QPR-13719 update docs, fix salvage parameter while at it

Author: pcaspers

Docs/UserGuide/parameterisation/ore.tex

@@ -348,7 +348,7 @@ \subsubsection{Simulation and Model Calibration}
     <Parameter name="cptyCubeFile">cptyCube.csv.gz</Parameter>
     <Parameter name="storeSurvivalProbabilities">Y</Parameter>
     <Parameter name="storeCreditStateNPVs">8</Parameter>
-    <Parameter name="salvageCorrelationMatrix">true</Parameter>
+    <Parameter name="cubeNpvOverlay">true</Parameter>
   </Analytic>
 </Analytics>
 \end{minted}
@@ -369,6 +369,8 @@ \subsubsection{Simulation and Model Calibration}
 cube for post processing in the context of some Dynamic Initial Margin and Variation Margin models. And finally, the
 key `store survival probabilities' (Y or N) controls whether survival probabilities on simulation dates are stored in the
 cube for post processing in the context of Dynamic Credit XVA calculation.
+Key 'cubeNpvOverlay' is optional and defaults to false. If true, all raw npv cube entries are corrected by the
+difference of the T0 npv from the pricing analytic and the T0 npv from the simulation npv.
 
 \medskip
 To use  AMC simulation the simulation setup needs the additional elements shown in \ref{lst:ore_amc_simulation}

Docs/UserGuide/parameterisation/simulation.tex

@@ -121,6 +121,7 @@ \subsubsection{Model}\label{sec:sim_model}
   <BootstrapTolerance>0.0001</BootstrapTolerance>
   <Measure>LGM</Measure><!-- Choices: LGM, BA -->
   <Discretization>Exact</Discretization>
+  <SalvagingAlgorithm>Spectral</SalvagingAlgorithm>
   <!-- ... -->
 </CrossAssetModel>
 \end{minted}
@@ -139,6 +140,8 @@ \subsubsection{Model}\label{sec:sim_model}
 testing purposes or if more sophisticated component models are used). If {\em Euler} is used, you should consider
 setting TimeStepsPerYear (see above) to a large enough value.
 
+The SalvagingAlgorithm tag specifies the preprocessing of the input correlation matrix (None, Spectral, Hypersphere, LowerDiagonal, Higham). Optional, defaults to None.
+
 \medskip
 
 Each interest rate model is specified by a block as follows