Hakathon Benchmark: 31337 5934|< #47
Workflow file for this run
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| name: Benchmarks | |
| on: | |
| pull_request: | |
| types: [opened, reopened, synchronize, labeled, unlabeled ] | |
| workflow_dispatch: | |
| jobs: | |
| libor: | |
| # if: contains(github.event.pull_request.labels.*.name, 'benchmarks') || github.event_name == 'workflow_dispatch' | |
| name: Libor Swaption Sample | |
| runs-on: ubuntu-latest | |
| container: | |
| image: ghcr.io/foonathan/gcc:12 | |
| outputs: | |
| libor: ${{ steps.libor-results.outputs.result }} | |
| steps: | |
| - name: Hardware characteristics | |
| run: | | |
| echo "----------------- CPU ----------------" | |
| lscpu | |
| echo "------------------ Mem ---------------" | |
| lsmem | |
| - uses: actions/checkout@v4 | |
| - name: ccache | |
| uses: hendrikmuhs/ccache-action@v1.2 | |
| with: | |
| key: benchmark-libor | |
| - name: configure | |
| run: | | |
| mkdir build | |
| cd build | |
| cmake .. -GNinja \ | |
| -DCMAKE_CXX_COMPILER_LAUNCHER=ccache \ | |
| -DCMAKE_BUILD_TYPE=Release \ | |
| -DCMAKE_CXX_COMPILER=g++ \ | |
| -DXAD_NO_THREADLOCAL=ON \ | |
| -DXAD_SIMD_OPTION=AVX2 \ | |
| -DXAD_USE_STRONG_INLINE=ON | |
| - name: build | |
| run: | | |
| cd build | |
| cmake --build . | |
| - name: Run Test | |
| run: | | |
| cd build | |
| ctest --no-compress-output --output-on-failure --parallel $(($(nproc) + 2)) | |
| # if we are on main branch & triggered by workflow-dispatch, push artefact | |
| - name: Push Reference | |
| uses: actions/upload-artifact@v4 | |
| if: github.event_name == 'workflow_dispatch' | |
| with: | |
| name: libor_exe | |
| path: build/samples/LiborSwaptionPricer/LiborSwaptionPricer | |
| if-no-files-found: error | |
| retention-days: 90 | |
| overwrite: true | |
| # if we are in a pull request, pull the uploaded artifact from earlier and run | |
| - name: Pull Reference | |
| if: github.event_name == 'pull_request' | |
| run: | | |
| mkdir -p build/samples/LiborSwaptionPricer/ref | |
| cd build/samples/LiborSwaptionPricer/ref | |
| curl -L "https://xadhackathon.s3.eu-west-1.amazonaws.com/libor_exe.zip" --output artifact.zip | |
| unzip artifact.zip | |
| chmod +x LiborSwaptionPricer | |
| - name: Run Reference | |
| if: github.event_name == 'pull_request' | |
| run: | | |
| set -e | |
| cd build/samples/LiborSwaptionPricer/ref | |
| ls -l | |
| file ./LiborSwaptionPricer | |
| chmod +x ./LiborSwaptionPricer | |
| rm -f ../reference.log || true | |
| # warmup run | |
| ./LiborSwaptionPricer 50000 | |
| for i in $(seq 1 ${{ vars.REPETITIONS }}) ; do \ | |
| ./LiborSwaptionPricer 50000 | tee -a ../reference.log ; \ | |
| done | |
| - name: Run Benchmark | |
| if: github.event_name == 'pull_request' | |
| run: | | |
| set -e | |
| cd build/samples/LiborSwaptionPricer | |
| rm -f output.log || true | |
| # warmup run | |
| ./LiborSwaptionPricer 50000 | |
| for i in $(seq 1 ${{ vars.REPETITIONS }}) ; do \ | |
| ./LiborSwaptionPricer 50000 | tee -a output.log ; \ | |
| done | |
| - name: Prepare results | |
| if: github.event_name == 'pull_request' | |
| id: libor-results | |
| run: | | |
| set -e | |
| apt-get update && apt-get install -y bc datamash | |
| echo "Min Max Mean StdDev Median TrimMean GeoMean HarmMean" | |
| echo "*Output*" | |
| awk '$2 == "AAD" { print $4 }' build/samples/LiborSwaptionPricer/output.log | datamash min 1 max 1 mean 1 sstdev 1 median 1 trimmean 1 geomean 1 harmmean 1 | |
| OUT_TIME=$(awk '$2 == "AAD" { print $4 }' build/samples/LiborSwaptionPricer/output.log | datamash median 1) | |
| echo "*Reference*" | |
| awk '$2 == "AAD" { print $4 }' build/samples/LiborSwaptionPricer/reference.log | datamash min 1 max 1 mean 1 sstdev 1 median 1 trimmean 1 geomean 1 harmmean 1 | |
| REF_TIME=$(awk '$2 == "AAD" { print $4 }' build/samples/LiborSwaptionPricer/reference.log | datamash median 1) | |
| DIFFERENCE=$(echo "scale=9; $REF_TIME - $OUT_TIME" | bc | awk '{printf "%.3f\n", $1}') | |
| echo "Difference: $DIFFERENCE" | |
| PERCENTAGE=$(echo "scale=9; (($REF_TIME - $OUT_TIME) / $REF_TIME) * 100.0" | bc | awk '{printf "%.3f\n", $1}') | |
| echo "Percentage: $PERCENTAGE" | |
| echo "result=| ${REF_TIME}s | ${OUT_TIME}s | ${PERCENTAGE}% |" >> "$GITHUB_OUTPUT" | |
| quantlib: | |
| name: QuantLib Samples | |
| runs-on: ubuntu-latest | |
| container: ghcr.io/lballabio/quantlib-devenv:noble-1.85.0 | |
| outputs: | |
| test: ${{ steps.test-results.outputs.result }} | |
| bermudan: ${{ steps.bermudan-results.outputs.result }} | |
| steps: | |
| - name: Hardware characteristics | |
| run: | | |
| echo "----------------- CPU ----------------" | |
| lscpu | |
| echo "------------------ Mem ---------------" | |
| lsmem | |
| - uses: actions/checkout@v4 | |
| with: | |
| path: xad | |
| - uses: actions/checkout@v4 | |
| with: | |
| repository: lballabio/QuantLib | |
| ref: v1.35 | |
| path: QuantLib | |
| - uses: actions/checkout@v4 | |
| with: | |
| path: QuantLib-Risks-Cpp | |
| repository: auto-differentiation/QuantLib-Risks-Cpp | |
| ref: a1fcf4f0fab0a464710c249aa76871421675babd | |
| - name: ccache | |
| uses: hendrikmuhs/ccache-action@v1.2 | |
| with: | |
| key: benchmark-quantlib | |
| - name: Setup | |
| run: | | |
| apt-get update \ | |
| && apt-get install -y ninja-build bc datamash | |
| - name: Configure | |
| run: | | |
| cd QuantLib | |
| mkdir build | |
| cd build | |
| cmake -G Ninja -DBOOST_ROOT=/usr \ | |
| -DCMAKE_CXX_STANDARD=17 \ | |
| -DQLRISKS_DISABLE_AAD=OFF \ | |
| -DCMAKE_BUILD_TYPE=Release \ | |
| -DCMAKE_CXX_COMPILER_LAUNCHER=ccache \ | |
| -DQL_EXTERNAL_SUBDIRECTORIES="$(pwd)/../../xad;$(pwd)/../../QuantLib-Risks-Cpp" \ | |
| -DQL_EXTRA_LINK_LIBRARIES=QuantLib-Risks \ | |
| -DQL_NULL_AS_FUNCTIONS=ON \ | |
| -DXAD_NO_THREADLOCAL=ON \ | |
| -DXAD_SIMD_OPTION=AVX2 \ | |
| .. | |
| - name: Compile | |
| run: | | |
| cd QuantLib/build | |
| cmake --build . | |
| - name: Test QuantLib | |
| if: github.event_name == 'pull_request' | |
| run: | | |
| cd QuantLib/build | |
| ./test-suite/quantlib-test-suite --log_level=message | |
| - name: Test QuantLib-Risks | |
| if: github.event_name == 'pull_request' | |
| run: | | |
| cd QuantLib/build | |
| ./QuantLib-Risks-Cpp/test-suite/quantlib-risks-test-suite --log_level=message | |
| # if we are on main branch & triggered by workflow-dispatch, push artefact | |
| - name: Push Reference Test-suite | |
| uses: actions/upload-artifact@v4 | |
| if: github.event_name == 'workflow_dispatch' | |
| with: | |
| name: ql_test_exe | |
| path: QuantLib/build/test-suite/quantlib-test-suite | |
| if-no-files-found: error | |
| retention-days: 90 | |
| overwrite: true | |
| - name: Push Reference AdjointBermudan | |
| uses: actions/upload-artifact@v4 | |
| if: github.event_name == 'workflow_dispatch' | |
| with: | |
| name: ql_bermudan_exe | |
| path: QuantLib/build/QuantLib-Risks-Cpp/Examples/AdjointBermudanSwaption/AdjointBermudanSwaption | |
| if-no-files-found: error | |
| retention-days: 90 | |
| overwrite: true | |
| # if we are in a pull request, pull the uploaded artifact from earlier and run | |
| - name: Pull Reference Test-suite | |
| if: github.event_name == 'pull_request' | |
| run: | | |
| mkdir -p QuantLib/build/test-suite/ref | |
| cd QuantLib/build/test-suite/ref | |
| wget "https://xadhackathon.s3.eu-west-1.amazonaws.com/test-suite.zip" --output-document artifact.zip | |
| unzip artifact.zip | |
| chmod +x quantlib-test-suite | |
| - name: Pull Reference AdjointBermudan | |
| if: github.event_name == 'pull_request' | |
| run: | | |
| mkdir -p QuantLib/build/QuantLib-Risks-Cpp/Examples/AdjointBermudanSwaption/ref | |
| cd QuantLib/build/QuantLib-Risks-Cpp/Examples/AdjointBermudanSwaption/ref | |
| wget "https://xadhackathon.s3.eu-west-1.amazonaws.com/swaption.zip" --output-document artifact.zip | |
| unzip artifact.zip | |
| chmod +x AdjointBermudanSwaption | |
| - name: Run Reference Test-suite | |
| if: github.event_name == 'pull_request' | |
| run: | | |
| set -e | |
| cd QuantLib/build/test-suite/ref | |
| ls -l | |
| file ./quantlib-test-suite | |
| chmod +x ./quantlib-test-suite | |
| # warmup run | |
| ./quantlib-test-suite --log_level=test_suite --run_test="QuantLibTests/*/testPathwiseGreeks" | grep -v "is skipped because" | |
| rm -f ../reference.log || true | |
| for i in $(seq 1 ${{ vars.REPETITIONS }}) ; do \ | |
| ./quantlib-test-suite --log_level=test_suite --run_test="QuantLibTests/*/testPathwiseGreeks" | grep -v "is skipped because" | tee -a ../reference.log ; \ | |
| done | |
| - name: Run Benchmark Test-suite | |
| if: github.event_name == 'pull_request' | |
| run: | | |
| set -e | |
| cd QuantLib/build/test-suite | |
| rm -f output.log || true | |
| # warmup run | |
| ./quantlib-test-suite --log_level=test_suite --run_test="QuantLibTests/*/testPathwiseGreeks" | grep -v "is skipped because" | |
| for i in $(seq 1 ${{ vars.REPETITIONS }}) ; do \ | |
| ./quantlib-test-suite --log_level=test_suite --run_test="QuantLibTests/*/testPathwiseGreeks" | grep -v "is skipped because" | tee -a output.log ; \ | |
| done | |
| - name: Prepare results Tests-suite | |
| if: github.event_name == 'pull_request' | |
| id: test-results | |
| run: | | |
| set -e | |
| ls -l QuantLib/build/test-suite/ | |
| echo "Min Max Mean StdDev Median TrimMean GeoMean HarmMean" | |
| echo "*Output*" | |
| sed -e 's/us$//g' -e 's/ms$/000/g' QuantLib/build/test-suite/output.log | awk ' $0 ~ /Leaving test case.*testPathwiseGreeks/ { print $NF }' | datamash min 1 max 1 mean 1 sstdev 1 median 1 trimmean 1 geomean 1 harmmean 1 | |
| OUT_TIME=$(sed -e 's/us$//g' -e 's/ms$/000/g' QuantLib/build/test-suite/output.log | awk ' $0 ~ /Leaving test case.*testPathwiseGreeks/ { print $NF }' | datamash median 1) | |
| echo "*Reference*" | |
| sed -e 's/us$//g' -e 's/ms$/000/g' QuantLib/build/test-suite/reference.log | awk ' $0 ~ /Leaving test case.*testPathwiseGreeks/ { print $NF }' | datamash min 1 max 1 mean 1 sstdev 1 median 1 trimmean 1 geomean 1 harmmean 1 | |
| REF_TIME=$(sed -e 's/us$//g' -e 's/ms$/000/g' QuantLib/build/test-suite/reference.log | awk ' $0 ~ /Leaving test case.*testPathwiseGreeks/ { print $NF }' | datamash median 1) | |
| DIFFERENCE=$(echo "scale=9; $REF_TIME - $OUT_TIME" | bc | awk '{printf "%.3f\n", $1}') | |
| echo "Difference: $DIFFERENCE" | |
| PERCENTAGE=$(echo "scale=9; (($REF_TIME - $OUT_TIME) / $REF_TIME) * 100.0" | bc | awk '{printf "%.3f\n", $1}') | |
| echo "Percentage: $PERCENTAGE" | |
| echo "result=| ${REF_TIME}ms | ${OUT_TIME}ms | ${PERCENTAGE}% |" >> "$GITHUB_OUTPUT" | |
| - name: Run Reference AdjointBermudan | |
| if: github.event_name == 'pull_request' | |
| run: | | |
| set -e | |
| cd QuantLib/build/QuantLib-Risks-Cpp/Examples/AdjointBermudanSwaption/ref | |
| ls -l | |
| file ./AdjointBermudanSwaption | |
| chmod +x ./AdjointBermudanSwaption | |
| rm -f ../reference.log || true | |
| # warmup run | |
| ./AdjointBermudanSwaption 200 | |
| for i in $(seq 1 ${{ vars.REPETITIONS }}) ; do \ | |
| ./AdjointBermudanSwaption 200 | tee -a ../reference.log ; \ | |
| done | |
| ls -l .. | |
| - name: Run Benchmark AdjointBermudan | |
| if: github.event_name == 'pull_request' | |
| run: | | |
| set -e | |
| cd QuantLib/build/QuantLib-Risks-Cpp/Examples/AdjointBermudanSwaption | |
| rm -f output.log || true | |
| # warmup run | |
| ./AdjointBermudanSwaption 200 | |
| for i in $(seq 1 ${{ vars.REPETITIONS }}) ; do \ | |
| ./AdjointBermudanSwaption 200 | tee -a output.log ; \ | |
| done | |
| ls -l . | |
| - name: Prepare results Bermudan | |
| if: github.event_name == 'pull_request' | |
| id: bermudan-results | |
| run: | | |
| set -e | |
| ls -l QuantLib/build/QuantLib-Risks-Cpp/Examples/AdjointBermudanSwaption/ | |
| echo "Min Max Mean StdDev Median TrimMean GeoMean HarmMean" | |
| echo "*Output*" | |
| awk '$1 == "For" && $7 == "average" { print $8 }' QuantLib/build/QuantLib-Risks-Cpp/Examples/AdjointBermudanSwaption/output.log | datamash min 1 max 1 mean 1 sstdev 1 median 1 trimmean 1 geomean 1 harmmean 1 | |
| OUT_TIME=$(awk '$1 == "For" && $7 == "average" { print $8 }' QuantLib/build/QuantLib-Risks-Cpp/Examples/AdjointBermudanSwaption/output.log | datamash median 1) | |
| echo "*Reference*" | |
| awk '$1 == "For" && $7 == "average" { print $8 }' QuantLib/build/QuantLib-Risks-Cpp/Examples/AdjointBermudanSwaption/reference.log | datamash min 1 max 1 mean 1 sstdev 1 median 1 trimmean 1 geomean 1 harmmean 1 | |
| REF_TIME=$(awk '$1 == "For" && $7 == "average" { print $8 }' QuantLib/build/QuantLib-Risks-Cpp/Examples/AdjointBermudanSwaption/reference.log | datamash median 1) | |
| DIFFERENCE=$(echo "scale=9; $REF_TIME - $OUT_TIME" | bc | awk '{printf "%.3f\n", $1}') | |
| echo "Difference: $DIFFERENCE" | |
| PERCENTAGE=$(echo "scale=9; (($REF_TIME - $OUT_TIME) / $REF_TIME) * 100.0" | bc | awk '{printf "%.3f\n", $1}') | |
| echo "Percentage: $PERCENTAGE" | |
| echo "result=| ${REF_TIME}ms | ${OUT_TIME}ms | ${PERCENTAGE}% |" >> "$GITHUB_OUTPUT" | |
| update-runid: | |
| name: Update Run-id | |
| runs-on: ubuntu-latest | |
| if: github.event_name == 'workflow_dispatch' | |
| needs: | |
| - quantlib | |
| - libor | |
| steps: | |
| - uses: actions/checkout@v4 | |
| - name: Set runid variable | |
| run: | | |
| gh variable list | |
| gh variable set REFERENCE_RUN_ID --body "${{ github.run_id }}" | |
| gh variable list | |
| env: | |
| GH_TOKEN: ${{ secrets.WORKFLOW_READ_TOKEN }} | |
| collect: | |
| name: Collect Results | |
| runs-on: ubuntu-latest | |
| if: github.event_name == 'pull_request' | |
| needs: | |
| - quantlib | |
| - libor | |
| env: | |
| LIBOR: ${{ needs.libor.outputs.libor }} | |
| TESTSUITE: ${{ needs.quantlib.outputs.test }} | |
| BERMUDAN: ${{ needs.quantlib.outputs.bermudan }} | |
| steps: | |
| - name: Collect results into markdown | |
| run: | | |
| echo "## Performance Results" > results.md | |
| echo "" >> results.md | |
| echo "Median of the ${{ vars.REPETITIONS }} executions, with pre-built reference and this PR's version." >> results.md | |
| echo "" >> results.md | |
| echo "| Application | Reference | Result | Improvement |" >> results.md | |
| echo "|-------------|----------:|-------:|------------:|" >> results.md | |
| echo "| [LIBOR Swaption (50K paths)](https://github.com/auto-differentiation/xad/tree/main/samples/LiborSwaptionPricer) $LIBOR" >> results.md | |
| echo "| [Bermudan Swaption (200 repetitions)](https://github.com/auto-differentiation/QuantLib-Risks-Cpp/blob/main/Examples/AdjointBermudanSwaption/AdjointBermudanSwaptionXAD.cpp) $BERMUDAN" >> results.md | |
| echo "| [testPathwiseGreeks](https://github.com/lballabio/QuantLib/blob/v1.35/test-suite/marketmodel.cpp#L2090) $TESTSUITE" >> results.md | |
| - name: Find Comment | |
| uses: peter-evans/find-comment@v3 | |
| if: github.event_name == 'pull_request' | |
| id: fc | |
| with: | |
| issue-number: ${{ github.event.pull_request.number }} | |
| comment-author: 'github-actions[bot]' | |
| body-includes: Performance Results | |
| - name: Post or update PR comment | |
| id: pr-comment | |
| if: github.event_name == 'pull_request' | |
| uses: peter-evans/create-or-update-comment@v4 | |
| with: | |
| comment-id: ${{ steps.fc.outputs.comment-id }} | |
| issue-number: ${{ github.event.pull_request.number }} | |
| body-path: results.md | |
| edit-mode: replace |