ssaform.cpp

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/*
 Copyright (C) 2021 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <qle/ad/ssaform.hpp>
 
#include <qle/math/randomvariable.hpp>
#include <qle/math/randomvariable_io.hpp>
 
#include <sstream>
 
namespace QuantExt {
 
namespace {
std::string getLabel(const ComputationGraph& g, const std::size_t i, const bool includeLabels = true) {
    auto l = g.labels().find(i);
    std::string label = "v_" + std::to_string(i);
    if (l != g.labels().end() && includeLabels) {
        for (auto tmp = l->second.begin(); tmp != l->second.end(); ++tmp) {
            label = label + (tmp == l->second.begin() ? "[" : "") + *tmp +
                    (tmp != std::next(l->second.end(), -1) ? ";" : "]");
        }
    }
    return label;
}
} // namespace
 
template <class T>
std::string ssaForm(const ComputationGraph& g, const std::vector<std::string>& opCodeLabels,
                    const std::vector<T>& values, const std::vector<T>& values2) {
 
    std::ostringstream os;
 
    for (std::size_t i = 0; i < g.size(); ++i) {
 
        os << i << "," << getLabel(g, i);
 
        os << ",";
        if (!g.predecessors(i).empty()) {
            os << (opCodeLabels.size() > g.opId(i) ? opCodeLabels[g.opId(i)] : "???") << "(";
            for (std::size_t j = 0; j < g.predecessors(i).size(); ++j) {
                auto p = g.predecessors(i)[j];
                os << getLabel(g, p, false) << (j < g.predecessors(i).size() - 1 ? ";" : "");
            }
            os << ")";
        }
 
        if (values.size() > i) {
            os << "," << values[i];
        }
 
        if (values2.size() > i) {
            os << "," << values2[i];
        }
 
        os << "\n";
    }
 
    return os.str();
}
 
template std::string ssaForm(const ComputationGraph& g, const std::vector<std::string>& opCodeLabels,
                             const std::vector<double>& values, const std::vector<double>& values2);
template std::string ssaForm(const ComputationGraph& g, const std::vector<std::string>& opCodeLabels,
                             const std::vector<RandomVariable>& values, const std::vector<RandomVariable>& values2);
 
} // namespace QuantExt