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Merged
auto-differentiation-dev merged 1 commit into from
Feb 6, 2026
Merged

Renaming to QuantLibAAD and QLAAD_* #38

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116 changes: 58 additions & 58 deletions .github/workflows/ci.yaml
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Original file line number Diff line number Diff line change
@@ -1,8 +1,8 @@
##############################################################################
#
# QuantLib-Risks-Cpp CI Workflow
# QuantLibAAD CI Workflow
#
# Tests QuantLib-Risks-Cpp with XAD automatic differentiation, and optionally
# Tests QuantLibAAD with XAD automatic differentiation, and optionally
# with Forge JIT acceleration on Linux and Windows.
#
# Jobs:
Expand All @@ -13,7 +13,7 @@
# - forge-linux: XAD + Forge JIT tests (C++17, Release/Debug)
# - forge-windows: XAD + Forge JIT tests (C++17, Release/Debug)
#
# Copyright (C) 2025 Xcelerit Computing Limited
# Copyright (C) 2010-2026 Xcelerit Computing Limited
#
# SPDX-License-Identifier: AGPL-3.0-or-later
#
Expand Down Expand Up @@ -73,8 +73,8 @@ jobs:
##############################################################################
# Linux - XAD
#
# Note on disable_aad naming: This uses the original QuantLib-Risks-Cpp
# convention where QLRISKS_DISABLE_AAD=OFF means AAD is ENABLED (not disabled).
# Note on disable_aad naming: This uses the original QuantLibAAD
# convention where QLAAD_DISABLE_AAD=OFF means AAD is ENABLED (not disabled).
# The confusing double-negative is preserved for compatibility.
##############################################################################
xad-linux:
Expand All @@ -101,7 +101,7 @@ jobs:

- uses: actions/checkout@v4
with:
path: QuantLib-Risks-Cpp
path: QuantLibAAD

- name: ccache
uses: hendrikmuhs/ccache-action@v1.2.12
Expand All @@ -121,11 +121,11 @@ jobs:
cd build
cmake -G Ninja -DBOOST_ROOT=/usr \
-DCMAKE_CXX_STANDARD=${{ matrix.cxx }} \
-DQLRISKS_DISABLE_AAD=${{ matrix.disable_aad }} \
-DQLAAD_DISABLE_AAD=${{ matrix.disable_aad }} \
-DCMAKE_BUILD_TYPE=Release \
-DCMAKE_CXX_COMPILER_LAUNCHER=ccache \
-DQL_EXTERNAL_SUBDIRECTORIES="$(pwd)/../../xad;$(pwd)/../../QuantLib-Risks-Cpp" \
-DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks \
-DQL_EXTERNAL_SUBDIRECTORIES="$(pwd)/../../xad;$(pwd)/../../QuantLibAAD" \
-DQL_EXTRA_LINK_LIBRARIES=QuantLibAAD \
-DQL_NULL_AS_FUNCTIONS=ON \
-DCMAKE_INSTALL_PREFIX=$(pwd)/../../install \
..
Expand All @@ -140,11 +140,11 @@ jobs:
cd QuantLib/build
./test-suite/quantlib-test-suite --log_level=message

- name: Test QuantLib-Risks
- name: Test QuantLibAAD
if: ${{ matrix.disable_aad == 'OFF' }}
run: |
cd QuantLib/build
./QuantLib-Risks-Cpp/test-suite/quantlib-risks-test-suite --log_level=message
./QuantLibAAD/test-suite/quantlib-aad-test-suite --log_level=message

- name: Install
if: ${{ matrix.disable_aad == 'OFF' }}
Expand All @@ -156,11 +156,11 @@ jobs:
if: ${{ matrix.disable_aad == 'OFF' }}
run: |
mkdir installtest
cp QuantLib-Risks-Cpp/Examples/AdjointSwap/AdjointSwapXAD.cpp installtest
cp QuantLibAAD/Examples/AdjointSwap/AdjointSwapXAD.cpp installtest
cd installtest
echo "cmake_minimum_required(VERSION 3.15.2)" > CMakeLists.txt
echo "project(QlTest LANGUAGES CXX)" >> CMakeLists.txt
echo "find_package(QuantLib-Risks REQUIRED)" >> CMakeLists.txt
echo "find_package(QuantLibAAD REQUIRED)" >> CMakeLists.txt
echo "add_executable(AdjointSwapXAD AdjointSwapXAD.cpp)" >> CMakeLists.txt
echo "target_link_libraries(AdjointSwapXAD PRIVATE QuantLib::QuantLib)" >> CMakeLists.txt
echo "target_compile_features(AdjointSwapXAD PUBLIC cxx_std_17)" >> CMakeLists.txt
Expand Down Expand Up @@ -202,7 +202,7 @@ jobs:

- uses: actions/checkout@v4
with:
path: QuantLib-Risks-Cpp
path: QuantLibAAD

- name: sccache
uses: hendrikmuhs/ccache-action@v1.2.12
Expand All @@ -227,12 +227,12 @@ jobs:
mkdir build
cd build
call "${{ env.vsvarsall }}" amd64
cmake .. -G Ninja -DQLRISKS_DISABLE_AAD=${{ matrix.disable_aad }} ^
cmake .. -G Ninja -DQLAAD_DISABLE_AAD=${{ matrix.disable_aad }} ^
-DCMAKE_CXX_STANDARD=${{ matrix.cxx }} ^
-DCMAKE_CXX_COMPILER_LAUNCHER=sccache ^
-DCMAKE_BUILD_TYPE=Release ^
-DQL_EXTERNAL_SUBDIRECTORIES="${{ github.workspace }}/xad;${{ github.workspace }}/QuantLib-Risks-Cpp" ^
-DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks ^
-DQL_EXTERNAL_SUBDIRECTORIES="${{ github.workspace }}/xad;${{ github.workspace }}/QuantLibAAD" ^
-DQL_EXTRA_LINK_LIBRARIES=QuantLibAAD ^
-DQL_NULL_AS_FUNCTIONS=ON ^
-DXAD_STATIC_MSVC_RUNTIME=ON ^
-DCMAKE_INSTALL_PREFIX=${{ github.workspace }}/install
Expand All @@ -251,13 +251,13 @@ jobs:
call "${{ env.vsvarsall }}" amd64
.\test-suite\quantlib-test-suite --log_level=message

- name: Test QuantLib-Risks
- name: Test QuantLibAAD
if: ${{ matrix.disable_aad == 'OFF' }}
shell: cmd
run: |
cd QuantLib\build
call "${{ env.vsvarsall }}" amd64
.\QuantLib-Risks-Cpp\test-suite\quantlib-risks-test-suite --log_level=message
.\QuantLibAAD\test-suite\quantlib-aad-test-suite --log_level=message

- name: Install
if: ${{ matrix.disable_aad == 'OFF' }}
Expand All @@ -272,11 +272,11 @@ jobs:
shell: cmd
run: |
mkdir installtest
copy QuantLib-Risks-Cpp\Examples\AdjointSwap\AdjointSwapXAD.cpp installtest
copy QuantLibAAD\Examples\AdjointSwap\AdjointSwapXAD.cpp installtest
cd installtest
echo cmake_minimum_required(VERSION 3.15.2) > CMakeLists.txt
echo project(QlTest LANGUAGES CXX) >> CMakeLists.txt
echo find_package(QuantLib-Risks REQUIRED) >> CMakeLists.txt
echo find_package(QuantLibAAD REQUIRED) >> CMakeLists.txt
echo add_executable(AdjointSwapXAD AdjointSwapXAD.cpp) >> CMakeLists.txt
echo target_link_libraries(AdjointSwapXAD PRIVATE QuantLib::QuantLib) >> CMakeLists.txt
echo set_target_properties(AdjointSwapXAD PROPERTIES MSVC_RUNTIME_LIBRARY MultiThreaded) >> CMakeLists.txt
Expand Down Expand Up @@ -315,7 +315,7 @@ jobs:

- uses: actions/checkout@v4
with:
path: QuantLib-Risks-Cpp
path: QuantLibAAD

- name: Setup
run: |
Expand All @@ -334,11 +334,11 @@ jobs:
cd build
cmake -G Ninja \
-DCMAKE_CXX_STANDARD=${{ matrix.cxx }} \
-DQLRISKS_DISABLE_AAD=${{ matrix.disable_aad }} \
-DQLAAD_DISABLE_AAD=${{ matrix.disable_aad }} \
-DCMAKE_BUILD_TYPE=Release \
-DCMAKE_CXX_COMPILER_LAUNCHER=ccache \
-DQL_EXTERNAL_SUBDIRECTORIES="${{ github.workspace }}/xad;${{ github.workspace }}/QuantLib-Risks-Cpp" \
-DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks \
-DQL_EXTERNAL_SUBDIRECTORIES="${{ github.workspace }}/xad;${{ github.workspace }}/QuantLibAAD" \
-DQL_EXTRA_LINK_LIBRARIES=QuantLibAAD \
-DQL_NULL_AS_FUNCTIONS=ON \
-DCMAKE_INSTALL_PREFIX=${{ github.workspace }}/install \
..
Expand All @@ -353,11 +353,11 @@ jobs:
cd QuantLib/build
./test-suite/quantlib-test-suite --log_level=message

- name: Test QuantLib-Risks
- name: Test QuantLibAAD
if: ${{ matrix.disable_aad == 'OFF' }}
run: |
cd QuantLib/build
./QuantLib-Risks-Cpp/test-suite/quantlib-risks-test-suite --log_level=message
./QuantLibAAD/test-suite/quantlib-aad-test-suite --log_level=message

- name: Install
if: ${{ matrix.disable_aad == 'OFF' }}
Expand All @@ -369,11 +369,11 @@ jobs:
if: ${{ matrix.disable_aad == 'OFF' }}
run: |
mkdir installtest
cp QuantLib-Risks-Cpp/Examples/AdjointSwap/AdjointSwapXAD.cpp installtest
cp QuantLibAAD/Examples/AdjointSwap/AdjointSwapXAD.cpp installtest
cd installtest
echo "cmake_minimum_required(VERSION 3.15.2)" > CMakeLists.txt
echo "project(QlTest LANGUAGES CXX)" >> CMakeLists.txt
echo "find_package(QuantLib-Risks REQUIRED)" >> CMakeLists.txt
echo "find_package(QuantLibAAD REQUIRED)" >> CMakeLists.txt
echo "add_executable(AdjointSwapXAD AdjointSwapXAD.cpp)" >> CMakeLists.txt
echo "target_link_libraries(AdjointSwapXAD PRIVATE QuantLib::QuantLib)" >> CMakeLists.txt
echo "target_compile_features(AdjointSwapXAD PUBLIC cxx_std_17)" >> CMakeLists.txt
Expand Down Expand Up @@ -408,7 +408,7 @@ jobs:

- uses: actions/checkout@v4
with:
path: QuantLib-Risks-Cpp
path: QuantLibAAD

- name: Setup
run: |
Expand All @@ -429,8 +429,8 @@ jobs:
-DQL_USE_STD_CLASSES=ON \
-DCMAKE_BUILD_TYPE=Release \
-DCMAKE_CXX_COMPILER_LAUNCHER=ccache \
-DQL_EXTERNAL_SUBDIRECTORIES="$(pwd)/../../xad;$(pwd)/../../QuantLib-Risks-Cpp" \
-DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks \
-DQL_EXTERNAL_SUBDIRECTORIES="$(pwd)/../../xad;$(pwd)/../../QuantLibAAD" \
-DQL_EXTRA_LINK_LIBRARIES=QuantLibAAD \
-DQL_NULL_AS_FUNCTIONS=ON \
..

Expand All @@ -444,16 +444,16 @@ jobs:
cd QuantLib/build
./test-suite/quantlib-test-suite --log_level=message

- name: Test QuantLib-Risks
- name: Test QuantLibAAD
run: |
cd QuantLib/build
./QuantLib-Risks-Cpp/test-suite/quantlib-risks-test-suite --log_level=message
./QuantLibAAD/test-suite/quantlib-aad-test-suite --log_level=message

##############################################################################
# Linux - XAD + Forge JIT
#
# Forge accelerates AAD tape computations via JIT compilation, so these jobs
# only make sense with AAD enabled (QLRISKS_DISABLE_AAD=OFF).
# only make sense with AAD enabled (QLAAD_DISABLE_AAD=OFF).
# Tests C++17 and C++20 to match original XAD job coverage.
##############################################################################
forge-linux:
Expand Down Expand Up @@ -494,10 +494,10 @@ jobs:
ref: ${{ env.xad_forge_branch }}
path: xad-forge

- name: Checkout QuantLib-Risks-Cpp
- name: Checkout QuantLibAAD
uses: actions/checkout@v4
with:
path: QuantLib-Risks-Cpp
path: QuantLibAAD

- name: ccache
uses: hendrikmuhs/ccache-action@v1.2.12
Expand Down Expand Up @@ -531,35 +531,35 @@ jobs:
-DXAD_WARNINGS_PARANOID=OFF \
-DXAD_ENABLE_JIT=ON \
-DCMAKE_PREFIX_PATH=$(pwd)/../../install \
-DQL_EXTERNAL_SUBDIRECTORIES="$(pwd)/../../xad;$(pwd)/../../xad-forge;$(pwd)/../../QuantLib-Risks-Cpp" \
-DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks \
-DQL_EXTERNAL_SUBDIRECTORIES="$(pwd)/../../xad;$(pwd)/../../xad-forge;$(pwd)/../../QuantLibAAD" \
-DQL_EXTRA_LINK_LIBRARIES=QuantLibAAD \
-DQL_NULL_AS_FUNCTIONS=ON \
-DQL_BUILD_TEST_SUITE=OFF \
-DQL_BUILD_EXAMPLES=OFF \
-DQL_BUILD_BENCHMARK=OFF \
-DQLRISKS_DISABLE_AAD=OFF \
-DQLRISKS_ENABLE_FORGE=ON \
-DQLRISKS_USE_FORGE_CAPI=ON \
-DQLAAD_DISABLE_AAD=OFF \
-DQLAAD_ENABLE_FORGE=ON \
-DQLAAD_USE_FORGE_CAPI=ON \
-DXAD_FORGE_USE_CAPI=ON \
-DQLRISKS_BUILD_TEST_SUITE=ON \
-DQLRISKS_ENABLE_FORGE_TESTS=ON \
-DQLAAD_BUILD_TEST_SUITE=ON \
-DQLAAD_ENABLE_FORGE_TESTS=ON \
..

- name: Build
run: |
cd QuantLib/build
cmake --build .

- name: Test QuantLib-Risks
- name: Test QuantLibAAD
run: |
cd QuantLib/build
./QuantLib-Risks-Cpp/test-suite/quantlib-risks-test-suite --log_level=message
./QuantLibAAD/test-suite/quantlib-aad-test-suite --log_level=message

##############################################################################
# Windows - XAD + Forge JIT
#
# Forge accelerates AAD tape computations via JIT compilation, so these jobs
# only make sense with AAD enabled (QLRISKS_DISABLE_AAD=OFF).
# only make sense with AAD enabled (QLAAD_DISABLE_AAD=OFF).
# Tests C++17 and C++20 to match original XAD job coverage.
##############################################################################
forge-windows:
Expand Down Expand Up @@ -602,10 +602,10 @@ jobs:
ref: ${{ env.xad_forge_branch }}
path: xad-forge

- name: Checkout QuantLib-Risks-Cpp
- name: Checkout QuantLibAAD
uses: actions/checkout@v4
with:
path: QuantLib-Risks-Cpp
path: QuantLibAAD

- name: Setup
run: choco install -y ninja
Expand Down Expand Up @@ -642,18 +642,18 @@ jobs:
-DXAD_ENABLE_JIT=ON ^
-DXAD_STATIC_MSVC_RUNTIME=ON ^
-DCMAKE_PREFIX_PATH="%cd%\..\install" ^
-DQL_EXTERNAL_SUBDIRECTORIES="%cd%\..\xad;%cd%\..\xad-forge;%cd%\..\QuantLib-Risks-Cpp" ^
-DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks ^
-DQL_EXTERNAL_SUBDIRECTORIES="%cd%\..\xad;%cd%\..\xad-forge;%cd%\..\QuantLibAAD" ^
-DQL_EXTRA_LINK_LIBRARIES=QuantLibAAD ^
-DQL_NULL_AS_FUNCTIONS=ON ^
-DQL_BUILD_TEST_SUITE=OFF ^
-DQL_BUILD_EXAMPLES=OFF ^
-DQL_BUILD_BENCHMARK=OFF ^
-DQLRISKS_DISABLE_AAD=OFF ^
-DQLRISKS_ENABLE_FORGE=ON ^
-DQLRISKS_USE_FORGE_CAPI=ON ^
-DQLAAD_DISABLE_AAD=OFF ^
-DQLAAD_ENABLE_FORGE=ON ^
-DQLAAD_USE_FORGE_CAPI=ON ^
-DXAD_FORGE_USE_CAPI=ON ^
-DQLRISKS_BUILD_TEST_SUITE=ON ^
-DQLRISKS_ENABLE_FORGE_TESTS=ON
-DQLAAD_BUILD_TEST_SUITE=ON ^
-DQLAAD_ENABLE_FORGE_TESTS=ON

- name: Build
shell: cmd
Expand All @@ -662,9 +662,9 @@ jobs:
call "%VSVARSALL%" amd64
cmake --build . --config ${{ matrix.build_type }}

- name: Test QuantLib-Risks
- name: Test QuantLibAAD
shell: cmd
run: |
cd QuantLib\build
set PATH=%cd%\..\..\install\bin;%PATH%
QuantLib-Risks-Cpp\test-suite\quantlib-risks-test-suite.exe --log_level=message
QuantLibAAD\test-suite\quantlib-aad-test-suite.exe --log_level=message
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