Merge branch 'github_maintenance' into 'master'

Github maintenance

See merge request qs/ore-github!8

Author: pcaspers

Docker/.env

@@ -1,18 +1,18 @@
 DEBIAN_TAG=11.7
-#
+
 # it's recommended to include CMAKE_BUILD_TYPE and BOOST_VARIANT in QL_TAG, ORE_TAG, BOOST_TAG
 # to distinguish a release build from a debug build
-#
+
 QL_TAG=1.30_00d2fced87
 ORE_TAG=latest
 BOOST_TAG=1.78.0
 BOOST_DIR=1_78_0
-#
+
 # debug or release
-#
+
 BOOST_VARIANT=release
-#
+
 # Release, RelWithDebInfo, Debug
-#
+
 CMAKE_BUILD_TYPE=Release
 NUM_CORES=16

Docker/Dockerfile-ORE

@@ -28,7 +28,7 @@ RUN cd /ore \
   && find -regex ".*\.\(sh\|in\|ac\|am\)" -exec dos2unix {} ';' \
   && cp Docker/CMakeLists_ORE.txt CMakeLists.txt \
   && mkdir -p build.ore && cd build.ore \
-  && cmake .. -DORE_BUILD_DOC=ON -DCMAKE_BUILD_TYPE=${cmake_build_type} -DCMAKE_CXX_FLAGS="-mavx2" -DORE_ENABLE_PARALLEL_UNIT_TEST_RUNNER=ON -DORE_USE_ZLIB=ON
+  && cmake .. -DORE_BUILD_DOC=ON -DCMAKE_BUILD_TYPE=${cmake_build_type} -DCMAKE_CXX_FLAGS="-mavx2" -DORE_ENABLE_PARALLEL_UNIT_TEST_RUNNER=ON -DORE_USE_ZLIB=ON -D ORE_ENABLE_OPENCL=ON
 
 WORKDIR /ore/build.ore
 RUN --mount=type=cache,target=/ccache/ make -j ${num_cores} \

Docker/Dockerfile-multistage

@@ -0,0 +1,58 @@
+ARG debian_tag
+
+# ore build
+
+FROM debian:${debian_tag} as orebuild
+
+ARG num_cores
+ARG cmake_build_type
+
+COPY CMakeLists.txt /ore/CMakeLists.txt
+COPY .clang-format /ore/.clang-format
+COPY .gitignore /ore/.gitignore
+COPY CMakePresets.json /ore/CMakePresets.json
+COPY News.txt /ore/News.txt
+COPY README.md /ore/README.md
+COPY license.txt /ore/license.txt
+COPY licenseheader.txt /ore/licenseheader.txt
+COPY ore.props /ore/ore.props
+COPY runCmakeVS.cmd /ore/runCmakeVS.cmd
+COPY QuantLib /ore/QuantLib
+COPY QuantExt /ore/QuantExt
+COPY OREData /ore/OREData
+COPY OREAnalytics /ore/OREAnalytics
+COPY App /ore/App
+COPY ThirdPartyLibs /ore/ThirdPartyLibs
+COPY ORETest /ore/ORETest
+COPY cmake /ore/cmake
+COPY Docker /ore/Docker
+COPY Docs ore/Docs
+COPY Examples ore/Examples
+COPY Tools ore/Tools
+COPY xsd ore/xsd
+
+RUN apt-get update && apt-get upgrade -y \
+ && apt-get install -f -y build-essential libbz2-dev cmake ninja-build zlib1g-dev libboost-all-dev opencl-headers ocl-icd-opencl-dev
+
+RUN cd / \
+  && mkdir -p build_ore && cd build_ore \
+  && cmake /ore -GNinja -DCMAKE_BUILD_TYPE=${cmake_build_type} -DORE_BUILD_DOC=OFF -DORE_USE_ZLIB=ON -DQL_ENABLE_SESSIONS=ON -DORE_ENABLE_OPENCL=ON
+
+RUN cd /build_ore \
+  && cmake --build . -- -j${num_cores} install
+
+RUN ldconfig
+
+# ore
+
+FROM debian:${debian_tag} as ore
+
+COPY --from=orebuild /usr/local/include /usr/local/include
+COPY --from=orebuild /usr/local/lib/ /usr/local/lib
+COPY --from=orebuild /usr/local/bin/ /usr/local/bin
+COPY --from=orebuild /ore /ore
+COPY --from=orebuild /usr/lib/x86_64-linux-gnu /usr/lib/x86_64-linux-gnu
+
+RUN ldconfig
+
+CMD bash

Docker/DockerfileRunORE-multistage.sh

@@ -0,0 +1,2 @@
+#!/bin/sh
+docker-compose --env-file Docker/.env -f Docker/docker-compose-multistage.yml build

Docker/docker-compose-multistage.yml

@@ -0,0 +1,12 @@
+version: '3'
+
+services:
+  ore_app:
+    image: ore_app:${ORE_TAG}
+    build:
+      context: ../
+      dockerfile: Docker/Dockerfile-multistage
+      args:
+        - debian_tag=${DEBIAN_TAG}
+        - num_cores=${NUM_CORES}
+        - cmake_build_type=${CMAKE_BUILD_TYPE}

Docs/UserGuide/allowablevalues.tex

@@ -46,6 +46,7 @@ \subsection{Allowable Values}
  \emph{P, Preceding, PRECEDING}\\ 
  \emph{MP, ModifiedPreceding, Modified Preceding, MODIFIEDP}\\ 
  \emph{U, Unadjusted, INDIFF } \\
+ \emph{HMMF, HalfMonthModifiedFollowing, HalfMonthMF, Half Month Modified Following, HALFMONTHMF}\\
  \emph{NEAREST } (takes future date in case of equal distance) } \\ \hline
   \caption{Allowable Values for Roll Conventions}
   \label{tab:convention}

OREAnalytics/orea/app/analytics/pricinganalytic.cpp

@@ -226,6 +226,14 @@ void PricingAnalyticImpl::runAnalytic(
                                      inputs_->sensiThreshold());
             analytic()->reports()[type]["sensitivity_scenario"] = scenarioReport;
 
+            auto simmSensitivityConfigReport = boost::make_shared<InMemoryReport>();
+            ReportWriter(inputs_->reportNaString())
+                .writeSensitivityConfigReport(*simmSensitivityConfigReport,
+                                              sensiAnalysis->scenarioGenerator()->shiftSizes(),
+                                              sensiAnalysis->scenarioGenerator()->baseValues(),
+                                              sensiAnalysis->scenarioGenerator()->keyToFactor());
+            analytic()->reports()[type]["sensitivity_config"] = simmSensitivityConfigReport;
+
             if (inputs_->parSensi()) {
                 LOG("Sensi analysis - par conversion");
                 parAnalysis->computeParInstrumentSensitivities(sensiAnalysis->simMarket());

OREAnalytics/orea/app/oreapp.hpp

@@ -75,6 +75,10 @@ class OREApp {
 
     //! time for executing run(...) in seconds
     Real getRunTime();
+
+    std::string version() {
+        return std::string(OPEN_SOURCE_RISK_VERSION);
+    }
 
 protected:
     virtual void analytics();

OREAnalytics/orea/engine/parsensitivityanalysis.cpp

@@ -738,6 +738,12 @@ void ParSensitivityAnalysis::computeParInstrumentSensitivities(const boost::shar
     boost::shared_ptr<ShiftScenarioGenerator> scenarioGenerator = 
         boost::dynamic_pointer_cast<ShiftScenarioGenerator>(simMarketScenGen);
 
+    struct SimMarketResetter {
+        SimMarketResetter(boost::shared_ptr<SimMarket> simMarket) : simMarket_(simMarket) {}
+        ~SimMarketResetter() { simMarket_->reset(); }
+        boost::shared_ptr<SimMarket> simMarket_;
+    } simMarketResetter(simMarket);
+
     simMarket->reset();
     scenarioGenerator->reset();
     simMarket->update(asof_);

OREAnalytics/orea/engine/valuationengine.cpp

@@ -68,6 +68,12 @@ void ValuationEngine::buildCube(const boost::shared_ptr<data::Portfolio>& portfo
                                 boost::shared_ptr<analytics::NPVCube> outputCptyCube,
                                 vector<boost::shared_ptr<CounterpartyCalculator>> cptyCalculators, bool dryRun) {
 
+    struct SimMarketResetter {
+        SimMarketResetter(boost::shared_ptr<SimMarket> simMarket) : simMarket_(simMarket) {}
+        ~SimMarketResetter() { simMarket_->reset(); }
+        boost::shared_ptr<SimMarket> simMarket_;
+    } simMarketResetter(simMarket_);
+
     LOG("Build cube with mporStickyDate=" << mporStickyDate << ", dryRun=" << std::boolalpha << dryRun);
 
     QL_REQUIRE(portfolio->size() > 0, "ValuationEngine: Error portfolio is empty");
@@ -265,7 +271,6 @@ void ValuationEngine::buildCube(const boost::shared_ptr<data::Portfolio>& portfo
         }
     }
 
-    simMarket_->reset();
     updateProgress(outputCube->samples(), outputCube->samples());
     loopTimer.stop();
     LOG("ValuationEngine completed: loop " << setprecision(2) << loopTimer.format(2, "%w") << " sec, "