Projection/Modeling Interface

[alecloudenback]

I am interested in doing integrated asset/liability modeling (see JuliaActuary org) but think that the right interface would transcend just actuarial projections, so bringing up the discussion here.

Let me first define what I mean by projections first: projections are an assumed pattern of a financial/instrument or contract. It is distinct from the valuation of such an object and the projection is scenario/context dependent.

Examples:

• A callable bond where the cashflows are assumed to vary by the economic context
• A universal life insurance contract which has non-guaranteed elements that may vary by scenario in different projection models.

Other examples of things I would consider "projectable":

• shares of common stock
• term life insurance policies
• loans
• mortgages
• cash
• perpetuities

What I have had a difficult time with is defining an interface that meets what I feel like a modern modeling system should have:

• intuitive API
• ability to accommodate different timesteps:
  • daily calendar days (with and without the complexity of DayCounts)
  • monthly/annual
• Is iterable
  • each timestep can be walked through and the projection either terminates because there is nothing left to project or tracks the current state and may never end (e.g. a perpetuity)
• Is contextually aware
  • different assets/liabilities could interact (e.g. having the asset side of the balance sheet affect the liabilities and vice versa)
• Is (or can be) lazy
  • I may simply want to project until all liabilities have been defeased rather than stop after a certain timepoint

I was wondering if this was something that others have thought about or have design ideas/examples to point to?