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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. Swig must be 4.3.0 or greater.

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://archives.boost.io/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-vc143-mt-x64-1_86.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

Environment Variables

For purposes of this tutorial, create environment variables pointing to ORE and its prerequisites, e.g:

SET BOOST_INCLUDEDIR=C:\repos\boost\boost_1_72_0
SET BOOST_LIBRARYDIR=C:\repos\boost\boost_1_72_0\lib64-msvc-14.2
SET SWIG_ROOT=C:\repos\swigwin\swigwin-4.3.0
SET ZLIB_ROOT=C:\repos\vcpkg\packages\zlib_x64-windows (optional)
SET ORE_DIR=C:\repos\ore

Build ORE and ORESWIG

You can use cmake to build ORE and the ORESWIG wrapper. You can use setup.py to build the ORESWIG wrapper and wheel. If you use setup.py to build ORE-SWIG, you must first build ORE.

Build ORE/ORESWIG via CMake

Below are the commands to configure and build ORE and ORE-SWIG 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 %ORE_DIR%
mkdir build
cd %ORE_DIR%\build
cmake .. -DMSVC_LINK_DYNAMIC_RUNTIME=OFF -DORE_USE_ZLIB=ON -DQL_ENABLE_SESSIONS=ON -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
cmake --build . --config Release

Make sure to add the location of the ORE-SWIG package to your PYTHONPATH, e.g:

SET PYTHONPATH=%ORE_DIR%\build\ORE-SWIG;%ORE_DIR%\build\ORE-SWIG\Release

Build ORESWIG via setup.py

If using the setup.py method, you would have to build ORE with cmake as demonstrated above, but, when configuring cmake, disable the SWIG build with: -DORE_BUILD-SWIG=OFF. Once ORE libraries have been built, below are the commands to build the ORESWIG Python wrapper using setup.py. If you do not require compression, then you can omit the ORE_USE_ZLIB environment variable.

In the commands below, to avoid polluting your primary installation of python, we create a virtual environment into which we install the packages required by setup.py.

cd %ORE_DIR%\ORE-SWIG
SET BOOST=C:\repos\boost\boost_1_72_0
SET BOOST_LIB64=C:\repos\boost\boost_1_72_0\lib64-msvc-14.2
SET ORE_STATIC_RUNTIME=1
SET ORE_USE_ZLIB=1
SET PATH=%PATH%;C:\path\to\swig
python -m venv env1
.\env1\Scripts\activate.bat
python -m pip install --upgrade pip
python -m pip install build pynose pytest setuptools
python setup.py wrap
python setup.py build
python setup.py test
python setup.py install
python -m build --wheel
deactivate

The python setup.py install should take care of installing ORE as a package to be universally used in Python, without needing to set PYTHONPATH. Otherwise,

SET PYTHONPATH=%ORE_DIR%\ORE-SWIG\build\lib.win-amd64-cpython-312

Use the wrapper

cd %ORE_DIR%\Examples\ORE-Python\ExampleScripts
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 the wheel with setup.py

Whether you used cmake or setup.py above to build the wrapper, you can use setup.py to build the wheel. If you used setup.py before then you already have the python virtual environment, and you can reuse it, otherwise you can create a new one as shown below.

cd %ORE_DIR%\ORE-SWIG
SET BOOST=C:\repos\boost\boost_1_72_0
SET BOOST_LIB64=C:\repos\boost\boost_1_72_0\lib64-msvc-14.2
python -m venv env1
.\env1\Scripts\activate.bat
python -m pip install --upgrade pip
python -m pip install build
python -m build --wheel
deactivate

Use the wheel

cd %ORE_DIR%\Examples\ORE-Python\ExampleScripts
python -m venv env1
.\env1\Scripts\activate.bat
pip install %ORE_DIR%\ORE-SWIG\dist\open_source_risk_engine-1.8.13.1-cp312-cp312-win_amd64.whl
python swap.py
deactivate