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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2015 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.
*/
#include "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
#include <ql/patterns/observable.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <chrono>
#include <thread>
#ifdef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
#include <atomic>
#include <mutex>
#include <thread>
#include <boost/date_time/posix_time/posix_time_types.hpp>
#include <list>
#endif
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(ObservableTests)
class UpdateCounter : public Observer {
public:
UpdateCounter() = default;
void update() override { ++counter_; }
Size counter() const { return counter_; }
private:
Size counter_ = 0;
};
class RestoreUpdates { // NOLINT(cppcoreguidelines-special-member-functions)
public:
~RestoreUpdates() {
ObservableSettings::instance().enableUpdates();
}
};
#ifdef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
class MTUpdateCounter : public Observer {
public:
MTUpdateCounter() : counter_(0) {
++instanceCounter_;
}
~MTUpdateCounter() {
--instanceCounter_;
}
void update() {
++counter_;
}
int counter() { return counter_; }
static int instanceCounter() { return instanceCounter_; }
private:
std::atomic<int> counter_;
static std::atomic<int> instanceCounter_;
};
std::atomic<int> MTUpdateCounter::instanceCounter_(0);
class GarbageCollector {
public:
GarbageCollector() : terminate_(false) { }
void addObj(const ext::shared_ptr<MTUpdateCounter>& updateCounter) {
std::lock_guard<std::mutex> lock(mutex_);
objList.push_back(updateCounter);
}
void run() {
while(!terminate_) {
Size objListSize;
{
std::lock_guard<std::mutex> lock(mutex_);
objListSize = objList.size();
}
if (objListSize > 20) {
// trigger gc
while (objListSize > 0) {
std::lock_guard<std::mutex> lock(mutex_);
objList.pop_front();
objListSize = objList.size();
}
}
std::this_thread::sleep_for(std::chrono::milliseconds(2));
}
objList.clear();
}
void terminate() {
terminate_ = true;
}
private:
std::mutex mutex_;
std::atomic<bool> terminate_;
std::list<ext::shared_ptr<MTUpdateCounter> > objList;
};
#endif
BOOST_AUTO_TEST_CASE(testObservableSettings) {
BOOST_TEST_MESSAGE("Testing observable settings...");
const ext::shared_ptr<SimpleQuote> quote(new SimpleQuote(100.0));
UpdateCounter updateCounter;
updateCounter.registerWith(quote);
if (updateCounter.counter() != 0) {
BOOST_FAIL("update counter value is not zero");
}
quote->setValue(1.0);
if (updateCounter.counter() != 1) {
BOOST_FAIL("update counter value is not one");
}
ObservableSettings::instance().disableUpdates(false);
quote->setValue(2.0);
if (updateCounter.counter() != 1) {
BOOST_FAIL("update counter value is not one");
}
ObservableSettings::instance().enableUpdates();
if (updateCounter.counter() != 1) {
BOOST_FAIL("update counter value is not one");
}
ObservableSettings::instance().disableUpdates(true);
quote->setValue(3.0);
if (updateCounter.counter() != 1) {
BOOST_FAIL("update counter value is not one");
}
ObservableSettings::instance().enableUpdates();
if (updateCounter.counter() != 2) {
BOOST_FAIL("update counter value is not two");
}
UpdateCounter updateCounter2;
updateCounter2.registerWith(quote);
ObservableSettings::instance().disableUpdates(true);
for (Size i=0; i < 10; ++i) {
quote->setValue(Real(i));
}
if (updateCounter.counter() != 2) {
BOOST_FAIL("update counter value is not two");
}
ObservableSettings::instance().enableUpdates();
if (updateCounter.counter() != 3 || updateCounter2.counter() != 1) {
BOOST_FAIL("update counter values are not correct");
}
}
#ifdef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
BOOST_AUTO_TEST_CASE(testAsyncGarbagCollector) {
BOOST_TEST_MESSAGE("Testing observer pattern with an asynchronous "
"garbage collector (JVM/.NET use case)...");
// This test core dumps if used with the ordinary implementation
// of the observer pattern (comparable situation
// in JVM or .NET eco systems).
const ext::shared_ptr<SimpleQuote> quote(new SimpleQuote(-1.0));
GarbageCollector gc;
std::thread workerThread(&GarbageCollector::run, &gc);
for (Size i=0; i < 10000; ++i) {
const ext::shared_ptr<MTUpdateCounter> observer(new MTUpdateCounter);
observer->registerWith(quote);
gc.addObj(observer);
for (Size j=0; j < 10; ++j)
quote->setValue(Real(j));
}
gc.terminate();
workerThread.join();
if (MTUpdateCounter::instanceCounter() != 0) {
BOOST_FAIL("garbage collection does not work.");
}
}
BOOST_AUTO_TEST_CASE(testMultiThreadingGlobalSettings) {
BOOST_TEST_MESSAGE("Testing observer global settings in a "
"multithreading environment...");
const ext::shared_ptr<SimpleQuote> quote(new SimpleQuote(-1.0));
ObservableSettings::instance().disableUpdates(true);
GarbageCollector gc;
std::thread workerThread(&GarbageCollector::run, &gc);
typedef std::list<ext::shared_ptr<MTUpdateCounter> > local_list_type;
local_list_type localList;
for (Size i=0; i < 4000; ++i) {
const ext::shared_ptr<MTUpdateCounter> observer(new MTUpdateCounter);
observer->registerWith(quote);
if ((i%4) == 0) {
localList.push_back(observer);
for (Size j=0; j < 5; ++j)
quote->setValue(Real(j));
}
gc.addObj(observer);
}
gc.terminate();
workerThread.join();
if (localList.size() != Size(MTUpdateCounter::instanceCounter())) {
BOOST_FAIL("garbage collection does not work.");
}
for (local_list_type::iterator iter = localList.begin();
iter != localList.end(); ++iter) {
if ((*iter)->counter() != 0) {
BOOST_FAIL("notification should have been blocked");
}
}
ObservableSettings::instance().enableUpdates();
for (local_list_type::iterator iter = localList.begin();
iter != localList.end(); ++iter) {
if ((*iter)->counter() != 1) {
BOOST_FAIL("only one notification should have been sent");
}
}
}
#endif
BOOST_AUTO_TEST_CASE(testDeepUpdate) {
BOOST_TEST_MESSAGE("Testing deep update of observers...");
RestoreUpdates guard;
Date refDate = Settings::instance().evaluationDate();
ObservableSettings::instance().disableUpdates(true);
Handle<YieldTermStructure> yts(
ext::make_shared<FlatForward>(0, NullCalendar(), 0.02, Actual365Fixed()));
ext::shared_ptr<IborIndex> ibor = ext::make_shared<Euribor>(3 * Months, yts);
ext::shared_ptr<SimpleQuote> q = ext::make_shared<SimpleQuote>(0.20);
std::vector<Real> strikes = {0.01, 0.02};
std::vector<Date> dates = {refDate + 90, refDate + 180};
std::vector<std::vector<Handle<Quote> > > quotes = {
{Handle<Quote>(q), Handle<Quote>(q)},
{Handle<Quote>(q), Handle<Quote>(q)}
};
ext::shared_ptr<StrippedOptionletAdapter> vol =
ext::make_shared<StrippedOptionletAdapter>(ext::make_shared<StrippedOptionlet>(
0, NullCalendar(), Unadjusted, ibor, dates, strikes, quotes, Actual365Fixed()));
Real v1 = vol->volatility(refDate + 100, 0.01);
q->setValue(0.21);
Real v2 = vol->volatility(refDate + 100, 0.01);
vol->update();
Real v3 = vol->volatility(refDate + 100, 0.01);
vol->deepUpdate();
Real v4 = vol->volatility(refDate + 100, 0.01);
QL_CHECK_CLOSE(v1, 0.2, 1E-10);
QL_CHECK_CLOSE(v2, 0.2, 1E-10);
QL_CHECK_CLOSE(v3, 0.2, 1E-10);
QL_CHECK_CLOSE(v4, 0.21, 1E-10);
}
class DummyObserver : public Observer {
public:
DummyObserver() = default;
void update() override {}
};
BOOST_AUTO_TEST_CASE(testEmptyObserverList) {
BOOST_TEST_MESSAGE("Testing unregisterWith call on empty observer...");
const ext::shared_ptr<DummyObserver> dummyObserver=ext::make_shared<DummyObserver>();
dummyObserver->unregisterWith(ext::make_shared<SimpleQuote>(10.0));
}
BOOST_AUTO_TEST_CASE(testAddAndDeleteObserverDuringNotifyObservers) {
BOOST_TEST_MESSAGE("Testing addition and deletion of observers during notifyObserver...");
const ext::shared_ptr<MersenneTwisterUniformRng> rng
= ext::make_shared<MersenneTwisterUniformRng>();
const Size nrInitialObserver = 20;
const Size nrDeleteDuringUpdate = 5;
const Size nrAdditionalObserver = 100;
const Size testRuns = 100;
class TestSetup {
public:
explicit TestSetup(ext::shared_ptr<MersenneTwisterUniformRng> m)
: rng(std::move(m)), observable(ext::make_shared<Observable>()) {}
ext::shared_ptr<MersenneTwisterUniformRng> rng;
ext::shared_ptr<Observable> observable;
std::vector<ext::shared_ptr<Observer> > expected;
std::vector<ext::shared_ptr<Observer> > additinalObservers;
};
class TestObserver: public Observer {
public:
explicit TestObserver(TestSetup* setup = nullptr) : setup_(setup) {}
void update() override {
++updates_;
if (setup_ != nullptr) {
for (Size i=0; i < nrAdditionalObserver; ++i) {
const ext::shared_ptr<Observer> obs
= ext::make_shared<TestObserver>();
obs->registerWith(setup_->observable);
setup_->additinalObservers.push_back(obs);
}
for (Size i=0; i < nrDeleteDuringUpdate; ++i) {
const unsigned int j
= setup_->rng->nextInt32() % setup_->expected.size();
if (setup_->expected[j].get() != this)
setup_->expected.erase(setup_->expected.begin()+j);
}
}
}
Size getUpdates() const { return updates_; }
private:
TestSetup* const setup_;
Size updates_ = 0;
};
for (Size t=0; t < testRuns; ++t) {
const ext::shared_ptr<TestSetup> setup = ext::make_shared<TestSetup>(rng);
for (Size i=0; i < nrInitialObserver; ++i) {
const ext::shared_ptr<Observer> obs =
(i == nrInitialObserver/3 || i == nrInitialObserver/2)
? ext::make_shared<TestObserver>(setup.get())
: ext::make_shared<TestObserver>();
obs->registerWith(setup->observable);
setup->expected.push_back(obs);
}
setup->observable->notifyObservers();
for (const auto& obs : setup->expected)
if (ext::dynamic_pointer_cast<TestObserver>(obs)->getUpdates() == 0) {
BOOST_FAIL("missed observer update detected");
}
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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