QPR-11773 remove regressionOnExerciseOnly parameter, fixes, update doc

pcaspers · jenkins · commit 1ab48370ead3 · 2023-08-23T09:46:10.000Z
diff --git a/OREData/ored/portfolio/builders/currencyswap.cpp b/OREData/ored/portfolio/builders/currencyswap.cpp
@@ -106,8 +106,7 @@ boost::shared_ptr<PricingEngine> CamAmcCurrencySwapEngineBuilder::engineImpl(con
         parsePolynomType(engineParameter("Training.BasisFunction")),
         parseSobolBrownianGeneratorOrdering(engineParameter("BrownianBridgeOrdering")),
         parseSobolRsgDirectionIntegers(engineParameter("SobolDirectionIntegers")), discountCurves, simulationDates_,
-        externalModelIndices, parseBool(engineParameter("MinObsDate")),
-        parseBool(engineParameter("RegressionOnExerciseOnly")));
+        externalModelIndices, parseBool(engineParameter("MinObsDate")));
 
     return engine;
 }
diff --git a/OREData/ored/portfolio/builders/fxforward.cpp b/OREData/ored/portfolio/builders/fxforward.cpp
@@ -79,8 +79,7 @@ boost::shared_ptr<PricingEngine> CamAmcFxForwardEngineBuilder::engineImpl(const
         parsePolynomType(engineParameter("Training.BasisFunction")),
         parseSobolBrownianGeneratorOrdering(engineParameter("BrownianBridgeOrdering")),
         parseSobolRsgDirectionIntegers(engineParameter("SobolDirectionIntegers")), discountCurves, simulationDates_,
-        externalModelIndices, parseBool(engineParameter("MinObsDate")),
-        parseBool(engineParameter("RegressionOnExerciseOnly")));
+        externalModelIndices, parseBool(engineParameter("MinObsDate")));
 
     return engine;
 }
diff --git a/OREData/ored/portfolio/builders/fxoption.cpp b/OREData/ored/portfolio/builders/fxoption.cpp
@@ -94,8 +94,7 @@ boost::shared_ptr<PricingEngine> CamAmcFxOptionEngineBuilder::engineImpl(const s
         parsePolynomType(engineParameter("Training.BasisFunction")),
         parseSobolBrownianGeneratorOrdering(engineParameter("BrownianBridgeOrdering")),
         parseSobolRsgDirectionIntegers(engineParameter("SobolDirectionIntegers")), discountCurves, simulationDates_,
-        externalModelIndices, parseBool(engineParameter("MinObsDate")),
-        parseBool(engineParameter("RegressionOnExerciseOnly")));
+        externalModelIndices, parseBool(engineParameter("MinObsDate")));
 
     return engine;
 }
diff --git a/OREData/ored/portfolio/builders/multilegoption.cpp b/OREData/ored/portfolio/builders/multilegoption.cpp
@@ -332,8 +332,7 @@ boost::shared_ptr<PricingEngine> CamAmcMultiLegOptionEngineBuilder::engineImpl(
         parsePolynomType(engineParameter("Training.BasisFunction")),
         parseSobolBrownianGeneratorOrdering(engineParameter("BrownianBridgeOrdering")),
         parseSobolRsgDirectionIntegers(engineParameter("SobolDirectionIntegers")), discountCurves, simulationDates_,
-        externalModelIndices, parseBool(engineParameter("MinObsDate")),
-        parseBool(engineParameter("RegressionOnExerciseOnly")));
+        externalModelIndices, parseBool(engineParameter("MinObsDate")));
 
     return engine;
 }
diff --git a/OREData/ored/portfolio/builders/swap.cpp b/OREData/ored/portfolio/builders/swap.cpp
@@ -44,8 +44,7 @@ boost::shared_ptr<PricingEngine> CamAmcSwapEngineBuilder::buildMcEngine(const bo
         parsePolynomType(engineParameter("Training.BasisFunction")),
         parseSobolBrownianGeneratorOrdering(engineParameter("BrownianBridgeOrdering")),
         parseSobolRsgDirectionIntegers(engineParameter("SobolDirectionIntegers")), discountCurve, simulationDates,
-        externalModelIndices, parseBool(engineParameter("MinObsDate")),
-        parseBool(engineParameter("RegressionOnExerciseOnly")));
+        externalModelIndices, parseBool(engineParameter("MinObsDate")));
 }
 
 boost::shared_ptr<PricingEngine> CamAmcSwapEngineBuilder::engineImpl(const Currency& ccy) {
diff --git a/OREData/ored/portfolio/builders/swaption.cpp b/OREData/ored/portfolio/builders/swaption.cpp
@@ -51,8 +51,7 @@ boost::shared_ptr<PricingEngine> buildMcEngine(const std::function<string(string
         parsePolynomType(engineParameters("Training.BasisFunction")),
         parseSobolBrownianGeneratorOrdering(engineParameters("BrownianBridgeOrdering")),
         parseSobolRsgDirectionIntegers(engineParameters("SobolDirectionIntegers")), discountCurve, simulationDates,
-        externalModelIndices, parseBool(engineParameters("MinObsDate")),
-        parseBool(engineParameters("RegressionOnExerciseOnly")));
+        externalModelIndices, parseBool(engineParameters("MinObsDate")));
 }
 } // namespace
 
diff --git a/QuantExt/qle/models/lgmvectorised.cpp b/QuantExt/qle/models/lgmvectorised.cpp
@@ -191,7 +191,7 @@ RandomVariable LgmVectorised::compoundedOnRate(const boost::shared_ptr<Overnight
                                                const std::vector<Date>& valueDates, const std::vector<Real>& dt,
                                                const Natural rateCutoff, const bool includeSpread, const Real spread,
                                                const Real gearing, const Period lookback,
-                                               const DayCounter& accrualDayCounter, const Real cap, const Real floor,
+                                               const DayCounter& accrualDayCounter, Real cap, Real floor,
                                                const bool localCapFloor, const bool nakedOption, const Time t,
                                                const RandomVariable& x) const {
 
@@ -299,15 +299,15 @@ RandomVariable LgmVectorised::compoundedOnRate(const boost::shared_ptr<Overnight
     Rate tau = accrualDayCounter.yearFraction(valueDates.front(), valueDates.back());
     RandomVariable rate = (compoundFactorLgm - RandomVariable(x.size(), 1.0)) / RandomVariable(x.size(), tau);
     RandomVariable swapletRate = RandomVariable(x.size(), gearing) * rate;
-    // RandomVariable effectiveSpread, effectiveIndexFixing;
+    RandomVariable effectiveSpread, effectiveIndexFixing;
     if (!includeSpread) {
         swapletRate += RandomVariable(x.size(), spread);
         effectiveSpread = RandomVariable(x.size(), spread);
         effectiveIndexFixing = rate;
     } else {
         effectiveSpread =
             rate - (compoundFactorWithoutSpreadLgm - RandomVariable(x.size(), 1.0)) / RandomVariable(x.size(), tau);
-        effectiveIndexFixing = rate - effectiveSpread_;
+        effectiveIndexFixing = rate - effectiveSpread;
     }
 
     if (cap == Null<Real>() && floor == Null<Real>())
@@ -349,9 +349,9 @@ RandomVariable LgmVectorised::averagedOnRate(const boost::shared_ptr<OvernightIn
                                              const std::vector<Date>& fixingDates, const std::vector<Date>& valueDates,
                                              const std::vector<Real>& dt, const Natural rateCutoff,
                                              const bool includeSpread, const Real spread, const Real gearing,
-                                             const Period lookback, const DayCounter& accrualDayCounter, const Real cap,
-                                             const Real floor, const bool localCapFloor, const bool nakedOption,
-                                             const Time t, const RandomVariable& x) const {
+                                             const Period lookback, const DayCounter& accrualDayCounter, Real cap,
+                                             Real floor, const bool localCapFloor, const bool nakedOption, const Time t,
+                                             const RandomVariable& x) const {
 
     QL_REQUIRE(!includeSpread || QuantLib::close_enough(gearing, 1.0),
                "LgmVectorised::averageOnRate(): if include spread = true, only a gearing 1.0 is allowed - scale "
@@ -473,8 +473,8 @@ RandomVariable LgmVectorised::averagedOnRate(const boost::shared_ptr<OvernightIn
 RandomVariable LgmVectorised::averagedBmaRate(const boost::shared_ptr<BMAIndex>& index,
                                               const std::vector<Date>& fixingDates, const Date& accrualStartDate,
                                               const Date& accrualEndDate, const bool includeSpread, const Real spread,
-                                              const Real gearing, const Real cap, const Real floor,
-                                              const bool nakedOption, const Time t, const RandomVariable& x) const {
+                                              const Real gearing, Real cap, Real floor, const bool nakedOption,
+                                              const Time t, const RandomVariable& x) const {
 
     // similar to AverageBMACouponPricer
 
@@ -563,7 +563,7 @@ RandomVariable LgmVectorised::averagedBmaRate(const boost::shared_ptr<BMAIndex>&
     }
 
     if (nakedOption)
-        rate = RandomVariable(x.size(), 0.0);
+        avgBMA = RandomVariable(x.size(), 0.0);
 
     RandomVariable forwardRate = (avgBMA - RandomVariable(x.size(), spread)) / RandomVariable(x.size(), gearing);
     RandomVariable floorletRate(x.size(), 0.0);
@@ -584,12 +584,12 @@ RandomVariable LgmVectorised::averagedBmaRate(const boost::shared_ptr<BMAIndex>&
             capletRate = -capletRate;
     }
 
-    return rate + floorletRate - capletRate;
+    return avgBMA + floorletRate - capletRate;
 }
 
 RandomVariable LgmVectorised::subPeriodsRate(const boost::shared_ptr<InterestRateIndex>& index,
-                                             const std::vector<Date>& fixingDates, const Real cap, const Real floor,
-                                             const bool nakedOption, const Time t, const RandomVariable& x) const {
+                                             const std::vector<Date>& fixingDates, const Time t,
+                                             const RandomVariable& x) const {
 
     return fixing(index, fixingDates.front(), t, x);
 }
diff --git a/QuantExt/qle/models/lgmvectorised.hpp b/QuantExt/qle/models/lgmvectorised.hpp
@@ -65,25 +65,24 @@ class LgmVectorised {
                                     const std::vector<Date>& fixingDates, const std::vector<Date>& valueDates,
                                     const std::vector<Real>& dt, const Natural rateCutoff, const bool includeSpread,
                                     const Real spread, const Real gearing, const Period lookback,
-                                    const DayCounter& accrualDayCounter, const Real cap, const Real floor,
-                                    const bool localCapFloor, const bool nakedOption, const Time t,
-                                    const RandomVariable& x) const;
+                                    const DayCounter& accrualDayCounter, Real cap, Real floor, const bool localCapFloor,
+                                    const bool nakedOption, const Time t, const RandomVariable& x) const;
 
     /* Exact if no cap/floors are present and t <= first value date.
        Approximations are applied for t > first value date or when cap / floors are present. */
     RandomVariable averagedOnRate(const boost::shared_ptr<OvernightIndex>& index, const std::vector<Date>& fixingDates,
                                   const std::vector<Date>& valueDates, const std::vector<Real>& dt,
                                   const Natural rateCutoff, const bool includeSpread, const Real spread,
                                   const Real gearing, const Period lookback, const DayCounter& accrualDayCounter,
-                                  const Real cap, const Real floor, const bool localCapFloor, const bool nakedOption,
-                                  const Time t, const RandomVariable& x) const;
+                                  Real cap, Real floor, const bool localCapFloor, const bool nakedOption, const Time t,
+                                  const RandomVariable& x) const;
 
     /* Exact if no cap/floors are present and t <= first value date.
        Approximations are applied for t > first value date or when cap / floors are present. */
     RandomVariable averagedBmaRate(const boost::shared_ptr<BMAIndex>& index, const std::vector<Date>& fixingDates,
                                    const Date& accrualStartDate, const Date& accrualEndDate, const bool includeSpread,
-                                   const Real spread, const Real gearing, const Real cap, const Real floor,
-                                   const bool nakedOption, const Time t, const RandomVariable& x) const;
+                                   const Real spread, const Real gearing, Real cap, Real floor, const bool nakedOption,
+                                   const Time t, const RandomVariable& x) const;
 
     /* Approximation via plain Ibor coupon with fixing date = first fixing date and the fixing() method above. */
     RandomVariable subPeriodsRate(const boost::shared_ptr<InterestRateIndex>& index,
diff --git a/QuantExt/qle/pricingengines/mccamcurrencyswapengine.cpp b/QuantExt/qle/pricingengines/mccamcurrencyswapengine.cpp
@@ -28,12 +28,10 @@ McCamCurrencySwapEngine::McCamCurrencySwapEngine(
     const Size pricingSamples, const Size calibrationSeed, const Size pricingSeed, const Size polynomOrder,
     const LsmBasisSystem::PolynomialType polynomType, const SobolBrownianGenerator::Ordering ordering,
     const SobolRsg::DirectionIntegers directionIntegers, const std::vector<Handle<YieldTermStructure>>& discountCurves,
-    const std::vector<Date>& simulationDates, const std::vector<Size>& externalModelIndices, const bool minimalObsDate,
-    const bool regressionOnExerciseOnly)
+    const std::vector<Date>& simulationDates, const std::vector<Size>& externalModelIndices, const bool minimalObsDate)
     : McMultiLegBaseEngine(model, calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
                            calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers,
-                           discountCurves, simulationDates, externalModelIndices, minimalObsDate,
-                           regressionOnExerciseOnly),
+                           discountCurves, simulationDates, externalModelIndices, minimalObsDate),
       currencies_(currencies), npvCcy_(npvCcy) {
     registerWith(model_);
     for (auto const& h : discountCurves)
diff --git a/QuantExt/qle/pricingengines/mccamcurrencyswapengine.hpp b/QuantExt/qle/pricingengines/mccamcurrencyswapengine.hpp
@@ -41,8 +41,7 @@ class McCamCurrencySwapEngine : public McMultiLegBaseEngine, public CurrencySwap
         const SobolRsg::DirectionIntegers directionIntegers = SobolRsg::JoeKuoD7,
         const std::vector<Handle<YieldTermStructure>>& discountCurves = std::vector<Handle<YieldTermStructure>>(),
         const std::vector<Date>& simulationDates = std::vector<Date>(),
-        const std::vector<Size>& externalModelIndices = std::vector<Size>(), const bool minimalObsDate = true,
-        const bool regressionOnExerciseOnly = false);
+        const std::vector<Size>& externalModelIndices = std::vector<Size>(), const bool minimalObsDate = true);
 
     void calculate() const override;
     const Handle<CrossAssetModel>& model() const { return model_; }
diff --git a/QuantExt/qle/pricingengines/mccamfxforwardengine.cpp b/QuantExt/qle/pricingengines/mccamfxforwardengine.cpp
@@ -31,11 +31,10 @@ McCamFxForwardEngine::McCamFxForwardEngine(
     const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType,
     const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers,
     const std::vector<Handle<YieldTermStructure>>& discountCurves, const std::vector<Date>& simulationDates,
-    const std::vector<Size>& externalModelIndices, const bool minimalObsDate, const bool regressionOnExerciseOnly)
+    const std::vector<Size>& externalModelIndices, const bool minimalObsDate)
     : McMultiLegBaseEngine(model, calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
                            calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers,
-                           discountCurves, simulationDates, externalModelIndices, minimalObsDate,
-                           regressionOnExerciseOnly),
+                           discountCurves, simulationDates, externalModelIndices, minimalObsDate),
       domesticCcy_(domesticCcy), foreignCcy_(foreignCcy), npvCcy_(npvCcy) {
     registerWith(model_);
     for (auto const& h : discountCurves)
diff --git a/QuantExt/qle/pricingengines/mccamfxforwardengine.hpp b/QuantExt/qle/pricingengines/mccamfxforwardengine.hpp
@@ -41,8 +41,7 @@ class McCamFxForwardEngine : public McMultiLegBaseEngine, public FxForward::engi
         const SobolRsg::DirectionIntegers directionIntegers = SobolRsg::JoeKuoD7,
         const std::vector<Handle<YieldTermStructure>>& discountCurves = std::vector<Handle<YieldTermStructure>>(),
         const std::vector<Date>& simulationDates = std::vector<Date>(),
-        const std::vector<Size>& externalModelIndices = std::vector<Size>(), const bool minimalObsDate = true,
-        const bool regressionOnExerciseOnly = false);
+        const std::vector<Size>& externalModelIndices = std::vector<Size>(), const bool minimalObsDate = true);
 
     void calculate() const override;
     const Handle<CrossAssetModel>& model() const { return model_; }
diff --git a/QuantExt/qle/pricingengines/mccamfxoptionengine.cpp b/QuantExt/qle/pricingengines/mccamfxoptionengine.cpp
@@ -31,11 +31,10 @@ McCamFxOptionEngine::McCamFxOptionEngine(
     const Size polynomOrder, const LsmBasisSystem::PolynomialType polynomType,
     const SobolBrownianGenerator::Ordering ordering, const SobolRsg::DirectionIntegers directionIntegers,
     const std::vector<Handle<YieldTermStructure>>& discountCurves, const std::vector<Date>& simulationDates,
-    const std::vector<Size>& externalModelIndices, const bool minimalObsDate, const bool regressionOnExerciseOnly)
+    const std::vector<Size>& externalModelIndices, const bool minimalObsDate)
     : McMultiLegBaseEngine(model, calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
                            calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers,
-                           discountCurves, simulationDates, externalModelIndices, minimalObsDate,
-                           regressionOnExerciseOnly),
+                           discountCurves, simulationDates, externalModelIndices, minimalObsDate),
       domesticCcy_(domesticCcy), foreignCcy_(foreignCcy), npvCcy_(npvCcy) {
     registerWith(model_);
     for (auto const& h : discountCurves)
diff --git a/QuantExt/qle/pricingengines/mccamfxoptionengine.hpp b/QuantExt/qle/pricingengines/mccamfxoptionengine.hpp
@@ -44,8 +44,7 @@ class McCamFxOptionEngine : public McMultiLegBaseEngine, public VanillaOption::e
         const SobolRsg::DirectionIntegers directionIntegers = SobolRsg::JoeKuoD7,
         const std::vector<Handle<YieldTermStructure>>& discountCurves = std::vector<Handle<YieldTermStructure>>(),
         const std::vector<Date>& simulationDates = std::vector<Date>(),
-        const std::vector<Size>& externalModelIndices = std::vector<Size>(), const bool minimalObsDate = true,
-        const bool regressionOnExerciseOnly = false);
+        const std::vector<Size>& externalModelIndices = std::vector<Size>(), const bool minimalObsDate = true);
 
     void calculate() const override;
     const Handle<CrossAssetModel>& model() const { return model_; }
diff --git a/QuantExt/qle/pricingengines/mclgmswapengine.hpp b/QuantExt/qle/pricingengines/mclgmswapengine.hpp
@@ -41,15 +41,14 @@ class McLgmSwapEngine : public GenericEngine<QuantLib::Swap::arguments, QuantLib
                     const Handle<YieldTermStructure>& discountCurve = Handle<YieldTermStructure>(),
                     const std::vector<Date> simulationDates = std::vector<Date>(),
                     const std::vector<Size> externalModelIndices = std::vector<Size>(),
-                    const bool minimalObsDate = true, const bool regressionOnExerciseOnly = false)
+                    const bool minimalObsDate = true)
         : GenericEngine<QuantLib::Swap::arguments, QuantLib::Swap::results>(),
           McMultiLegBaseEngine(Handle<CrossAssetModel>(boost::make_shared<CrossAssetModel>(
                                    std::vector<boost::shared_ptr<IrModel>>(1, model),
                                    std::vector<boost::shared_ptr<FxBsParametrization>>())),
                                calibrationPathGenerator, pricingPathGenerator, calibrationSamples, pricingSamples,
                                calibrationSeed, pricingSeed, polynomOrder, polynomType, ordering, directionIntegers,
-                               {discountCurve}, simulationDates, externalModelIndices, minimalObsDate,
-                               regressionOnExerciseOnly) {
+                               {discountCurve}, simulationDates, externalModelIndices, minimalObsDate) {
         registerWith(model);
     }
 
diff --git a/QuantExt/qle/pricingengines/mclgmswaptionengine.hpp b/QuantExt/qle/pricingengines/mclgmswaptionengine.hpp
diff --git a/QuantExt/qle/pricingengines/mcmultilegbaseengine.cpp b/QuantExt/qle/pricingengines/mcmultilegbaseengine.cpp
diff --git a/QuantExt/qle/pricingengines/mcmultilegbaseengine.hpp b/QuantExt/qle/pricingengines/mcmultilegbaseengine.hpp
diff --git a/QuantExt/qle/pricingengines/mcmultilegoptionengine.cpp b/QuantExt/qle/pricingengines/mcmultilegoptionengine.cpp
diff --git a/QuantExt/qle/pricingengines/mcmultilegoptionengine.hpp b/QuantExt/qle/pricingengines/mcmultilegoptionengine.hpp
diff --git a/QuantExt/qle/pricingengines/numericlgmmultilegoptionengine.cpp b/QuantExt/qle/pricingengines/numericlgmmultilegoptionengine.cpp

Original file line number	Diff line number	Diff line change
`@@ -106,8 +106,7 @@ boost::shared_ptr<PricingEngine> CamAmcCurrencySwapEngineBuilder::engineImpl(con`
`106`	`106`	`parsePolynomType(engineParameter("Training.BasisFunction")),`
`107`	`107`	`parseSobolBrownianGeneratorOrdering(engineParameter("BrownianBridgeOrdering")),`
`108`	`108`	`parseSobolRsgDirectionIntegers(engineParameter("SobolDirectionIntegers")), discountCurves, simulationDates_,`
`109`		`- externalModelIndices, parseBool(engineParameter("MinObsDate")),`
`110`		`- parseBool(engineParameter("RegressionOnExerciseOnly")));`
	`109`	`+ externalModelIndices, parseBool(engineParameter("MinObsDate")));`
`111`	`110`
`112`	`111`	`return engine;`
`113`	`112`	`}`
Original file line number	Diff line number	Diff line change
`@@ -79,8 +79,7 @@ boost::shared_ptr<PricingEngine> CamAmcFxForwardEngineBuilder::engineImpl(const`
`79`	`79`	`parsePolynomType(engineParameter("Training.BasisFunction")),`
`80`	`80`	`parseSobolBrownianGeneratorOrdering(engineParameter("BrownianBridgeOrdering")),`
`81`	`81`	`parseSobolRsgDirectionIntegers(engineParameter("SobolDirectionIntegers")), discountCurves, simulationDates_,`
`82`		`- externalModelIndices, parseBool(engineParameter("MinObsDate")),`
`83`		`- parseBool(engineParameter("RegressionOnExerciseOnly")));`
	`82`	`+ externalModelIndices, parseBool(engineParameter("MinObsDate")));`
`84`	`83`
`85`	`84`	`return engine;`
`86`	`85`	`}`
Original file line number	Diff line number	Diff line change
`@@ -94,8 +94,7 @@ boost::shared_ptr<PricingEngine> CamAmcFxOptionEngineBuilder::engineImpl(const s`
`94`	`94`	`parsePolynomType(engineParameter("Training.BasisFunction")),`
`95`	`95`	`parseSobolBrownianGeneratorOrdering(engineParameter("BrownianBridgeOrdering")),`
`96`	`96`	`parseSobolRsgDirectionIntegers(engineParameter("SobolDirectionIntegers")), discountCurves, simulationDates_,`
`97`		`- externalModelIndices, parseBool(engineParameter("MinObsDate")),`
`98`		`- parseBool(engineParameter("RegressionOnExerciseOnly")));`
	`97`	`+ externalModelIndices, parseBool(engineParameter("MinObsDate")));`
`99`	`98`
`100`	`99`	`return engine;`
`101`	`100`	`}`
Original file line number	Diff line number	Diff line change
`@@ -332,8 +332,7 @@ boost::shared_ptr<PricingEngine> CamAmcMultiLegOptionEngineBuilder::engineImpl(`
`332`	`332`	`parsePolynomType(engineParameter("Training.BasisFunction")),`
`333`	`333`	`parseSobolBrownianGeneratorOrdering(engineParameter("BrownianBridgeOrdering")),`
`334`	`334`	`parseSobolRsgDirectionIntegers(engineParameter("SobolDirectionIntegers")), discountCurves, simulationDates_,`
`335`		`- externalModelIndices, parseBool(engineParameter("MinObsDate")),`
`336`		`- parseBool(engineParameter("RegressionOnExerciseOnly")));`
	`335`	`+ externalModelIndices, parseBool(engineParameter("MinObsDate")));`
`337`	`336`
`338`	`337`	`return engine;`
`339`	`338`	`}`
Original file line number	Diff line number	Diff line change
`@@ -44,8 +44,7 @@ boost::shared_ptr<PricingEngine> CamAmcSwapEngineBuilder::buildMcEngine(const bo`
`44`	`44`	`parsePolynomType(engineParameter("Training.BasisFunction")),`
`45`	`45`	`parseSobolBrownianGeneratorOrdering(engineParameter("BrownianBridgeOrdering")),`
`46`	`46`	`parseSobolRsgDirectionIntegers(engineParameter("SobolDirectionIntegers")), discountCurve, simulationDates,`
`47`		`- externalModelIndices, parseBool(engineParameter("MinObsDate")),`
`48`		`- parseBool(engineParameter("RegressionOnExerciseOnly")));`
	`47`	`+ externalModelIndices, parseBool(engineParameter("MinObsDate")));`
`49`	`48`	`}`
`50`	`49`
`51`	`50`	`boost::shared_ptr<PricingEngine> CamAmcSwapEngineBuilder::engineImpl(const Currency& ccy) {`
Original file line number	Diff line number	Diff line change
`@@ -51,8 +51,7 @@ boost::shared_ptr<PricingEngine> buildMcEngine(const std::function<string(string`
`51`	`51`	`parsePolynomType(engineParameters("Training.BasisFunction")),`
`52`	`52`	`parseSobolBrownianGeneratorOrdering(engineParameters("BrownianBridgeOrdering")),`
`53`	`53`	`parseSobolRsgDirectionIntegers(engineParameters("SobolDirectionIntegers")), discountCurve, simulationDates,`
`54`		`- externalModelIndices, parseBool(engineParameters("MinObsDate")),`
`55`		`- parseBool(engineParameters("RegressionOnExerciseOnly")));`
	`54`	`+ externalModelIndices, parseBool(engineParameters("MinObsDate")));`
`56`	`55`	`}`
`57`	`56`	`} // namespace`
`58`	`57`