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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*
QuantLib Benchmark Suite
Measures the performance of a preselected set of numerically intensive
test cases. The overall QuantLib Benchmark Index is given by the average
performance in mflops.
The number of floating point operations of a given test case was measured
using the perfex library, http://user.it.uu.se/~mikpe/linux/perfctr.
Example results: 1. Pentium4 Dual@2.8Ghz: 423.8 mflops
2. Pentium4@3.0Ghz : 266.3 mflops
3. PentiumIII@1.1Ghz : 146.2 mflops
4. Alpha 2xEV68@833Mhz : 184.6 mflops
5. Strong ARM@206Mhz : 1.4 mflops
Remarks: OS: Linux, static libs
1. gcc-4.0.1, -O3 -march=pentium4 -ffast-math
-mfpmath=sse,387 -msse2 -funroll-all-loops
slightly modified QL version, to enable multi threading.
2. gcc-4.0.1, -O3 -march=pentium4 -ffast-math
-mfpmath=sse,387 -msse2 -funroll-all-loops
3. gcc-4.1.1, -O3 -march=pentium3 -ffast-math
-mfpmath=sse,387 -msse -funroll-all-loops
4. gcc-3.3.5, -O3 -mcpu=e67 -funroll-all-loops
slightly modified QL version, to enable multi threading.
5. gcc-3.4.3, -O2 -g on a Zaurus PDA
This benchmark is derived from quantlibtestsuite.cpp. Please see the
copyrights therein.
*/
#include <ql/types.hpp>
#include <boost/test/unit_test.hpp>
#include <boost/timer.hpp>
#include <iostream>
#include <iomanip>
#include <list>
#include <string>
/* Use BOOST_MSVC instead of _MSC_VER since some other vendors (Metrowerks,
for example) also #define _MSC_VER
*/
#ifdef BOOST_MSVC
# define BOOST_LIB_NAME boost_unit_test_framework
# include <boost/config/auto_link.hpp>
# undef BOOST_LIB_NAME
#endif
#include "americanoption.hpp"
#include "asianoptions.hpp"
#include "barrieroption.hpp"
#include "basketoption.hpp"
#include "batesmodel.hpp"
#include "digitaloption.hpp"
#include "dividendoption.hpp"
#include "europeanoption.hpp"
#include "hestonmodel.hpp"
#include "jumpdiffusion.hpp"
#include "libormarketmodel.hpp"
#include "libormarketmodelprocess.hpp"
#include "lowdiscrepancysequences.hpp"
#include "quantooption.hpp"
#include "riskstats.hpp"
#include "shortratemodels.hpp"
#include "old_pricers.hpp"
using namespace boost::unit_test_framework;
namespace {
class Benchmark {
public:
typedef void (*fct_ptr)();
Benchmark(std::string name, fct_ptr f, double mflops)
: f_(f), name_(name), mflops_(mflops) {
}
test_case* getTestCase() const {
return BOOST_TEST_CASE(f_);
}
double getMflops() const {
return mflops_;
}
std::string getName() const {
return name_;
}
private:
fct_ptr f_;
const std::string name_;
const double mflops_; // total number of mega floating
// point operations (not per sec!)
};
boost::timer t;
std::list<double> runTimes;
std::list<Benchmark> bm;
void startTimer() {
t.restart();
}
void stopTimer() {
runTimes.push_back(t.elapsed());
}
void printResults() {
std::string header = "Benchmark Suite "
#ifdef BOOST_MSVC
QL_LIB_NAME;
#else
"QuantLib " QL_VERSION;
#endif
std::cout << std::endl
<< std::string(52,'-') << std::endl;
std::cout << header << std::endl;
std::cout << std::string(52,'-')
<< std::endl << std::endl;
double sum=0;
std::list<double>::const_iterator iterT = runTimes.begin();
std::list<Benchmark>::const_iterator iterBM = bm.begin();
while (iterT != runTimes.end()) {
const double mflopsPerSec = iterBM->getMflops()/(*iterT);
std::cout << iterBM->getName()
<< std::string(40-iterBM->getName().length(),' ') << ":"
<< std::fixed << std::setw(6) << std::setprecision(1)
<< mflopsPerSec
<< " mflops" << std::endl;
sum+=mflopsPerSec;
iterT++;
iterBM++;
}
std::cout << std::string(52,'-') << std::endl
<< "QuantLib Benchmark Index :"
<< std::fixed << std::setw(6) << std::setprecision(1)
<< sum/runTimes.size()
<< " mflops" << std::endl;
}
}
#if defined(QL_ENABLE_SESSIONS)
namespace QuantLib {
Integer sessionId() { return 0; }
}
#endif
test_suite* init_unit_test_suite(int, char*[]) {
bm.push_back(Benchmark("AmericanOption::FdAmericanGreeks",
&AmericanOptionTest::testFdAmericanGreeks, 518.4));
bm.push_back(Benchmark("AmericanOption::FdShoutGreeks",
&AmericanOptionTest::testFdShoutGreeks, 546.0));
bm.push_back(Benchmark("AsianOption::MCArithmeticAveragePrice",
&AsianOptionTest::testMCDiscreteArithmeticAveragePrice, 4301.1));
bm.push_back(Benchmark("BarrierOption::BabsiriValues",
&BarrierOptionTest::testBabsiriValues, 944.5));
bm.push_back(Benchmark("BasketOption::EuroTwoValues",
&BasketOptionTest::testEuroTwoValues, 392.9));
bm.push_back(Benchmark("BasketOption::TavellaValues",
&BasketOptionTest::testTavellaValues, 520.2));
bm.push_back(Benchmark("BasketOption::OddSamples",
&BasketOptionTest::testOddSamples, 749.1));
bm.push_back(Benchmark("BatesModel::DAXCalibration",
&BatesModelTest::testDAXCalibration, 2527.7));
bm.push_back(Benchmark("DigitalOption::MCCashAtHit",
&DigitalOptionTest::testMCCashAtHit,1033.5));
bm.push_back(Benchmark("DividendOption::FdEuropeanValues",
&DividendOptionTest::testFdEuropeanValues, 992.0));
bm.push_back(Benchmark("DividendOption::FdEuropeanGreeks",
&DividendOptionTest::testFdEuropeanGreeks, 949.6));
bm.push_back(Benchmark("DividendOption::FdAmericanGreeks",
&DividendOptionTest::testFdAmericanGreeks, 1113.8));
bm.push_back(Benchmark("EuropeanOption::FdMcEngines",
&EuropeanOptionTest::testMcEngines, 2285.9));
bm.push_back(Benchmark("EuropeanOption::ImpliedVol",
&EuropeanOptionTest::testImpliedVol, 137.5));
bm.push_back(Benchmark("EuropeanOption::FdEngines",
&EuropeanOptionTest::testFdEngines, 148.52));
bm.push_back(Benchmark("EuropeanOption::PriceCurve",
&EuropeanOptionTest::testPriceCurve, 414.8));
bm.push_back(Benchmark("HestonModel::DAXCalibration",
&HestonModelTest::testDAXCalibration, 730.7));
bm.push_back(Benchmark("HestonModel::McVsCached",
&HestonModelTest::testMcVsCached, 1447.9));
bm.push_back(Benchmark("JumpDiffusion::Greeks",
&JumpDiffusionTest::testGreeks, 77.3));
bm.push_back(Benchmark("LiborMarketModel::SwaptionPricing",
&LiborMarketModelTest::testSwaptionPricing, 4608.9));
bm.push_back(Benchmark("LiborMarketModel::Calibration",
&LiborMarketModelTest::testCalibration, 832.54));
bm.push_back(Benchmark("LiborMarketModelProcess::CapletPricing",
&LiborMarketModelProcessTest::testMonteCarloCapletPricing, 4608.9));
bm.push_back(Benchmark("OldPricer::McMultiFactorPricers",
&OldPricerTest::testMcMultiFactorPricers, 443.4));
bm.push_back(Benchmark("QuantoOption::ForwardGreeks",
&QuantoOptionTest::testForwardGreeks, 89.1));
bm.push_back(Benchmark("RandomNumber::MersenneTwisterDescrepancy",
&LowDiscrepancyTest::testMersenneTwisterDiscrepancy, 952.1));
bm.push_back(Benchmark("RiskStatistics::Results",
&RiskStatisticsTest::testResults, 300.4));
bm.push_back(Benchmark("ShortRateModel::Swaps",
&ShortRateModelTest::testSwaps, 450.7));
test_suite* test = BOOST_TEST_SUITE("QuantLib benchmark suite");
for (std::list<Benchmark>::const_iterator iter = bm.begin();
iter != bm.end(); ++iter) {
test->add(BOOST_TEST_CASE(startTimer));
test->add(iter->getTestCase());
test->add(BOOST_TEST_CASE(stopTimer));
}
test->add(BOOST_TEST_CASE(printResults));
return test;
}
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