git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "7f58b2bdcc"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "13be379b4a"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "73a0129"

Author: jenkins

OREData/ored/scripting/engines/scriptedinstrumentpricingenginecg.cpp

@@ -64,6 +64,11 @@ double externalAverage(const std::vector<double>& v) {
 
 } // namespace
 
+ScriptedInstrumentPricingEngineCG::~ScriptedInstrumentPricingEngineCG() {
+    if (externalCalculationId_)
+        ComputeEnvironment::instance().context().disposeCalculation(externalCalculationId_);
+}
+
 ScriptedInstrumentPricingEngineCG::ScriptedInstrumentPricingEngineCG(
     const std::string& npv, const std::vector<std::pair<std::string, std::string>>& additionalResults,
     const QuantLib::ext::shared_ptr<ModelCG>& model, const ASTNodePtr ast,

OREData/ored/scripting/engines/scriptedinstrumentpricingenginecg.hpp

@@ -48,6 +48,7 @@ class ScriptedInstrumentPricingEngineCG : public QuantExt::ScriptedInstrument::e
                                       const bool includePastCashflows = false, const bool useCachedSensis = false,
                                       const bool useExternalComputeFramework = false,
                                       const bool useDoublePrecisionForExternalCalculation = false);
+    ~ScriptedInstrumentPricingEngineCG();
 
     bool lastCalculationWasValid() const { return lastCalculationWasValid_; }
     const std::string& npvName() const { return npv_; }

QuantExt/qle/math/basiccpuenvironment.cpp

@@ -42,6 +42,7 @@ class BasicCpuContext : public ComputeContext {
     std::pair<std::size_t, bool> initiateCalculation(const std::size_t n, const std::size_t id = 0,
                                                      const std::size_t version = 0,
                                                      const Settings settings = {}) override final;
+    void disposeCalculation(const std::size_t id) override final;
     std::size_t createInputVariable(double v) override final;
     std::size_t createInputVariable(double* v) override final;
     std::vector<std::vector<std::size_t>> createInputVariates(const std::size_t dim,
@@ -92,6 +93,7 @@ class BasicCpuContext : public ComputeContext {
 
     std::vector<std::size_t> size_;
     std::vector<std::size_t> version_;
+    std::vector<bool> disposed_;
     std::vector<program> program_;
     std::vector<std::size_t> numberOfInputVars_;
     std::vector<std::size_t> numberOfVariates_;
@@ -141,6 +143,12 @@ void BasicCpuContext::init() {
     initialized_ = true;
 }
 
+void BasicCpuContext::disposeCalculation(const std::size_t id) {
+    QL_REQUIRE(!disposed_[id - 1], "BasicCpuContext::disposeCalculation(): id " << id << " was already disposed.");
+    program_[id - 1].clear();
+    disposed_[id - 1] = true;
+}
+
 std::pair<std::size_t, bool> BasicCpuContext::initiateCalculation(const std::size_t n, const std::size_t id,
                                                                   const std::size_t version, const Settings settings) {
 
@@ -155,6 +163,7 @@ std::pair<std::size_t, bool> BasicCpuContext::initiateCalculation(const std::siz
 
         size_.push_back(n);
         version_.push_back(version);
+        disposed_.push_back(false);
         program_.push_back(program());
         numberOfInputVars_.push_back(0);
         numberOfVariates_.push_back(0);
@@ -170,9 +179,11 @@ std::pair<std::size_t, bool> BasicCpuContext::initiateCalculation(const std::siz
 
         QL_REQUIRE(id <= size_.size(),
                    "BasicCpuContext::initiateCalculation(): id (" << id << ") invalid, got 1..." << size_.size());
-        QL_REQUIRE(size_[id - 1] == n, "BasicCpuCOntext::initiateCalculation(): size ("
+        QL_REQUIRE(size_[id - 1] == n, "BasicCpuContext::initiateCalculation(): size ("
                                            << size_[id - 1] << ") for id " << id << " does not match current size ("
                                            << n << ")");
+        QL_REQUIRE(!disposed_[id - 1], "BasicCpuContext::initiateCalculation(): id ("
+                                           << id << ") was already disposed, it can not be used any more.");
 
         if (version != version_[id - 1]) {
             version_[id - 1] = version;

QuantExt/qle/math/computeenvironment.hpp

@@ -87,6 +87,7 @@ class ComputeContext {
     virtual std::pair<std::size_t, bool> initiateCalculation(const std::size_t n, const std::size_t id = 0,
                                                              const std::size_t version = 0,
                                                              const Settings settings = {}) = 0;
+    virtual void disposeCalculation(const std::size_t id) = 0;
 
     virtual std::size_t createInputVariable(double v) = 0;
     virtual std::size_t createInputVariable(double* v) = 0;