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Building ORE Python Wrappers on Windows

This tutorial explains how to build and run the ORE wrapper and wheel on Windows.

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Prerequisites

Before building ORE and ORESWIG, you must install boost. The ORE project currently uses boost version 1.72 - any version of boost equal to or greater than that ought to work. You also need to install swig and cmake.

ZLib

ORE supports zlib for compressed output. Zlib support is optional - if you want to enable it, you must install Zlib. You must also ensure that your copy of boost::iostreams is zlib-enabled. At either of the links below, you can download boost binaries which include zlib-enabled boost::iostreams:

https://sourceforge.net/projects/boost/files/boost-binaries/

https://boostorg.jfrog.io/artifactory/main/release/

Otherwise you can compile boost yourself from source with zlib-enabled boost::iostreams as described here. You can confirm whether your copy of boost::iostreams is zlib-enabled by looking for the relevant binaries (e.g. libboost_zlib-vc142-mt-x64-1_72.lib) in your boost lib directory.

Source code

You need to grab the source code for ORE and ORESWIG, e.g:

git clone --recurse-submodules https://github.com/OpenSourceRisk/Engine.git ore
git clone --recurse-submodules https://github.com/OpenSourceRisk/ORE-SWIG.git oreswig

Environment Variables

For purposes of this tutorial, we are going to create a series of environment variables, prefixed with DEMO_, pointing to the locations of the prerequisites. Once you have installed all of the prerequisites listed above, set the following environment variables pointing to the relevant directories, e.g:

SET DEMO_BOOST_ROOT=C:\repos\boost\boost_1_72_0
SET DEMO_BOOST_LIB=C:\repos\boost\boost_1_72_0\lib64-msvc-14.2
SET DEMO_SWIG_DIR=C:\repos\swigwin\swigwin-4.1.1
SET DEMO_ORE_DIR=C:\repos\oreplus\ore
SET DEMO_ORE_SWIG_DIR=C:\repos\oreswig
SET DEMO_ZLIB_ROOT=C:\repos\vcpkg\packages\zlib_x64-windows (optional)

Build ORE

Configure ORE

Below are the commands to configure the ORE build using cmake. If you do not require compression, then you can omit the ZLIB_ROOT environment variable, and, when running cmake, you can omit flag -DORE_USE_ZLIB=ON.

cd %DEMO_ORE_DIR%
mkdir build
cd %DEMO_ORE_DIR%\build
SET BOOST_INCLUDEDIR=%DEMO_BOOST_ROOT%
SET BOOST_LIBRARYDIR=%DEMO_BOOST_LIB%
SET ZLIB_ROOT=%DEMO_ZLIB_ROOT%
cmake -G "Visual Studio 17 2022" -A x64 .. -DMSVC_LINK_DYNAMIC_RUNTIME=OFF -DORE_BUILD_DOC=OFF -DORE_BUILD_EXAMPLES=OFF -DORE_BUILD_TESTS=OFF -DORE_BUILD_APP=OFF -DQL_BUILD_BENCHMARK=OFF -DQL_BUILD_EXAMPLES=OFF -DQL_BUILD_TEST_SUITE=OFF -DCMAKE_BUILD_TYPE=Release -DORE_USE_ZLIB=ON -DQL_ENABLE_SESSIONS=ON -DBoost_NO_SYSTEM_PATHS=ON

Build ORE

Below are the commands to build ORE.

cd %DEMO_ORE_DIR%\build
cmake --build . --config Release

Build ORESWIG

There are two ways to build ORESWIG: using cmake, or using setup.py. With cmake, you can generate the wrapper. With setup.py you can generate both the wrapper and the wheel.

Build ORESWIG Using CMake

Configure ORESWIG

Below are the commands to configure the ORESWIG build using cmake. If you do not require compression, then you can omit the ZLIB_ROOT environment variable, and, when running cmake, you can omit flag -DORE_USE_ZLIB=ON.

cd %DEMO_ORE_SWIG_DIR%\OREAnalytics-SWIG\Python
mkdir build
cd %DEMO_ORE_SWIG_DIR%\OREAnalytics-SWIG\Python\build
SET BOOST_INCLUDEDIR=%DEMO_BOOST_ROOT%
SET BOOST_LIBRARYDIR=%DEMO_BOOST_LIB%
SET SWIG_ROOT=%DEMO_SWIG_DIR%
SET ZLIB_ROOT=%DEMO_ZLIB_ROOT%
cmake -Wno-dev -G "Visual Studio 17 2022" -A x64 .. -DORE=%DEMO_ORE_DIR% -DMSVC_LINK_DYNAMIC_RUNTIME=OFF -DORE_USE_ZLIB=ON -DBoost_NO_SYSTEM_PATHS=ON

Build ORESWIG

Below are the commands to build ORESWIG.

cd %DEMO_ORE_SWIG_DIR%\OREAnalytics-SWIG\Python\build
cmake --build . --config Release

Use the wrapper

cd %DEMO_ORE_SWIG_DIR%\OREAnalytics-SWIG\Python\Examples
SET PYTHONPATH=%DEMO_ORE_SWIG_DIR%\OREAnalytics-SWIG\Python\build;%DEMO_ORE_SWIG_DIR%\OREAnalytics-SWIG\Python\build\Release
python swap.py

When you run example script ore.py, it writes to directory Output a number of output files, including cube.dat. If you have compression enabled, as described above, then cube.dat is generated in compressed format (zip). If not then cube.dat is generated as a flat (plain text) file.

Build ORESWIG Using setup.py

Build ORESWIG

Below are the commands to build the ORESWIG Python wrapper and wheel using setup.py. If you do not require compression, then you can omit the ORE_USE_ZLIB environment variable.

cd %DEMO_ORE_SWIG_DIR%\OREAnalytics-SWIG\Python
SET BOOST_ROOT=%DEMO_BOOST_ROOT%
SET BOOST_LIB=%DEMO_BOOST_LIB%
SET ORE_DIR=%DEMO_ORE_DIR%
SET PATH=%PATH%;%DEMO_SWIG_DIR%
SET ORE_STATIC_RUNTIME=1
SET ORE_USE_ZLIB=1
python setup.py wrap
python setup.py build
python setup.py test
python -m build --wheel

Use the wrapper

cd %DEMO_ORE_SWIG_DIR%\OREAnalytics-SWIG\Python\Examples
SET PYTHONPATH=%DEMO_ORE_SWIG_DIR%\OREAnalytics-SWIG\Python\build\lib.win-amd64-cpython-310
python swap.py

Use the wheel

cd %DEMO_ORE_SWIG_DIR%\OREAnalytics-SWIG\Python\Examples
python -m venv env1
.\env1\Scripts\activate.bat
pip install %DEMO_ORE_SWIG_DIR%\OREAnalytics-SWIG\Python\dist\osre-1.8.9.1-cp310-cp310-win_amd64.whl
python swap.py
deactivate
rmdir /s /q env1