Resolve QPR-12386 add mersenne twister to opencl

Author: pcaspers

Docs/ComputeEnvironment/computeenvironment.tex

@@ -389,7 +389,7 @@ \subsection{Initiation of a calculation}
 \begin{minted}[fontsize=\footnotesize]{xml}
  std::tie(externalCalculationId_, newExternalCalc) =
    ComputeEnvironment::instance().context()
-       .initiateCalculation(model_->size(), externalCalculationId_, cgVersion_);
+       .initiateCalculation(model_->size(), externalCalculationId_, cgVersion_, settings);
 \end{minted}
 
 providing
@@ -400,6 +400,8 @@ \subsection{Initiation of a calculation}
   to get a new id and for subsequent calculations of the same trade this id is reused
 \item \verb+cgVersion_+: a version number (initially zero). The version is incremented whenever a repricing requires a
   different sequence of operations to be performed, which is the case when the evaluation date changes
+\item \verb+settings+: the settings to be used, see \ref{implComputeFramework} for details. Notice that for a replayed
+  calculation the settings must match the ones from the initial calculation.
 \end{itemize}
 
 and retrieving the external calc id and a flag indicating whether the calculation requires a resubmission of an

OREData/ored/scripting/engines/scriptedinstrumentpricingenginecg.cpp

@@ -186,7 +186,7 @@ void ScriptedInstrumentPricingEngineCG::calculate() const {
             settings.debug = false;
             settings.useDoublePrecision = useDoublePrecisionForExternalCalculation_;
             settings.rngSequenceType = mcParams_.sequenceType;
-            settings.seed = mcParams_.seed;
+            settings.rngSeed = mcParams_.seed;
             settings.regressionOrder = mcParams_.regressionOrder;
             std::tie(externalCalculationId_, newExternalCalc) =
                 ComputeEnvironment::instance().context().initiateCalculation(model_->size(), externalCalculationId_,

QuantExt/qle/math/basiccpuenvironment.cpp

@@ -233,10 +233,7 @@ std::vector<std::vector<std::size_t>> BasicCpuContext::createInputVariates(const
     currentState_ = ComputeState::createVariates;
 
     if (rng_ == nullptr) {
-        QL_REQUIRE(settings_.rngSequenceType == QuantExt::SequenceType::MersenneTwister,
-                   "BasiCpuContext::createInputVariates(): sequence type "
-                       << settings_.rngSequenceType << " not supported, expected 'MersenneTwister'");
-        rng_ = std::make_unique<MersenneTwisterUniformRng>(settings_.seed);
+        rng_ = std::make_unique<MersenneTwisterUniformRng>(settings_.rngSeed);
     }
 
     if (variates_.size() < dim * steps) {

QuantExt/qle/math/computeenvironment.hpp

@@ -66,11 +66,11 @@ class ComputeContext {
     struct Settings {
         Settings()
             : debug(false), useDoublePrecision(false), rngSequenceType(QuantExt::SequenceType::MersenneTwister),
-              seed(42), regressionOrder(4) {}
+              rngSeed(42), regressionOrder(4) {}
         bool debug;
         bool useDoublePrecision;
         QuantExt::SequenceType rngSequenceType;
-        std::size_t seed;
+        std::size_t rngSeed;
         std::size_t regressionOrder;
     };