git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "ed87b8b02f"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "baf02c8b3b"
git-subrepo:
  version:  "0.4.6"
  origin:   "https://github.com/ingydotnet/git-subrepo"
  commit:   "110b9eb"

Author: jenkins

Docker/.env

@@ -3,7 +3,7 @@ DEBIAN_TAG=11.7
 # it's recommended to include CMAKE_BUILD_TYPE and BOOST_VARIANT in QL_TAG, ORE_TAG, BOOST_TAG
 # to distinguish a release build from a debug build
 
-QL_TAG=1.31.1_55f433ce8
+QL_TAG=1.31.1_d2327d5a7135
 ORE_TAG=latest
 BOOST_TAG=1.78.0
 BOOST_DIR=1_78_0

Docs/AMC/amc.tex

@@ -256,7 +256,8 @@ \subsection{Pricing Engine Configuration}\label{sec:pricing_engine_config}
 
 \begin{enumerate}
 \item \verb+Training.Sequence+: The sequence type for the traning phase, can be \verb+MersenneTwister+,
-  \verb+MersenneTwisterAntithetc+, \verb+Sobol+ or \verb+SobolBrownianBridge+
+  \verb+MersenneTwisterAntithetc+, \verb+Sobol+, \verb+Burley2020Sobol+, \verb+SobolBrownianBridge+,
+  \verb+Burley2020SobolBrownianBridge+
 \item \verb+Training.Seed+: The seed for the random number generation in the training phase
 \item \verb+Training.Samples+: The number of samples to be used for the training phase
 \item \verb+Pricing.Sequence+: The sequence type for the pricing phase, same values allowed as for training

Docs/ScriptedTrade/docs/models.tex

@@ -111,7 +111,8 @@ \subsection{Pricing Engine Configuration}\label{pricingengine_config}
 \item RegressionOrder: The order of the polynomial basis to compute conditional expectations via regression
   analysis. Applies to MC only.
 \item SequenceType: The sequence type used for pricing. Defaults to SobolBrownianBridge. Possible values
-  SobolBrownianBridge, MersenneTwister, MersenneTwisterAnithetic, Sobol. Applies to MC only.
+  SobolBrownianBridge, Burley2020SobolBrownianBridge, MersenneTwister, MersenneTwisterAnithetic, Sobol,
+  Burley2020Sobol. Applies to MC only.
 \item PolynomType: The polynom type used for regression analysis. Defaults to Monomial. Possible values Monomial,
   Laguerre, Hermite, Hyperbolic, Legendre, Chebyshev, Chebychev2nd. Applies to MC only.
 \item TrainingSamples: If given, pricing and training are separate phases and traning phase is using this number of

Docs/UserGuide/parameterisation/simulation.tex

@@ -56,18 +56,18 @@
 %\item {\tt Scenario: } Choose between {\em Simple } and {\em Complex } implementations, the latter optimized for
 % more efficient memory usage. \todo[inline]{Remove Scenario choice}
 \item {\tt DayCounter:} Day count convention used to translate dates to times. Optional, defaults to ActualActual ISDA.
-\item {\tt Sequence:} Choose random sequence generator ({\em MersenneTwister, MersenneTwisterAntithetic, Sobol,
-SobolBrownianBridge}).
+\item {\tt Sequence:} Choose random sequence generator ({\em MersenneTwister, MersenneTwisterAntithetic,
+  Sobol,Burley2020Sobol, SobolBrownianBridge, Burley2020SobolBrownianBridge}).
 \item {\tt Seed:} Random number generator seed
 \item {\tt Samples:} Number of Monte Carlo paths to be produced
 %\item {\tt Fixings: } Choose whether fixings should be simulated or not, and if so which fixing simulation method to
 use ({\em Backward, Forward, BestOfForwardBackward, InterpolatedForwardBackward}), which number of forward horizon days
 to use if one of the {\em Forward } related methods is chosen.
-\item {\tt Ordering:} If the sequence type {\em SobolBrownianBridge} is used, ordering of variates ({\em Factors, Steps,
-    Diagonal})
-\item {\tt DirectionIntegers:} If the sequence type {\em SobolBrownianBridge} or {\em Sobol} is used, type of direction
-  integers in Sobol generator ({\em Unit, Jaeckel, SobolLevitan, SobolLevitanLemieux, JoeKuoD5, JoeKuoD6, JoeKuoD7, Kuo,
-    Kuo2, Kuo3})
+\item {\tt Ordering:} If the sequence type {\em SobolBrownianBridge} or {\em Burley2020SobolBrownianBridge} is used,
+  ordering of variates ({\em Factors, Steps, Diagonal})
+\item {\tt DirectionIntegers:} If the sequence type {\em SobolBrownianBridge}, {\em Burley2020SobolBrownianBridge}, {\em
+  Sobol} or {\em Burley2020Sobol} is used, type of direction integers in Sobol generator ({\em Unit, Jaeckel,
+  SobolLevitan, SobolLevitanLemieux, JoeKuoD5, JoeKuoD6, JoeKuoD7, Kuo, Kuo2, Kuo3})
 \item {\tt CloseOutLag}: If this tag is present, this specifies the close-out period length (e.g. 2W) used; otherwise no close-out grid is built. The close-out grid is an auxiliary time grid that is offset from the main default date grid by the close-out period, typically set to the applicable margin period of risk. If present, it is used to evolve the portfolio value and determine close-out values associated with the preceding default date valuation.
 \item {\tt MporMode}: This tag is expected if the previous one is present, permissible values are then {\tt StickyDate} and {\tt ActualDate}. {\tt StickyDate} means that only market data is evolved from the default date to close-out date for close-out date valuation, the valuation as of date remains unchanged and trades do not ``age'' over the period. As a consequence, exposure evolutions will not show spikes caused by cash flows within the close-out period. {\tt ActualDate} means that trades will also age over the close-out period so that one can experience exposure evolution spikes due to cash flows. 
 \end{itemize}
@@ -797,4 +797,4 @@
 \label{lst:simulation_market_configuration}
 \end{longlisting}
 
-\todo[inline]{Comment on cap/floor surface structure and reaction to time decay}
+\todo[inline]{Comment on cap/floor surface structure and reaction to time decay}

Docs/UserGuide/tradecomponents/underlying.tex

@@ -106,6 +106,7 @@ \subsubsection{Underlying}
           <FutureMonthOffset>0</FutureMonthOffset>
           <DeliveryRollDays>0</DeliveryRollDays>
           <DeliveryRollCalendar>TARGET</DeliveryRollCalendar>
+          <FutureContractMonth>Nov2023</FutureContractMonth>
         </Underlying>
 \end{minted}
 \caption{Commodity Underlying}
@@ -242,6 +243,14 @@ \subsubsection{Underlying}
 
 Allowable values: See Table \ref{tab:calendar}. Defaults to the null calendar if left blank or omitted, and \lstinline!Type!: is  \emph{Commodity}.
 
+\item \lstinline!FutureContractMonth! [Optional]:
+Only valid when  \lstinline!Type! is  \emph{Commodity}, \lstinline!PriceType! is FutureSettlement and there is no \lstinline!FutureExpiryDate! node. It specifies the underlying future contract month  in the format \emph{MonYYYY}, for example Nov2023. 
+
+\item \lstinline!FutureExpiryDate! [Optional]:
+Only valid when  \lstinline!Type! is  \emph{Commodity}, \lstinline!PriceType! is FutureSettlement and there is no \lstinline!FutureContractMonth! node. This gives the expiration date of the underlying commodity future contract. 
+
+If the field \lstinline!FutureExpiryDate! and \lstinline!FutureContractMonth! are omitted, the expiration date of the underlying commodity future contract is set to the prompt future, adjusted for any \lstinline!FutureMonthOffset!.
+
 \item \lstinline!Interpolation! [Optional]:
 Only valid when \lstinline!Type! is  \emph{Inflation}. The index observation interpolation between fixings.
 

Docs/UserGuide/userguide.tex

@@ -2851,7 +2851,8 @@ \subsubsection*{Pricing Engine Configuration}
 
 \begin{enumerate}
 \item \verb+Training.Sequence+: The sequence type for the traning phase, can be \verb+MersenneTwister+,
-  \verb+MersenneTwisterAntithetc+, \verb+Sobol+ or \verb+SobolBrownianBridge+
+  \verb+MersenneTwisterAntithetc+, \verb+Sobol+, \verb+Burley2020Sobol+, \verb+SobolBrownianBridge+,
+  \verb+Burley2020SobolBrownianBridge+
 \item \verb+Training.Seed+: The seed for the random number generation in the training phase
 \item \verb+Training.Samples+: The number of samples to be used for the training phase
 \item \verb+Pricing.Sequence+: The sequence type for the pricing phase, same values allowed as for training
@@ -5131,17 +5132,17 @@ \subsubsection{Parameters}\label{sec:sim_params}
 % more efficient memory usage. \todo[inline]{Remove Scenario choice}
 \item {\tt DayCounter:} Day count convention used to translate dates to times. Optional, defaults to ActualActual ISDA.
 \item {\tt Sequence:} Choose random sequence generator ({\em MersenneTwister, MersenneTwisterAntithetic, Sobol,
-SobolBrownianBridge}).
+  Burley2020Sobol, SobolBrownianBridge, Burley2020SobolBrownianBridge}).
 \item {\tt Seed:} Random number generator seed
 \item {\tt Samples:} Number of Monte Carlo paths to be produced
 %\item {\tt Fixings: } Choose whether fixings should be simulated or not, and if so which fixing simulation method to
 use ({\em Backward, Forward, BestOfForwardBackward, InterpolatedForwardBackward}), which number of forward horizon days
 to use if one of the {\em Forward } related methods is chosen.
-\item {\tt Ordering:} If the sequence type {\em SobolBrownianBridge} is used, ordering of variates ({\em Factors, Steps,
-    Diagonal})
-\item {\tt DirectionIntegers:} If the sequence type {\em SobolBrownianBridge} or {\em Sobol} is used, type of direction
-  integers in Sobol generator ({\em Unit, Jaeckel, SobolLevitan, SobolLevitanLemieux, JoeKuoD5, JoeKuoD6, JoeKuoD7, Kuo,
-    Kuo2, Kuo3})
+\item {\tt Ordering:} If the sequence type {\em SobolBrownianBridge} or {\em Burley2020SobolBrownianBridge} is used,
+  ordering of variates ({\em Factors, Steps, Diagonal})
+\item {\tt DirectionIntegers:} If the sequence type {\em SobolBrownianBridge}, {\em Burley2020SobolBrownianBridge}, {\em
+  Sobol} or {\em Burley2020Sobol} is used, type of direction integers in Sobol generator ({\em Unit, Jaeckel,
+  SobolLevitan, SobolLevitanLemieux, JoeKuoD5, JoeKuoD6, JoeKuoD7, Kuo, Kuo2, Kuo3})
 \item {\tt CloseOutLag}: If this tag is present, this specifies the close-out period length (e.g. 2W) used; otherwise no close-out grid is built. The close-out grid is an auxiliary time grid that is offset from the main default date grid by the close-out period, typically set to the applicable margin period of risk. If present, it is used to evolve the portfolio value and determine close-out values associated with the preceding default date valuation.
 \item {\tt MporMode}: This tag is expected if the previous one is present, permissible values are then {\tt StickyDate} and {\tt ActualDate}. {\tt StickyDate} means that only market data is evolved from the default date to close-out date for close-out date valuation, the valuation as of date remains unchanged and trades do not ``age'' over the period. As a consequence, exposure evolutions will not show spikes caused by cash flows within the close-out period. {\tt ActualDate} means that trades will also age over the close-out period so that one can experience exposure evolution spikes due to cash flows. 
 \end{itemize}
@@ -6135,10 +6136,15 @@ \subsection{Stress Scenario Analysis: {\tt stressconfig.xml}}\label{sec:stress}
 In case of the swaption volatility shifts, the single value given as {\tt Shift} (without the attributes {\tt expiry}
 and {\tt term}) represents a default value that is used whenever no explicit value is given for a expiry / term pair.
 
+UseSpreadedTermStructures: If set to true, spreaded termstructures over t0 will be used for the scenario calculation, to
+improve the alignment of the scenario sim market and t0 curves.
+
+
 \begin{longlisting}
 %\hrule\medskip
   \begin{minted}[fontsize=\scriptsize]{xml}
 <StressTesting>
+  <UseSpreadedTermStructures>false</UseSpreadedTermStructures>
   <StressTest id="parallel_rates">
     <DiscountCurves>
       <DiscountCurve ccy="EUR">

Examples/Example_10/ExpectedOutput/log_structured.json

@@ -17,9 +17,9 @@
   </Setup>
   <Markets>
     <Parameter name="lgmcalibration">collateral_inccy</Parameter>
-    <Parameter name="fxcalibration">collateral_eur</Parameter>
-    <Parameter name="pricing">collateral_eur</Parameter>
-    <Parameter name="simulation">collateral_eur</Parameter>
+    <Parameter name="fxcalibration">xois_eur</Parameter>
+    <Parameter name="pricing">xois_eur</Parameter>
+    <Parameter name="simulation">xois_eur</Parameter>
   </Markets>
   <Analytics>
     <Analytic type="npv">

Examples/Example_10/Input/ore.xml

@@ -17,9 +17,9 @@
   </Setup>
   <Markets>
     <Parameter name="lgmcalibration">collateral_inccy</Parameter>
-    <Parameter name="fxcalibration">collateral_eur</Parameter>
-    <Parameter name="pricing">collateral_eur</Parameter>
-    <Parameter name="simulation">collateral_eur</Parameter>
+    <Parameter name="fxcalibration">xois_eur</Parameter>
+    <Parameter name="pricing">xois_eur</Parameter>
+    <Parameter name="simulation">xois_eur</Parameter>
   </Markets>
   <Analytics>
     <Analytic type="npv">

Examples/Example_10/Input/ore_mpor.xml

@@ -17,9 +17,9 @@
   </Setup>
   <Markets>
     <Parameter name="lgmcalibration">collateral_inccy</Parameter>
-    <Parameter name="fxcalibration">collateral_eur</Parameter>
-    <Parameter name="pricing">collateral_eur</Parameter>
-    <Parameter name="simulation">collateral_eur</Parameter>
+    <Parameter name="fxcalibration">xois_eur</Parameter>
+    <Parameter name="pricing">xois_eur</Parameter>
+    <Parameter name="simulation">xois_eur</Parameter>
   </Markets>
   <Analytics>
     <Analytic type="npv">