ComputationGraphBuilder Class Reference

#include <ored/scripting/computationgraphbuilder.hpp>

Collaboration diagram for ComputationGraphBuilder:

Classes
struct	PayLogEntry

Public Member Functions
	ComputationGraphBuilder (ComputationGraph &g, const std::vector< std::string > &opLabels, const ASTNodePtr root, const QuantLib::ext::shared_ptr< Context > context, const QuantLib::ext::shared_ptr< ModelCG > model=nullptr)
void	run (const bool generatePayLog, const bool includePastCashflows=false, const std::string &script="", bool interactive=false)
const std::set< std::size_t > &	keepNodes () const
const std::vector< PayLogEntry > &	payLogEntries () const

Private Attributes
ComputationGraph &	g_
const std::vector< std::string >	opLabels_
const ASTNodePtr	root_
const QuantLib::ext::shared_ptr< Context >	context_
const QuantLib::ext::shared_ptr< ModelCG >	model_
std::set< std::size_t >	keepNodes_
std::vector< PayLogEntry >	payLogEntries_

Detailed Description

Definition at line 36 of file computationgraphbuilder.hpp.

Constructor & Destructor Documentation

ComputationGraphBuilder()

ComputationGraphBuilder	(	ComputationGraph &	g,
		const std::vector< std::string > &	opLabels,
		const ASTNodePtr	root,
		const QuantLib::ext::shared_ptr< Context >	context,
		const QuantLib::ext::shared_ptr< ModelCG >	model = nullptr
	)

Definition at line 49 of file computationgraphbuilder.hpp.

        : g_(g), opLabels_(opLabels), root_(root), context_(context), model_(model) {}

Member Function Documentation

run()

void run	(	const bool	generatePayLog,
		const bool	includePastCashflows = false,
		const std::string &	script = "",
		bool	interactive = false
	)

Definition at line 1485 of file computationgraphbuilder.cpp.

                                                    {
 
    keepNodes_.clear();
    payLogEntries_.clear();
 
    ASTNode* loc;
    ASTRunner runner(g_, opLabels_, model_, generatePayLog, generatePayLog && includePastCashflows, script, interactive,
                     *context_, loc, keepNodes_, payLogEntries_);
 
    randomvariable_output_pattern pattern;
    if (model_ == nullptr || model_->type() == ModelCG::Type::MC) {
        pattern = randomvariable_output_pattern(randomvariable_output_pattern::pattern::expectation);
    } else if (model_->type() == ModelCG::Type::FD) {
        pattern = randomvariable_output_pattern(randomvariable_output_pattern::pattern::left_middle_right);
    } else {
        QL_FAIL("model type not handled when setting output pattern for random variables");
    }
 
    DLOG("run computation graph builder, context is:");
    DLOGGERSTREAM(pattern << *context_);
 
    if (interactive) {
        std::cerr << pattern << "\nInitial Context: \n" << (*context_) << std::endl;
    }
 
    boost::timer::cpu_timer timer;
    try {
        reset(root_);
        root_->accept(runner);
        timer.stop();
        QL_REQUIRE(runner.value.size() == 1, "ComputationGraphBuilder::run(): value stack has wrong size ("
                                                 << runner.value.size() << "), should be 1");
        QL_REQUIRE(runner.filter.size() == 1, "ComputationGraphBuilder::run(): filter stack has wrong size ("
                                                  << runner.filter.size() << "), should be 1");
        QL_REQUIRE(runner.value_node.size() == 1, "ComputationGraphBuilder::run(): value_node stack has wrong size ("
                                                      << runner.value_node.size() << "), should be 1");
        QL_REQUIRE(runner.filter_node.size() == 1, "ComputationGraphBuilder::run(): filter_node stack has wrong size ("
                                                       << runner.filter_node.size() << "), should be 1");
        DLOG("computation graph builder successfully finished, context after run is:");
 
        if (interactive) {
            std::cerr << "\ncomputation graph builder finished without errors. Context after run:" << std::endl;
        }
 
    } catch (const std::exception& e) {
        std::ostringstream errorMessage;
        errorMessage << "Error during computation graph building: " << e.what() << " at "
                     << (loc ? to_string(loc->locationInfo) : "(last visited ast node not known)") << ": "
                     << printCodeContext(script, loc, true);
 
        std::ostringstream strippedErrorMsg;
        strippedErrorMsg << "Error during computation graph building: " << e.what() << " at "
                        << (loc ? to_string(loc->locationInfo) : "(last visited ast node not known)");
 
        DLOGGERSTREAM(strippedErrorMsg.str());
        DLOGGERSTREAM(printCodeContext(script, loc));
        DLOGGERSTREAM("Context when hitting the error:\n");
        DLOGGERSTREAM(pattern << *context_);
        DLOGGERSTREAM("SSA-Form when hitting the error:\n");
        DLOGGERSTREAM(pattern << ssaForm(g_, opLabels_));
 
        if (interactive) {
            std::cerr << strippedErrorMsg.str() << "\n";
            std::cerr << printCodeContext(script, loc);
            std::cerr << "Context when hitting the error:" << std::endl;
            std::cerr << (*context_) << std::endl;
            std::cerr << "SSA-Form when hitting the error:";
            std::cerr << pattern << ssaForm(g_, opLabels_);
            std::cin.get();
        }
 
        QL_FAIL(errorMessage.str());
    }
 
    DLOGGERSTREAM(pattern << *context_);
    DLOG("computation graph builder running time: " << timer.elapsed().wall / 1E3 << " mus");
 
    if (interactive) {
        std::cerr << pattern << "<<<<\n" << *context_ << ">>>>\n" << std::endl;
        std::cerr << pattern << "<<<<\n" << ssaForm(g_, opLabels_) << ">>>>\n" << std::endl;
        std::cin.get();
    }
}

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keepNodes()

const std::set< std::size_t > & keepNodes

(

)

const

Definition at line 54 of file computationgraphbuilder.hpp.

{ return keepNodes_; }

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payLogEntries()

const std::vector< PayLogEntry > & payLogEntries

(

)

const

Definition at line 55 of file computationgraphbuilder.hpp.

{ return payLogEntries_; }

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Member Data Documentation

g_

ComputationGraph& g_

private

Definition at line 58 of file computationgraphbuilder.hpp.

opLabels_

const std::vector<std::string> opLabels_

private

Definition at line 60 of file computationgraphbuilder.hpp.

root_

const ASTNodePtr root_

private

Definition at line 61 of file computationgraphbuilder.hpp.

context_

const QuantLib::ext::shared_ptr<Context> context_

private

Definition at line 62 of file computationgraphbuilder.hpp.

model_

const QuantLib::ext::shared_ptr<ModelCG> model_

private

Definition at line 63 of file computationgraphbuilder.hpp.

keepNodes_

std::set<std::size_t> keepNodes_

private

Definition at line 65 of file computationgraphbuilder.hpp.

payLogEntries_

std::vector<PayLogEntry> payLogEntries_

private

Definition at line 66 of file computationgraphbuilder.hpp.