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QPR-12389 Additional Unit Test For GPGPU Framework
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‎QuantExt/test/computeenvironment.cpp‎

Lines changed: 196 additions & 0 deletions
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@@ -251,6 +251,202 @@ BOOST_AUTO_TEST_CASE(testReplayFlowError) {
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}
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}
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// The code below replicates the behavior of one iteration of one of our static backtests
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// when executed on our GPGPU Framework.
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namespace {
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double externalAverage(const std::vector<double>& v) {
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boost::accumulators::accumulator_set<double, boost::accumulators::stats<boost::accumulators::tag::mean>> acc;
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for (auto const& x : v)
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acc(x);
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return boost::accumulators::mean(acc);
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}
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struct S0 {
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std::size_t randomVariableOpCode;
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std::vector<std::size_t> args;
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std::vector<bool> vb;
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};
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void runBacktest(const std::string &d, const std::size_t id, const std::vector<S0>& v0, double expected) {
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BOOST_TEST_MESSAGE("testing backtest iteration on device '" << d << "'.");
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ComputeEnvironment::instance().selectContext(d);
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const std::size_t n = 10000;
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std::size_t externalCalculationId_ = 0;
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std::size_t cgVersion_ = 1;
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bool newExternalCalc = false;
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std::tie(externalCalculationId_, newExternalCalc) =
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ComputeEnvironment::instance().context().initiateCalculation(n, externalCalculationId_, cgVersion_);
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constexpr double max = std::numeric_limits<float>::max();
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std::vector<double> v1 = {
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-56340, -39240, -37560, -37380, -35460, -30960, -26220, -26160, -24920, -24060, -22820,
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-22680, -20640, -18780, -18540, -17480, -16680, -15960, -15380, -15120, -14100, -13380,
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-13140, -13080, -13020, -12460, -11120, -10640, -10320, -9480, -9400, -9020, -8920,
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-8760, -8740, -8540, -7560, -7300, -7260, -6820, -6320, -5560, -5320, -4820,
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-4700, -4460, -4380, -3160, -2, -1, -0.0939, -0.0654, -0.0623, -0.0516, -0.0437,
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-0.0378, -0.0278, -0.0266, -0.0235, -0.0223, -0.0219, -0.0158, 0, 0.003, 0.0075, 0.5,
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0.8434, 0.8719, 0.875, 0.8857, 0.8936, 0.8995, 0.9095, 0.9107, 0.9138, 0.915, 0.9154,
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0.9215, 0.9373, 0.9403, 0.9448, 1, 2, 3, 15, 30, 600, 1200,
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1500, 2100, 3000, 30000, 187460, 200000, 400000, max, 0.0242777, 0.000589407, 0.99513,
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0.998575, -0.172332, 0.998575};
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for (const auto& x : v1)
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ComputeEnvironment::instance().context().createInputVariable(x);
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std::vector<std::vector<std::size_t>> rv = {{11}};
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auto gen = ComputeEnvironment::instance().context().createInputVariates(rv.size(), rv.front().size(), 42);
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for (const auto& s : v0) {
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ComputeEnvironment::instance().context().applyOperation(s.randomVariableOpCode, s.args);
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int i = 0;
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for (const auto& b : s.vb) {
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if (b)
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ComputeEnvironment::instance().context().freeVariable(s.args[i]);
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i++;
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}
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}
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ComputeEnvironment::instance().context().declareOutputVariable(id);
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std::vector<std::vector<double>> externalOutput_ = std::vector<std::vector<double>>(1, std::vector<double>(n));
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std::vector<double*> externalOutputPtr_ = std::vector<double*>(1, &externalOutput_.front()[0]);
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std::size_t regressionOrder = 2;
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ComputeEnvironment::instance().context().finalizeCalculation(externalOutputPtr_, {regressionOrder});
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auto baseNpv_ = externalAverage(externalOutput_[0]);
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BOOST_CHECK_CLOSE(baseNpv_, expected, 1E-3);
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}
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} // namespace
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BOOST_AUTO_TEST_CASE(testBacktest) {
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ComputeEnvironmentFixture fixture;
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std::size_t id;
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double expected;
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std::vector<S0> v;
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for (auto const& d : ComputeEnvironment::instance().getAvailableDevices()) {
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if (d == "BasicCpu/Default/Default") {
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id = 78;
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expected = -39400;
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v = {
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{5, {99, 98}, {false, false}},
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{4, {65, 97}, {true, false}},
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{15, {103}, {true}},
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{3, {65}, {true}},
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{2, {103, 104}, {true, true}},
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{13, {100}, {false}},
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{4, {96, 102}, {false, true}},
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{1, {100, 103}, {false, true}},
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{1, {105, 65}, {true, true}},
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{13, {103}, {true}},
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{8, {65, 62}, {false, false}},
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{8, {65, 78}, {false, false}},
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{2, {81, 105}, {false, true}},
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{4, {103, 106}, {true, true}},
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{2, {65, 78}, {false, false}},
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{4, {94, 106}, {true, true}},
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{4, {105, 103}, {false, true}},
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{2, {81, 105}, {false, true}},
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{8, {65, 78}, {false, false}},
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{8, {65, 95}, {false, true}},
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{2, {81, 94}, {false, true}},
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{4, {105, 95}, {true, true}},
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{2, {65, 78}, {true, true}},
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{4, {93, 95}, {true, true}},
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{1, {106, 78}, {false, true}},
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{4, {94, 95}, {false, true}},
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{2, {81, 94}, {false, true}},
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{4, {95, 106}, {true, true}},
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{1, {78, 94}, {true, true}},
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{9, {106, 62}, {false, true}},
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{1, {89, 106}, {false, false}},
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{4, {94, 62}, {false, true}},
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{2, {81, 94}, {false, false}},
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{4, {62, 89}, {true, true}},
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{1, {78, 95}, {true, true}},
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{4, {94, 83}, {false, true}},
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{2, {81, 94}, {false, true}},
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{4, {83, 82}, {true, true}},
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{1, {95, 94}, {true, true}},
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{9, {89, 91}, {true, true}},
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{2, {81, 94}, {false, false}},
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{2, {81, 94}, {false, false}},
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{5, {81, 101}, {false, false}},
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{5, {81, 95}, {false, true}},
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{4, {106, 83}, {false, false}},
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{4, {94, 95}, {false, true}},
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{2, {81, 94}, {false, false}},
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{2, {81, 94}, {false, true}},
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{4, {106, 83}, {true, true}},
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{1, {78, 94}, {false, true}},
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{4, {62, 83}, {false, true}},
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{2, {81, 62}, {true, true}},
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{4, {83, 78}, {true, true}},
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{1, {94, 62}, {true, true}},
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};
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} else {
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id = 111;
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expected = -39438;
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v = {
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{5, {99, 98}, {false, false}},
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{4, {65, 97}, {true, false}},
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{15, {103}, {true}},
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{3, {105}, {true}},
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{2, {103, 104}, {true, true}},
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{13, {100}, {false}},
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{4, {96, 102}, {false, true}},
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{1, {100, 103}, {false, true}},
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{1, {102, 105}, {true, true}},
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{13, {103}, {true}},
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{8, {105, 62}, {false, false}},
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{8, {105, 78}, {false, false}},
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{2, {81, 102}, {false, true}},
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{4, {103, 106}, {true, true}},
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{2, {105, 78}, {false, false}},
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{4, {94, 106}, {true, true}},
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{4, {102, 103}, {false, true}},
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{2, {81, 102}, {false, true}},
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{8, {105, 78}, {false, false}},
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{8, {105, 95}, {false, true}},
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{2, {81, 107}, {false, true}},
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{4, {102, 108}, {true, true}},
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{2, {105, 78}, {true, true}},
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{4, {93, 108}, {true, true}},
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{1, {106, 105}, {false, true}},
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{4, {107, 108}, {false, true}},
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{2, {81, 107}, {false, true}},
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{4, {108, 106}, {true, true}},
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{1, {105, 107}, {true, true}},
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{9, {106, 62}, {false, true}},
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{1, {89, 106}, {false, false}},
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{4, {107, 105}, {false, true}},
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{2, {81, 107}, {false, false}},
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{4, {105, 89}, {true, true}},
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{1, {108, 102}, {true, true}},
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{4, {107, 83}, {false, true}},
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{2, {81, 107}, {false, true}},
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{4, {108, 82}, {true, true}},
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{1, {102, 107}, {true, true}},
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{9, {105, 91}, {true, true}},
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{2, {81, 107}, {false, false}},
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{2, {81, 107}, {false, false}},
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{5, {81, 101}, {false, false}},
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{5, {81, 109}, {false, true}},
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{4, {106, 110}, {false, false}},
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{4, {107, 109}, {false, true}},
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{2, {81, 107}, {false, false}},
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{2, {81, 107}, {false, true}},
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{4, {106, 110}, {true, true}},
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{1, {111, 107}, {false, true}},
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{4, {112, 110}, {false, true}},
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{2, {81, 112}, {true, true}},
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{4, {110, 111}, {true, true}},
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{1, {107, 112}, {true, true}},
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};
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}
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runBacktest(d, id, v, expected);
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}
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}
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BOOST_AUTO_TEST_SUITE_END()
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BOOST_AUTO_TEST_SUITE_END()

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