().grain('OYDY').values), atol=1e-5)
+
+def test_broadcasting():
+    t1 = cl.load_dataset('raa')
+    t2 = tri
+    assert t1.broadcast_axis('columns', t2.columns).shape[1] == t2.shape[1]
+    assert t1.broadcast_axis('index', t2.index).shape[0] == t2.shape[0]
diff --git a/chainladder/core/triangle.py b/chainladder/core/triangle.py
@@ -498,3 +498,31 @@ def trend(self, trend=0.0, axis='origin', valuation_date=None, ultimate_lag=None
         obj = copy.deepcopy(self)
         obj.values = obj.values*trend
         return obj
+
+    def broadcast_axis(self, axis, value):
+        """ Broadcasts (i.e. repeats) triangles along an axis.  The axis to be
+        broadcast must be of length 1.
+
+        Parameters
+        ----------
+        axis : str or int
+            the axis to be broadcast over.
+        value : axis-like
+            The value of the new axis.
+        """
+        obj = copy.deepcopy(self)
+        axis = self._get_axis(axis)
+        if self.shape[axis] != 1:
+            raise ValueError('Axis to be broadcast must be of length 1')
+        elif axis > 1:
+            raise ValueError('Only index and column axes are supported')
+        else:
+            obj.values = np.repeat(obj.values, len(value), axis)
+            if axis == 0:
+                obj.key_labels = list(value.columns)
+                obj.kdims = value.values
+                obj.index = value
+            if axis == 1:
+                obj.vdims = value.values
+                obj.columns = value
+        return obj
diff --git a/chainladder/development/bootstrap.py b/chainladder/development/bootstrap.py
@@ -61,6 +61,7 @@ def __init__(self, n_sims=1000, n_periods=-1,
         self.random_state = random_state
 
     def fit(self, X, y=None, sample_weight=None):
+        warn('Process risk not yet implemented...')
         if (type(X.ddims) != np.ndarray):
             raise ValueError('Triangle must be expressed with development lags')
         obj = copy.copy(X)

diff --git a/docs/auto_examples/auto_examples_jupyter.zip b/docs/auto_examples/auto_examples_jupyter.zip
diff --git a/docs/auto_examples/auto_examples_python.zip b/docs/auto_examples/auto_examples_python.zip
diff --git a/docs/auto_examples/images/sphx_glr_plot_bootstrap_001.png b/docs/auto_examples/images/sphx_glr_plot_bootstrap_001.png
diff --git a/docs/auto_examples/images/sphx_glr_plot_bootstrap_comparison_001.png b/docs/auto_examples/images/sphx_glr_plot_bootstrap_comparison_001.png
diff --git a/docs/auto_examples/images/sphx_glr_plot_exposure_triangle_001.png b/docs/auto_examples/images/sphx_glr_plot_exposure_triangle_001.png
diff --git a/docs/auto_examples/images/sphx_glr_plot_ibnr_runoff_001.png b/docs/auto_examples/images/sphx_glr_plot_ibnr_runoff_001.png
diff --git a/docs/auto_examples/images/sphx_glr_plot_stochastic_bornferg_001.png b/docs/auto_examples/images/sphx_glr_plot_stochastic_bornferg_001.png
diff --git a/docs/auto_examples/images/sphx_glr_plot_triangle_from_pandas_001.png b/docs/auto_examples/images/sphx_glr_plot_triangle_from_pandas_001.png
diff --git a/docs/auto_examples/images/sphx_glr_plot_value_at_risk_001.png b/docs/auto_examples/images/sphx_glr_plot_value_at_risk_001.png
diff --git a/docs/auto_examples/images/thumb/sphx_glr_plot_bootstrap_comparison_thumb.png b/docs/auto_examples/images/thumb/sphx_glr_plot_bootstrap_comparison_thumb.png
diff --git a/docs/auto_examples/images/thumb/sphx_glr_plot_bootstrap_thumb.png b/docs/auto_examples/images/thumb/sphx_glr_plot_bootstrap_thumb.png
diff --git a/docs/auto_examples/images/thumb/sphx_glr_plot_exposure_triangle_thumb.png b/docs/auto_examples/images/thumb/sphx_glr_plot_exposure_triangle_thumb.png
diff --git a/docs/auto_examples/images/thumb/sphx_glr_plot_ibnr_runoff_thumb.png b/docs/auto_examples/images/thumb/sphx_glr_plot_ibnr_runoff_thumb.png
diff --git a/docs/auto_examples/images/thumb/sphx_glr_plot_stochastic_bornferg_thumb.png b/docs/auto_examples/images/thumb/sphx_glr_plot_stochastic_bornferg_thumb.png
diff --git a/docs/auto_examples/images/thumb/sphx_glr_plot_triangle_from_pandas_thumb.png b/docs/auto_examples/images/thumb/sphx_glr_plot_triangle_from_pandas_thumb.png
diff --git a/docs/auto_examples/images/thumb/sphx_glr_plot_value_at_risk_thumb.png b/docs/auto_examples/images/thumb/sphx_glr_plot_value_at_risk_thumb.png
diff --git a/docs/auto_examples/index.rst b/docs/auto_examples/index.rst
@@ -51,6 +51,66 @@ Gallery of Chainladder Functionality
 
    /auto_examples/plot_triangle_slicing
 
+.. raw:: html
+
+    <div class="sphx-glr-thumbcontainer" tooltip="This example uses the BootstrapODPSample to simulate new triangles that are then used to simula...">
+
+.. only:: html
+
+ .. figure:: /auto_examples/images/thumb/sphx_glr_plot_value_at_risk_thumb.png
+
+     :ref:`sphx_glr_auto_examples_plot_value_at_risk.py`
+
+.. raw:: html
+
+    </div>
+
+
+.. toctree::
+   :hidden:
+
+   /auto_examples/plot_value_at_risk
+
+.. raw:: html
+
+    <div class="sphx-glr-thumbcontainer" tooltip="All IBNR models spin off several results triangles including inbr_, ultimate_, full_expectation...">
+
+.. only:: html
+
+ .. figure:: /auto_examples/images/thumb/sphx_glr_plot_ibnr_runoff_thumb.png
+
+     :ref:`sphx_glr_auto_examples_plot_ibnr_runoff.py`
+
+.. raw:: html
+
+    </div>
+
+
+.. toctree::
+   :hidden:
+
+   /auto_examples/plot_ibnr_runoff
+
+.. raw:: html
+
+    <div class="sphx-glr-thumbcontainer" tooltip="Although triangles have both origin and development attributes, it is often convenient to creat...">
+
+.. only:: html
+
+ .. figure:: /auto_examples/images/thumb/sphx_glr_plot_exposure_triangle_thumb.png
+
+     :ref:`sphx_glr_auto_examples_plot_exposure_triangle.py`
+
+.. raw:: html
+
+    </div>
+
+
+.. toctree::
+   :hidden:
+
+   /auto_examples/plot_exposure_triangle
+
 .. raw:: html
 
     <div class="sphx-glr-thumbcontainer" tooltip="This example demonstrates testing multiple number of periods in the development transformer to ...">
@@ -111,6 +171,46 @@ Gallery of Chainladder Functionality
 
    /auto_examples/plot_bf_apriori_from_cl
 
+.. raw:: html
+
+    <div class="sphx-glr-thumbcontainer" tooltip="This example demonstrates the typical way you&#x27;d ingest data into a Triangle. Data in tabular fo...">
+
+.. only:: html
+
+ .. figure:: /auto_examples/images/thumb/sphx_glr_plot_triangle_from_pandas_thumb.png
+
+     :ref:`sphx_glr_auto_examples_plot_triangle_from_pandas.py`
+
+.. raw:: html
+
+    </div>
+
+
+.. toctree::
+   :hidden:
+
+   /auto_examples/plot_triangle_from_pandas
+
+.. raw:: html
+
+    <div class="sphx-glr-thumbcontainer" tooltip="This example demonstrates how you can drop the outlier link ratios from the BootstrapODPSample ...">
+
+.. only:: html
+
+ .. figure:: /auto_examples/images/thumb/sphx_glr_plot_bootstrap_comparison_thumb.png
+
+     :ref:`sphx_glr_auto_examples_plot_bootstrap_comparison.py`
+
+.. raw:: html
+
+    </div>
+
+
+.. toctree::
+   :hidden:
+
+   /auto_examples/plot_bootstrap_comparison
+
 .. raw:: html
 
     <div class="sphx-glr-thumbcontainer" tooltip="This example demonstrates how you can slice triangle objects to perform a typical &#x27;Actual vs Ex...">
@@ -173,13 +273,13 @@ Gallery of Chainladder Functionality
 
 .. raw:: html
 
-    <div class="sphx-glr-thumbcontainer" tooltip="This example demonstrates the typical way you&#x27;d ingest data into a Triangle. Data in tabular fo...">
+    <div class="sphx-glr-thumbcontainer" tooltip="This example demonstrates how to adjust LDFs by the relationship between Paid and Incurred usin...">
 
 .. only:: html
 
- .. figure:: /auto_examples/images/thumb/sphx_glr_plot_triangle_from_pandas_thumb.png
+ .. figure:: /auto_examples/images/thumb/sphx_glr_plot_munich_thumb.png
 
-     :ref:`sphx_glr_auto_examples_plot_triangle_from_pandas.py`
+     :ref:`sphx_glr_auto_examples_plot_munich.py`
 
 .. raw:: html
 
@@ -189,17 +289,17 @@ Gallery of Chainladder Functionality
 .. toctree::
    :hidden:
 
-   /auto_examples/plot_triangle_from_pandas
+   /auto_examples/plot_munich
 
 .. raw:: html
 
-    <div class="sphx-glr-thumbcontainer" tooltip="This example demonstrates how to adjust LDFs by the relationship between Paid and Incurred usin...">
+    <div class="sphx-glr-thumbcontainer" tooltip="There are several aspects of the chainladder module that are demonstrated with this example.">
 
 .. only:: html
 
- .. figure:: /auto_examples/images/thumb/sphx_glr_plot_munich_thumb.png
+ .. figure:: /auto_examples/images/thumb/sphx_glr_plot_stochastic_bornferg_thumb.png
 
-     :ref:`sphx_glr_auto_examples_plot_munich.py`
+     :ref:`sphx_glr_auto_examples_plot_stochastic_bornferg.py`
 
 .. raw:: html
 
@@ -209,7 +309,7 @@ Gallery of Chainladder Functionality
 .. toctree::
    :hidden:
 
-   /auto_examples/plot_munich
+   /auto_examples/plot_stochastic_bornferg
 
 .. raw:: html
 

diff --git a/docs/auto_examples/plot_ave_analysis.rst b/docs/auto_examples/plot_ave_analysis.rst
@@ -68,7 +68,7 @@ payment patterns for the demo.
 
 .. rst-class:: sphx-glr-timing
 
-   **Total running time of the script:** ( 0 minutes  3.530 seconds)
+   **Total running time of the script:** ( 0 minutes  3.187 seconds)
 
 
 .. _sphx_glr_download_auto_examples_plot_ave_analysis.py:

diff --git a/docs/auto_examples/plot_ave_analysis_codeobj.pickle b/docs/auto_examples/plot_ave_analysis_codeobj.pickle
diff --git a/docs/auto_examples/plot_benktander.rst b/docs/auto_examples/plot_benktander.rst
@@ -65,7 +65,7 @@ choice.
 
 .. rst-class:: sphx-glr-timing
 
-   **Total running time of the script:** ( 0 minutes  30.942 seconds)
+   **Total running time of the script:** ( 0 minutes  28.456 seconds)
 
 
 .. _sphx_glr_download_auto_examples_plot_benktander.py:

diff --git a/docs/auto_examples/plot_benktander_codeobj.pickle b/docs/auto_examples/plot_benktander_codeobj.pickle
diff --git a/docs/auto_examples/plot_bf_apriori_from_cl.rst b/docs/auto_examples/plot_bf_apriori_from_cl.rst
@@ -27,7 +27,7 @@ apriori selection for the Bornhuetter-Ferguson Method.
  .. code-block:: none
 
 
-    <matplotlib.axes._subplots.AxesSubplot object at 0x00000220F1A6C4E0>
+    <matplotlib.axes._subplots.AxesSubplot object at 0x000001F8552DFFD0>
 
 
 
@@ -60,7 +60,7 @@ apriori selection for the Bornhuetter-Ferguson Method.
 
 .. rst-class:: sphx-glr-timing
 
-   **Total running time of the script:** ( 0 minutes  1.345 seconds)
+   **Total running time of the script:** ( 0 minutes  1.238 seconds)
 
 
 .. _sphx_glr_download_auto_examples_plot_bf_apriori_from_cl.py:

diff --git a/docs/auto_examples/plot_bf_apriori_from_cl_codeobj.pickle b/docs/auto_examples/plot_bf_apriori_from_cl_codeobj.pickle
diff --git a/docs/auto_examples/plot_bootstrap.rst b/docs/auto_examples/plot_bootstrap.rst
@@ -26,6 +26,8 @@ Bootstrap sampler and get various properties about parameter uncertainty.
 
  .. code-block:: none
 
+    c:\users\jboga\onedrive\documents\github\chainladder-python\chainladder\development\bootstrap.py:64: UserWarning: Process risk not yet implemented...
+      warn('Process risk not yet implemented...')
     c:\users\jboga\onedrive\documents\github\chainladder-python\chainladder\core\pandas.py:219: RuntimeWarning: Mean of empty slice
       obj.values = func(obj.values, axis=axis, *args, **kwargs)
 
@@ -69,7 +71,7 @@ Bootstrap sampler and get various properties about parameter uncertainty.
 
 .. rst-class:: sphx-glr-timing
 
-   **Total running time of the script:** ( 0 minutes  14.352 seconds)
+   **Total running time of the script:** ( 0 minutes  13.354 seconds)
 
 
 .. _sphx_glr_download_auto_examples_plot_bootstrap.py:

diff --git a/docs/auto_examples/plot_bootstrap_codeobj.pickle b/docs/auto_examples/plot_bootstrap_codeobj.pickle
diff --git a/docs/auto_examples/plot_bootstrap_comparison.ipynb b/docs/auto_examples/plot_bootstrap_comparison.ipynb
@@ -0,0 +1,54 @@
+{
+  "cells": [
+    {
+      "cell_type": "code",
+      "execution_count": null,
+      "metadata": {
+        "collapsed": false
+      },
+      "outputs": [],
+      "source": [
+        "%matplotlib inline"
+      ]
+    },
+    {
+      "cell_type": "markdown",
+      "metadata": {},
+      "source": [
+        "\n# ODP Bootstrap Comparison\n\n\nThis example demonstrates how you can drop the outlier link ratios from the\nBootstrapODPSample to reduce reserve variability estimates.\n\n\n"
+      ]
+    },
+    {
+      "cell_type": "code",
+      "execution_count": null,
+      "metadata": {
+        "collapsed": false
+      },
+      "outputs": [],
+      "source": [
+        "import chainladder as cl\n\nimport seaborn as sns\nsns.set_style('whitegrid')\n\n# Load triangle\ntriangle = cl.load_dataset('raa')\n\n# Use bootstrap sampler to get resampled triangles\ns1 = cl.BootstrapODPSample(\n    n_sims=5000, random_state=42).fit(triangle).resampled_triangles_\n\n## Alternatively use fit_transform() to access resampled triangles dropping\n#  outlier link-ratios from resampler\ns2 = cl.BootstrapODPSample(\n    drop_high=True, drop_low=True,\n    n_sims=5000, random_state=42).fit_transform(triangle)\n\n# Summarize results of first model\nresults = cl.Chainladder().fit(s1).ibnr_.sum('origin').rename('columns', ['Original'])\n# Add another column to triangle with second set of results.\nresults['Dropped'] = cl.Chainladder().fit(s2).ibnr_.sum('origin')\n\n# Plot both IBNR distributions\nresults.to_frame().plot(kind='hist', bins=50, alpha=0.5)"
+      ]
+    }
+  ],
+  "metadata": {
+    "kernelspec": {
+      "display_name": "Python 3",
+      "language": "python",
+      "name": "python3"
+    },
+    "language_info": {
+      "codemirror_mode": {
+        "name": "ipython",
+        "version": 3
+      },
+      "file_extension": ".py",
+      "mimetype": "text/x-python",
+      "name": "python",
+      "nbconvert_exporter": "python",
+      "pygments_lexer": "ipython3",
+      "version": "3.6.3"
+    }
+  },
+  "nbformat": 4,
+  "nbformat_minor": 0
+}
diff --git a/docs/auto_examples/plot_bootstrap_comparison.py b/docs/auto_examples/plot_bootstrap_comparison.py
@@ -0,0 +1,34 @@
+"""
+========================
+ODP Bootstrap Comparison
+========================
+
+This example demonstrates how you can drop the outlier link ratios from the
+BootstrapODPSample to reduce reserve variability estimates.
+
+"""
+import chainladder as cl
+
+import seaborn as sns
+sns.set_style('whitegrid')
+
+# Load triangle
+triangle = cl.load_dataset('raa')
+
+# Use bootstrap sampler to get resampled triangles
+s1 = cl.BootstrapODPSample(
+    n_sims=5000, random_state=42).fit(triangle).resampled_triangles_
+
+## Alternatively use fit_transform() to access resampled triangles dropping
+#  outlier link-ratios from resampler
+s2 = cl.BootstrapODPSample(
+    drop_high=True, drop_low=True,
+    n_sims=5000, random_state=42).fit_transform(triangle)
+
+# Summarize results of first model
+results = cl.Chainladder().fit(s1).ibnr_.sum('origin').rename('columns', ['Original'])
+# Add another column to triangle with second set of results.
+results['Dropped'] = cl.Chainladder().fit(s2).ibnr_.sum('origin')
+
+# Plot both IBNR distributions
+results.to_frame().plot(kind='hist', bins=50, alpha=0.5)
diff --git a/docs/auto_examples/plot_bootstrap_comparison.py.md5 b/docs/auto_examples/plot_bootstrap_comparison.py.md5
@@ -0,0 +1 @@
+af4123840aa71f01d2fd75aee3df3e94