[Work in progress] BarnettZehnwirth formula helper (with some refactor)

chainladder/development/barnzehn.py

@@ -46,13 +46,6 @@ def fit(self, X, y=None, sample_weight=None):
             raise ValueError("Only single index/column triangles are supported")
         tri = X.cum_to_incr().log()
         response = X.columns[0] if not self.response else self.response
-        # Check for more than one linear predictor 
-        linearpredictors = 0
-        for term in ModelDesc.from_formula(self.formula).rhs_termlist[1:]:
-            if 'C(' not in term.factors[0].code:
-                linearpredictors += 1
-        if linearpredictors > 1:
-            warnings.warn("Using more than one linear predictor with BarnettZehnwirth may lead to issues with multicollinearity.")
         self.model_ = DevelopmentML(Pipeline(steps=[
             ('design_matrix', PatsyFormula(self.formula)),
             ('model', LinearRegression(fit_intercept=False))]),

chainladder/development/tests/test_barnzehn.py

@@ -1,6 +1,7 @@
 import numpy as np
 import chainladder as cl
 import pytest
+from chainladder.utils.utility_functions import PTF_formula
 abc = cl.load_sample('abc')
 
 def test_basic_bz():
@@ -34,14 +35,13 @@ def test_bz_2008():
     exposure=np.array([[2.2], [2.4], [2.2], [2.0], [1.9], [1.6], [1.6], [1.8], [2.2], [2.5], [2.6]])
     abc_adj = abc/exposure
 
-    origin_buckets = [2,3,5]
-    dev_buckets = [(24,36),(36,48),(48,84),(84,108),(108,9999)]
-    val_buckets = [(1,8),(8,9),(9,999)]
-
-    origin_formula = '+'.join([f'I(origin >= {x})' for x in origin_buckets])
-    dev_formula = '+'.join([f'I((np.minimum({x[1]-12},development) - np.minimum({x[0]-12},development))/12)' for x in dev_buckets])
-    val_formula = '+'.join([f'I(np.minimum({x[1]-1},valuation) - np.minimum({x[0]-1},valuation))' for x in val_buckets])
-    model=cl.BarnettZehnwirth(formula=origin_formula + '+' + dev_formula + '+' + val_formula, drop=('1982',72)).fit(abc_adj)
+    origin_buckets = [(0,1),(2,2),(3,4),(5,10)]
+    dev_buckets = [(24,36),(36,48),(48,84),(84,108),(108,144)]
+    val_buckets = [(1,8),(8,9),(9,12)]
+
+    abc_formula = PTF_formula(abc_adj,alpha=origin_buckets,gamma=dev_buckets,iota=val_buckets)
+
+    model=cl.BarnettZehnwirth(formula=abc_formula, drop=('1982',72)).fit(abc_adj)
     assert np.all(
         np.around(model.coef_.values,4).flatten()
         == np.array([11.1579,0.1989,0.0703,0.0919,0.1871,-0.3771,-0.4465,-0.3727,-0.3154,0.0432,0.0858,0.1464])

chainladder/utils/utility_functions.py

@@ -767,3 +767,29 @@ def model_diagnostics(model, name=None, groupby=None):
         out.index = idx
         triangles.append(out)
     return concat(triangles, 0)
+
+
+def PTF_formula(tri: Triangle, alpha: ArrayLike = None, gamma: ArrayLike = None, iota: ArrayLike = None):
+    """ Helper formula that builds a patsy formula string for the BarnettZehnwirth 
+    estimator.  Each axis's parameters can be grouped together. Groups of origin 
+    parameters (alpha) are set equal, and are specified by a ranges (inclusive). 
+    Groups of development (gamma) and valuation (iota) parameters are fit to 
+    separate linear trends, specified as tuples denoting ranges with shared endpoints.
+    In other words, development and valuation trends are fit to a piecewise linear model.
+    A triangle must be supplied to provide some critical information.
+    """
+    formula_parts=[]
+    if(alpha):
+        # The intercept term takes the place of the first alpha
+        for ind,a in enumerate(alpha):
+            if(a[0]==0):
+                alpha=alpha[:ind]+alpha[(ind+1):]
+        formula_parts += ['+'.join([f'I({x[0]} <= origin)' for x in alpha])]
+    if(gamma):
+        dgrain = min(tri.development)
+        formula_parts += ['+'.join([f'I((np.minimum({x[1]-dgrain},development) - np.minimum({x[0]-dgrain},development))/{dgrain})' for x in gamma])]
+    if(iota):
+        formula_parts += ['+'.join([f'I(np.minimum({x[1]-1},valuation) - np.minimum({x[0]-1},valuation))' for x in iota])]
+    if(formula_parts):
+        return '+'.join(formula_parts)
+    return ''