QPR-12028 random variates do not need to be variables

Author: pcaspers

OREData/ored/scripting/models/gaussiancamcg.cpp

@@ -217,8 +217,7 @@ void GaussianCamCG::performCalculations() const {
                                                             std::vector<std::size_t>(timeGrid_.size() - 1));
     for (Size j = 0; j < cam_->brownians() + cam_->auxBrownians(); ++j) {
         for (Size i = 0; i < timeGrid_.size() - 1; ++i) {
-            randomVariates_[j][i] = cg_var(*g_, "__rv_" + std::to_string(j) + "_" + std::to_string(i),
-                                           ComputationGraph::VarDoesntExist::Create);
+            randomVariates_[j][i] = cg_insert(*g_);
         }
     }
 
@@ -251,7 +250,7 @@ void GaussianCamCG::performCalculations() const {
 
     std::size_t dateIndex = 1;
     for (Size i = 0; i < timeGrid_.size() - 1; ++i) {
-        irState = cg_add(*g_, irState, cg_mult(*g_, diffusion[i], cg_var(*g_, "__rv_0_" + std::to_string(i))));
+        irState = cg_add(*g_, irState, cg_mult(*g_, diffusion[i], randomVariates_[0][i]));
         if (positionInTimeGrid_[dateIndex] == i + 1) {
             irStates_[*std::next(effectiveSimulationDates_.begin(), dateIndex)][0] = irState;
             ++dateIndex;

QuantExt/qle/ad/computationgraph.cpp

@@ -186,6 +186,8 @@ double ComputationGraph::constantValue(const std::size_t node) const { return co
 
 std::size_t cg_const(ComputationGraph& g, const double value) { return g.constant(value); }
 
+std::size_t cg_insert(ComputationGraph& g, const std::string& label) { return g.insert(label); }
+
 std::size_t cg_var(ComputationGraph& g, const std::string& name, const ComputationGraph::VarDoesntExist v) {
     return g.variable(name, v);
 }

QuantExt/qle/ad/computationgraph.hpp

@@ -91,6 +91,7 @@ class ComputationGraph {
 // methods to construct cg
 
 std::size_t cg_const(ComputationGraph& g, const double value);
+std::size_t cg_insert(ComputationGraph& g, const std::string& label = std::string());
 std::size_t cg_var(ComputationGraph& g, const std::string& name,
                    ComputationGraph::VarDoesntExist = ComputationGraph::VarDoesntExist::Throw);
 std::size_t cg_add(ComputationGraph& g, const std::size_t a, const std::size_t b,