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NathanielVolfangojenkins
NathanielVolfango
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QPR-12190 -- Change ValuationEngine progress numbers from nThreads * nScenarios to nTrades * nScenarios
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‎Examples/Example_41/ExpectedOutput/log_progress.json‎

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{ "@timestamp": "2024-01-08T09:05:45.227539", "key": "Running XVA Analytic", "progress": 0, "total": 1 }
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{ "@timestamp": "2024-01-08T09:05:45.235627", "key": "XVA: Build Today's Market", "progress": 0, "total": 1 }
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{ "@timestamp": "2024-01-08T09:05:45.744550", "key": "XVA: Build Today's Market", "progress": 1, "total": 1 }
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{ "@timestamp": "2024-01-08T09:05:46.924022", "key": "XVA: Build Portfolio", "progress": 0, "total": 1 }
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{ "@timestamp": "2024-01-08T09:05:46.974646", "key": "XVA: Build Portfolio", "progress": 1, "total": 1 }
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{ "@timestamp": "2024-01-08T09:06:06.212893", "key": "XVA: Building cube", "progress": 0, "total": 4000 }
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{ "@timestamp": "2024-01-08T09:06:06.419105", "key": "XVA: Building cube", "progress": 80, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:06.585721", "key": "XVA: Building cube", "progress": 160, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:06.754242", "key": "XVA: Building cube", "progress": 240, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:06.927262", "key": "XVA: Building cube", "progress": 320, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:07.097735", "key": "XVA: Building cube", "progress": 400, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:07.265772", "key": "XVA: Building cube", "progress": 480, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:07.430928", "key": "XVA: Building cube", "progress": 560, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:07.593224", "key": "XVA: Building cube", "progress": 640, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:07.756003", "key": "XVA: Building cube", "progress": 720, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:07.927882", "key": "XVA: Building cube", "progress": 800, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:08.092857", "key": "XVA: Building cube", "progress": 880, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:08.260418", "key": "XVA: Building cube", "progress": 960, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:08.429036", "key": "XVA: Building cube", "progress": 1040, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:08.599520", "key": "XVA: Building cube", "progress": 1120, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:08.785611", "key": "XVA: Building cube", "progress": 1200, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:08.948994", "key": "XVA: Building cube", "progress": 1280, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:09.111624", "key": "XVA: Building cube", "progress": 1360, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:09.273997", "key": "XVA: Building cube", "progress": 1440, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:09.438296", "key": "XVA: Building cube", "progress": 1520, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:09.603267", "key": "XVA: Building cube", "progress": 1600, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:09.767964", "key": "XVA: Building cube", "progress": 1680, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:09.934558", "key": "XVA: Building cube", "progress": 1760, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:10.103993", "key": "XVA: Building cube", "progress": 1840, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:10.270963", "key": "XVA: Building cube", "progress": 1920, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:10.434183", "key": "XVA: Building cube", "progress": 2000, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:10.603801", "key": "XVA: Building cube", "progress": 2080, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:10.767197", "key": "XVA: Building cube", "progress": 2160, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:10.934839", "key": "XVA: Building cube", "progress": 2240, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:11.106440", "key": "XVA: Building cube", "progress": 2320, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:11.262409", "key": "XVA: Building cube", "progress": 2400, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:11.423983", "key": "XVA: Building cube", "progress": 2480, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:11.586912", "key": "XVA: Building cube", "progress": 2560, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:11.760696", "key": "XVA: Building cube", "progress": 2640, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:11.924006", "key": "XVA: Building cube", "progress": 2720, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:12.087112", "key": "XVA: Building cube", "progress": 2800, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:12.259757", "key": "XVA: Building cube", "progress": 2880, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:12.423001", "key": "XVA: Building cube", "progress": 2960, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:12.607189", "key": "XVA: Building cube", "progress": 3040, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:12.769153", "key": "XVA: Building cube", "progress": 3120, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:12.945982", "key": "XVA: Building cube", "progress": 3200, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:13.110941", "key": "XVA: Building cube", "progress": 3280, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:13.283525", "key": "XVA: Building cube", "progress": 3360, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:13.469345", "key": "XVA: Building cube", "progress": 3440, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:13.639874", "key": "XVA: Building cube", "progress": 3520, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:13.802583", "key": "XVA: Building cube", "progress": 3600, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:13.959584", "key": "XVA: Building cube", "progress": 3680, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:14.123947", "key": "XVA: Building cube", "progress": 3760, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:14.294192", "key": "XVA: Building cube", "progress": 3840, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:14.455389", "key": "XVA: Building cube", "progress": 3920, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:14.638877", "key": "XVA: Building cube", "progress": 4000, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:14.802060", "key": "XVA: Building cube", "progress": 4080, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:14.964454", "key": "XVA: Building cube", "progress": 4160, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:15.127957", "key": "XVA: Building cube", "progress": 4240, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:15.290648", "key": "XVA: Building cube", "progress": 4320, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:15.459997", "key": "XVA: Building cube", "progress": 4400, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:15.626239", "key": "XVA: Building cube", "progress": 4480, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:15.791702", "key": "XVA: Building cube", "progress": 4560, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:15.959357", "key": "XVA: Building cube", "progress": 4640, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:16.131004", "key": "XVA: Building cube", "progress": 4720, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:16.292010", "key": "XVA: Building cube", "progress": 4800, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:16.466773", "key": "XVA: Building cube", "progress": 4880, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:16.638950", "key": "XVA: Building cube", "progress": 4960, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:16.803467", "key": "XVA: Building cube", "progress": 5040, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:16.969525", "key": "XVA: Building cube", "progress": 5120, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:17.133563", "key": "XVA: Building cube", "progress": 5200, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:17.301086", "key": "XVA: Building cube", "progress": 5280, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:17.467484", "key": "XVA: Building cube", "progress": 5360, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:17.634711", "key": "XVA: Building cube", "progress": 5440, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:17.799469", "key": "XVA: Building cube", "progress": 5520, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:17.961472", "key": "XVA: Building cube", "progress": 5600, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:18.125814", "key": "XVA: Building cube", "progress": 5680, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:18.300831", "key": "XVA: Building cube", "progress": 5760, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:18.463519", "key": "XVA: Building cube", "progress": 5840, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:18.625530", "key": "XVA: Building cube", "progress": 5920, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:18.792499", "key": "XVA: Building cube", "progress": 6000, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:18.956494", "key": "XVA: Building cube", "progress": 6080, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:19.128495", "key": "XVA: Building cube", "progress": 6160, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:19.303850", "key": "XVA: Building cube", "progress": 6240, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:19.466049", "key": "XVA: Building cube", "progress": 6320, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:19.629839", "key": "XVA: Building cube", "progress": 6400, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:19.795746", "key": "XVA: Building cube", "progress": 6480, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:19.962355", "key": "XVA: Building cube", "progress": 6560, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:20.126194", "key": "XVA: Building cube", "progress": 6640, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:20.292200", "key": "XVA: Building cube", "progress": 6720, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:20.456298", "key": "XVA: Building cube", "progress": 6800, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:20.624694", "key": "XVA: Building cube", "progress": 6880, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:20.801441", "key": "XVA: Building cube", "progress": 6960, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:20.964368", "key": "XVA: Building cube", "progress": 7040, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:21.127694", "key": "XVA: Building cube", "progress": 7120, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:21.290805", "key": "XVA: Building cube", "progress": 7200, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:21.456906", "key": "XVA: Building cube", "progress": 7280, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:21.628845", "key": "XVA: Building cube", "progress": 7360, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:21.795674", "key": "XVA: Building cube", "progress": 7440, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:21.955681", "key": "XVA: Building cube", "progress": 7520, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:22.118116", "key": "XVA: Building cube", "progress": 7600, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:22.285424", "key": "XVA: Building cube", "progress": 7680, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:22.453902", "key": "XVA: Building cube", "progress": 7760, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:22.617880", "key": "XVA: Building cube", "progress": 7840, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:22.777885", "key": "XVA: Building cube", "progress": 7920, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:22.938593", "key": "XVA: Building cube", "progress": 8000, "total": 8000 }
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{ "@timestamp": "2024-01-08T09:06:24.391321", "key": "XVA: Aggregation", "progress": 0, "total": 1 }
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{ "@timestamp": "2024-01-08T09:06:24.867227", "key": "XVA: Aggregation", "progress": 1, "total": 1 }
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{ "@timestamp": "2024-01-08T09:06:24.869253", "key": "XVA: Reports", "progress": 0, "total": 1 }
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{ "@timestamp": "2024-01-08T09:06:24.924618", "key": "XVA: Reports", "progress": 1, "total": 1 }
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{ "@timestamp": "2024-01-08T09:06:24.926582", "key": "Running XVA Analytic", "progress": 1, "total": 1 }

‎OREAnalytics/orea/engine/valuationengine.cpp‎

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Original file line numberDiff line numberDiff line change
@@ -171,13 +171,13 @@ void ValuationEngine::buildCube(const boost::shared_ptr<data::Portfolio>& portfo
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cpu_timer timer;
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cpu_timer loopTimer;
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Size nTrades = trades.size();
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// We call Cube::samples() each time her to allow for dynamic stopping times
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// We call Cube::samples() each time here to allow for dynamic stopping times
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// e.g. MC convergence tests
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for (Size sample = 0; sample < (dryRun ? std::min<Size>(1, outputCube->samples()) : outputCube->samples());
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++sample) {
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TLOG("ValuationEngine: apply scenario sample #" << sample);
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updateProgress(sample, outputCube->samples());
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for (auto& [tradeId, trade] : portfolio->trades())
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trade->instrument()->reset();
@@ -260,7 +260,7 @@ void ValuationEngine::buildCube(const boost::shared_ptr<data::Portfolio>& portfo
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}
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}
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updateProgress(outputCube->samples(), outputCube->samples());
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updateProgress(outputCube->samples() * nTrades, outputCube->samples() * nTrades);
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loopTimer.stop();
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LOG("ValuationEngine completed: loop " << setprecision(2) << loopTimer.format(2, "%w") << " sec, "
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<< "pricing " << pricingTime << " sec, "

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