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author
jenkins
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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "cc4bb9941d" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "1cbe51d5cb" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "73a0129"
2 parents df53614 + 1cbe51d commit 4e4c11f

4 files changed

Lines changed: 40 additions & 16 deletions

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‎.github/workflows/build_windows.yaml‎

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@@ -3,6 +3,8 @@ name: C/C++ CI Windows
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on:
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push:
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branches: [master]
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tags:
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- 'v*'
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release:
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types: [published]
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pull_request:
@@ -35,10 +37,20 @@ jobs:
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platform: x64
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boost-lib: 64
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steps:
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- uses: actions/checkout@v3
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- uses: actions/checkout@v4
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- name: get QuantLib
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run: |
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git submodule update --init
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- name: Set up zlib
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run: |
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$Url = "https://www.zlib.net/zlib131.zip"
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(New-Object System.Net.WebClient).DownloadFile($Url, "$env:TEMP\zlib.zip")
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Expand-Archive -Path "$env:TEMP\zlib.zip" -DestinationPath C:\local
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cd C:\local\zlib-1.3.1
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mkdir build
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cd build
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cmake ..
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cmake --build . --config Release
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- name: Set up Boost
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run: |
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$Url = "https://boostorg.jfrog.io/artifactory/main/release/1.72.0/binaries/boost_1_72_0-msvc-14.2-${{ matrix.boost-lib }}.exe"
@@ -52,12 +64,13 @@ jobs:
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run: |
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mkdir build
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cd build
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SET ZLIB_ROOT=C:\local\zlib-1.3.1
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call "C:\Program Files\Microsoft Visual Studio\2022\Enterprise\Vc\Auxiliary\Build\vcvarsall.bat" ${{ matrix.arch }} -vcvars_ver=14.3 || exit 1
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cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_BUILD_DOC=false -DBOOST_INCLUDEDIR=C:\local\boost -DBOOST_LIBRARYDIR=C:\local\boost\lib64-msvc-14.3 -L
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cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_BUILD_EXAMPLES=false -DQL_BUILD_TEST_SUITE=false -DQL_BUILD_BENCHMARK=false -DQL_ENABLE_SESSIONS=true -DORE_USE_ZLIB=ON -DORE_BUILD_DOC=false -DBOOST_INCLUDEDIR=C:\local\boost -DZLIB_LIBRARY=C:\local\zlib-1.3.1\build\Release\zlib.lib -DBOOST_LIBRARYDIR=C:\local\boost\lib64-msvc-14.3 -L
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cmake --build . -j 2 --verbose
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- name: Save executables as artifacts
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#if: startsWith(github.ref, 'refs/tags/v')
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uses: actions/upload-artifact@v3
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if: startsWith(github.ref, 'refs/tags/v')
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uses: actions/upload-artifact@v4
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with:
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name: ore-windows-${{ matrix.arch }}
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path: D:\a\Engine\Engine\build\App\ore.exe

‎.github/workflows/linux_build.yaml‎

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@@ -3,6 +3,8 @@ name: C/C++ CI Ubuntu
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on:
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push:
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branches: [master]
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tags:
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- 'v*'
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release:
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types: [published]
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pull_request:
@@ -26,7 +28,7 @@ jobs:
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name: building
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runs-on: ubuntu-22.04
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steps:
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- uses: actions/checkout@v3
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- uses: actions/checkout@v4
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- name: get QuantLib
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run: |
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git submodule update --init
@@ -40,7 +42,7 @@ jobs:
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run: cd build/; pwd; cmake --build . -j $(nproc)
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- name: Save executables as artifacts
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if: startsWith(github.ref, 'refs/tags/v')
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uses: actions/upload-artifact@v3
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uses: actions/upload-artifact@v4
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with:
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name: ore-exe-linux
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path: /home/runner/work/Engine/Engine/build/App/ore

‎.github/workflows/macos_ARM64_build.yaml‎

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@@ -3,6 +3,8 @@ name: C/C++ MacOS
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on:
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push:
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branches: [master]
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tags:
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- 'v*'
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release:
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types: [published]
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pull_request:
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build:
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runs-on: macos-11
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steps:
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- uses: actions/checkout@v3
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- uses: actions/checkout@v4
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- name: get QuantLib
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run: |
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git submodule update --init
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cmake --install .
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- name: Save executables as artifacts
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if: startsWith(github.ref, 'refs/tags/v')
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uses: actions/upload-artifact@v3
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uses: actions/upload-artifact@v4
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with:
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name: ore-macos-arm64
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path: /Users/runner/work/Engine/Engine/build/App/ore

‎Docs/UserGuide/userguide.tex‎

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@@ -4059,16 +4059,21 @@ \subsubsection{Analytics}\label{sec:analytics}
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<Analytics>
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<Analytic type="simulation">
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<Parameter name="active">Y</Parameter>
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<Parameter name="amc">Y</Parameter>
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<Parameter name="amcCg">Y</Parameter>
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<Parameter name="xvaCgSensitivityConfigFile">xvasensiconfig.xml</Parameter>
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<Parameter name="amcTradeTypes">Swap</Parameter>
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<Parameter name="amcPricingEnginesFile">pricingengine_amc.xml</Parameter> -> not documented
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<Parameter name="simulationConfigFile">simulation.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="storeFlows">Y</Parameter>
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<Parameter name="storeSurvivalProbabilities">Y</Parameter>
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<Parameter name="cubeFile">cube_A.csv.gz</Parameter>
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<Parameter name="nettingSetCubeFile">nettingSetCube_A.csv.gz</Parameter>
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<Parameter name="cptyCubeFile">cptyCube_A.csv.gz</Parameter>
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<Parameter name="salvageCorrelationMatrix">true</Parameter>
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<Parameter name="scenariodump">scenariodump.csv</Parameter>
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<Parameter name="aggregationScenarioDataFileName">scenariodata.csv.gz</Parameter>
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<Parameter name="aggregationScenarioDump">scenariodump.csv</Parameter>
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<Parameter name="storeCreditStateNPVs">8</Parameter>
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<Parameter name="cubeFile">cube_A.csv.gz</Parameter>
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</Analytic>
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</Analytics>
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\end{minted}
@@ -4152,6 +4157,8 @@ \subsubsection{Analytics}\label{sec:analytics}
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<Parameter name="dimOutputGridPoints">0</Parameter>
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<Parameter name="rawCubeOutputFile">rawcube.csv</Parameter>
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<Parameter name="netCubeOutputFile">netcube.csv</Parameter>
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<Parameter name="nettingSetCubeFile">nettingSetCube_A.csv.gz</Parameter>
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<Parameter name="cptyCubeFile">cptyCube_A.csv.gz</Parameter>
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<Parameter name="fullInitialCollateralisation">true</Parameter>
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<Parameter name="flipViewXVA">N</Parameter>
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<Parameter name="flipViewBorrowingCurvePostfix">_BORROW</Parameter>
@@ -5826,15 +5833,15 @@ \subsubsection{Market}\label{sec:sim_market}
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</Pairs>
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<Expiries>1Y,2Y</Expiries>
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</Correlations>
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<AdditionalScenarioDataCurrencies>
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<AggregationScenarioDataCurrencies>
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<Currency>EUR</Currency>
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<Currency>USD</Currency>
5832-
</AdditionalScenarioDataCurrencies>
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<AdditionalScenarioDataIndices>
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</AggregationScenarioDataCurrencies>
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<AggregationScenarioDataIndices>
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<Index>EUR-EURIBOR-3M</Index>
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<Index>EUR-EONIA</Index>
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<Index>USD-LIBOR-3M</Index>
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</AdditionalScenarioDataIndices>
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</AggregationScenarioDataIndices>
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</Market>
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\end{minted}
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\caption{Simulation market configuration}

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