git subrepo pull (merge) ore

subrepo:
  subdir:   "ore"
  merged:   "1bc0ef8e26"
upstream:
  origin:   "git@gitlab.acadiasoft.net:qs/ore.git"
  branch:   "master"
  commit:   "0538ceff12"
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}