New QuantLib benchmark for machine comparison (#1962)

.github/workflows/cmake.yml

@@ -29,6 +29,9 @@ jobs:
     - name: Test
       run: |
         quantlib-test-suite --log_level=message
+    - name: Run benchmark
+      run: |
+        quantlib-benchmark --size=1
   cmake-linux-with-options:
     runs-on: ubuntu-latest
     steps:

CMakeLists.txt

@@ -39,7 +39,6 @@ set(QL_INSTALL_CMAKEDIR "lib/cmake/${PACKAGE_NAME}" CACHE STRING
     "Installation directory for CMake scripts")
 
 # Options
-option(QL_BUILD_BENCHMARK "Build benchmark" ON)
 option(QL_BUILD_EXAMPLES "Build examples" ON)
 option(QL_BUILD_TEST_SUITE "Build test suite" ON)
 option(QL_BUILD_FUZZ_TEST_SUITE "Build fuzz test suite" OFF) 
@@ -70,6 +69,7 @@ option(QL_USE_STD_OPTIONAL "Use std::optional instead of boost::optional" OFF)
 option(QL_USE_STD_SHARED_PTR "Use standard smart pointers instead of Boost ones" OFF)
 option(QL_USE_STD_TUPLE "Use std::tuple instead of boost::tuple" ON)
 set(QL_EXTERNAL_SUBDIRECTORIES "" CACHE STRING "Optional list of external source directories to be added to the build (semicolon-separated)")
+# set -lpapi here
 set(QL_EXTRA_LINK_LIBRARIES "" CACHE STRING "Optional extra link libraries to add to QuantLib")
 
 # Require C++14 or higher
@@ -269,7 +269,7 @@ add_subdirectory(ql)
 if (QL_BUILD_EXAMPLES)
     add_subdirectory(Examples)
 endif()
-if (QL_BUILD_TEST_SUITE OR QL_BUILD_BENCHMARK)
+if (QL_BUILD_TEST_SUITE)
     add_subdirectory(test-suite)
 endif()
 

test-suite/CMakeLists.txt

@@ -129,7 +129,6 @@ set(QL_TEST_SOURCES
     preconditions.cpp
     prices.cpp
     quantlibglobalfixture.cpp
-    quantlibtestsuite.cpp
     quantooption.cpp
     quotes.cpp
     rangeaccrual.cpp
@@ -183,63 +182,35 @@ set(QL_TEST_HEADERS
     utilities.hpp
 )
 
-set(QL_BENCHMARK_SOURCES
-    quantlibbenchmark.cpp
-
-    americanoption.cpp
-    asianoptions.cpp
-    barrieroption.cpp
-    basketoption.cpp
-    batesmodel.cpp
-    convertiblebonds.cpp
-    digitaloption.cpp
-    dividendoption.cpp
-    europeanoption.cpp
-    fdheston.cpp
-    hestonmodel.cpp
-    interpolations.cpp
-    jumpdiffusion.cpp
-    lowdiscrepancysequences.cpp
-    marketmodel_cms.cpp
-    marketmodel_smm.cpp
-    preconditions.cpp                   preconditions.hpp
-    quantooption.cpp
-    quantlibglobalfixture.cpp			quantlibglobalfixture.hpp
-    riskstats.cpp
-    shortratemodels.cpp
-    utilities.cpp                       utilities.hpp
-                                        swaptionvolstructuresutilities.hpp
-)
 
 if (QL_BUILD_TEST_SUITE)
-    add_executable(ql_test_suite ${QL_TEST_SOURCES} ${QL_TEST_HEADERS})
-    set_target_properties(ql_test_suite PROPERTIES OUTPUT_NAME "quantlib-test-suite")
-    set_source_files_properties(quantlibtestsuite.cpp PROPERTIES SKIP_UNITY_BUILD_INCLUSION true)
-    target_link_libraries(ql_test_suite PRIVATE
-        ql_library
-        ${QL_THREAD_LIBRARIES})
+    add_library(ql_test OBJECT ${QL_TEST_SOURCES} ${QL_TEST_HEADERS})
+    if (NOT Boost_USE_STATIC_LIBS)
+        target_compile_definitions(ql_test PUBLIC BOOST_ALL_DYN_LINK)
+    endif()
     if(MSVC AND CMAKE_UNITY_BUILD)
         # for Unity builds, we need to add /bigobj
-        target_compile_options(ql_test_suite PRIVATE "/bigobj")
+        target_compile_options(ql_test PUBLIC "/bigobj")
     endif()
+    target_link_libraries(ql_test PUBLIC ql_library ${QL_THREAD_LIBRARIES})
+
+
+    add_executable(ql_test_suite quantlibtestsuite.cpp)
+    set_source_files_properties(quantlibtestsuite.cpp PROPERTIES SKIP_UNITY_BUILD_INCLUSION true)
+    set_target_properties(ql_test_suite PROPERTIES OUTPUT_NAME "quantlib-test-suite")
+    target_link_libraries(ql_test_suite PRIVATE ql_test) 
+
     if (QL_INSTALL_TEST_SUITE)
         install(TARGETS ql_test_suite RUNTIME DESTINATION ${QL_INSTALL_BINDIR})
     endif()
     add_test(NAME quantlib_test_suite COMMAND ql_test_suite --log_level=message)
-endif()
 
-IF (QL_BUILD_BENCHMARK)
-    add_executable(ql_benchmark ${QL_BENCHMARK_SOURCES})
+
+    add_executable(ql_benchmark quantlibbenchmark.cpp)
     set_target_properties(ql_benchmark PROPERTIES OUTPUT_NAME "quantlib-benchmark")
-    set_source_files_properties(quantlibbenchmark.cpp PROPERTIES SKIP_UNITY_BUILD_INCLUSION true)
-    target_link_libraries(ql_benchmark PRIVATE
-        ql_library
-        ${QL_THREAD_LIBRARIES})
-    if(MSVC AND CMAKE_UNITY_BUILD)
-        # for Unity builds, we need to add /bigobj
-        target_compile_options(ql_benchmark PRIVATE "/bigobj")
-    endif()
+    target_link_libraries(ql_benchmark PRIVATE ql_test)
     if (QL_INSTALL_BENCHMARK)
         install(TARGETS ql_benchmark RUNTIME DESTINATION ${QL_INSTALL_BINDIR})
     endif()
 endif()
+

test-suite/Makefile.am

@@ -1,6 +1,5 @@
 
 QL_TEST_SRCS = \
-	quantlibtestsuite.cpp \
 	americanoption.cpp \
 	amortizingbond.cpp \
 	andreasenhugevolatilityinterpl.cpp \
@@ -174,6 +173,7 @@ QL_TEST_SRCS = \
 	zabr.cpp \
 	zerocouponswap.cpp
 
+
 QL_TEST_HDRS = \
     preconditions.hpp \
 	quantlibglobalfixture.hpp \
@@ -183,38 +183,6 @@ QL_TEST_HDRS = \
 
 QL_TESTS = ${QL_TEST_SRCS} ${QL_TEST_HDRS}
 
-QL_BENCHMARK_SRCS = \
-	quantlibbenchmark.cpp \
-	americanoption.cpp \
-	asianoptions.cpp \
-	barrieroption.cpp \
-	doublebarrieroption.cpp \
-	basketoption.cpp \
-	batesmodel.cpp \
-	convertiblebonds.cpp \
-	digitaloption.cpp \
-	dividendoption.cpp \
-	europeanoption.cpp \
-	fdheston.cpp \
-	hestonmodel.cpp \
-	interpolations.cpp \
-	jumpdiffusion.cpp \
-	lowdiscrepancysequences.cpp \
-	marketmodel_cms.cpp \
-	marketmodel_smm.cpp \
-	preconditions.cpp \
-	quantlibglobalfixture.cpp \
-	quantooption.cpp \
-	riskstats.cpp \
-	shortratemodels.cpp \
-	utilities.cpp
-
-QL_BENCHMARK_HDRS = \
-	quantlibglobalfixture.hpp \
-	preconditions.hpp \
-	utilities.hpp
-
-QL_BENCHMARKS = ${QL_BENCHMARK_SRCS} ${QL_BENCHMARK_HDRS}
 
 dist-hook:
 	mkdir -p $(distdir)/build
@@ -234,44 +202,35 @@ endif
 
 if UNITY_BUILD
 
-nodist_quantlib_test_suite_SOURCES = unity_test.cpp
-
-unity_test.cpp: Makefile.am
+unity.cpp: Makefile.am
 	echo "/* This file is automatically generated; do not edit.     */" > $@
 	echo "/* Add the files to be included into Makefile.am instead. */" >> $@
 	echo >> $@
 	for i in $(QL_TEST_SRCS); do \
 		echo "#include \"test-suite/$$i\"" >> $@; \
 	done
 
-nodist_quantlib_benchmark_SOURCES = unity_benchmark.cpp quantlibbenchmark.cpp
-UNITY_SRC = $(filter-out quantlibbenchmark.cpp,$(QL_BENCHMARK_SRCS))
+nodist_quantlib_test_suite_SOURCES = unity.cpp
+quantlib_test_suite_SOURCES = quantlibtestsuite.cpp 
 
-unity_benchmark.cpp: Makefile.am
-	echo "/* This file is automatically generated; do not edit.     */" > $@
-	echo "/* Add the files to be included into Makefile.am instead. */" >> $@
-	echo >> $@
-	for i in $(UNITY_SRC); do \
-		echo "#include \"test-suite/$$i\"" >> $@; \
-	done
+nodist_quantlib_benchmark_SOURCES = unity.cpp
+quantlib_benchmark_SOURCES = quantlibbenchmark.cpp 
 
-EXTRA_DIST = $(QL_TESTS) $(QL_BENCHMARKS)
+EXTRA_DIST = $(QL_TESTS)
 
 else
 
-quantlib_test_suite_SOURCES = $(QL_TESTS)
-
-quantlib_benchmark_SOURCES = $(QL_BENCHMARKS)
-
+quantlib_test_suite_SOURCES = $(QL_TESTS) quantlibtestsuite.cpp 
+quantlib_benchmark_SOURCES = $(QL_TESTS) quantlibbenchmark.cpp 
 EXTRA_DIST =
 
-endif
+endif 
 
 quantlib_test_suite_LDADD = ${top_builddir}/ql/libQuantLib.la \
                             ${PTHREAD_LIB} ${BOOST_INTERPROCESS_LIB}
 
 quantlib_benchmark_LDADD = ${top_builddir}/ql/libQuantLib.la \
-                           ${PTHREAD_LIB}
+                           ${PTHREAD_LIB} ${BOOST_INTERPROCESS_LIB}
 
 TESTS = quantlib-test-suite$(EXEEXT)
 TESTS_ENVIRONMENT = BOOST_TEST_LOG_LEVEL=message BOOST_TEST_COLOR_OUTPUT=false

test-suite/americanoption.cpp

@@ -1542,7 +1542,7 @@ BOOST_AUTO_TEST_CASE(testQdEngineStandardExample) {
         );
         const Real calculated = americanOption.NPV() - europeanOption.NPV();
 
-        const Real tol = 1e-15;
+        const Real tol = 7e-15;
         const Real diff = std::abs(calculated - expected[i]);
 
         if (diff > tol) {