Forge JIT Backend Integration

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
@@ -19,17 +19,72 @@
 #
 #  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)
-if(NOT QLRISKS_DISABLE_AAD)
-    # the test suite is not supporting double
-	add_subdirectory(test-suite)
+
+##############################################################################
+# 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)
+##############################################################################
+
+# Add test-suite if:
+# 1. AAD is enabled (for XAD-based tests and benchmarks), OR
+# 2. FD benchmark is requested (works with plain double)
+if(NOT QLRISKS_DISABLE_AAD OR QLRISKS_BUILD_BENCHMARK_FD)
+    add_subdirectory(test-suite)
 endif()

README.md

@@ -18,6 +18,12 @@ This repository contains integration headers, examples, and tests required
 for this integration.
 It is not usable stand-alone.
 
+## JIT Compilation Support
+
+XAD is optimized for computing sensitivities efficiently in a single evaluation pass using adjoint mode. For workflows that require repeated evaluation across many scenarios—such as Monte Carlo simulations, XVA calculations, regulatory stress testing, or scenario-based risk analysis—XAD also supports recording computations into a [`JITGraph`](https://auto-differentiation.github.io/xad/ref/jit/) that can be compiled and re-evaluated efficiently using a JIT backend. The [xad-forge](https://github.com/da-roth/xad-forge) library provides Forge-based backends for this purpose, including vectorized AVX execution. See the [xad-forge README](https://github.com/da-roth/xad-forge#when-to-use-jit) for guidance on when JIT compilation is beneficial.
+
+The repository includes a [swaption benchmark](.github/workflows/ql-benchmarks.yaml) that demonstrates a hybrid workflow: curve bootstrapping with XAD's tape, followed by Monte Carlo pricing with JIT-compiled evaluation, comparing tape-based, JIT, and JIT-AVX performance.
+
 ## Getting Started
 
 For detailed build instructions with [XAD](https://auto-differentiation.github.io) and [QuantLib](https://www.quantlib.org), please refer to the [XAD documentation site](https://auto-differentiation.github.io/quantlib-risks/cxx/).

ql/CMakeLists.txt

@@ -36,10 +36,10 @@ if(NOT QLRISKS_DISABLE_AAD)
 else()
     target_compile_definitions(QuantLib-Risks INTERFACE QLRISKS_DISABLE_AAD=1)
 endif()
+target_link_libraries(QuantLib-Risks INTERFACE XAD::xad)
 if(MSVC)
     target_compile_options(QuantLib-Risks INTERFACE /bigobj)
 endif()
-target_link_libraries(QuantLib-Risks INTERFACE XAD::xad)
 set_target_properties(QuantLib-Risks PROPERTIES
     EXPORT_NAME QuantLib-Risks
 )

test-suite/CMakeLists.txt

@@ -1,3 +1,6 @@
+option(QLRISKS_BUILD_TEST_SUITE "Build the QuantLib-Risks test suite" OFF)
+option(QLRISKS_ENABLE_FORGE_TESTS "Enable Forge JIT tests (requires Forge)" OFF)
+
 set(QLRISKS_TEST_SOURCES
     americanoption_xad.cpp
     barrieroption_xad.cpp
@@ -9,14 +12,25 @@ set(QLRISKS_TEST_SOURCES
     forwardrateagreement_xad.cpp
     hestonmodel_xad.cpp
     swap_xad.cpp
-    
+
     utilities_xad.cpp
     quantlibtestsuite_xad.cpp
 )
 
+# Forge JIT tests - require Forge's native code backend
+# Tests QuantLib-specific JIT functionality (swaption pricing pipeline)
+set(QLRISKS_FORGE_TESTS_ENABLED FALSE)
+if(QLRISKS_ENABLE_FORGE_TESTS AND TARGET QLRisks::forge)
+    message(STATUS "QLRisks test-suite: Adding Forge JIT tests (native code backend)")
+    list(APPEND QLRISKS_TEST_SOURCES 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 +39,77 @@ 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 - Split FD/AAD executables for fair comparison
+# =============================================================================
+
+# FD benchmark - Finite Differences using plain double QuantLib
+# This is built WITHOUT XAD to ensure fair FD vs AAD comparison
+option(QLRISKS_BUILD_BENCHMARK_FD "Build FD benchmark (plain double, no XAD)" OFF)
+if(QLRISKS_BUILD_BENCHMARK_FD)
+    message(STATUS "QLRisks: Building FD benchmark (plain double)")
+    add_executable(benchmark_fd
+        benchmark_fd.cpp
+        benchmark_common.hpp
+        benchmark_pricing.hpp
+        PlatformInfo.hpp
+    )
+    set_target_properties(benchmark_fd PROPERTIES
+        OUTPUT_NAME "benchmark-fd")
+    target_link_libraries(benchmark_fd PRIVATE
+        ql_library
+        ${QL_THREAD_LIBRARIES})
+
+    if (QL_INSTALL_TEST_SUITE)
+        install(TARGETS benchmark_fd RUNTIME DESTINATION ${QL_INSTALL_BINDIR})
+    endif()
+endif()
+
+# AAD benchmark - XAD tape-based AAD and optionally Forge JIT
+# Built with XAD-enabled QuantLib, optionally links Forge for JIT benchmarks
+option(QLRISKS_BUILD_BENCHMARK_AAD "Build AAD benchmark (XAD tape, optionally Forge JIT)" OFF)
+if(QLRISKS_BUILD_BENCHMARK_AAD)
+    message(STATUS "QLRisks: Building AAD benchmark")
+    add_executable(benchmark_aad
+        benchmark_aad.cpp
+        benchmark_common.hpp
+        benchmark_pricing.hpp
+        PlatformInfo.hpp
+    )
+    set_target_properties(benchmark_aad PROPERTIES
+        OUTPUT_NAME "benchmark-aad")
+    target_link_libraries(benchmark_aad PRIVATE
+        ql_library
+        ${QL_THREAD_LIBRARIES})
+
+    # Link Forge if available for JIT benchmarks
+    if(TARGET QLRisks::forge)
+        message(STATUS "QLRisks AAD benchmark: Linking QLRisks::forge (JIT benchmarks enabled)")
+        target_link_libraries(benchmark_aad PRIVATE QLRisks::forge)
+        target_compile_definitions(benchmark_aad PRIVATE QLRISKS_HAS_FORGE=1)
+    else()
+        message(STATUS "QLRisks AAD benchmark: Building without Forge (XAD tape only)")
+    endif()
+
+    if (QL_INSTALL_TEST_SUITE)
+        install(TARGETS benchmark_aad RUNTIME DESTINATION ${QL_INSTALL_BINDIR})
+    endif()
 endif()