ci.yaml

# Workflow to run against the corresponding QuantLib release,
# testing if the build and tests are working fine
# Note: In addition to pushes/pull requests, this workflow 
# can also be executed manually, and the repositories / branches 
# for QuantLib and XAD can be provided in this case.
name: CI
on: 
  push:
  pull_request:
  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
  schedule:
    - cron: '02 5 * * *'  # 5:02 every day
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:

  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: ${{ env.xad_branch }}
        path: xad
    - uses: actions/checkout@v4
      with:
        path: QuantLib-Risks-Cpp
    - name: ccache
      uses: hendrikmuhs/ccache-action@v1.2.12
      with:
        key: linux-${{ 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 }} \
          -DQLRISKS_DISABLE_AAD=${{ matrix.disable_aad }} \
          -DCMAKE_BUILD_TYPE=Release \
          -DCMAKE_CXX_COMPILER_LAUNCHER=ccache \
          -DQL_EXTERNAL_SUBDIRECTORIES="$(pwd)/../../xad;$(pwd)/../../QuantLib-Risks-Cpp" \
          -DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks \
          -DQL_NULL_AS_FUNCTIONS=ON \
          -DCMAKE_INSTALL_PREFIX=$(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 QuantLib-Risks
      if: ${{ matrix.disable_aad == 'OFF' }}
      run: |
        cd QuantLib/build
        ./QuantLib-Risks-Cpp/test-suite/quantlib-risks-test-suite --log_level=message
    - name: Install
      if: ${{ matrix.disable_aad == 'OFF' }}
      run: |
        cd QuantLib/build
        cmake --install .
    - name: Test Install
      if: ${{ matrix.disable_aad == 'OFF' }}
      run: |
        mkdir installtest
        cp QuantLib-Risks-Cpp/Examples/AdjointSwap/AdjointSwapXAD.cpp installtest
        cd installtest
        echo "cmake_minimum_required(VERSION 3.15.2)" > CMakeLists.txt
        echo "project(QlTest LANGUAGES CXX)" >> CMakeLists.txt
        echo "find_package(QuantLib-Risks REQUIRED)" >> CMakeLists.txt
        echo "add_executable(AdjointSwapXAD AdjointSwapXAD.cpp)" >> CMakeLists.txt
        echo "target_link_libraries(AdjointSwapXAD PRIVATE QuantLib::QuantLib)" >> CMakeLists.txt
        echo "target_compile_features(AdjointSwapXAD PUBLIC cxx_std_17)" >> CMakeLists.txt
        mkdir build
        cd build
        cmake -G Ninja -DBOOST_ROOT=/usr \
          -DCMAKE_BUILD_TYPE=Release \
          -DCMAKE_PREFIX_PATH=$(pwd)/../../install \
          ..
        cmake --build .
        ./AdjointSwapXAD




  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@v3
      with:
        repository: ${{ env.ql_repo }}
        ref: ${{ env.ql_branch }}
        path: QuantLib
    - uses: actions/checkout@v3
      with:
        repository: ${{ env.xad_repo }}
        ref: ${{ env.xad_branch }}
        path: xad
    - uses: actions/checkout@v3
      with:
        path: QuantLib-Risks-Cpp
    - name: sccache
      uses: hendrikmuhs/ccache-action@v1.2.12
      with:
        key: windows-${{ matrix.disable_aad }}
        variant: sccache
        max-size: 650M
    - name: Setup
      run: |
        choco install -y ninja
        $Url = "https://downloads.sourceforge.net/project/boost/boost-binaries/1.84.0/boost_1_84_0-msvc-14.3-64.exe"
        (New-Object System.Net.WebClient).DownloadFile($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 "${{ env.vsvarsall }}" amd64
        cmake .. -G Ninja -DQLRISKS_DISABLE_AAD=${{ matrix.disable_aad }} ^
        -DCMAKE_CXX_STANDARD=${{ matrix.cxx }} ^
        -DCMAKE_CXX_COMPILER_LAUNCHER=sccache ^
        -DCMAKE_BUILD_TYPE=Release ^
        -DQL_EXTERNAL_SUBDIRECTORIES="${{ github.workspace }}/xad;${{ github.workspace }}/QuantLib-Risks-Cpp" ^
        -DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks ^
        -DQL_NULL_AS_FUNCTIONS=ON ^
        -DXAD_STATIC_MSVC_RUNTIME=ON ^
        -DCMAKE_INSTALL_PREFIX=${{ 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 QuantLib-Risks
      if: ${{ matrix.disable_aad == 'OFF' }}
      shell: cmd
      run: |
        cd QuantLib\build
        call "${{ env.vsvarsall }}" amd64
        .\QuantLib-Risks-Cpp\test-suite\quantlib-risks-test-suite --log_level=message
    - name: Install
      if: ${{ matrix.disable_aad == 'OFF' }}
      run: |
        cd QuantLib/build
        cmake --install .
    - name: Test Install
      if: ${{ matrix.disable_aad == 'OFF' }}
      env:
        BOOST_ROOT: C:\local\boost
      shell: cmd
      run: |
        mkdir installtest
        copy QuantLib-Risks-Cpp\Examples\AdjointSwap\AdjointSwapXAD.cpp installtest
        cd installtest
        echo cmake_minimum_required(VERSION 3.15.2) > CMakeLists.txt
        echo project(QlTest LANGUAGES CXX) >> CMakeLists.txt
        echo find_package(QuantLib-Risks REQUIRED) >> CMakeLists.txt
        echo add_executable(AdjointSwapXAD AdjointSwapXAD.cpp) >> CMakeLists.txt
        echo target_link_libraries(AdjointSwapXAD PRIVATE QuantLib::QuantLib) >> CMakeLists.txt
        echo set_target_properties(AdjointSwapXAD PROPERTIES MSVC_RUNTIME_LIBRARY MultiThreaded) >> CMakeLists.txt
        echo target_compile_features(AdjointSwapXAD PUBLIC cxx_std_17) >> CMakeLists.txt
        mkdir build
        cd build
        call "${{ env.vsvarsall }}" amd64
        cmake -G Ninja -DCMAKE_BUILD_TYPE=Release -DCMAKE_PREFIX_PATH=${{ github.workspace }}/install ..
        cmake --build .
        AdjointSwapXAD.exe


  xad-macos:
    strategy:
      fail-fast: false
      matrix:
        disable_aad: ["ON", "OFF"]
        cxx: ["17", "20"]
    runs-on: macos-13
    env:
      CXXFLAGS: -stdlib=libc++ -mmacosx-version-min=10.9
    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: ${{ env.xad_branch }}
        path: xad
    - uses: actions/checkout@v4
      with:
        path: QuantLib-Risks-Cpp
    - name: Setup
      run: |
        brew install boost
        brew install ninja
        brew install ccache
    - name: ccache
      uses: hendrikmuhs/ccache-action@v1.2.12
      with:
        key: macos-${{ matrix.disable_aad }}
        max-size: 650M
    - name: Configure
      run: |
        cd QuantLib
        mkdir build
        cd build
        cmake -G Ninja -DBOOST_ROOT=/usr \
        -DCMAKE_CXX_STANDARD=${{ matrix.cxx }} \
          -DQLRISKS_DISABLE_AAD=${{ matrix.disable_aad }} \
          -DCMAKE_BUILD_TYPE=Release \
          -DCMAKE_CXX_COMPILER_LAUNCHER=ccache \
          -DQL_EXTERNAL_SUBDIRECTORIES="${{ github.workspace }}/xad;${{ github.workspace }}/QuantLib-Risks-Cpp" \
          -DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks \
          -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 QuantLib-Risks
      if: ${{ matrix.disable_aad == 'OFF' }}
      run: |
        cd QuantLib/build
        ./QuantLib-Risks-Cpp/test-suite/quantlib-risks-test-suite --log_level=message
    - name: Install
      if: ${{ matrix.disable_aad == 'OFF' }}
      run: |
        cd QuantLib/build
        cmake --install .
    - name: Test Install
      if: ${{ matrix.disable_aad == 'OFF' }}
      run: |
        mkdir installtest
        cp QuantLib-Risks-Cpp/Examples/AdjointSwap/AdjointSwapXAD.cpp installtest
        cd installtest
        echo "cmake_minimum_required(VERSION 3.15.2)" > CMakeLists.txt
        echo "project(QlTest LANGUAGES CXX)" >> CMakeLists.txt
        echo "find_package(QuantLib-Risks REQUIRED)" >> CMakeLists.txt
        echo "add_executable(AdjointSwapXAD AdjointSwapXAD.cpp)" >> CMakeLists.txt
        echo "target_link_libraries(AdjointSwapXAD PRIVATE QuantLib::QuantLib)" >> CMakeLists.txt
        echo "target_compile_features(AdjointSwapXAD PUBLIC cxx_std_17)" >> CMakeLists.txt
        mkdir build
        cd build
        cmake -G Ninja -DBOOST_ROOT=/usr \
          -DCMAKE_BUILD_TYPE=Release \
          -DCMAKE_PREFIX_PATH=${{ github.workspace }}/install \
          ..
        cmake --build .
        ./AdjointSwapXAD

  xad-linux-std-classes:
    strategy:
      fail-fast: false
    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: ${{ env.xad_branch }}
        path: xad
    - uses: actions/checkout@v4
      with:
        path: QuantLib-Risks-Cpp
    - name: Setup
      run: |
        apt-get update \
        && apt install -y ccache ninja-build \
    - name: ccache
      uses: hendrikmuhs/ccache-action@v1.2.12
      with:
        key: linux-std-classes
        max-size: 650M
    - name: Configure
      run: |
        cd QuantLib
        mkdir build
        cd build
        cmake -G Ninja -DBOOST_ROOT=/usr \
        -DQL_USE_STD_CLASSES=ON \
        -DCMAKE_BUILD_TYPE=Release \
        -DCMAKE_CXX_COMPILER_LAUNCHER=ccache \
        -DQL_EXTERNAL_SUBDIRECTORIES="$(pwd)/../../xad;$(pwd)/../../QuantLib-Risks-Cpp" \
        -DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks \
        -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 QuantLib-Risks
      run: |
        cd QuantLib/build
        ./QuantLib-Risks-Cpp/test-suite/quantlib-risks-test-suite --log_level=message