Merge branch 'master' into ore_master_into_ore-github

Author: pcaspers

.gitmodules

@@ -1,5 +1,5 @@
 [submodule "QuantLib"]
 	path = QuantLib
-	url = https://github.com/OpenSourceRisk/QuantLib.git
+	url = git@gitlab.acadiasoft.net:qs/quantlib.git
 	branch = master
 	ignore = dirty

App/ore.cpp

@@ -27,7 +27,7 @@
 
 #include <orea/app/oreapp.hpp>
 
-#include <ored/utilities/initbuilders.hpp>
+#include <orea/app/initbuilders.hpp>
 
 #include <qle/version.hpp>
 
@@ -71,12 +71,12 @@ int main(int argc, char** argv) {
         return -1;
     }
 
-    ore::data::initBuilders();
+    ore::analytics::initBuilders();
 
     string inputFile(argv[1]);
 
     try {
-        auto params = boost::make_shared<Parameters>();
+        auto params = QuantLib::ext::make_shared<Parameters>();
         params->fromFile(inputFile);
         OREApp ore(params, true);
         ore.run();

Docker/.env

@@ -3,7 +3,7 @@ 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=1.31.1_0fd143ce3
+QL_TAG=1.31.1_f8955cf0
 ORE_TAG=latest
 
 # debug or release

Docs/AMC/amc.tex

@@ -113,6 +113,7 @@ \section*{Document Change History}
 \hline
 na & 25 February 2019  & Peter Caspers & initial version\\
 na & 23 October 2023 & Peter Caspers & add parameter RegressorModel\\
+na & 4 April 2024 & Peter Caspers & add parameter RegressionVarianceCutoff\\
 \hline
 \end{supertabular}
 \end{center}
@@ -247,6 +248,7 @@ \subsection{Pricing Engine Configuration}\label{sec:pricing_engine_config}
     <Parameter name="SobolDirectionIntegers">JoeKuoD7</Parameter>
     <Parameter name="MinObsDate">true</Parameter>
     <Parameter name="RegressorModel">Simple</Parameter>
+    <Parameter name="RegressionVarianceCutoff">1E-5</Parameter>
   </EngineParameters>
 </Product>
 \end{minted}
@@ -286,6 +288,9 @@ \subsection{Pricing Engine Configuration}\label{sec:pricing_engine_config}
       addition, past FX states that are relevant for future cashflows are included. For example, for a FX resettable
       cashflow the FX state observed on the FX reset date is included.
   \end{itemize}
+\item \verb+RegressionVarianceCutoff+: Optional. If given, a coordinate transform and (possibly) a factor reduction is
+  applied to the regressors, such that $1-\epsilon$ of the total variance of regressors is kept, where $\epsilon$ the
+  given parameter. This helps dealing with collinearity and also reducing the dimnensionality of the regression model.
 \end{enumerate}
 
 \begin{table}[hbt]

Docs/ComputeEnvironment/computeenvironment.tex

@@ -89,6 +89,7 @@ \section*{Document History}
 Date & Author & Comment \\
 \hline
 19 June 2023 & Acadia & initial release\\
+15 April 2024 & Acadia & refactor context settings, add supportsDoublePrecision()\\
 \hline
 \end{supertabular}
 \end{flushleft}
@@ -222,7 +223,7 @@ \subsection{Implementation of the ComputeFramework interface}\label{implComputeF
   Notice that the same device can appear under several frameworks, e.g. a GPU could be accessed both via an OpenCL
   driver or via a CUDA driver.
 \item \verb+getContext()+ should return a raw pointer to a \verb+ComputeContext+ implementation for a given device label
-  or throw an erro if the device label is not valid. See \ref{implComputeContext} for more details.
+  or throw an error if the device label is not valid. See \ref{implComputeContext} for more details.
 \item \verb+Destructor+ The destructor of \verb+ComputeFramework+ is virtual and has an empty default implementation. It
   can be override in implementations to free ressources. For example, the \verb+OpenClFramework+ implementation stores
   raw pointers for each compute contexts that need to be deleted on destruction of the \verb+OpenClFramework+ instance.
@@ -251,9 +252,19 @@ \subsection{Implementation of the ComputeContext interface}\label{implComputeCon
     previous calculation. In this case only the input variables and random variates (see below) need to be set to
     retrieve the results of the calculation calling \verb+finalizeCalculation()+. If \verb+id+ is \verb+0+ on the other
     hand, a new calculation \verb+id+ will be generated and returned.
-  \item \verb+version+: The version of a calculation.
-  \item \verb+debug+: A flag indicating whether debug information on the number of performed operations and timings for
-    data copying, kernel building and calculations should be collected.
+  \item \verb+version+: The version of a calculation. This is a freely choosable integer, which is only used to identify
+    different versions. Usually the first version of a calculation will be $0$, then next $1$, etc.
+  \item \verb+Settings+: A struct summarizing settings for the compute environment:
+    \begin{itemize}
+      \item debug: a flag indicating whether debug information on the number of performed operations and timings for
+    data copying, kernel building and calculations should be collected. Defaults to false.
+      \item useDoublePrecision: a flag indicating whether double precision should be used for calculations. Defaults to
+        false.
+      \item rngSequenceType: the sequence type for random number generation. One of MersenneTwister,
+        MersenneTwisterAntithetic, Sobol, Burley2020Sobol, SobolBrownianBridge, Burley2020SobolBrownianBridge
+      \item seed: the seed for the random number generator
+      \item regressionOrder: the regression order to be used within regression models
+    \end{itemize}
   \end{itemize}
   The output parameter is a pair consisting of
   \begin{itemize}
@@ -268,19 +279,19 @@ \subsection{Implementation of the ComputeContext interface}\label{implComputeCon
   \begin{itemize}
   \item \verb+dim+ the dimension (typically the number of assets in a MC simulation)
   \item \verb+steps+ the number of steps (typically the number of time steps in a MC simulation)
-  \item \verb+seed+ the seed of the random number generation, equal seeds must generate identical variates, different
-    seeds might or might not generate different variates
   \end{itemize}
   The output parameter is a vector of a vector of ids for the generated variates. The inner vector loops of the steps,
   the outer vector over the dimensions.
 \item \verb+applyOperation()+: apply an operation to a list of arguments and return the id of the result. The list of
   operations is described in \ref{randomVariableOpCodes}
 \item \verb+freeVariable()+: indicate that the variable with the given id will no longer be referenced in subsequent
   calculations. The variable id can be reused as a new variable.
-\item \verb+declareOutputVariable()+: declare a variable with given id as part of the output vector
+\item \verb+declareOutputVariable()+: declare a variable with given id as part of the output vector.
 \item \verb+finalizeCalculation()+: execute the calculation and populate the given vector of vector of floats with the
   result. The inner vector is given as a raw pointer and must have the size of the calculation. The outer vector matches
   the output variables in the order they were declared before.
+\item \verb+deviceInfo()+: provide key-value pairs that describes the device, only used for information purposes
+\item \verb+supportsDoublePreicions()+: should return true if doule precision is supported, otherwise false
 \item \verb+debugInfo()+: provide info on the number of elementary operations and timings on data copying, program build
   and calculations. This info is collected if a new calculation is started with flag debug set to true
 \end{itemize}
@@ -289,12 +300,17 @@ \subsection{Implementation of the ComputeContext interface}\label{implComputeCon
 
 \begin{enumerate}
 \item \verb+initiateCalculation()+: once
-\item \verb+createInputVariable()+: never, once, or several times
-\item \verb+createInputVariates()+: never, once, or several times
-\item \verb+applyOperation()+: only called if the current calculation is not replayed from a previous calculation, then can be called never, once, or several times
-\item \verb+freeVariable()+: only called if the current calculation is not replayed, then can be called never, once, or several times
-\item \verb+declareOutputVariable()+: only called if the current calculation is not replayed, then can be called never, once, or several times
-\item \verb+finalizeCalculation()+: never or once
+\item \verb+createInputVariable()+: never, once, or several times, if a calc is replayed, the same number and type of
+  input variables must be created (just with possibly different values)
+\item \verb+createInputVariates()+: called if the current calculation is not replayed from a previous calculation, then
+  can be called never, once or several times
+\item \verb+applyOperation()+: only called if the current calculation is not replayed from a previous calculation, then
+  can be called never, once, or several times
+\item \verb+freeVariable()+: only called if the current calculation is not replayed, then can be called never, once, or
+  several times
+\item \verb+declareOutputVariable()+: only called if the current calculation is not replayed, then can be called never,
+  once, or several times
+\item \verb+finalizeCalculation()+: once
 \end{enumerate}
 
 \subsection{Random Variable Op Codes}\label{randomVariableOpCodes}
@@ -373,7 +389,7 @@ \subsection{Initiation of a calculation}
 \begin{minted}[fontsize=\footnotesize]{xml}
  std::tie(externalCalculationId_, newExternalCalc) =
    ComputeEnvironment::instance().context()
-       .initiateCalculation(model_->size(), externalCalculationId_, cgVersion_);
+       .initiateCalculation(model_->size(), externalCalculationId_, cgVersion_, settings);
 \end{minted}
 
 providing
@@ -384,6 +400,8 @@ \subsection{Initiation of a calculation}
   to get a new id and for subsequent calculations of the same trade this id is reused
 \item \verb+cgVersion_+: a version number (initially zero). The version is incremented whenever a repricing requires a
   different sequence of operations to be performed, which is the case when the evaluation date changes
+\item \verb+settings+: the settings to be used, see \ref{implComputeFramework} for details. Notice that for a replayed
+  calculation the settings must match the ones from the initial calculation.
 \end{itemize}
 
 and retrieving the external calc id and a flag indicating whether the calculation requires a resubmission of an
@@ -417,16 +435,17 @@ \subsection{Populating the input variables}
 
 \subsection{Populating the input variates}
 
-The next step is the creating of random variates
+The next step is the creating of random variates (if this is a new calculation and not replayed):
 
 \begin{minted}[fontsize=\footnotesize]{xml}
-auto gen = ComputeEnvironment::instance().context()
-                                  .createInputVariates(rv.size(),
-                                                       rv.front().size(),
-                                                       42);
-for (Size k = 0; k < rv.size(); ++k) {
-  for (Size j = 0; j < rv.front().size(); ++j)
-      valuesExternal[rv[k][j]] = ExternalRandomVariable(gen[k][j]);
+if (useExternalComputeFramework_ && newExternalCalc) {
+    auto gen =
+        ComputeEnvironment::instance().context().
+                   createInputVariates(rv.size(), rv.front().size());
+    for (Size k = 0; k < rv.size(); ++k) {
+        for (Size j = 0; j < rv.front().size(); ++j)
+            valuesExternal[rv[k][j]] = ExternalRandomVariable(gen[k][j]);
+    }
 }
 \end{minted}