CI #1488
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| ############################################################################## | |
| # | |
| # QuantLibAAD CI Workflow | |
| # | |
| # Tests QuantLibAAD with XAD automatic differentiation, and optionally | |
| # | |
| # | |
| # Jobs: | |
| # - xad-linux: XAD tests (C++17, C++20, AAD ON/OFF) | |
| # - xad-win: XAD tests (C++17, C++20, AAD ON/OFF) | |
| # - xad-macos: XAD tests (C++17, C++20, AAD ON/OFF) | |
| # - xad-linux-std-classes: XAD with QL_USE_STD_CLASSES | |
| # | |
| # Copyright (C) 2010-2026 Xcelerit Computing Limited | |
| # | |
| # SPDX-License-Identifier: AGPL-3.0-or-later | |
| # | |
| ############################################################################## | |
| name: CI | |
| on: | |
| repository_dispatch: | |
| types: [xad-ci-trigger] | |
| push: | |
| pull_request: | |
| schedule: | |
| - cron: '02 5 * * *' # 5:02 every day | |
| workflow_dispatch: | |
| inputs: | |
| ql_repo: | |
| description: QuantLib repository in <owner>/<repo> format | |
| required: true | |
| default: lballabio/QuantLib | |
| ql_branch: | |
| description: Branch or tag for QuantLib repository | |
| required: true | |
| default: master | |
| xad_repo: | |
| description: XAD repository in <owner>/<repo> format | |
| required: true | |
| default: auto-differentiation/xad | |
| xad_branch: | |
| description: Branch or tag for XAD repository | |
| required: true | |
| default: main | |
| env: | |
| ql_repo: ${{ github.event.inputs.ql_repo || 'lballabio/QuantLib' }} | |
| ql_branch: ${{ github.event.inputs.ql_branch || 'master' }} | |
| xad_repo: ${{ github.event.inputs.xad_repo || 'auto-differentiation/xad' }} | |
| xad_branch: ${{ github.event.inputs.xad_branch || 'main' }} | |
| jobs: | |
| ############################################################################## | |
| # Linux - XAD | |
| # | |
| # 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: | |
| strategy: | |
| fail-fast: false | |
| matrix: | |
| disable_aad: ["ON", "OFF"] | |
| cxx: ["17", "20"] | |
| runs-on: ubuntu-latest | |
| container: ghcr.io/lballabio/quantlib-devenv:rolling | |
| steps: | |
| - uses: actions/checkout@v4 | |
| with: | |
| repository: ${{ env.ql_repo }} | |
| ref: ${{ env.ql_branch }} | |
| path: QuantLib | |
| - uses: actions/checkout@v4 | |
| with: | |
| repository: ${{ env.xad_repo }} | |
| ref: ${{ env.xad_branch }} | |
| path: xad | |
| - uses: actions/checkout@v4 | |
| with: | |
| path: QuantLibAAD | |
| - name: ccache | |
| uses: hendrikmuhs/ccache-action@v1.2.12 | |
| with: | |
| key: linux-xad-${{ matrix.cxx }}-${{ matrix.disable_aad }} | |
| max-size: 650M | |
| - name: Setup | |
| run: | | |
| apt-get update && apt install -y ccache ninja-build | |
| - name: Configure | |
| run: | | |
| rm -rf ${{ github.workspace }}/install | |
| cd QuantLib | |
| mkdir build | |
| cd build | |
| cmake -G Ninja -DBOOST_ROOT=/usr \ | |
| -DCMAKE_CXX_STANDARD=${{ matrix.cxx }} \ | |
| -DQLAAD_DISABLE_AAD=${{ matrix.disable_aad }} \ | |
| -DCMAKE_BUILD_TYPE=Release \ | |
| -DCMAKE_CXX_COMPILER_LAUNCHER=ccache \ | |
| -DQL_EXTERNAL_SUBDIRECTORIES="$(pwd)/../../xad;$(pwd)/../../QuantLibAAD" \ | |
| -DQL_EXTRA_LINK_LIBRARIES=QuantLibAAD \ | |
| -DQL_NULL_AS_FUNCTIONS=ON \ | |
| -DCMAKE_INSTALL_PREFIX=$(pwd)/../../install \ | |
| .. | |
| - name: Compile | |
| run: | | |
| cd QuantLib/build | |
| cmake --build . | |
| - name: Test QuantLib | |
| run: | | |
| cd QuantLib/build | |
| ./test-suite/quantlib-test-suite --log_level=message | |
| - name: Test QuantLibAAD | |
| if: ${{ matrix.disable_aad == 'OFF' }} | |
| run: | | |
| cd QuantLib/build | |
| ./QuantLibAAD/test-suite/quantlib-aad-test-suite --log_level=message | |
| - name: Install | |
| if: ${{ matrix.disable_aad == 'OFF' }} | |
| run: | | |
| cd QuantLib/build | |
| cmake --install . | |
| - name: Test Install | |
| if: ${{ matrix.disable_aad == 'OFF' }} | |
| run: | | |
| mkdir installtest | |
| cp QuantLibAAD/Examples/AdjointSwap/AdjointSwapXAD.cpp installtest | |
| cd installtest | |
| echo "cmake_minimum_required(VERSION 3.15.2)" > CMakeLists.txt | |
| echo "project(QlTest LANGUAGES CXX)" >> CMakeLists.txt | |
| echo "find_package(QuantLibAAD REQUIRED)" >> CMakeLists.txt | |
| echo "add_executable(AdjointSwapXAD AdjointSwapXAD.cpp)" >> CMakeLists.txt | |
| echo "target_link_libraries(AdjointSwapXAD PRIVATE QuantLib::QuantLib)" >> CMakeLists.txt | |
| echo "target_compile_features(AdjointSwapXAD PUBLIC cxx_std_17)" >> CMakeLists.txt | |
| mkdir build | |
| cd build | |
| cmake -G Ninja -DBOOST_ROOT=/usr \ | |
| -DCMAKE_BUILD_TYPE=Release \ | |
| -DCMAKE_PREFIX_PATH=$(pwd)/../../install \ | |
| .. | |
| cmake --build . | |
| ./AdjointSwapXAD | |
| ############################################################################## | |
| # Windows - XAD | |
| ############################################################################## | |
| xad-win: | |
| strategy: | |
| fail-fast: false | |
| matrix: | |
| disable_aad: ["ON", "OFF"] | |
| cxx: ["17", "20"] | |
| runs-on: windows-2022 | |
| env: | |
| vsvarsall: C:\Program Files\Microsoft Visual Studio\2022\Enterprise\VC\Auxiliary\Build\vcvarsall.bat | |
| steps: | |
| - uses: actions/checkout@v4 | |
| with: | |
| repository: ${{ env.ql_repo }} | |
| ref: ${{ env.ql_branch }} | |
| path: QuantLib | |
| - uses: actions/checkout@v4 | |
| with: | |
| repository: ${{ env.xad_repo }} | |
| ref: ${{ env.xad_branch }} | |
| path: xad | |
| - uses: actions/checkout@v4 | |
| with: | |
| path: QuantLibAAD | |
| - name: sccache | |
| uses: hendrikmuhs/ccache-action@v1.2.12 | |
| with: | |
| key: windows-xad-${{ matrix.cxx }}-${{ matrix.disable_aad }} | |
| variant: sccache | |
| max-size: 650M | |
| - name: Setup | |
| run: | | |
| choco install -y ninja | |
| $Url = "https://downloads.sourceforge.net/project/boost/boost-binaries/1.86.0/boost_1_86_0-msvc-14.3-64.exe" | |
| (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe") | |
| Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost" | |
| - name: Configure | |
| env: | |
| BOOST_ROOT: C:\local\boost | |
| shell: cmd | |
| run: | | |
| cd QuantLib | |
| mkdir build | |
| cd build | |
| call "${{ env.vsvarsall }}" amd64 | |
| cmake .. -G Ninja -DQLAAD_DISABLE_AAD=${{ matrix.disable_aad }} ^ | |
| -DCMAKE_CXX_STANDARD=${{ matrix.cxx }} ^ | |
| -DCMAKE_CXX_COMPILER_LAUNCHER=sccache ^ | |
| -DCMAKE_BUILD_TYPE=Release ^ | |
| -DQL_EXTERNAL_SUBDIRECTORIES="${{ github.workspace }}/xad;${{ github.workspace }}/QuantLibAAD" ^ | |
| -DQL_EXTRA_LINK_LIBRARIES=QuantLibAAD ^ | |
| -DQL_NULL_AS_FUNCTIONS=ON ^ | |
| -DXAD_STATIC_MSVC_RUNTIME=ON ^ | |
| -DCMAKE_INSTALL_PREFIX=${{ github.workspace }}/install | |
| - name: Build | |
| shell: cmd | |
| run: | | |
| cd QuantLib\build | |
| call "${{ env.vsvarsall }}" amd64 | |
| cmake --build . | |
| - name: Test QuantLib | |
| shell: cmd | |
| run: | | |
| cd QuantLib\build | |
| call "${{ env.vsvarsall }}" amd64 | |
| .\test-suite\quantlib-test-suite --log_level=message | |
| - name: Test QuantLibAAD | |
| if: ${{ matrix.disable_aad == 'OFF' }} | |
| shell: cmd | |
| run: | | |
| cd QuantLib\build | |
| call "${{ env.vsvarsall }}" amd64 | |
| .\QuantLibAAD\test-suite\quantlib-aad-test-suite --log_level=message | |
| - name: Install | |
| if: ${{ matrix.disable_aad == 'OFF' }} | |
| run: | | |
| cd QuantLib/build | |
| cmake --install . | |
| - name: Test Install | |
| if: ${{ matrix.disable_aad == 'OFF' }} | |
| env: | |
| BOOST_ROOT: C:\local\boost | |
| shell: cmd | |
| run: | | |
| mkdir installtest | |
| copy QuantLibAAD\Examples\AdjointSwap\AdjointSwapXAD.cpp installtest | |
| cd installtest | |
| echo cmake_minimum_required(VERSION 3.15.2) > CMakeLists.txt | |
| echo project(QlTest LANGUAGES CXX) >> CMakeLists.txt | |
| echo find_package(QuantLibAAD REQUIRED) >> CMakeLists.txt | |
| echo add_executable(AdjointSwapXAD AdjointSwapXAD.cpp) >> CMakeLists.txt | |
| echo target_link_libraries(AdjointSwapXAD PRIVATE QuantLib::QuantLib) >> CMakeLists.txt | |
| echo set_target_properties(AdjointSwapXAD PROPERTIES MSVC_RUNTIME_LIBRARY MultiThreaded) >> CMakeLists.txt | |
| echo target_compile_features(AdjointSwapXAD PUBLIC cxx_std_17) >> CMakeLists.txt | |
| mkdir build | |
| cd build | |
| call "${{ env.vsvarsall }}" amd64 | |
| cmake -G Ninja -DCMAKE_BUILD_TYPE=Release -DCMAKE_PREFIX_PATH=${{ github.workspace }}/install .. | |
| cmake --build . | |
| AdjointSwapXAD.exe | |
| ############################################################################## | |
| # macOS - XAD | |
| ############################################################################## | |
| xad-macos: | |
| strategy: | |
| fail-fast: false | |
| matrix: | |
| disable_aad: ["ON", "OFF"] | |
| cxx: ["17", "20"] | |
| runs-on: macos-latest | |
| steps: | |
| - uses: actions/checkout@v4 | |
| with: | |
| repository: ${{ env.ql_repo }} | |
| ref: ${{ env.ql_branch }} | |
| path: QuantLib | |
| - uses: actions/checkout@v4 | |
| with: | |
| repository: ${{ env.xad_repo }} | |
| ref: ${{ env.xad_branch }} | |
| path: xad | |
| - uses: actions/checkout@v4 | |
| with: | |
| path: QuantLibAAD | |
| - name: Setup | |
| run: | | |
| brew install boost ninja ccache | |
| - name: ccache | |
| uses: hendrikmuhs/ccache-action@v1.2.12 | |
| with: | |
| key: macos-xad-${{ matrix.cxx }}-${{ matrix.disable_aad }} | |
| max-size: 650M | |
| - name: Configure | |
| run: | | |
| cd QuantLib | |
| mkdir build | |
| cd build | |
| cmake -G Ninja \ | |
| -DCMAKE_CXX_STANDARD=${{ matrix.cxx }} \ | |
| -DQLAAD_DISABLE_AAD=${{ matrix.disable_aad }} \ | |
| -DCMAKE_BUILD_TYPE=Release \ | |
| -DCMAKE_CXX_COMPILER_LAUNCHER=ccache \ | |
| -DQL_EXTERNAL_SUBDIRECTORIES="${{ github.workspace }}/xad;${{ github.workspace }}/QuantLibAAD" \ | |
| -DQL_EXTRA_LINK_LIBRARIES=QuantLibAAD \ | |
| -DQL_NULL_AS_FUNCTIONS=ON \ | |
| -DCMAKE_INSTALL_PREFIX=${{ github.workspace }}/install \ | |
| .. | |
| - name: Compile | |
| run: | | |
| cd QuantLib/build | |
| cmake --build . | |
| - name: Test QuantLib | |
| run: | | |
| cd QuantLib/build | |
| ./test-suite/quantlib-test-suite --log_level=message | |
| - name: Test QuantLibAAD | |
| if: ${{ matrix.disable_aad == 'OFF' }} | |
| run: | | |
| cd QuantLib/build | |
| ./QuantLibAAD/test-suite/quantlib-aad-test-suite --log_level=message | |
| - name: Install | |
| if: ${{ matrix.disable_aad == 'OFF' }} | |
| run: | | |
| cd QuantLib/build | |
| cmake --install . | |
| - name: Test Install | |
| if: ${{ matrix.disable_aad == 'OFF' }} | |
| run: | | |
| mkdir installtest | |
| cp QuantLibAAD/Examples/AdjointSwap/AdjointSwapXAD.cpp installtest | |
| cd installtest | |
| echo "cmake_minimum_required(VERSION 3.15.2)" > CMakeLists.txt | |
| echo "project(QlTest LANGUAGES CXX)" >> CMakeLists.txt | |
| echo "find_package(QuantLibAAD REQUIRED)" >> CMakeLists.txt | |
| echo "add_executable(AdjointSwapXAD AdjointSwapXAD.cpp)" >> CMakeLists.txt | |
| echo "target_link_libraries(AdjointSwapXAD PRIVATE QuantLib::QuantLib)" >> CMakeLists.txt | |
| echo "target_compile_features(AdjointSwapXAD PUBLIC cxx_std_17)" >> CMakeLists.txt | |
| mkdir build | |
| cd build | |
| cmake -G Ninja \ | |
| -DCMAKE_BUILD_TYPE=Release \ | |
| -DCMAKE_PREFIX_PATH=${{ github.workspace }}/install \ | |
| .. | |
| cmake --build . | |
| ./AdjointSwapXAD | |
| ############################################################################## | |
| # Linux - XAD with QL_USE_STD_CLASSES | |
| ############################################################################## | |
| xad-linux-std-classes: | |
| runs-on: ubuntu-latest | |
| container: ghcr.io/lballabio/quantlib-devenv:rolling | |
| steps: | |
| - uses: actions/checkout@v4 | |
| with: | |
| repository: ${{ env.ql_repo }} | |
| ref: ${{ env.ql_branch }} | |
| path: QuantLib | |
| - uses: actions/checkout@v4 | |
| with: | |
| repository: ${{ env.xad_repo }} | |
| ref: ${{ env.xad_branch }} | |
| path: xad | |
| - uses: actions/checkout@v4 | |
| with: | |
| path: QuantLibAAD | |
| - name: Setup | |
| run: | | |
| apt-get update && apt install -y ccache ninja-build | |
| - name: ccache | |
| uses: hendrikmuhs/ccache-action@v1.2.12 | |
| with: | |
| key: linux-xad-std-classes | |
| max-size: 650M | |
| - name: Configure | |
| run: | | |
| cd QuantLib | |
| mkdir build | |
| cd build | |
| cmake -G Ninja -DBOOST_ROOT=/usr \ | |
| -DQL_USE_STD_CLASSES=ON \ | |
| -DCMAKE_BUILD_TYPE=Release \ | |
| -DCMAKE_CXX_COMPILER_LAUNCHER=ccache \ | |
| -DQL_EXTERNAL_SUBDIRECTORIES="$(pwd)/../../xad;$(pwd)/../../QuantLibAAD" \ | |
| -DQL_EXTRA_LINK_LIBRARIES=QuantLibAAD \ | |
| -DQL_NULL_AS_FUNCTIONS=ON \ | |
| .. | |
| - name: Compile | |
| run: | | |
| cd QuantLib/build | |
| cmake --build . | |
| - name: Test QuantLib | |
| run: | | |
| cd QuantLib/build | |
| ./test-suite/quantlib-test-suite --log_level=message | |
| - name: Test QuantLibAAD | |
| run: | | |
| cd QuantLib/build | |
| ./QuantLibAAD/test-suite/quantlib-aad-test-suite --log_level=message | |