Overhead benchmarks

.github/workflows/ql-type-overhead.yaml

@@ -0,0 +1,197 @@
+##############################################################################
+#
+#  Type Overhead Benchmark: double vs xad::AReal<double>
+#
+#  Measures the passive-mode overhead of xad::AReal<double> vs plain double
+#  for pricing-only workloads (no derivatives, no tape recording).
+#
+#  Both types use the same templated priceSwaption<T>() code, compiled into
+#  a single binary for a fair comparison.
+#
+#  Only requires QuantLib + XAD (no Forge).
+#
+#  Copyright (C) 2025 Xcelerit Computing Limited
+#  SPDX-License-Identifier: AGPL-3.0-or-later
+#
+##############################################################################
+
+name: Type Overhead Benchmark
+
+on:
+  push:
+    branches:
+      - main
+      - forge
+  pull_request:
+    branches:
+      - main
+      - forge
+  workflow_dispatch:
+
+env:
+  QL_REPO: lballabio/QuantLib
+  QL_BRANCH: master
+  XAD_REPO: auto-differentiation/xad
+  XAD_BRANCH: main
+
+jobs:
+  ##############################################################################
+  # Linux
+  ##############################################################################
+  linux:
+    name: Linux, double vs AReal
+    runs-on: ubuntu-latest
+    container:
+      image: ghcr.io/lballabio/quantlib-devenv:rolling
+
+    steps:
+      - name: Hardware Info
+        run: |
+          echo "===== CPU ====="
+          lscpu | grep -E "^(Model name|CPU\(s\)|Thread|Core|Socket|CPU max MHz)"
+          echo "===== Memory ====="
+          free -h
+
+      - name: Checkout QuantLib
+        uses: actions/checkout@v4
+        with:
+          repository: ${{ env.QL_REPO }}
+          ref: ${{ env.QL_BRANCH }}
+          path: QuantLib
+
+      - name: Checkout XAD
+        uses: actions/checkout@v4
+        with:
+          repository: ${{ env.XAD_REPO }}
+          ref: ${{ env.XAD_BRANCH }}
+          path: xad
+
+      - name: Checkout QuantLib-Risks-Cpp
+        uses: actions/checkout@v4
+        with:
+          path: QuantLib-Risks-Cpp
+
+      - name: Setup
+        run: |
+          apt-get update
+          apt-get install -y ninja-build cmake
+
+      - name: ccache
+        uses: hendrikmuhs/[email protected]
+        with:
+          key: linux-type-overhead
+          max-size: 1G
+
+      - name: Configure QuantLib (XAD)
+        run: |
+          cd QuantLib
+          cmake -B build -G Ninja -DBOOST_ROOT=/usr \
+            -DCMAKE_CXX_STANDARD=17 \
+            -DCMAKE_BUILD_TYPE=Release \
+            -DCMAKE_CXX_COMPILER_LAUNCHER=ccache \
+            -DXAD_WARNINGS_PARANOID=OFF \
+            -DXAD_ENABLE_JIT=OFF \
+            -DQL_EXTERNAL_SUBDIRECTORIES="$(pwd)/../xad;$(pwd)/../QuantLib-Risks-Cpp" \
+            -DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks \
+            -DQL_NULL_AS_FUNCTIONS=ON \
+            -DQL_BUILD_TEST_SUITE=OFF \
+            -DQL_BUILD_EXAMPLES=OFF \
+            -DQL_BUILD_BENCHMARK=OFF \
+            -DQLRISKS_DISABLE_AAD=OFF \
+            -DQLRISKS_BUILD_BENCHMARK_OVERHEAD=ON
+
+      - name: Build
+        run: |
+          cd QuantLib/build
+          cmake --build . --target benchmark_overhead
+
+      - name: Run Type Overhead Benchmark
+        run: |
+          cd QuantLib/build
+          ./QuantLib-Risks-Cpp/test-suite/benchmark-overhead --all 2>&1 | tee overhead_results.txt
+
+      - name: Upload Results
+        uses: actions/upload-artifact@v4
+        with:
+          name: linux-overhead-results
+          path: QuantLib/build/overhead_results.txt
+
+  ##############################################################################
+  # Windows
+  ##############################################################################
+  windows:
+    name: Windows, double vs AReal
+    runs-on: windows-2022
+
+    env:
+      VSVARSALL: C:\Program Files\Microsoft Visual Studio\2022\Enterprise\VC\Auxiliary\Build\vcvarsall.bat
+
+    steps:
+      - name: Checkout QuantLib
+        uses: actions/checkout@v4
+        with:
+          repository: ${{ env.QL_REPO }}
+          ref: ${{ env.QL_BRANCH }}
+          path: QuantLib
+
+      - name: Checkout XAD
+        uses: actions/checkout@v4
+        with:
+          repository: ${{ env.XAD_REPO }}
+          ref: ${{ env.XAD_BRANCH }}
+          path: xad
+
+      - name: Checkout QuantLib-Risks-Cpp
+        uses: actions/checkout@v4
+        with:
+          path: QuantLib-Risks-Cpp
+
+      - name: Setup
+        run: choco install -y ninja
+
+      - name: Setup Boost
+        run: |
+          $Url = "https://downloads.sourceforge.net/project/boost/boost-binaries/1.86.0/boost_1_86_0-msvc-14.3-64.exe"
+          (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe")
+          Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
+          echo "BOOST_ROOT=C:\local\boost" >> $env:GITHUB_ENV
+
+      - name: Configure QuantLib (XAD)
+        shell: cmd
+        run: |
+          call "%VSVARSALL%" x64
+          cd QuantLib
+          cmake -B build -G Ninja ^
+            -DCMAKE_CXX_STANDARD=17 ^
+            -DCMAKE_BUILD_TYPE=Release ^
+            -DXAD_WARNINGS_PARANOID=OFF ^
+            -DXAD_ENABLE_JIT=OFF ^
+            -DXAD_STATIC_MSVC_RUNTIME=ON ^
+            -DQL_EXTERNAL_SUBDIRECTORIES="%CD%\..\xad;%CD%\..\QuantLib-Risks-Cpp" ^
+            -DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks ^
+            -DQL_NULL_AS_FUNCTIONS=ON ^
+            -DQL_BUILD_TEST_SUITE=OFF ^
+            -DQL_BUILD_EXAMPLES=OFF ^
+            -DQL_BUILD_BENCHMARK=OFF ^
+            -DQLRISKS_DISABLE_AAD=OFF ^
+            -DQLRISKS_BUILD_BENCHMARK_OVERHEAD=ON
+
+      - name: Build
+        shell: cmd
+        run: |
+          call "%VSVARSALL%" x64
+          cd QuantLib\build
+          cmake --build . --target benchmark_overhead
+
+      - name: Run Type Overhead Benchmark
+        shell: cmd
+        run: |
+          cd QuantLib\build
+          QuantLib-Risks-Cpp\test-suite\benchmark-overhead.exe --all > overhead_results.txt 2>&1
+          type overhead_results.txt
+
+      - name: Upload Results
+        uses: actions/upload-artifact@v4
+        with:
+          name: windows-overhead-results
+          path: QuantLib\build\overhead_results.txt

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
 )