Initial draft

CMakeLists.txt

@@ -1,5 +1,5 @@
 ##############################################################################
-#   
+#
 #
 #  This file is part of QuantLib-Risks, an adaptor module to enable using XAD with
 #  QuantLib. XAD is a fast and comprehensive C++ library for
@@ -19,16 +19,69 @@
 #
 #  You should have received a copy of the GNU Affero General Public License
 #  along with this program.  If not, see <http://www.gnu.org/licenses/>.
-#   
+#
 ##############################################################################
 
 option(QLRISKS_DISABLE_AAD "Disable using XAD for QuantLib's Real, allowing to run samples with double" OFF)
+option(QLRISKS_ENABLE_FORGE "Enable Forge JIT backend via xad-forge" OFF)
+option(QLRISKS_USE_FORGE_CAPI "Use Forge C API instead of C++ API for binary compatibility" OFF)
 
 add_subdirectory(ql)
 if(MSVC)
 	set(CMAKE_MSVC_RUNTIME_LIBRARY "MultiThreaded$<$<CONFIG:Debug>:Debug>")
 endif()
 add_subdirectory(Examples)
+
+##############################################################################
+# QLRisks-Forge integration via xad-forge
+# NOTE: This must be defined BEFORE test-suite so tests can link to it
+##############################################################################
+
+if(QLRISKS_ENABLE_FORGE)
+    message(STATUS "QLRisks-Forge: Looking for xad-forge...")
+
+    # Pass through the C API option to xad-forge
+    set(XAD_FORGE_USE_CAPI ${QLRISKS_USE_FORGE_CAPI} CACHE BOOL "" FORCE)
+
+    # Option 1: Check if xad-forge was added as subdirectory
+    if(TARGET xad-forge)
+        message(STATUS "QLRisks-Forge: Found xad-forge target (subdirectory mode)")
+        set(XAD_FORGE_FOUND TRUE)
+    endif()
+
+    # Option 2: Try find_package for pre-built xad-forge
+    if(NOT XAD_FORGE_FOUND)
+        find_package(xad-forge CONFIG QUIET)
+        if(xad-forge_FOUND)
+            message(STATUS "QLRisks-Forge: Found xad-forge package (pre-built mode)")
+            set(XAD_FORGE_FOUND TRUE)
+        endif()
+    endif()
+
+    if(XAD_FORGE_FOUND)
+        # Create qlrisks-forge as an INTERFACE library wrapping xad-forge
+        add_library(qlrisks-forge INTERFACE)
+        add_library(QLRisks::forge ALIAS qlrisks-forge)
+
+        target_link_libraries(qlrisks-forge INTERFACE
+            XADForge::xad-forge
+        )
+
+        target_compile_definitions(qlrisks-forge INTERFACE QLRISKS_HAS_FORGE=1)
+
+        message(STATUS "QLRisks-Forge: Configured with xad-forge")
+    else()
+        message(STATUS "QLRisks-Forge: xad-forge not found - ForgeBackend will not be available")
+        message(STATUS "QLRisks-Forge: To enable, either:")
+        message(STATUS "  1. Add xad-forge as subdirectory")
+        message(STATUS "  2. Set CMAKE_PREFIX_PATH to xad-forge installation")
+    endif()
+endif()
+
+##############################################################################
+# Test suite (after QLRisks::forge is defined)
+##############################################################################
+
 if(NOT QLRISKS_DISABLE_AAD)
     # the test suite is not supporting double
 	add_subdirectory(test-suite)

test-suite/CMakeLists.txt

@@ -1,3 +1,8 @@
+option(QLRISKS_BUILD_TEST_SUITE "Build the QuantLib-Risks test suite" OFF)
+option(QLRISKS_ENABLE_FORGE_TESTS "Enable Forge JIT tests (requires Forge)" OFF)
+option(QLRISKS_BUILD_BENCHMARK "Build the QuantLib-Risks benchmark suite (Boost.Test)" OFF)
+option(QLRISKS_BUILD_BENCHMARK_STANDALONE "Build standalone benchmark executable (no Boost.Test)" OFF)
+
 set(QLRISKS_TEST_SOURCES
     americanoption_xad.cpp
     barrieroption_xad.cpp
@@ -9,14 +14,32 @@ set(QLRISKS_TEST_SOURCES
     forwardrateagreement_xad.cpp
     hestonmodel_xad.cpp
     swap_xad.cpp
-    
+
     utilities_xad.cpp
     quantlibtestsuite_xad.cpp
 )
 
+# Benchmark sources (separate from test suite)
+set(QLRISKS_BENCHMARK_SOURCES
+    quantlibrisks_benchmark.cpp
+    swaption_benchmark.cpp
+    utilities_xad.cpp
+)
+
+# Forge JIT tests - only added when explicitly enabled AND Forge is available
+# These tests require Forge's JIT compiler for AAD
+set(QLRISKS_FORGE_TESTS_ENABLED FALSE)
+if(QLRISKS_ENABLE_FORGE_TESTS AND TARGET QLRisks::forge)
+    message(STATUS "QLRisks test-suite: Adding Forge JIT tests")
+    list(APPEND QLRISKS_TEST_SOURCES jit_xad.cpp forgebackend_xad.cpp swaption_jit_pipeline_xad.cpp)
+    set(QLRISKS_FORGE_TESTS_ENABLED TRUE)
+elseif(QLRISKS_ENABLE_FORGE_TESTS)
+    message(WARNING "QLRisks test-suite: QLRISKS_ENABLE_FORGE_TESTS=ON but QLRisks::forge not available")
+endif()
+
 set(QLRISKS_TEST_HEADERS utilities_xad.hpp)
 
-if(QL_BUILD_TEST_SUITE)
+if(QL_BUILD_TEST_SUITE OR QLRISKS_BUILD_TEST_SUITE)
     add_executable(QuantLib-Risks_test_suite ${QLRISKS_TEST_SOURCES} ${QLRISKS_TEST_HEADERS})
     set_target_properties(QuantLib-Risks_test_suite PROPERTIES OUTPUT_NAME "quantlib-risks-test-suite")
     if (NOT Boost_USE_STATIC_LIBS)
@@ -25,8 +48,68 @@ if(QL_BUILD_TEST_SUITE)
     target_link_libraries(QuantLib-Risks_test_suite PRIVATE
         ql_library
         ${QL_THREAD_LIBRARIES})
+
+    # ONLY link to Forge if Forge tests are actually enabled
+    # This is important because linking Forge brings in AVX2-compiled code
+    # which can cause ODR violations if not properly isolated
+    if(QLRISKS_FORGE_TESTS_ENABLED)
+        message(STATUS "QLRisks test-suite: Linking QLRisks::forge (Forge tests enabled)")
+        target_link_libraries(QuantLib-Risks_test_suite PRIVATE QLRisks::forge)
+        target_compile_definitions(QuantLib-Risks_test_suite PRIVATE QLRISKS_HAS_FORGE=1)
+    else()
+        message(STATUS "QLRisks test-suite: NOT linking Forge (Forge tests disabled)")
+    endif()
+
     if (QL_INSTALL_TEST_SUITE)
         install(TARGETS QuantLib-Risks_test_suite RUNTIME DESTINATION ${QL_INSTALL_BINDIR})
     endif()
     add_test(NAME QuantLib-Risks_test_suite COMMAND QuantLib-Risks_test_suite --log_level=message)
+endif()
+
+# Benchmark suite - separate executable for CI benchmarks
+# Requires Forge to be available
+if(QLRISKS_BUILD_BENCHMARK AND TARGET QLRisks::forge)
+    message(STATUS "QLRisks: Building benchmark suite")
+    add_executable(QuantLib-Risks_benchmark ${QLRISKS_BENCHMARK_SOURCES} ${QLRISKS_TEST_HEADERS})
+    set_target_properties(QuantLib-Risks_benchmark PROPERTIES OUTPUT_NAME "quantlib-risks-benchmark")
+    if (NOT Boost_USE_STATIC_LIBS)
+        target_compile_definitions(QuantLib-Risks_benchmark PRIVATE BOOST_ALL_DYN_LINK)
+    endif()
+    target_link_libraries(QuantLib-Risks_benchmark PRIVATE
+        ql_library
+        QLRisks::forge
+        ${QL_THREAD_LIBRARIES})
+    target_compile_definitions(QuantLib-Risks_benchmark PRIVATE QLRISKS_HAS_FORGE=1)
+
+    if (QL_INSTALL_TEST_SUITE)
+        install(TARGETS QuantLib-Risks_benchmark RUNTIME DESTINATION ${QL_INSTALL_BINDIR})
+    endif()
+    add_test(NAME QuantLib-Risks_benchmark COMMAND QuantLib-Risks_benchmark --log_level=message)
+elseif(QLRISKS_BUILD_BENCHMARK)
+    message(WARNING "QLRisks: QLRISKS_BUILD_BENCHMARK=ON but QLRisks::forge not available")
+endif()
+
+# Standalone benchmark executable - no Boost.Test dependency
+# Can be built with or without Forge
+if(QLRISKS_BUILD_BENCHMARK_STANDALONE)
+    message(STATUS "QLRisks: Building standalone benchmark executable")
+    add_executable(QuantLib-Risks_benchmark_standalone benchmark_main.cpp)
+    set_target_properties(QuantLib-Risks_benchmark_standalone PROPERTIES
+        OUTPUT_NAME "quantlib-risks-benchmark-standalone")
+    target_link_libraries(QuantLib-Risks_benchmark_standalone PRIVATE
+        ql_library
+        ${QL_THREAD_LIBRARIES})
+
+    # Optionally link Forge if available
+    if(TARGET QLRisks::forge)
+        message(STATUS "QLRisks standalone benchmark: Linking QLRisks::forge")
+        target_link_libraries(QuantLib-Risks_benchmark_standalone PRIVATE QLRisks::forge)
+        target_compile_definitions(QuantLib-Risks_benchmark_standalone PRIVATE QLRISKS_HAS_FORGE=1)
+    else()
+        message(STATUS "QLRisks standalone benchmark: Building without Forge (XAD tape only)")
+    endif()
+
+    if (QL_INSTALL_TEST_SUITE)
+        install(TARGETS QuantLib-Risks_benchmark_standalone RUNTIME DESTINATION ${QL_INSTALL_BINDIR})
+    endif()
 endif()