NOTICE [2024-Jan-31 23:17:08.602337] OREAnalytics/orea/app/parameters.cpp:133 : Parameters:
NOTICE [2024-Jan-31 23:17:08.602337] OREAnalytics/orea/app/parameters.cpp:136 : group = cashflow : active = Y
...
NOTICE [2024-Jan-31 23:17:08.649208] OREAnalytics/orea/app/oreapp.cpp:462 : buildInputParameters called
WARNING [2024-Jan-31 23:17:08.649208] OREAnalytics/orea/app/oreapp.cpp:484 : Calendar adjustments not found, using defaults
WARNING [2024-Jan-31 23:17:08.649208] OREAnalytics/orea/app/oreapp.cpp:495 : Currency configurations not found, using defaults
NOTICE [2024-Jan-31 23:17:08.649208] OREAnalytics/orea/app/oreapp.cpp:555 : Observation Mode is Disable
WARNING [2024-Jan-31 23:17:08.649208] OREAnalytics/orea/app/oreapp.cpp:568 : Reference data not found
WARNING [2024-Jan-31 23:17:08.649208] OREAnalytics/orea/app/oreapp.cpp:578 : Script library not loaded
NOTICE [2024-Jan-31 23:17:08.649208] OREAnalytics/orea/app/oreapp.cpp:583 : Loading conventions from file: Input/../../Input/conventions.xml
DEBUG [2024-Jan-31 23:17:08.649208] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-ZERO-CONVENTIONS
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DEBUG [2024-Jan-31 23:17:08.774201] OREData/ored/configuration/conventions.cpp:2449 : Building Convention GBP-USD-FX-CONVENTIONS
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DEBUG [2024-Jan-31 23:17:08.789825] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-USD-XCCY-BASIS-CONVENTIONS
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WARNING [2024-Jan-31 23:17:08.821072] OREAnalytics/orea/app/oreapp.cpp:594 : Using default Ibor fallback config
NOTICE [2024-Jan-31 23:17:08.821072] OREAnalytics/orea/app/oreapp.cpp:599 : Load curve configurations from file:
NOTICE [2024-Jan-31 23:17:08.821072] OREAnalytics/orea/app/oreapp.cpp:608 : Load pricing engine data from file: Input/../../Input/pricingengine.xml
DEBUG [2024-Jan-31 23:17:08.821072] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:17:08.821072] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:17:08.821072] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
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DEBUG [2024-Jan-31 23:17:08.836697] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
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DEBUG [2024-Jan-31 23:17:08.836697] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:17:08.836697] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
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DEBUG [2024-Jan-31 23:17:08.836697] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
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DEBUG [2024-Jan-31 23:17:08.852321] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:17:08.852321] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
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DEBUG [2024-Jan-31 23:17:08.852321] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:17:08.852321] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
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DEBUG [2024-Jan-31 23:17:08.852321] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
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DEBUG [2024-Jan-31 23:17:08.867943] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
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DEBUG [2024-Jan-31 23:17:08.867943] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:17:08.867943] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
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DEBUG [2024-Jan-31 23:17:08.867943] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=IndexCreditDefaultSwap paramName=Curve paramValue=Underlying
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DEBUG [2024-Jan-31 23:17:08.883567] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=SyntheticCDO paramName=correlation paramValue=0.0
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DEBUG [2024-Jan-31 23:17:08.883567] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=SyntheticCDO engine=Bucketing
DEBUG [2024-Jan-31 23:17:08.883567] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=SyntheticCDO paramName=buckets paramValue=124
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DEBUG [2024-Jan-31 23:17:08.883567] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS model=LinearTSR
...
DEBUG [2024-Jan-31 23:17:08.883567] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:17:08.883567] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:17:08.899191] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:17:08.899191] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:17:08.899191] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
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DEBUG [2024-Jan-31 23:17:08.914815] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:17:08.914815] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
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DEBUG [2024-Jan-31 23:17:08.914815] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BondOption paramName=TimestepPeriod paramValue=6M
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NOTICE [2024-Jan-31 23:17:08.914815] OREAnalytics/orea/app/oreapp.cpp:617 : Loading today's market parameters from fileInput/../../Input/todaysmarket.xml
DEBUG [2024-Jan-31 23:17:08.914815] OREData/ored/marketdata/todaysmarketparameters.cpp:322 : TodaysMarketParameters, add market objects of type YieldCurve: default BANK_EUR_BORROW Yield/EUR/BANK_EUR_BORROW
...
WARNING [2024-Jan-31 23:17:08.977313] OREData/ored/marketdata/todaysmarketparameters.cpp:190 : TodaysMarketParameters: the attribute 'currency' is deprecated for 'SwaptionVolatilities', use 'key' instead.
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WARNING [2024-Jan-31 23:17:08.977313] OREData/ored/marketdata/todaysmarketparameters.cpp:190 : TodaysMarketParameters: the attribute 'currency' is deprecated for 'CapFloorVolatilities', use 'key' instead.
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NOTICE [2024-Jan-31 23:17:09.008574] OREAnalytics/orea/app/inputparameters.cpp:143 : Loading portfolio from file: Input/portfolio.xml
DEBUG [2024-Jan-31 23:17:09.024184] OREData/ored/portfolio/portfolio.cpp:58 : Parsing trade id:Swap_1
DEBUG [2024-Jan-31 23:17:09.024184] OREData/ored/portfolio/portfolio.cpp:68 : Added Trade Swap_1 (Swap_1) type:Swap
...
NOTICE [2024-Jan-31 23:17:09.024184] OREData/ored/portfolio/portfolio.cpp:95 : Finished Parsing XML doc
NOTICE [2024-Jan-31 23:17:09.024184] OREAnalytics/orea/app/oreapp.cpp:636 : MarketContext::fxcalibration = collateral_eur
...
NOTICE [2024-Jan-31 23:17:09.024184] OREAnalytics/orea/app/oreapp.cpp:914 : Loading simulation config from fileInput/simulation.xml
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:699 : ScenarioSimMarketParameters::fromXML()
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:706 : Loading Currencies
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:710 : Loading BenchmarkCurve
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:723 : Loading YieldCurves
DEBUG [2024-Jan-31 23:17:09.039820] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse Y
WARNING [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:744 : ScenarioSimMarket parameter Extrapolation should be FlatFwd or FlatZero, mapping deprecated boolean 'Y' to FlatFwd. Please change this in your configuration.
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:761 : Loading Libor indices
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:764 : Loading swap indices
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:775 : Loading FX Rates
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:804 : Loading SwaptionVolatilities
ALERT [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:816 : ScenarioSimMarketParameters: SwaptionVolatilities/Currencies is deprecated, use Keys instead.
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:922 : Loading YieldVolatilities
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:941 : Loading Correlations
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:970 : Loading CapFloorVolatilities
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1076 : Loading YYCapFloorVolatilities
DEBUG [2024-Jan-31 23:17:09.039820] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1138 : Loading CPICapFloorVolatilities
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1201 : Loading DefaultCurves Rates
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1229 : Loading Equities Rates
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1242 : Loading CDSVolatilities Rates
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1270 : Loading FXVolatilities
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1339 : Loading EquityVolatilities
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1405 : Loading CpiInflationIndexCurves
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1408 : Loading ZeroInflationIndexCurves
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1415 : Loading YYInflationIndexCurves
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1423 : Loading AggregationScenarioDataIndices
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1428 : Loading AggregationScenarioDataCurrencies
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1434 : Loading Securities
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1444 : Loading CPRs
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1451 : Loading BaseCorrelations
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1461 : Loading commodities data
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1503 : Loading commodity volatility data
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1533 : Loading credit states data
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1540 : Loading AggregationScenarioDataCreditStates
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1547 : Loading AggregationScenarioDataSurvivalWeights
DEBUG [2024-Jan-31 23:17:09.055431] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1551 : Loaded ScenarioSimMarketParameters
WARNING [2024-Jan-31 23:17:09.055431] OREData/ored/model/crossassetmodeldata.cpp:274 : Simulation/Parameters/Discretization is deprecated, use Simulation/CrossAssetModel/Discretization instead.
NOTICE [2024-Jan-31 23:17:09.055431] OREData/ored/model/crossassetmodeldata.cpp:288 : CrossAssetModelData: domesticCcy EUR
NOTICE [2024-Jan-31 23:17:09.055431] OREData/ored/model/crossassetmodeldata.cpp:292 : CrossAssetModelData: ccy EUR
...
NOTICE [2024-Jan-31 23:17:09.071054] OREData/ored/model/crossassetmodeldata.cpp:316 : CrossAssetModelData: bootstrap tolerance = 0.0001
NOTICE [2024-Jan-31 23:17:09.071054] OREData/ored/model/crossassetmodeldata.cpp:319 : CrossAssetModelData: measure = ''
WARNING [2024-Jan-31 23:17:09.071054] OREData/ored/model/irlgmdata.cpp:33 : IrLgmData: attribute ccy is deprecated, use key instead.
NOTICE [2024-Jan-31 23:17:09.071054] OREData/ored/model/irlgmdata.cpp:36 : LGM with attribute (key) = default
NOTICE [2024-Jan-31 23:17:09.071054] OREData/ored/model/irlgmdata.cpp:54 : LGM calibration swaption 1Y x 29Y ATM
...
NOTICE [2024-Jan-31 23:17:09.071054] OREData/ored/model/lgmdata.cpp:126 : LGM Volatility calibrate = 1
NOTICE [2024-Jan-31 23:17:09.071054] OREData/ored/model/lgmdata.cpp:130 : LGM Volatility type = Hagan
NOTICE [2024-Jan-31 23:17:09.071054] OREData/ored/model/lgmdata.cpp:134 : LGM Volatility param type = Piecewise
NOTICE [2024-Jan-31 23:17:09.071054] OREData/ored/model/lgmdata.cpp:137 : LGM Volatility time grid size = 7
NOTICE [2024-Jan-31 23:17:09.086678] OREData/ored/model/lgmdata.cpp:140 : LGM Volatility initial values size = 8
NOTICE [2024-Jan-31 23:17:09.086678] OREData/ored/model/lgmdata.cpp:147 : LGM Reversion calibrate = 0
NOTICE [2024-Jan-31 23:17:09.086678] OREData/ored/model/lgmdata.cpp:151 : LGM Reversion type = HullWhite
NOTICE [2024-Jan-31 23:17:09.086678] OREData/ored/model/lgmdata.cpp:155 : LGM Reversion parameter type = Constant
NOTICE [2024-Jan-31 23:17:09.086678] OREData/ored/model/lgmdata.cpp:158 : LGM Reversion time grid size = 0
NOTICE [2024-Jan-31 23:17:09.086678] OREData/ored/model/lgmdata.cpp:161 : LGM Reversion initial values size = 1
NOTICE [2024-Jan-31 23:17:09.086678] OREData/ored/model/lgmdata.cpp:167 : LGM shift horizon = 0
NOTICE [2024-Jan-31 23:17:09.086678] OREData/ored/model/lgmdata.cpp:170 : LGM scaling = 1
NOTICE [2024-Jan-31 23:17:09.086678] OREData/ored/model/irmodeldata.cpp:113 : LGM with calibrationType_ = default
NOTICE [2024-Jan-31 23:17:09.086678] OREData/ored/model/lgmdata.cpp:178 : LgmData done
NOTICE [2024-Jan-31 23:17:09.086678] OREData/ored/model/crossassetmodeldata.cpp:340 : LGM calibration swaption 1Y x 29Y ATM
...
NOTICE [2024-Jan-31 23:17:09.103887] OREData/ored/model/crossassetmodeldata.cpp:345 : CrossAssetModelData: IR config built for key default
WARNING [2024-Jan-31 23:17:09.104887] OREData/ored/model/irlgmdata.cpp:33 : IrLgmData: attribute ccy is deprecated, use key instead.
NOTICE [2024-Jan-31 23:17:09.105885] OREData/ored/model/irlgmdata.cpp:36 : LGM with attribute (key) = EUR
NOTICE [2024-Jan-31 23:17:09.106885] OREData/ored/model/irlgmdata.cpp:54 : LGM calibration swaption 1Y x 29Y ATM
...
NOTICE [2024-Jan-31 23:17:09.113881] OREData/ored/model/lgmdata.cpp:126 : LGM Volatility calibrate = 1
NOTICE [2024-Jan-31 23:17:09.114880] OREData/ored/model/lgmdata.cpp:130 : LGM Volatility type = Hagan
NOTICE [2024-Jan-31 23:17:09.114880] OREData/ored/model/lgmdata.cpp:134 : LGM Volatility param type = Piecewise
NOTICE [2024-Jan-31 23:17:09.115880] OREData/ored/model/lgmdata.cpp:137 : LGM Volatility time grid size = 7
NOTICE [2024-Jan-31 23:17:09.116879] OREData/ored/model/lgmdata.cpp:140 : LGM Volatility initial values size = 8
NOTICE [2024-Jan-31 23:17:09.116879] OREData/ored/model/lgmdata.cpp:147 : LGM Reversion calibrate = 0
NOTICE [2024-Jan-31 23:17:09.118182] OREData/ored/model/lgmdata.cpp:151 : LGM Reversion type = HullWhite
NOTICE [2024-Jan-31 23:17:09.119183] OREData/ored/model/lgmdata.cpp:155 : LGM Reversion parameter type = Constant
NOTICE [2024-Jan-31 23:17:09.121181] OREData/ored/model/lgmdata.cpp:158 : LGM Reversion time grid size = 0
NOTICE [2024-Jan-31 23:17:09.122180] OREData/ored/model/lgmdata.cpp:161 : LGM Reversion initial values size = 1
NOTICE [2024-Jan-31 23:17:09.123180] OREData/ored/model/lgmdata.cpp:167 : LGM shift horizon = 0
NOTICE [2024-Jan-31 23:17:09.124179] OREData/ored/model/lgmdata.cpp:170 : LGM scaling = 1
NOTICE [2024-Jan-31 23:17:09.126019] OREData/ored/model/irmodeldata.cpp:113 : LGM with calibrationType_ = EUR
NOTICE [2024-Jan-31 23:17:09.126019] OREData/ored/model/lgmdata.cpp:178 : LgmData done
NOTICE [2024-Jan-31 23:17:09.127023] OREData/ored/model/crossassetmodeldata.cpp:340 : LGM calibration swaption 1Y x 29Y ATM
...
NOTICE [2024-Jan-31 23:17:09.136385] OREData/ored/model/crossassetmodeldata.cpp:345 : CrossAssetModelData: IR config built for key EUR
WARNING [2024-Jan-31 23:17:09.137384] OREData/ored/model/irlgmdata.cpp:33 : IrLgmData: attribute ccy is deprecated, use key instead.
NOTICE [2024-Jan-31 23:17:09.137384] OREData/ored/model/irlgmdata.cpp:36 : LGM with attribute (key) = CHF
NOTICE [2024-Jan-31 23:17:09.138384] OREData/ored/model/irlgmdata.cpp:54 : LGM calibration swaption 1Y x 29Y ATM
...
NOTICE [2024-Jan-31 23:17:09.145659] OREData/ored/model/lgmdata.cpp:126 : LGM Volatility calibrate = 1
NOTICE [2024-Jan-31 23:17:09.145659] OREData/ored/model/lgmdata.cpp:130 : LGM Volatility type = Hagan
NOTICE [2024-Jan-31 23:17:09.145659] OREData/ored/model/lgmdata.cpp:134 : LGM Volatility param type = Piecewise
NOTICE [2024-Jan-31 23:17:09.150071] OREData/ored/model/lgmdata.cpp:137 : LGM Volatility time grid size = 7
NOTICE [2024-Jan-31 23:17:09.152070] OREData/ored/model/lgmdata.cpp:140 : LGM Volatility initial values size = 8
NOTICE [2024-Jan-31 23:17:09.153068] OREData/ored/model/lgmdata.cpp:147 : LGM Reversion calibrate = 0
NOTICE [2024-Jan-31 23:17:09.154068] OREData/ored/model/lgmdata.cpp:151 : LGM Reversion type = HullWhite
NOTICE [2024-Jan-31 23:17:09.155067] OREData/ored/model/lgmdata.cpp:155 : LGM Reversion parameter type = Constant
NOTICE [2024-Jan-31 23:17:09.156067] OREData/ored/model/lgmdata.cpp:158 : LGM Reversion time grid size = 0
NOTICE [2024-Jan-31 23:17:09.157066] OREData/ored/model/lgmdata.cpp:161 : LGM Reversion initial values size = 1
NOTICE [2024-Jan-31 23:17:09.158716] OREData/ored/model/lgmdata.cpp:167 : LGM shift horizon = 0
NOTICE [2024-Jan-31 23:17:09.159720] OREData/ored/model/lgmdata.cpp:170 : LGM scaling = 1
NOTICE [2024-Jan-31 23:17:09.160721] OREData/ored/model/irmodeldata.cpp:113 : LGM with calibrationType_ = CHF
NOTICE [2024-Jan-31 23:17:09.161715] OREData/ored/model/lgmdata.cpp:178 : LgmData done
NOTICE [2024-Jan-31 23:17:09.161715] OREData/ored/model/crossassetmodeldata.cpp:340 : LGM calibration swaption 1Y x 29Y ATM
...
NOTICE [2024-Jan-31 23:17:09.170734] OREData/ored/model/crossassetmodeldata.cpp:345 : CrossAssetModelData: IR config built for key CHF
DEBUG [2024-Jan-31 23:17:09.171734] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF) failed: Two or three tokens required in CHF: CCY-INDEX or CCY-INDEX-TERM
...
NOTICE [2024-Jan-31 23:17:09.176169] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy EUR EUR
...
NOTICE [2024-Jan-31 23:17:09.179185] OREData/ored/model/crossassetmodeldata.cpp:593 : IR configuration missing for currency USD, using default
...
NOTICE [2024-Jan-31 23:17:09.179185] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy USD USD
...
NOTICE [2024-Jan-31 23:17:09.185432] OREData/ored/model/crossassetmodeldata.cpp:593 : IR configuration missing for currency GBP, using default
...
NOTICE [2024-Jan-31 23:17:09.187430] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy GBP GBP
...
NOTICE [2024-Jan-31 23:17:09.193001] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy CHF CHF
...
NOTICE [2024-Jan-31 23:17:09.196017] OREData/ored/model/crossassetmodeldata.cpp:593 : IR configuration missing for currency JPY, using default
...
NOTICE [2024-Jan-31 23:17:09.196017] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy JPY JPY
...
NOTICE [2024-Jan-31 23:17:09.196017] OREData/ored/model/crossassetmodeldata.cpp:375 : CrossAssetModelData: IR config currency 0 = EUR
...
NOTICE [2024-Jan-31 23:17:09.207172] OREData/ored/model/fxbsdata.cpp:41 : CC-LGM foreignCcy = default
NOTICE [2024-Jan-31 23:17:09.208176] OREData/ored/model/fxbsdata.cpp:44 : CC-LGM domesticCcy = EUR
NOTICE [2024-Jan-31 23:17:09.209177] OREData/ored/model/fxbsdata.cpp:48 : CC-LGM calibration type = Bootstrap
NOTICE [2024-Jan-31 23:17:09.209177] OREData/ored/model/fxbsdata.cpp:52 : CC-LGM Sigma calibrate = 1
NOTICE [2024-Jan-31 23:17:09.210167] OREData/ored/model/fxbsdata.cpp:56 : CC-LGM Sigma parameter type = Piecewise
NOTICE [2024-Jan-31 23:17:09.211166] OREData/ored/model/fxbsdata.cpp:59 : CC-LGM Sigma time grid size = 7
NOTICE [2024-Jan-31 23:17:09.211166] OREData/ored/model/fxbsdata.cpp:62 : CC-LGM Sigma initial values size = 8
NOTICE [2024-Jan-31 23:17:09.212213] OREData/ored/model/crossassetmodeldata.cpp:389 : CC-LGM calibration option 1Y ATMF
...
NOTICE [2024-Jan-31 23:17:09.217802] OREData/ored/model/crossassetmodeldata.cpp:394 : CrossAssetModelData: FX config built with key (foreign ccy) default
NOTICE [2024-Jan-31 23:17:09.218804] OREData/ored/model/fxbsdata.cpp:41 : CC-LGM foreignCcy = USD
NOTICE [2024-Jan-31 23:17:09.219801] OREData/ored/model/fxbsdata.cpp:44 : CC-LGM domesticCcy = EUR
NOTICE [2024-Jan-31 23:17:09.219801] OREData/ored/model/fxbsdata.cpp:48 : CC-LGM calibration type = Bootstrap
NOTICE [2024-Jan-31 23:17:09.220800] OREData/ored/model/fxbsdata.cpp:52 : CC-LGM Sigma calibrate = 1
NOTICE [2024-Jan-31 23:17:09.221799] OREData/ored/model/fxbsdata.cpp:56 : CC-LGM Sigma parameter type = Piecewise
NOTICE [2024-Jan-31 23:17:09.223179] OREData/ored/model/fxbsdata.cpp:59 : CC-LGM Sigma time grid size = 7
NOTICE [2024-Jan-31 23:17:09.224182] OREData/ored/model/fxbsdata.cpp:62 : CC-LGM Sigma initial values size = 8
NOTICE [2024-Jan-31 23:17:09.225184] OREData/ored/model/crossassetmodeldata.cpp:389 : CC-LGM calibration option 1Y ATMF
...
NOTICE [2024-Jan-31 23:17:09.229198] OREData/ored/model/crossassetmodeldata.cpp:394 : CrossAssetModelData: FX config built with key (foreign ccy) USD
NOTICE [2024-Jan-31 23:17:09.229198] OREData/ored/model/fxbsdata.cpp:41 : CC-LGM foreignCcy = GBP
NOTICE [2024-Jan-31 23:17:09.229198] OREData/ored/model/fxbsdata.cpp:44 : CC-LGM domesticCcy = EUR
NOTICE [2024-Jan-31 23:17:09.229198] OREData/ored/model/fxbsdata.cpp:48 : CC-LGM calibration type = Bootstrap
NOTICE [2024-Jan-31 23:17:09.229198] OREData/ored/model/fxbsdata.cpp:52 : CC-LGM Sigma calibrate = 1
NOTICE [2024-Jan-31 23:17:09.229198] OREData/ored/model/fxbsdata.cpp:56 : CC-LGM Sigma parameter type = Piecewise
NOTICE [2024-Jan-31 23:17:09.233464] OREData/ored/model/fxbsdata.cpp:59 : CC-LGM Sigma time grid size = 7
NOTICE [2024-Jan-31 23:17:09.235465] OREData/ored/model/fxbsdata.cpp:62 : CC-LGM Sigma initial values size = 8
NOTICE [2024-Jan-31 23:17:09.235465] OREData/ored/model/crossassetmodeldata.cpp:389 : CC-LGM calibration option 1Y ATMF
...
NOTICE [2024-Jan-31 23:17:09.241470] OREData/ored/model/crossassetmodeldata.cpp:394 : CrossAssetModelData: FX config built with key (foreign ccy) GBP
NOTICE [2024-Jan-31 23:17:09.242465] OREData/ored/model/crossassetmodeldata.cpp:646 : CrossAssetModelData: FX config added for foreign ccy USD
...
NOTICE [2024-Jan-31 23:17:09.243459] OREData/ored/model/crossassetmodeldata.cpp:634 : FX configuration missing for foreign currency CHF, using default
...
NOTICE [2024-Jan-31 23:17:09.245480] OREData/ored/model/crossassetmodeldata.cpp:403 : CrossAssetModelData: FX config currency 0 = USD
...
NOTICE [2024-Jan-31 23:17:09.245480] OREData/ored/model/crossassetmodeldata.cpp:426 : No Equity Models section found
NOTICE [2024-Jan-31 23:17:09.251159] OREData/ored/model/crossassetmodeldata.cpp:470 : No InflationIndexModels node found so no inflation models configured.
NOTICE [2024-Jan-31 23:17:09.253157] OREData/ored/model/crossassetmodeldata.cpp:513 : No CR model section found
NOTICE [2024-Jan-31 23:17:09.254159] OREData/ored/model/crossassetmodeldata.cpp:544 : No Commodity Models section found
NOTICE [2024-Jan-31 23:17:09.254159] OREData/ored/model/crossassetmodeldata.cpp:561 : No credit states section found
NOTICE [2024-Jan-31 23:17:09.255156] OREData/ored/model/crossassetmodeldata.cpp:565 : CrossAssetModelData: adding correlations.
NOTICE [2024-Jan-31 23:17:09.256156] OREData/ored/model/crossassetmodeldata.cpp:74 : CrossAssetModelData: adding correlations.
DEBUG [2024-Jan-31 23:17:09.258675] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,USD,0}) = 0.3.
...
DEBUG [2024-Jan-31 23:17:09.262687] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD) failed: Two or three tokens required in USD: CCY-INDEX or CCY-INDEX-TERM
...
NOTICE [2024-Jan-31 23:17:09.270809] OREData/ored/model/crossassetmodeldata.cpp:571 : CrossAssetModelData loading from XML done
DEBUG [2024-Jan-31 23:17:09.272808] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 290
DEBUG [2024-Jan-31 23:17:09.273808] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:2W, Date:2016-02-19, Valuation:1, CloseOut:0
...
NOTICE [2024-Jan-31 23:17:09.533568] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:80 : ScenarioGeneratorData grid points size = 290
NOTICE [2024-Jan-31 23:17:09.533568] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:84 : ScenarioGeneratorData sequence type = SobolBrownianBridge
NOTICE [2024-Jan-31 23:17:09.533568] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:87 : ScenarioGeneratorData seed = 42
NOTICE [2024-Jan-31 23:17:09.533568] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:90 : ScenarioGeneratorData samples = 1000
NOTICE [2024-Jan-31 23:17:09.533568] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:145 : ScenarioGeneratorData done.
DEBUG [2024-Jan-31 23:17:09.533568] OREAnalytics/orea/app/oreapp.cpp:921 : grid size=290, dates=290, valuationDates=290, closeOutDates=0
NOTICE [2024-Jan-31 23:17:09.533568] OREAnalytics/orea/app/oreapp.cpp:929 : Load simulation pricing engine data from file: Input/../../Input/pricingengine.xml
DEBUG [2024-Jan-31 23:17:09.533568] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:17:09.533568] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:17:09.533568] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
...
DEBUG [2024-Jan-31 23:17:09.549193] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:17:09.549193] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:17:09.549193] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
...
DEBUG [2024-Jan-31 23:17:09.549193] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
...
DEBUG [2024-Jan-31 23:17:09.549193] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:17:09.564817] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
...
DEBUG [2024-Jan-31 23:17:09.564817] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:17:09.564817] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
...
DEBUG [2024-Jan-31 23:17:09.564817] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
...
DEBUG [2024-Jan-31 23:17:09.580441] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:17:09.580441] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:17:09.580441] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
...
DEBUG [2024-Jan-31 23:17:09.580441] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=IndexCreditDefaultSwap paramName=Curve paramValue=Underlying
...
DEBUG [2024-Jan-31 23:17:09.596064] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=SyntheticCDO paramName=correlation paramValue=0.0
...
DEBUG [2024-Jan-31 23:17:09.596064] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=SyntheticCDO engine=Bucketing
DEBUG [2024-Jan-31 23:17:09.596064] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=SyntheticCDO paramName=buckets paramValue=124
...
DEBUG [2024-Jan-31 23:17:09.596064] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS model=LinearTSR
...
DEBUG [2024-Jan-31 23:17:09.596064] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:17:09.596064] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:17:09.611689] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:17:09.611689] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:17:09.611689] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
...
DEBUG [2024-Jan-31 23:17:09.611689] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:17:09.611689] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
...
DEBUG [2024-Jan-31 23:17:09.627312] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BondOption paramName=TimestepPeriod paramValue=6M
...
WARNING [2024-Jan-31 23:17:09.627312] OREAnalytics/orea/app/oreapp.cpp:941 : AMC pricing engine data not found, using standard pricing engines
NOTICE [2024-Jan-31 23:17:09.627312] OREAnalytics/orea/app/oreapp.cpp:1013 : Loading netting and csa data from fileInput/netting.xml
NOTICE [2024-Jan-31 23:17:09.627312] OREData/ored/portfolio/nettingsetdefinition.cpp:270 : NettingSetId='CPTY_A': Validating netting set definition
DEBUG [2024-Jan-31 23:17:09.642937] OREData/ored/portfolio/nettingsetdefinition.cpp:111 : NettingSetId='CPTY_A': NettingSetDefinition built from XML...
...
NOTICE [2024-Jan-31 23:17:09.642937] OREData/ored/portfolio/nettingsetdefinition.cpp:277 : NettingSetId='CPTY_B': Validating netting set definition's CSA details
...
NOTICE [2024-Jan-31 23:17:09.642937] OREAnalytics/orea/app/oreapp.cpp:1398 : buildInputParameters done
NOTICE [2024-Jan-31 23:17:09.642937] OREAnalytics/orea/app/inputparameters.cpp:463 : OutputFileNameMap called
NOTICE [2024-Jan-31 23:17:09.642937] OREAnalytics/orea/app/inputparameters.cpp:527 : OutputFileNameMap complete
NOTICE [2024-Jan-31 23:17:09.642937] OREAnalytics/orea/app/oreapp.cpp:221 : ORE analytics starting
WARNING [2024-Jan-31 23:17:09.642937] OREAnalytics/orea/app/oreapp.cpp:222 : 8884224|8880128
DEBUG [2024-Jan-31 23:17:09.642937] OREData/ored/marketdata/market.cpp:98 : Building default PseudoCurrencyMarketParameters
DEBUG [2024-Jan-31 23:17:09.642937] OREData/ored/marketdata/market.cpp:100 : PseudoCurrencyMarketParameters { TreatAsFX:True, BaseCurrency:}
...
WARNING [2024-Jan-31 23:17:09.642937] OREAnalytics/orea/app/oreapp.cpp:210 : dividend data file not found
NOTICE [2024-Jan-31 23:17:09.642937] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/market_20160205.txt
DATA [2024-Jan-31 23:17:09.642937] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum BMA_SWAP/RATIO/USD/3M/3M
...
WARNING [2024-Jan-31 23:17:09.858830] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum FRA/RATE/EUR/1M/6M - this is already present.
...
DATA [2024-Jan-31 23:17:09.858830] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum IR_SWAP/RATE/EUR/2D/6M/2Y
...
WARNING [2024-Jan-31 23:17:10.452542] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum FX_OPTION/RATE_LNVOL/EUR/USD/2M/25RR - this is already present.
...
DATA [2024-Jan-31 23:17:10.468164] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum SWAPTION/RATE_LNVOL/CHF/25Y/10Y/ATM
...
WARNING [2024-Jan-31 23:17:14.180920] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/1Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:17:14.231936] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/2Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:17:14.273825] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/3Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:17:14.313181] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/4Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:17:14.357025] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/5Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:17:14.397405] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/6Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:17:14.431856] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/7Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:17:14.473975] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/8Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:17:14.524457] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/9Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:17:14.568195] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/10Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:17:14.608234] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/15Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:17:14.641660] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/20Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:17:15.820907] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum RECOVERY_RATE/RATE/BANK/SR/USD - this is already present.
...
DATA [2024-Jan-31 23:17:15.836516] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum RECOVERY_RATE/RATE/CPTY_A/SR/EUR
...
WARNING [2024-Jan-31 23:17:15.836516] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum BOND/YIELD_SPREAD/SECURITY_1 - this is already present.
...
NOTICE [2024-Jan-31 23:17:15.905487] OREData/ored/marketdata/csvloader.cpp:166 : CSVLoader completed processing Input/../../Input/market_20160205.txt
NOTICE [2024-Jan-31 23:17:15.905487] OREData/ored/marketdata/csvloader.cpp:78 : CSVLoader loaded 7968 market data points for February 5th, 2016
NOTICE [2024-Jan-31 23:17:15.905487] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/fixings_20160205.txt
...
NOTICE [2024-Jan-31 23:17:15.936733] OREData/ored/marketdata/csvloader.cpp:83 : CSVLoader loaded 5452 fixings
NOTICE [2024-Jan-31 23:17:15.936733] OREData/ored/marketdata/csvloader.cpp:88 : CSVLoader loaded 0 dividends
NOTICE [2024-Jan-31 23:17:15.936733] OREData/ored/marketdata/csvloader.cpp:90 : CSVLoader complete.
NOTICE [2024-Jan-31 23:17:15.936733] OREAnalytics/orea/app/analyticsmanager.cpp:77 : register analytic with label 'MARKETDATA' and sub-analytics MARKETDATA
...
NOTICE [2024-Jan-31 23:17:15.936733] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:48 : XvaAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:17:15.936733] OREAnalytics/orea/app/analytics/scenariostatisticsanalytic.cpp:42 : ScenarioStatisticsAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:17:15.936733] OREAnalytics/orea/app/oreapp.cpp:239 : Available analytics: CASHFLOW,CASHFLOWNPV,EXPOSURE,MARKETDATA,NPV,PARCONVERSION,SCENARIO_STATISTICS,SENSITIVITY,SIMM,STRESS,VAR,XVA
NOTICE [2024-Jan-31 23:17:15.936733] OREAnalytics/orea/app/oreapp.cpp:242 : Requested analytics: CASHFLOW,EXPOSURE,NPV,XVA
NOTICE [2024-Jan-31 23:17:15.936733] OREAnalytics/orea/app/analyticsmanager.cpp:142 : AnalyticsManager::runAnalytics: requireMarketData Y
NOTICE [2024-Jan-31 23:17:15.936733] OREAnalytics/orea/app/analyticsmanager.cpp:147 : AnalyticsManager::runAnalytics: populate loader
NOTICE [2024-Jan-31 23:17:15.936733] OREAnalytics/orea/app/marketdatacsvloader.cpp:78 : MarketDataCsvLoader::retrieveFixings called: all fixings ? Y
NOTICE [2024-Jan-31 23:17:15.952358] OREAnalytics/orea/app/marketdataloader.cpp:264 : Adding the loaded fixings to the IndexManager
DATA [2024-Jan-31 23:17:15.955446] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:17:15.955446] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
...
WARNING [2024-Jan-31 23:17:15.955446] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:17:15.955446] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
WARNING [2024-Jan-31 23:17:15.955446] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:17:15.971931] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
WARNING [2024-Jan-31 23:17:15.984922] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:17:15.985922] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
WARNING [2024-Jan-31 23:17:16.195498] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:17:16.196497] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
WARNING [2024-Jan-31 23:17:16.395235] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:17:16.395235] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
WARNING [2024-Jan-31 23:17:16.598347] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:17:16.598347] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
...
WARNING [2024-Jan-31 23:17:16.801459] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:17:16.801459] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
WARNING [2024-Jan-31 23:17:17.004569] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:17:17.004569] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
WARNING [2024-Jan-31 23:17:17.207678] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:17:17.207678] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DATA [2024-Jan-31 23:17:17.207678] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
WARNING [2024-Jan-31 23:17:17.207678] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date (no more warnings of this type will be emitted)
...
DATA [2024-Jan-31 23:17:17.419469] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:17:17.671757] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:17:18.236951] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:17:18.677282] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
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DATA [2024-Jan-31 23:17:19.259641] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
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DATA [2024-Jan-31 23:17:19.544708] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
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DATA [2024-Jan-31 23:17:19.780522] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
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DATA [2024-Jan-31 23:17:20.021530] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:17:20.371514] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
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DATA [2024-Jan-31 23:17:20.672159] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
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DATA [2024-Jan-31 23:17:20.701567] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
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DATA [2024-Jan-31 23:17:20.711076] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
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DATA [2024-Jan-31 23:17:21.004380] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
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DATA [2024-Jan-31 23:17:21.248625] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
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DATA [2024-Jan-31 23:17:21.463171] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:17:21.655936] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
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DATA [2024-Jan-31 23:17:21.873764] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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NOTICE [2024-Jan-31 23:17:21.873764] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 5.924597 seconds
NOTICE [2024-Jan-31 23:17:21.873764] OREAnalytics/orea/app/marketdataloader.cpp:268 : Generating market datum set
DEBUG [2024-Jan-31 23:17:21.873764] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
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WARNING [2024-Jan-31 23:17:22.170619] OREData/ored/configuration/capfloorvolcurveconfig.cpp:142 : CapFloorVolatilityCurveConfig (EUR_CF_N): The IborIndex node is deprecated, use Index instead.
DATA [2024-Jan-31 23:17:22.170619] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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WARNING [2024-Jan-31 23:17:22.170619] OREData/ored/configuration/cdsvolcurveconfig.cpp:94 : Using an Expiries node only in CDSVolatilityCurveConfig is deprecated. A volatility configuration node should be used instead.
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DEBUG [2024-Jan-31 23:17:22.170619] OREData/ored/configuration/inflationcapfloorvolcurveconfig.cpp:179 : ZC Inflation Cap/Floor Strike 0 = -0.02
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DEBUG [2024-Jan-31 23:17:22.201866] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
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NOTICE [2024-Jan-31 23:17:25.974641] OREAnalytics/orea/app/marketdataloader.cpp:286 : CurveConfigs require 2489 quotes
DATA [2024-Jan-31 23:17:25.975641] OREData/ored/marketdata/inmemoryloader.cpp:113 : Added MarketDatum BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/10Y
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NOTICE [2024-Jan-31 23:17:31.824774] OREAnalytics/orea/app/marketdataloader.cpp:293 : Got market data
NOTICE [2024-Jan-31 23:17:31.824774] OREAnalytics/orea/app/reportwriter.cpp:1324 : Writing MarketData report
NOTICE [2024-Jan-31 23:17:31.840399] OREAnalytics/orea/app/reportwriter.cpp:1363 : MarketData report written
NOTICE [2024-Jan-31 23:17:31.840399] OREAnalytics/orea/app/reportwriter.cpp:1368 : Writing Fixings report
NOTICE [2024-Jan-31 23:17:31.840399] OREAnalytics/orea/app/reportwriter.cpp:1377 : Fixings report written
NOTICE [2024-Jan-31 23:17:31.840399] OREAnalytics/orea/app/reportwriter.cpp:1382 : Writing Dividends report
NOTICE [2024-Jan-31 23:17:31.840399] OREAnalytics/orea/app/reportwriter.cpp:1394 : Dividends report written
NOTICE [2024-Jan-31 23:17:31.840399] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'PRICING'
WARNING [2024-Jan-31 23:17:31.840399] OREAnalytics/orea/app/analytic.cpp:83 : 32862208|32858112
NOTICE [2024-Jan-31 23:17:31.840399] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:17:31.840399] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
DATA [2024-Jan-31 23:17:31.840399] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:17:31.840399] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
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DATA [2024-Jan-31 23:17:31.856022] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
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DATA [2024-Jan-31 23:17:31.856022] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
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DATA [2024-Jan-31 23:17:31.871647] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
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DATA [2024-Jan-31 23:17:32.074758] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
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DATA [2024-Jan-31 23:17:32.277869] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
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DATA [2024-Jan-31 23:17:32.496602] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
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DATA [2024-Jan-31 23:17:32.699714] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
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DATA [2024-Jan-31 23:17:32.902825] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:17:33.121561] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
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DATA [2024-Jan-31 23:17:33.121561] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
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DATA [2024-Jan-31 23:17:33.324670] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
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DATA [2024-Jan-31 23:17:33.527969] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
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DATA [2024-Jan-31 23:17:33.731095] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:17:33.948284] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
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DATA [2024-Jan-31 23:17:34.151392] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
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DATA [2024-Jan-31 23:17:34.409624] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
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DATA [2024-Jan-31 23:17:34.613593] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
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DATA [2024-Jan-31 23:17:34.816447] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:17:35.035167] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
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DATA [2024-Jan-31 23:17:35.238278] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
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DATA [2024-Jan-31 23:17:35.253902] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
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DATA [2024-Jan-31 23:17:35.253902] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
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DATA [2024-Jan-31 23:17:35.457012] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
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DATA [2024-Jan-31 23:17:35.660126] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
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DATA [2024-Jan-31 23:17:35.878873] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:17:36.081969] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
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DATA [2024-Jan-31 23:17:36.285081] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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NOTICE [2024-Jan-31 23:17:36.285081] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 4.448255 seconds
NOTICE [2024-Jan-31 23:17:36.285081] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:17:36.300708] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:17:36.300708] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:17:36.300708] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:17:36.300708] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFUSD
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NOTICE [2024-Jan-31 23:17:36.300708] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 10 quotes, 7 currencies.
NOTICE [2024-Jan-31 23:17:36.300708] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
DATA [2024-Jan-31 23:17:36.300708] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:17:36.363473] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
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DEBUG [2024-Jan-31 23:17:36.410348] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-CMS-1Y
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DATA [2024-Jan-31 23:17:36.410348] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DATA [2024-Jan-31 23:17:36.410348] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
DATA [2024-Jan-31 23:17:36.410348] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #11 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
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DATA [2024-Jan-31 23:17:36.410348] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DATA [2024-Jan-31 23:17:36.410348] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #27 SwapIndexCurve(CHF-CMS-30Y,CHF-TOIS) to #10 IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M)
DATA [2024-Jan-31 23:17:36.410348] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #27 SwapIndexCurve(CHF-CMS-30Y,CHF-TOIS) to #11 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
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DATA [2024-Jan-31 23:17:36.410348] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:17:36.410348] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #28 SwapIndexCurve(EUR-CMS-10Y,EUR-EONIA) to #16 IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M)
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DATA [2024-Jan-31 23:17:36.425970] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DATA [2024-Jan-31 23:17:36.425970] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #29 SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) to #12 IndexCurve(EUR-EONIA,Yield/EUR/EUR1D)
DATA [2024-Jan-31 23:17:36.425970] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #29 SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) to #15 IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M)
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DATA [2024-Jan-31 23:17:36.425970] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:17:36.425970] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #32 SwapIndexCurve(GBP-CMS-1Y,GBP-SONIA) to #19 IndexCurve(GBP-SONIA,Yield/GBP/GBP1D)
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DATA [2024-Jan-31 23:17:36.425970] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DATA [2024-Jan-31 23:17:36.425970] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #33 SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) to #18 IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M)
DATA [2024-Jan-31 23:17:36.425970] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #33 SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) to #19 IndexCurve(GBP-SONIA,Yield/GBP/GBP1D)
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DATA [2024-Jan-31 23:17:36.425970] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DATA [2024-Jan-31 23:17:36.441597] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #34 SwapIndexCurve(JPY-CMS-1Y,JPY-TONAR) to #20 IndexCurve(JPY-LIBOR-6M,Yield/JPY/JPY6M)
DATA [2024-Jan-31 23:17:36.441597] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #34 SwapIndexCurve(JPY-CMS-1Y,JPY-TONAR) to #21 IndexCurve(JPY-TONAR,Yield/JPY/JPY1D)
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DATA [2024-Jan-31 23:17:36.441597] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:17:36.441597] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #36 SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) to #23 IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M)
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DATA [2024-Jan-31 23:17:36.441597] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:17:36.457220] OREData/ored/marketdata/dependencygraph.cpp:198 : add edge from vertex #49 SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) to #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS)
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DATA [2024-Jan-31 23:17:36.457220] OREData/ored/marketdata/dependencygraph.cpp:121 : add edge from vertex #64 CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) to #16 IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M)
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DATA [2024-Jan-31 23:17:36.457220] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #2 DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR)
DATA [2024-Jan-31 23:17:36.457220] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
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DATA [2024-Jan-31 23:17:36.472844] OREData/ored/marketdata/dependencygraph.cpp:352 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #4 DiscountCurve(USD,Yield/USD/USD-IN-EUR)
DATA [2024-Jan-31 23:17:36.472844] OREData/ored/marketdata/dependencygraph.cpp:358 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #91 CommodityCurves(COMDTY_GOLD_USD,Commodity/USD/GOLD_USD)
...
DEBUG [2024-Jan-31 23:17:36.472844] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:17:36.472844] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:17:36.472844] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:17:36.535340] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #5 YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) to #1 DiscountCurve(EUR,Yield/EUR/EUR1D)
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DATA [2024-Jan-31 23:17:36.566587] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
DATA [2024-Jan-31 23:17:36.566587] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #11 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
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DATA [2024-Jan-31 23:17:36.582211] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF1D)
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DATA [2024-Jan-31 23:17:36.597835] OREData/ored/marketdata/dependencygraph.cpp:198 : add edge from vertex #49 SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) to #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS)
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DATA [2024-Jan-31 23:17:36.597835] OREData/ored/marketdata/dependencygraph.cpp:121 : add edge from vertex #64 CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) to #16 IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M)
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DATA [2024-Jan-31 23:17:36.597835] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #2 DiscountCurve(GBP,Yield/GBP/GBP1D)
DATA [2024-Jan-31 23:17:36.597835] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
...
DATA [2024-Jan-31 23:17:36.613459] OREData/ored/marketdata/dependencygraph.cpp:352 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #4 DiscountCurve(USD,Yield/USD/USD1D)
DATA [2024-Jan-31 23:17:36.613459] OREData/ored/marketdata/dependencygraph.cpp:358 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #91 CommodityCurves(COMDTY_GOLD_USD,Commodity/USD/GOLD_USD)
...
DEBUG [2024-Jan-31 23:17:36.613459] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
NOTICE [2024-Jan-31 23:17:36.613459] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
DATA [2024-Jan-31 23:17:36.613459] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:17:36.675968] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
...
DATA [2024-Jan-31 23:17:36.722827] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
DATA [2024-Jan-31 23:17:36.722827] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #11 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:17:36.738450] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:17:36.738450] OREData/ored/marketdata/dependencygraph.cpp:198 : add edge from vertex #49 SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) to #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS)
...
DATA [2024-Jan-31 23:17:36.754075] OREData/ored/marketdata/dependencygraph.cpp:121 : add edge from vertex #64 CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) to #16 IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M)
...
DATA [2024-Jan-31 23:17:36.754075] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #2 DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR)
DATA [2024-Jan-31 23:17:36.754075] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
...
DATA [2024-Jan-31 23:17:36.754075] OREData/ored/marketdata/dependencygraph.cpp:352 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #4 DiscountCurve(USD,Yield/USD/USD-IN-EUR)
DATA [2024-Jan-31 23:17:36.754075] OREData/ored/marketdata/dependencygraph.cpp:358 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #91 CommodityCurves(COMDTY_GOLD_USD,Commodity/USD/GOLD_USD)
...
DEBUG [2024-Jan-31 23:17:36.754075] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:17:36.754075] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
DATA [2024-Jan-31 23:17:36.754075] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:17:36.832208] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-USD) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
...
DATA [2024-Jan-31 23:17:36.863443] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
DATA [2024-Jan-31 23:17:36.863443] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #11 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:17:36.879065] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:17:36.894690] OREData/ored/marketdata/dependencygraph.cpp:198 : add edge from vertex #49 SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) to #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS)
...
DATA [2024-Jan-31 23:17:36.894690] OREData/ored/marketdata/dependencygraph.cpp:121 : add edge from vertex #64 CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) to #16 IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M)
...
DATA [2024-Jan-31 23:17:36.894690] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #2 DiscountCurve(GBP,Yield/GBP/GBP-IN-USD)
DATA [2024-Jan-31 23:17:36.894690] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
...
DATA [2024-Jan-31 23:17:36.910314] OREData/ored/marketdata/dependencygraph.cpp:352 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #4 DiscountCurve(USD,Yield/USD/USD1D)
DATA [2024-Jan-31 23:17:36.910314] OREData/ored/marketdata/dependencygraph.cpp:358 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #91 CommodityCurves(COMDTY_GOLD_USD,Commodity/USD/GOLD_USD)
...
DEBUG [2024-Jan-31 23:17:36.910314] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:17:36.910314] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:17:36.910314] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:17:36.972810] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(CHF,Yield/CHF/CHF6M) to #12 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:17:37.004057] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #27 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #10 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
DATA [2024-Jan-31 23:17:37.019681] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #27 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #12 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:17:37.035305] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #39 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:17:37.035305] OREData/ored/marketdata/dependencygraph.cpp:198 : add edge from vertex #50 SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) to #27 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS)
...
DATA [2024-Jan-31 23:17:37.035305] OREData/ored/marketdata/dependencygraph.cpp:121 : add edge from vertex #65 CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) to #17 IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M)
...
DATA [2024-Jan-31 23:17:37.050929] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #84 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #2 DiscountCurve(GBP,Yield/GBP/GBP6M)
DATA [2024-Jan-31 23:17:37.050929] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #84 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #79 EquityCurves(FTSE,Equity/GBP/FTSE)
...
DATA [2024-Jan-31 23:17:37.050929] OREData/ored/marketdata/dependencygraph.cpp:352 : add edge from vertex #94 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #4 DiscountCurve(USD,Yield/USD/USD3M)
DATA [2024-Jan-31 23:17:37.050929] OREData/ored/marketdata/dependencygraph.cpp:358 : add edge from vertex #94 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #92 CommodityCurves(COMDTY_GOLD_USD,Commodity/USD/GOLD_USD)
...
DEBUG [2024-Jan-31 23:17:37.050929] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
NOTICE [2024-Jan-31 23:17:37.050929] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:17:37.050929] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:17:37.050929] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 4.45e+03 ms 1 4.45e+03 ms
...
NOTICE [2024-Jan-31 23:17:37.066553] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 5210.09 ms
NOTICE [2024-Jan-31 23:17:37.066553] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 5.218193 sec
NOTICE [2024-Jan-31 23:17:37.066553] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 3
NOTICE [2024-Jan-31 23:17:37.066553] OREAnalytics/orea/app/analytic.cpp:209 : Build the portfolio
NOTICE [2024-Jan-31 23:17:37.066553] OREAnalytics/orea/app/analytic.cpp:138 : Analytic::engineFactory() called
NOTICE [2024-Jan-31 23:17:37.066553] OREAnalytics/orea/app/analytic.cpp:148 : MarketContext::pricing = collateral_eur
NOTICE [2024-Jan-31 23:17:37.066553] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:17:37.066553] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 3 for context = 'analytic/PRICING'
DEBUG [2024-Jan-31 23:17:37.066553] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_1
DEBUG [2024-Jan-31 23:17:37.066553] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:17:37.066553] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:17:37.066553] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = GBP
DEBUG [2024-Jan-31 23:17:37.066553] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:37.066553] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(GBP-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:37.066553] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:37.066553] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #19: IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) (not yet built)
...
DEBUG [2024-Jan-31 23:17:37.082175] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.082175] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP1D
DEBUG [2024-Jan-31 23:17:37.082175] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "GBP-OIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.082175] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-OIS-CONVENTIONS
DATA [2024-Jan-31 23:17:37.082175] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
...
DEBUG [2024-Jan-31 23:17:37.082175] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:17:37.082175] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP1D built
DEBUG [2024-Jan-31 23:17:37.082175] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.097800] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-SONIA) with spec Yield/GBP/GBP1D to configuration default
DATA [2024-Jan-31 23:17:37.097800] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:17:37.097800] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) in configuration default
DEBUG [2024-Jan-31 23:17:37.097800] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.097800] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP6M
DEBUG [2024-Jan-31 23:17:37.097800] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:17:37.097800] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-DEPOSIT
DEBUG [2024-Jan-31 23:17:37.097800] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:17:37.097800] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:37.097800] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "GBP-6M-FRA"
DEBUG [2024-Jan-31 23:17:37.097800] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-6M-FRA
...
DEBUG [2024-Jan-31 23:17:37.113425] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "GBP-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:37.129050] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 26 instruments
DEBUG [2024-Jan-31 23:17:37.129050] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP6M built
DEBUG [2024-Jan-31 23:17:37.129050] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.129050] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration default
DATA [2024-Jan-31 23:17:37.129050] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DEBUG [2024-Jan-31 23:17:37.129050] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration default
DEBUG [2024-Jan-31 23:17:37.129050] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:17:37.129050] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:17:37.129050] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:17:37.144674] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = GBP
DEBUG [2024-Jan-31 23:17:37.144674] OREData/ored/portfolio/swap.cpp:142 : Notional is 4e+07 GBP
DEBUG [2024-Jan-31 23:17:37.144674] OREData/ored/portfolio/swap.cpp:146 : npv currency is GBP
DEBUG [2024-Jan-31 23:17:37.144674] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:37.144674] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:37.144674] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:37.144674] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:17:37.144674] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.144674] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:17:37.144674] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.144674] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EONIA-CONVENTIONS
DATA [2024-Jan-31 23:17:37.144674] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:17:37.144674] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:37.160298] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
DEBUG [2024-Jan-31 23:17:37.160298] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
DEBUG [2024-Jan-31 23:17:37.160298] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.160298] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:17:37.160298] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:17:37.160298] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.160298] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR3M
DEBUG [2024-Jan-31 23:17:37.160298] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.160298] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EURIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:17:37.160298] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:17:37.160298] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:37.175921] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.175921] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:17:37.175921] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:37.191545] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:17:37.207169] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR3M built
DEBUG [2024-Jan-31 23:17:37.207169] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.207169] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration default
DATA [2024-Jan-31 23:17:37.207169] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:17:37.207169] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration default
DEBUG [2024-Jan-31 23:17:37.207169] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.207169] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP3M
DEBUG [2024-Jan-31 23:17:37.207169] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:17:37.222793] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:17:37.222793] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:37.222793] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "GBP-LIBOR-3M-6M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.222793] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-LIBOR-3M-6M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:17:37.238417] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 19 instruments
DEBUG [2024-Jan-31 23:17:37.254040] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP3M built
DEBUG [2024-Jan-31 23:17:37.254040] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.254040] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-3M) with spec Yield/GBP/GBP3M to configuration default
DATA [2024-Jan-31 23:17:37.254040] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
DEBUG [2024-Jan-31 23:17:37.269666] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) in configuration default
DEBUG [2024-Jan-31 23:17:37.269666] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.269666] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP-IN-EUR
DEBUG [2024-Jan-31 23:17:37.269666] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-GBP-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.269666] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:17:37.269666] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:17:37.269666] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-GBP-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.269666] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-GBP-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:17:37.269666] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:37.285287] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:17:37.300911] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP-IN-EUR built
DEBUG [2024-Jan-31 23:17:37.300911] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.300911] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:17:37.300911] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:17:37.300911] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 4, error: 0
DEBUG [2024-Jan-31 23:17:37.300911] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:17:37.300911] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Swap_1:
DATA [2024-Jan-31 23:17:37.300911] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:17:37.332173] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_2
DEBUG [2024-Jan-31 23:17:37.332173] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:37.332173] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EURIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:37.332173] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:37.332173] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:17:37.332173] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:17:37.347784] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:17:37.347784] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:17:37.347784] OREData/ored/portfolio/swap.cpp:142 : Notional is 3e+07 EUR
DEBUG [2024-Jan-31 23:17:37.347784] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:17:37.347784] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:37.347784] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:37.347784] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:37.347784] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:17:37.347784] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Swap_2:
DATA [2024-Jan-31 23:17:37.347784] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:17:37.394769] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_3
DEBUG [2024-Jan-31 23:17:37.394769] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:17:37.394769] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:17:37.394769] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
DEBUG [2024-Jan-31 23:17:37.394769] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:37.394769] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(USD-LIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:37.394769] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:37.394769] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (not yet built)
...
DEBUG [2024-Jan-31 23:17:37.410396] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.410396] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD1D
DEBUG [2024-Jan-31 23:17:37.410396] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-FED-FUNDS-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.410396] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-FED-FUNDS-CONVENTIONS
DATA [2024-Jan-31 23:17:37.410396] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:17:37.410396] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:37.410396] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:17:37.410396] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD1D built
DEBUG [2024-Jan-31 23:17:37.410396] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.410396] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration default
DATA [2024-Jan-31 23:17:37.410396] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:17:37.410396] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration default
DEBUG [2024-Jan-31 23:17:37.426021] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.426021] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD3M
DEBUG [2024-Jan-31 23:17:37.426021] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.426021] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:17:37.426021] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:17:37.426021] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:37.426021] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.426021] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:17:37.426021] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:37.441644] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 22 instruments
DEBUG [2024-Jan-31 23:17:37.457269] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD3M built
DEBUG [2024-Jan-31 23:17:37.457269] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.457269] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD3M to configuration default
DATA [2024-Jan-31 23:17:37.457269] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:17:37.457269] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration default
DEBUG [2024-Jan-31 23:17:37.457269] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:17:37.457269] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:17:37.457269] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:17:37.472892] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = USD
DEBUG [2024-Jan-31 23:17:37.472892] OREData/ored/portfolio/swap.cpp:142 : Notional is 5e+07 USD
DEBUG [2024-Jan-31 23:17:37.472892] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:17:37.472892] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:37.472892] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:37.472892] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:37.472892] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:37.472892] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.472892] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-IN-EUR
DEBUG [2024-Jan-31 23:17:37.472892] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.472892] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:17:37.472892] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:17:37.472892] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.472892] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-USD-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:17:37.472892] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:37.488514] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:17:37.597881] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-IN-EUR built
DEBUG [2024-Jan-31 23:17:37.613506] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.613506] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:17:37.613506] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:17:37.613506] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:37.613506] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:17:37.613506] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Swap_3:
DATA [2024-Jan-31 23:17:37.613506] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:17:37.644754] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 3, size now 3, built 0 failed trades, context is analytic/PRICING
NOTICE [2024-Jan-31 23:17:37.644754] OREAnalytics/orea/app/analytic.cpp:218 : Filter trades that expire before February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.644754] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:72 : requested analytic EXPOSURE not covered by the PricingAnalytic
...
NOTICE [2024-Jan-31 23:17:37.644754] OREAnalytics/orea/app/reportwriter.cpp:154 : Writing cashflow report for February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.644754] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:37.644754] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:37.644754] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:17:37.644754] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(GBPEUR): 0 / JoinHolidays(TARGET, UK settlement) from convention.
...
DATA [2024-Jan-31 23:17:37.644754] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'GBP' to 'EUR': GBP-EUR
...
ALERT [2024-Jan-31 23:17:37.660377] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:37.660377] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:37.660377] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
...
DATA [2024-Jan-31 23:17:37.660377] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
...
ALERT [2024-Jan-31 23:17:37.676017] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:37.676017] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:17:37.676017] OREAnalytics/orea/app/reportwriter.cpp:596 : Cashflow report written
NOTICE [2024-Jan-31 23:17:37.676017] OREAnalytics/orea/app/reportwriter.cpp:81 : portfolio valuation
WARNING [2024-Jan-31 23:17:37.676017] OREData/ored/portfolio/swap.cpp:239 : swap engine does not provide current notional: currentNotional not provided, using fallback
...
NOTICE [2024-Jan-31 23:17:37.676017] OREAnalytics/orea/app/reportwriter.cpp:144 : NPV file written
NOTICE [2024-Jan-31 23:17:37.676017] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:107 : Write curves report
DEBUG [2024-Jan-31 23:17:37.676017] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 240
DEBUG [2024-Jan-31 23:17:37.676017] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:1M, Date:2016-03-07, Valuation:1, CloseOut:0
...
NOTICE [2024-Jan-31 23:17:37.863491] OREAnalytics/orea/app/reportwriter.cpp:662 : Write curves...
DEBUG [2024-Jan-31 23:17:37.863491] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - CHF
DEBUG [2024-Jan-31 23:17:37.863491] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'default'
DATA [2024-Jan-31 23:17:37.863491] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:37.863491] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (not yet built)
...
DEBUG [2024-Jan-31 23:17:37.863491] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.863491] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF1D
DEBUG [2024-Jan-31 23:17:37.879114] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-TOIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.879114] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-TOIS-CONVENTIONS
DATA [2024-Jan-31 23:17:37.879114] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
...
DEBUG [2024-Jan-31 23:17:37.879114] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "CHF-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:37.879114] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:17:37.879114] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF1D built
DEBUG [2024-Jan-31 23:17:37.879114] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.879114] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-TOIS) with spec Yield/CHF/CHF1D to configuration default
DATA [2024-Jan-31 23:17:37.879114] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:17:37.894752] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) in configuration default
DEBUG [2024-Jan-31 23:17:37.894752] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.894752] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF3M
DEBUG [2024-Jan-31 23:17:37.894752] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.894752] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:17:37.894752] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:17:37.894752] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:37.894752] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.894752] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:17:37.894752] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:37.910360] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:17:37.910360] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF3M built
DEBUG [2024-Jan-31 23:17:37.910360] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.925999] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-3M) with spec Yield/CHF/CHF3M to configuration default
DATA [2024-Jan-31 23:17:37.925999] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:17:37.925999] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) in configuration default
DEBUG [2024-Jan-31 23:17:37.925999] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.925999] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF-IN-EUR
DEBUG [2024-Jan-31 23:17:37.925999] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-CHF-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.925999] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:17:37.925999] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:17:37.925999] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-CHF-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.925999] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-CHF-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:17:37.925999] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:37.925999] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 10 instruments
DEBUG [2024-Jan-31 23:17:37.941624] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF-IN-EUR built
DEBUG [2024-Jan-31 23:17:37.941624] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.941624] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:17:37.941624] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:17:37.941624] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:17:37.941624] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - EUR
DEBUG [2024-Jan-31 23:17:37.941624] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:37.941624] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:37.941624] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:37.957248] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (not yet built)
...
DEBUG [2024-Jan-31 23:17:37.957248] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.957248] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY1D
DEBUG [2024-Jan-31 23:17:37.957248] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "JPY-OIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.957248] OREData/ored/configuration/conventions.cpp:2587 : Building Convention JPY-OIS-CONVENTIONS
DATA [2024-Jan-31 23:17:37.957248] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
...
DEBUG [2024-Jan-31 23:17:37.957248] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:17:37.957248] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY1D built
DEBUG [2024-Jan-31 23:17:37.957248] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.957248] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-TONAR) with spec Yield/JPY/JPY1D to configuration default
DATA [2024-Jan-31 23:17:37.957248] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
DEBUG [2024-Jan-31 23:17:37.957248] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) in configuration default
DEBUG [2024-Jan-31 23:17:37.957248] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:37.957248] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY6M
DEBUG [2024-Jan-31 23:17:37.972872] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "JPY-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:37.972872] OREData/ored/configuration/conventions.cpp:2587 : Building Convention JPY-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:17:37.972872] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY-LIBOR) failed: parseIborIndex "JPY-LIBOR" not recognized
DATA [2024-Jan-31 23:17:37.972872] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:37.972872] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "JPY-LIBOR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:37.988479] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 18 instruments
DEBUG [2024-Jan-31 23:17:37.988479] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY6M built
DEBUG [2024-Jan-31 23:17:37.988479] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:37.988479] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY6M to configuration default
DEBUG [2024-Jan-31 23:17:37.988479] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:17:37.988479] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:17:37.988479] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - USD
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:38.004119] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BANK_EUR_BORROW
...
DATA [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_BORROW
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-ZERO-CONVENTIONS-TENOR-BASED
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_BORROW built
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_BORROW" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BANK_EUR_BORROW) with spec Yield/EUR/BANK_EUR_BORROW to configuration default
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) in configuration default
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_BORROW) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:38.004119] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BANK_EUR_LEND
...
DATA [2024-Jan-31 23:17:38.004119] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_LEND
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_LEND built
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_LEND" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BANK_EUR_LEND) with spec Yield/EUR/BANK_EUR_LEND to configuration default
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_LEND,Yield/EUR/BANK_EUR_LEND) in configuration default
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_LEND) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:38.019743] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BENCHMARK_EUR
...
DATA [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BENCHMARK_EUR
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BENCHMARK_EUR built
DEBUG [2024-Jan-31 23:17:38.019743] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BENCHMARK_EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BENCHMARK_EUR) with spec Yield/EUR/BENCHMARK_EUR to configuration default
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BENCHMARK_EUR,Yield/EUR/BENCHMARK_EUR) in configuration default
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BENCHMARK_EUR) failed: Two or three tokens required in BENCHMARK_EUR: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BENCHMARK_EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:38.035367] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BOND_YIELD_EUR
...
DATA [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #8: YieldCurve(BOND_YIELD_EUR,Yield/EUR/BOND_YIELD_EUR) (not yet built)
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/yieldcurve.cpp:255 : Building ZeroCurve Yield/EUR/BOND_YIELD_EUR
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/yieldcurve.cpp:697 : Insert zero curve point at time zero for Yield/EUR/BOND_YIELD_EUR: date 2016-02-05, zero 0.0300
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/yieldcurve.cpp:725 : Add zero curve point for Yield/EUR/BOND_YIELD_EUR: 2021-02-09 0.0300 / 0.8603
...
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BOND_YIELD_EUR built
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BOND_YIELD_EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BOND_YIELD_EUR) with spec Yield/EUR/BOND_YIELD_EUR to configuration default
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BOND_YIELD_EUR,Yield/EUR/BOND_YIELD_EUR) in configuration default
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.035367] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BOND_YIELD_EUR) failed: Two or three tokens required in BOND_YIELD_EUR: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:17:38.050991] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BOND_YIELD_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:17:38.050991] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BOND_YIELD_EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:38.050991] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:38.050991] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - CHF-LIBOR-3M
...
DATA [2024-Jan-31 23:17:38.050991] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.050991] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.050991] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.050991] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF6M
DEBUG [2024-Jan-31 23:17:38.050991] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:38.050991] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:17:38.050991] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:38.066616] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:38.066616] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:17:38.066616] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:38.082238] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:17:38.097850] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF6M built
DEBUG [2024-Jan-31 23:17:38.097850] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:38.097850] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-6M) with spec Yield/CHF/CHF6M to configuration default
DATA [2024-Jan-31 23:17:38.097850] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DEBUG [2024-Jan-31 23:17:38.097850] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M) in configuration default
DEBUG [2024-Jan-31 23:17:38.097850] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.097850] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - CHF-TOIS
DEBUG [2024-Jan-31 23:17:38.097850] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:38.097850] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:38.097850] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.097850] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:17:38.097850] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration default
DATA [2024-Jan-31 23:17:38.097850] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:17:38.097850] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:17:38.097850] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.113474] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-EURIBOR-12M
DEBUG [2024-Jan-31 23:17:38.113474] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-12M) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.113474] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.113474] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.113474] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.113474] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:17:38.113474] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:38.113474] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:17:38.113474] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:17:38.113474] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:38.113474] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:17:38.113474] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:38.129098] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:17:38.129098] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:17:38.144720] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:38.144720] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DATA [2024-Jan-31 23:17:38.144720] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:17:38.144720] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:17:38.144720] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.144720] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR12M
DEBUG [2024-Jan-31 23:17:38.144720] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-DEPOSIT"
DEBUG [2024-Jan-31 23:17:38.144720] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-DEPOSIT
DEBUG [2024-Jan-31 23:17:38.144720] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:17:38.144720] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:38.160345] OREData/ored/marketdata/yieldcurve.cpp:1961 : Adding Segment Tenor Basis Two Swaps with conventions "EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:38.160345] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:17:38.175967] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:17:38.175967] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR12M built
DEBUG [2024-Jan-31 23:17:38.175967] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR12M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:38.175967] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-12M) with spec Yield/EUR/EUR12M to configuration default
DATA [2024-Jan-31 23:17:38.175967] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1Y Actual/360' <-> 'EUR-EURIBOR-12M'
DEBUG [2024-Jan-31 23:17:38.175967] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-12M,Yield/EUR/EUR12M) in configuration default
DEBUG [2024-Jan-31 23:17:38.175967] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:17:38.175967] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-EURIBOR-1M
DEBUG [2024-Jan-31 23:17:38.175967] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-1M) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.175967] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.191591] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.191591] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.191591] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1M
DEBUG [2024-Jan-31 23:17:38.191591] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-DEPOSIT"
DEBUG [2024-Jan-31 23:17:38.191591] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:17:38.191591] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:38.191591] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-1M-SWAP-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:38.191591] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-1M-SWAP-CONVENTIONS
...
DEBUG [2024-Jan-31 23:17:38.222840] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:17:38.238463] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1M built
DEBUG [2024-Jan-31 23:17:38.238463] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:38.238463] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-1M) with spec Yield/EUR/EUR1M to configuration default
DATA [2024-Jan-31 23:17:38.254088] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
DEBUG [2024-Jan-31 23:17:38.254088] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-1M,Yield/EUR/EUR1M) in configuration default
DEBUG [2024-Jan-31 23:17:38.254088] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.254088] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-EURIBOR-3M
DEBUG [2024-Jan-31 23:17:38.254088] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:38.254088] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:38.254088] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.254088] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.269710] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-LIBOR-6M) with spec Yield/JPY/JPY6M to configuration default
DATA [2024-Jan-31 23:17:38.269710] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DEBUG [2024-Jan-31 23:17:38.269710] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-LIBOR-6M,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:17:38.269710] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.269710] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - JPY-TONAR
DEBUG [2024-Jan-31 23:17:38.269710] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(JPY-TONAR) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:38.269710] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:38.269710] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.269710] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.269710] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.269710] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD6M
DEBUG [2024-Jan-31 23:17:38.269710] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:38.285337] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:17:38.285337] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:38.285337] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:38.285337] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:17:38.285337] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "USD-LIBOR-3M-6M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:38.285337] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-3M-6M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:17:38.300960] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 21 instruments
DEBUG [2024-Jan-31 23:17:38.316593] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD6M built
DEBUG [2024-Jan-31 23:17:38.316593] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:38.316593] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-6M) with spec Yield/USD/USD6M to configuration default
DATA [2024-Jan-31 23:17:38.316593] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
DEBUG [2024-Jan-31 23:17:38.316593] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-6M,Yield/USD/USD6M) in configuration default
DEBUG [2024-Jan-31 23:17:38.316593] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.316593] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - USD-SIFMA
DEBUG [2024-Jan-31 23:17:38.316593] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-SIFMA) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.316593] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.316593] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.316593] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.316593] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USDBMA
DEBUG [2024-Jan-31 23:17:38.316593] OREData/ored/marketdata/yieldcurve.cpp:2044 : Adding Segment BMA Basis Swap with conventions "USD-LIBOR-SIFMA-3M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:38.332209] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-SIFMA-3M-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:17:38.332209] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:38.332209] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 16 instruments
DEBUG [2024-Jan-31 23:17:38.441687] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USDBMA built
DEBUG [2024-Jan-31 23:17:38.441687] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USDBMA" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:38.441687] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-SIFMA) with spec Yield/USD/USDBMA to configuration default
DATA [2024-Jan-31 23:17:38.441687] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
DEBUG [2024-Jan-31 23:17:38.441687] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-SIFMA,Yield/USD/USDBMA) in configuration default
DEBUG [2024-Jan-31 23:17:38.441687] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.441687] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - EUHICP
DEBUG [2024-Jan-31 23:17:38.441687] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(EUHICP) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.441687] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.441687] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.441687] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/EUHICP/EUHICP_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.441687] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUHICP_INFLATIONSWAP
DATA [2024-Jan-31 23:17:38.457311] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
DEBUG [2024-Jan-31 23:17:38.457311] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (EUHICP) with spec Inflation/EUHICP/EUHICP_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:17:38.457311] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(EUHICP,Inflation/EUHICP/EUHICP_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:17:38.457311] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.457311] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - EUHICPXT
DEBUG [2024-Jan-31 23:17:38.457311] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(EUHICPXT) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.457311] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.457311] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.457311] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/EUHICPXT/EUHICPXT_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.457311] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUHICPXT_INFLATIONSWAP
DATA [2024-Jan-31 23:17:38.457311] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
DEBUG [2024-Jan-31 23:17:38.472935] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (EUHICPXT) with spec Inflation/EUHICPXT/EUHICPXT_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:17:38.472935] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(EUHICPXT,Inflation/EUHICPXT/EUHICPXT_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:17:38.472935] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.472935] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - FRHICP
DEBUG [2024-Jan-31 23:17:38.472935] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(FRHICP) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.472935] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.472935] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.472935] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/FRHICP/FRHICP_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.472935] OREData/ored/configuration/conventions.cpp:2587 : Building Convention FRHICP_INFLATIONSWAP
DATA [2024-Jan-31 23:17:38.472935] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DEBUG [2024-Jan-31 23:17:38.488558] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (FRHICP) with spec Inflation/FRHICP/FRHICP_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:17:38.488558] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(FRHICP,Inflation/FRHICP/FRHICP_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:17:38.488558] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.488558] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - UKRPI
DEBUG [2024-Jan-31 23:17:38.488558] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(UKRPI) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.488558] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.488558] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #19: IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.488558] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/UKRPI/UKRPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.488558] OREData/ored/configuration/conventions.cpp:2587 : Building Convention UKRPI_INFLATIONSWAP
DATA [2024-Jan-31 23:17:38.488558] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DEBUG [2024-Jan-31 23:17:38.504183] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (UKRPI) with spec Inflation/UKRPI/UKRPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:17:38.504183] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(UKRPI,Inflation/UKRPI/UKRPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:17:38.504183] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.504183] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - USCPI
DEBUG [2024-Jan-31 23:17:38.504183] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(USCPI) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.504183] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.504183] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.504183] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/USCPI/USCPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.504183] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USCPI_INFLATIONSWAP
DATA [2024-Jan-31 23:17:38.504183] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
...
DEBUG [2024-Jan-31 23:17:38.519805] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (USCPI) with spec Inflation/USCPI/USCPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:17:38.519805] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(USCPI,Inflation/USCPI/USCPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:17:38.519805] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.519805] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - ZACPI
DEBUG [2024-Jan-31 23:17:38.519805] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(ZACPI) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.519805] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.519805] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.519805] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/ZACPI/ZACPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:38.519805] OREData/ored/configuration/conventions.cpp:2587 : Building Convention ZACPI_INFLATIONSWAP
DATA [2024-Jan-31 23:17:38.519805] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'South Africa CPI' <-> 'ZACPI'
...
DEBUG [2024-Jan-31 23:17:38.535430] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (ZACPI) with spec Inflation/ZACPI/ZACPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:17:38.535430] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(ZACPI,Inflation/ZACPI/ZACPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:17:38.535430] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.535430] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - BANK
DEBUG [2024-Jan-31 23:17:38.535430] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BANK) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.535430] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.535430] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:17:38.535430] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:17:38.535430] OREData/ored/marketdata/defaultcurve.cpp:309 : Start building default curve of type SpreadCDS for curve BANK_SR_USD
DEBUG [2024-Jan-31 23:17:38.535430] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CDS-STANDARD-CONVENTIONS
NOTICE [2024-Jan-31 23:17:38.535430] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve BANK_SR_USD
DATA [2024-Jan-31 23:17:38.535430] OREData/ored/marketdata/defaultcurve.cpp:80 : Loaded quote CDS/CREDIT_SPREAD/BANK/SR/USD/1Y for default curve BANK_SR_USD
...
NOTICE [2024-Jan-31 23:17:38.551068] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve BANK_SR_USD using 7 default quotes of 7 requested quotes.
DATA [2024-Jan-31 23:17:38.551068] OREData/ored/marketdata/defaultcurve.cpp:526 : 2016-12-20,0.985311623
...
DEBUG [2024-Jan-31 23:17:38.551068] OREData/ored/marketdata/defaultcurve.cpp:541 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:17:38.551068] OREData/ored/marketdata/defaultcurve.cpp:548 : Finished building default curve of type SpreadCDS for curve BANK_SR_USD
DEBUG [2024-Jan-31 23:17:38.551068] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (BANK) with spec Default/USD/BANK_SR_USD to configuration default
DEBUG [2024-Jan-31 23:17:38.551068] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(BANK,Default/USD/BANK_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:17:38.551068] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.551068] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - BOND_YIELD_EUR_OVER_OIS
DEBUG [2024-Jan-31 23:17:38.551068] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BOND_YIELD_EUR_OVER_OIS) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.551068] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.551068] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #8: YieldCurve(BOND_YIELD_EUR,Yield/EUR/BOND_YIELD_EUR) (already built)
...
DEBUG [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/defaultcurve.cpp:611 : Start building default curve of type Benchmark for curve BOND_YIELD_EUR_OVER_OIS
NOTICE [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/defaultcurve.cpp:659 : DefaultCurve: set up interpolated surv prob curve as yield over benchmark
DEBUG [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/defaultcurve.cpp:667 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/defaultcurve.cpp:673 : Finished building default curve of type Benchmark for curve BOND_YIELD_EUR_OVER_OIS
DEBUG [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (BOND_YIELD_EUR_OVER_OIS) with spec Default/EUR/BOND_YIELD_EUR_OVER_OIS to configuration default
DEBUG [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(BOND_YIELD_EUR_OVER_OIS,Default/EUR/BOND_YIELD_EUR_OVER_OIS) in configuration default
DEBUG [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.566692] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - CPTY_A
DEBUG [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_A) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #56: DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) (not yet built)
DEBUG [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_A_SR_USD
NOTICE [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_A_SR_USD
DATA [2024-Jan-31 23:17:38.566692] OREData/ored/marketdata/defaultcurve.cpp:80 : Loaded quote HAZARD_RATE/RATE/CPTY_A/SR/USD/0Y for default curve CPTY_A_SR_USD
...
NOTICE [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_A_SR_USD using 11 default quotes of 11 requested quotes.
NOTICE [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_A_SR_USD
DEBUG [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (CPTY_A) with spec Default/USD/CPTY_A_SR_USD to configuration default
DEBUG [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.582315] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - CPTY_B
DEBUG [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_B) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #57: DefaultCurve(CPTY_B,Default/USD/CPTY_A_SR_USD) (not yet built)
DEBUG [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (CPTY_B) with spec Default/USD/CPTY_A_SR_USD to configuration default
DEBUG [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_B,Default/USD/CPTY_A_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:38.582315] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - CPTY_C
DEBUG [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_C) required for configuration 'default'
DATA [2024-Jan-31 23:17:38.582315] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #58: DefaultCurve(CPTY_C,Default/EUR/CPTY_C_SR_EUR) (not yet built)
DEBUG [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_C_SR_EUR
NOTICE [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_C_SR_EUR
DATA [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/defaultcurve.cpp:80 : Loaded quote HAZARD_RATE/RATE/CPTY_C/SR/EUR/1Y for default curve CPTY_C_SR_EUR
NOTICE [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_C_SR_EUR using 1 default quotes of 1 requested quotes.
NOTICE [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/defaultcurve.cpp:576 : DefaultCurve: add asof (February 5th, 2016), hazard rate 0, as not given
NOTICE [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_C_SR_EUR
DEBUG [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (CPTY_C) with spec Default/EUR/CPTY_C_SR_EUR to configuration default
DEBUG [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_C,Default/EUR/CPTY_C_SR_EUR) in configuration default
DEBUG [2024-Jan-31 23:17:38.597927] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
WARNING [2024-Jan-31 23:17:38.597927] OREAnalytics/orea/app/analytic.cpp:86 : 38846464|38842368
NOTICE [2024-Jan-31 23:17:38.597927] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'PRICING' finished.
DEBUG [2024-Jan-31 23:17:38.613548] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve EUR1D for label as it has already been added
...
NOTICE [2024-Jan-31 23:17:38.629173] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'XVA'
WARNING [2024-Jan-31 23:17:38.629173] OREAnalytics/orea/app/analytic.cpp:83 : 43429888|43425792
NOTICE [2024-Jan-31 23:17:38.629173] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:588 : XVA analytic called with asof 2016-02-05
NOTICE [2024-Jan-31 23:17:38.629173] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:601 : XVA: Build Today's Market
NOTICE [2024-Jan-31 23:17:38.629173] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:17:38.629173] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
DATA [2024-Jan-31 23:17:38.629173] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:17:38.629173] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
...
DATA [2024-Jan-31 23:17:38.644796] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
DATA [2024-Jan-31 23:17:38.644796] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
DATA [2024-Jan-31 23:17:38.660436] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DATA [2024-Jan-31 23:17:38.863533] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
DATA [2024-Jan-31 23:17:39.066641] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DATA [2024-Jan-31 23:17:39.296643] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
...
DATA [2024-Jan-31 23:17:39.528484] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DATA [2024-Jan-31 23:17:39.731562] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DATA [2024-Jan-31 23:17:39.958210] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DATA [2024-Jan-31 23:17:39.964207] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
DATA [2024-Jan-31 23:17:40.163348] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:17:40.366457] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:17:40.585194] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:17:40.802656] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DATA [2024-Jan-31 23:17:41.286810] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
...
DATA [2024-Jan-31 23:17:41.983396] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
...
DATA [2024-Jan-31 23:17:42.591784] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DATA [2024-Jan-31 23:17:42.939909] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
...
DATA [2024-Jan-31 23:17:43.437481] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
...
DATA [2024-Jan-31 23:17:43.751318] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DATA [2024-Jan-31 23:17:43.782565] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
...
DATA [2024-Jan-31 23:17:43.782565] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
...
DATA [2024-Jan-31 23:17:44.080821] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
...
DATA [2024-Jan-31 23:17:44.315178] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DATA [2024-Jan-31 23:17:44.596411] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:17:44.893267] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
...
DATA [2024-Jan-31 23:17:45.122788] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
...
NOTICE [2024-Jan-31 23:17:45.122788] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 6.494764 seconds
NOTICE [2024-Jan-31 23:17:45.138413] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:17:45.138413] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:17:45.138413] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:17:45.138413] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:17:45.138413] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFUSD
...
NOTICE [2024-Jan-31 23:17:45.138413] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 10 quotes, 7 currencies.
NOTICE [2024-Jan-31 23:17:45.154037] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
DATA [2024-Jan-31 23:17:45.154037] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:17:45.247780] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
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DATA [2024-Jan-31 23:17:45.310275] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
DATA [2024-Jan-31 23:17:45.310275] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #11 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
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DATA [2024-Jan-31 23:17:45.325898] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:17:45.341522] OREData/ored/marketdata/dependencygraph.cpp:198 : add edge from vertex #49 SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) to #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS)
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DATA [2024-Jan-31 23:17:45.341522] OREData/ored/marketdata/dependencygraph.cpp:121 : add edge from vertex #64 CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) to #16 IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M)
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DATA [2024-Jan-31 23:17:45.341522] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #2 DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR)
DATA [2024-Jan-31 23:17:45.357147] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
...
DATA [2024-Jan-31 23:17:45.357147] OREData/ored/marketdata/dependencygraph.cpp:352 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #4 DiscountCurve(USD,Yield/USD/USD-IN-EUR)
DATA [2024-Jan-31 23:17:45.357147] OREData/ored/marketdata/dependencygraph.cpp:358 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #91 CommodityCurves(COMDTY_GOLD_USD,Commodity/USD/GOLD_USD)
...
DEBUG [2024-Jan-31 23:17:45.357147] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:17:45.357147] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:17:45.357147] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:17:45.450892] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #5 YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) to #1 DiscountCurve(EUR,Yield/EUR/EUR1D)
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DATA [2024-Jan-31 23:17:45.497762] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
DATA [2024-Jan-31 23:17:45.497762] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #11 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
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DATA [2024-Jan-31 23:17:45.529011] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF1D)
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DATA [2024-Jan-31 23:17:45.544633] OREData/ored/marketdata/dependencygraph.cpp:198 : add edge from vertex #49 SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) to #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS)
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DATA [2024-Jan-31 23:17:45.544633] OREData/ored/marketdata/dependencygraph.cpp:121 : add edge from vertex #64 CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) to #16 IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M)
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DATA [2024-Jan-31 23:17:45.560256] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #2 DiscountCurve(GBP,Yield/GBP/GBP1D)
DATA [2024-Jan-31 23:17:45.560256] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
...
DATA [2024-Jan-31 23:17:45.560256] OREData/ored/marketdata/dependencygraph.cpp:352 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #4 DiscountCurve(USD,Yield/USD/USD1D)
DATA [2024-Jan-31 23:17:45.560256] OREData/ored/marketdata/dependencygraph.cpp:358 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #91 CommodityCurves(COMDTY_GOLD_USD,Commodity/USD/GOLD_USD)
...
DEBUG [2024-Jan-31 23:17:45.575880] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
NOTICE [2024-Jan-31 23:17:45.575880] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
DATA [2024-Jan-31 23:17:45.575880] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:17:45.638391] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
...
DATA [2024-Jan-31 23:17:45.685251] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
DATA [2024-Jan-31 23:17:45.685251] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #11 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:17:45.700874] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:17:45.716496] OREData/ored/marketdata/dependencygraph.cpp:198 : add edge from vertex #49 SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) to #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS)
...
DATA [2024-Jan-31 23:17:45.732121] OREData/ored/marketdata/dependencygraph.cpp:121 : add edge from vertex #64 CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) to #16 IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M)
...
DATA [2024-Jan-31 23:17:45.732121] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #2 DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR)
DATA [2024-Jan-31 23:17:45.732121] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
...
DATA [2024-Jan-31 23:17:45.747745] OREData/ored/marketdata/dependencygraph.cpp:352 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #4 DiscountCurve(USD,Yield/USD/USD-IN-EUR)
DATA [2024-Jan-31 23:17:45.747745] OREData/ored/marketdata/dependencygraph.cpp:358 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #91 CommodityCurves(COMDTY_GOLD_USD,Commodity/USD/GOLD_USD)
...
DEBUG [2024-Jan-31 23:17:45.747745] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:17:45.747745] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
DATA [2024-Jan-31 23:17:45.747745] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:17:45.841490] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-USD) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
...
DATA [2024-Jan-31 23:17:45.888360] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
DATA [2024-Jan-31 23:17:45.888360] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #11 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:17:45.903985] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:17:45.919609] OREData/ored/marketdata/dependencygraph.cpp:198 : add edge from vertex #49 SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) to #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS)
...
DATA [2024-Jan-31 23:17:45.919609] OREData/ored/marketdata/dependencygraph.cpp:121 : add edge from vertex #64 CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) to #16 IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M)
...
DATA [2024-Jan-31 23:17:45.919609] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #2 DiscountCurve(GBP,Yield/GBP/GBP-IN-USD)
DATA [2024-Jan-31 23:17:45.919609] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
...
DATA [2024-Jan-31 23:17:45.935233] OREData/ored/marketdata/dependencygraph.cpp:352 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #4 DiscountCurve(USD,Yield/USD/USD1D)
DATA [2024-Jan-31 23:17:45.935233] OREData/ored/marketdata/dependencygraph.cpp:358 : add edge from vertex #93 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #91 CommodityCurves(COMDTY_GOLD_USD,Commodity/USD/GOLD_USD)
...
DEBUG [2024-Jan-31 23:17:45.935233] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:17:45.935233] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:17:45.935233] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:17:45.997728] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(CHF,Yield/CHF/CHF6M) to #12 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:17:46.060224] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #27 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #10 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
DATA [2024-Jan-31 23:17:46.060224] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #27 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) to #12 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:17:46.075846] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #39 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:17:46.091471] OREData/ored/marketdata/dependencygraph.cpp:198 : add edge from vertex #50 SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) to #27 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS)
...
DATA [2024-Jan-31 23:17:46.107096] OREData/ored/marketdata/dependencygraph.cpp:121 : add edge from vertex #65 CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) to #17 IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M)
...
DATA [2024-Jan-31 23:17:46.107096] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #84 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #2 DiscountCurve(GBP,Yield/GBP/GBP6M)
DATA [2024-Jan-31 23:17:46.107096] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #84 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #79 EquityCurves(FTSE,Equity/GBP/FTSE)
...
DATA [2024-Jan-31 23:17:46.122719] OREData/ored/marketdata/dependencygraph.cpp:352 : add edge from vertex #94 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #4 DiscountCurve(USD,Yield/USD/USD3M)
DATA [2024-Jan-31 23:17:46.122719] OREData/ored/marketdata/dependencygraph.cpp:358 : add edge from vertex #94 CommodityVolatilities(COMDTY_GOLD_USD,CommodityVolatility/USD/GOLD_USD_VOLS) to #92 CommodityCurves(COMDTY_GOLD_USD,Commodity/USD/GOLD_USD)
...
DEBUG [2024-Jan-31 23:17:46.122719] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
NOTICE [2024-Jan-31 23:17:46.122719] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:17:46.122719] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:17:46.122719] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 6.5e+03 ms 1 6.5e+03 ms
...
NOTICE [2024-Jan-31 23:17:46.138343] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 7486.22 ms
NOTICE [2024-Jan-31 23:17:46.138343] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 7.499352 sec
NOTICE [2024-Jan-31 23:17:46.138343] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:615 : XVA: Build simulation market
NOTICE [2024-Jan-31 23:17:46.138343] OREAnalytics/orea/scenario/scenariosimmarket.cpp:323 : building ScenarioSimMarket...
DEBUG [2024-Jan-31 23:17:46.138343] OREAnalytics/orea/scenario/scenariosimmarket.cpp:325 : AsOf 2016-02-05
DEBUG [2024-Jan-31 23:17:46.138343] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building CHF yield curve..
DEBUG [2024-Jan-31 23:17:46.138343] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:46.138343] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:46.138343] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:46.138343] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (not yet built)
...
DEBUG [2024-Jan-31 23:17:46.153966] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.153966] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF1D
DEBUG [2024-Jan-31 23:17:46.153966] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-TOIS-CONVENTIONS"
DATA [2024-Jan-31 23:17:46.153966] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
...
DEBUG [2024-Jan-31 23:17:46.153966] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "CHF-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.153966] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:17:46.169592] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF1D built
DEBUG [2024-Jan-31 23:17:46.169592] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.169592] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-TOIS) with spec Yield/CHF/CHF1D to configuration default
DATA [2024-Jan-31 23:17:46.169592] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:17:46.169592] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) in configuration default
DEBUG [2024-Jan-31 23:17:46.169592] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.185217] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF3M
DEBUG [2024-Jan-31 23:17:46.185217] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:46.185217] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:17:46.185217] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:46.185217] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:46.185217] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.200838] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:17:46.200838] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF3M built
DEBUG [2024-Jan-31 23:17:46.200838] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.200838] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-3M) with spec Yield/CHF/CHF3M to configuration default
DATA [2024-Jan-31 23:17:46.200838] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:17:46.200838] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) in configuration default
DEBUG [2024-Jan-31 23:17:46.200838] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.216463] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:17:46.216463] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
DATA [2024-Jan-31 23:17:46.216463] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:17:46.216463] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.216463] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
DEBUG [2024-Jan-31 23:17:46.216463] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
DEBUG [2024-Jan-31 23:17:46.216463] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.216463] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:17:46.216463] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:17:46.216463] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.216463] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR3M
DEBUG [2024-Jan-31 23:17:46.232086] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:46.232086] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:17:46.232086] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:46.232086] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-3M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.232086] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.247725] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:17:46.263349] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR3M built
DEBUG [2024-Jan-31 23:17:46.263349] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.263349] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration default
DATA [2024-Jan-31 23:17:46.278960] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:17:46.278960] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration default
DEBUG [2024-Jan-31 23:17:46.278960] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.278960] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF-IN-EUR
DEBUG [2024-Jan-31 23:17:46.278960] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-CHF-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:46.278960] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:17:46.278960] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:17:46.278960] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-CHF-XCCY-BASIS-CONVENTIONS"
DATA [2024-Jan-31 23:17:46.278960] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:46.294582] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 10 instruments
DEBUG [2024-Jan-31 23:17:46.294582] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF-IN-EUR built
DEBUG [2024-Jan-31 23:17:46.294582] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.310206] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:17:46.310206] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:17:46.310206] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 5, error: 0
DEBUG [2024-Jan-31 23:17:46.310206] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve CHF discount[0]=1.00215
...
DEBUG [2024-Jan-31 23:17:46.310206] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building CHF yield curve done
DEBUG [2024-Jan-31 23:17:46.325829] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building EUR yield curve..
DEBUG [2024-Jan-31 23:17:46.325829] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:46.325829] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:46.325829] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:46.325829] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve EUR discount[0]=1.00057
...
DEBUG [2024-Jan-31 23:17:46.341455] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building EUR yield curve done
DEBUG [2024-Jan-31 23:17:46.341455] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building GBP yield curve..
DEBUG [2024-Jan-31 23:17:46.341455] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:46.341455] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:46.341455] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:46.341455] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:46.341455] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.357079] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP1D
DEBUG [2024-Jan-31 23:17:46.357079] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "GBP-OIS-CONVENTIONS"
DATA [2024-Jan-31 23:17:46.357079] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:17:46.357079] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:17:46.372701] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP1D built
DEBUG [2024-Jan-31 23:17:46.372701] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.372701] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-SONIA) with spec Yield/GBP/GBP1D to configuration default
DATA [2024-Jan-31 23:17:46.372701] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:17:46.372701] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) in configuration default
DEBUG [2024-Jan-31 23:17:46.372701] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.372701] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP6M
DEBUG [2024-Jan-31 23:17:46.372701] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:17:46.372701] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:17:46.372701] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:46.388327] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "GBP-6M-FRA"
...
DEBUG [2024-Jan-31 23:17:46.403949] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "GBP-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.419955] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 26 instruments
DEBUG [2024-Jan-31 23:17:46.435581] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP6M built
DEBUG [2024-Jan-31 23:17:46.435581] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.435581] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration default
DATA [2024-Jan-31 23:17:46.435581] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DEBUG [2024-Jan-31 23:17:46.435581] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration default
DEBUG [2024-Jan-31 23:17:46.435581] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.435581] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP3M
DEBUG [2024-Jan-31 23:17:46.435581] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:17:46.435581] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:17:46.435581] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:46.451204] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "GBP-LIBOR-3M-6M-BASIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.451204] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 19 instruments
DEBUG [2024-Jan-31 23:17:46.482453] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP3M built
DEBUG [2024-Jan-31 23:17:46.482453] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.482453] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-3M) with spec Yield/GBP/GBP3M to configuration default
DATA [2024-Jan-31 23:17:46.482453] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
DEBUG [2024-Jan-31 23:17:46.482453] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) in configuration default
DEBUG [2024-Jan-31 23:17:46.482453] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.482453] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP-IN-EUR
DEBUG [2024-Jan-31 23:17:46.498076] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-GBP-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:46.498076] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:17:46.498076] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:17:46.498076] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-GBP-XCCY-BASIS-CONVENTIONS"
DATA [2024-Jan-31 23:17:46.498076] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:46.498076] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:17:46.513701] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP-IN-EUR built
DEBUG [2024-Jan-31 23:17:46.513701] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.529324] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:17:46.529324] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:17:46.529324] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 4, error: 0
DEBUG [2024-Jan-31 23:17:46.529324] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve GBP discount[0]=0.998206
...
DEBUG [2024-Jan-31 23:17:46.529324] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building GBP yield curve done
DEBUG [2024-Jan-31 23:17:46.544949] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building JPY yield curve..
DEBUG [2024-Jan-31 23:17:46.544949] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:46.544949] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:46.544949] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:46.544949] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (not yet built)
...
DEBUG [2024-Jan-31 23:17:46.544949] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.544949] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY1D
DEBUG [2024-Jan-31 23:17:46.544949] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "JPY-OIS-CONVENTIONS"
DATA [2024-Jan-31 23:17:46.544949] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
DEBUG [2024-Jan-31 23:17:46.560572] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:17:46.576196] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY1D built
DEBUG [2024-Jan-31 23:17:46.576196] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.576196] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-TONAR) with spec Yield/JPY/JPY1D to configuration default
DATA [2024-Jan-31 23:17:46.576196] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
DEBUG [2024-Jan-31 23:17:46.576196] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) in configuration default
DEBUG [2024-Jan-31 23:17:46.576196] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.576196] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY6M
DEBUG [2024-Jan-31 23:17:46.576196] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "JPY-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:46.576196] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY-LIBOR) failed: parseIborIndex "JPY-LIBOR" not recognized
DATA [2024-Jan-31 23:17:46.576196] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:46.591820] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "JPY-LIBOR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.607445] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 18 instruments
DEBUG [2024-Jan-31 23:17:46.623069] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY6M built
DEBUG [2024-Jan-31 23:17:46.623069] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.623069] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY6M to configuration default
DEBUG [2024-Jan-31 23:17:46.623069] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:17:46.623069] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:17:46.636004] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve JPY discount[0]=0.999982
...
DEBUG [2024-Jan-31 23:17:46.648398] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building JPY yield curve done
DEBUG [2024-Jan-31 23:17:46.649399] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building USD yield curve..
DEBUG [2024-Jan-31 23:17:46.650397] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:46.651397] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:46.653396] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:46.654394] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:46.659392] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.661392] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD1D
DEBUG [2024-Jan-31 23:17:46.661986] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-FED-FUNDS-CONVENTIONS"
DATA [2024-Jan-31 23:17:46.661986] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:17:46.661986] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.661986] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:17:46.661986] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD1D built
DEBUG [2024-Jan-31 23:17:46.661986] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.677612] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration default
DATA [2024-Jan-31 23:17:46.677612] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:17:46.677612] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration default
DEBUG [2024-Jan-31 23:17:46.677612] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.677612] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD3M
DEBUG [2024-Jan-31 23:17:46.677612] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:46.677612] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:17:46.677612] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:46.693234] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.693234] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.708859] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 22 instruments
DEBUG [2024-Jan-31 23:17:46.724485] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD3M built
DEBUG [2024-Jan-31 23:17:46.724485] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.724485] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD3M to configuration default
DATA [2024-Jan-31 23:17:46.724485] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:17:46.724485] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration default
DEBUG [2024-Jan-31 23:17:46.724485] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.724485] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-IN-EUR
DEBUG [2024-Jan-31 23:17:46.724485] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:46.724485] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:17:46.724485] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:17:46.724485] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS-CONVENTIONS"
DATA [2024-Jan-31 23:17:46.724485] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:46.740109] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:17:46.896346] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-IN-EUR built
DEBUG [2024-Jan-31 23:17:46.896346] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.896346] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:17:46.896346] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:17:46.896346] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:17:46.896346] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve USD discount[0]=0.997912
...
DEBUG [2024-Jan-31 23:17:46.911970] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building USD yield curve done
NOTICE [2024-Jan-31 23:17:46.911970] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built DiscountCurve 5 777 ms
DEBUG [2024-Jan-31 23:17:46.911970] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:46.911970] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(CHF-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:46.911970] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:46.927595] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:17:46.927595] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.927595] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF6M
DEBUG [2024-Jan-31 23:17:46.927595] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:46.927595] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:17:46.927595] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:17:46.943218] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-6M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.943218] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:46.974466] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:17:46.974466] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF6M built
DEBUG [2024-Jan-31 23:17:46.974466] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:46.974466] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-6M) with spec Yield/CHF/CHF6M to configuration default
DATA [2024-Jan-31 23:17:46.974466] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DEBUG [2024-Jan-31 23:17:46.974466] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M) in configuration default
DEBUG [2024-Jan-31 23:17:46.974466] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:46.974466] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:46.974466] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EONIA)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:46.974466] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:46.974466] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:17:46.974466] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration default
DATA [2024-Jan-31 23:17:46.974466] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:17:46.990089] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:17:46.990089] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:46.990089] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:46.990089] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EURIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:46.990089] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:46.990089] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:46.990089] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:46.990089] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:46.990089] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:17:46.990089] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:46.990089] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:17:46.990089] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:17:46.990089] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:17:46.990089] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:17:47.005714] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:17:47.021338] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:17:47.021338] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:17:47.021338] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DATA [2024-Jan-31 23:17:47.021338] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:17:47.021338] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:17:47.021338] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:47.021338] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.021338] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(GBP-LIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.021338] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.021338] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.036963] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (already built)
...
DEBUG [2024-Jan-31 23:17:47.036963] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-LIBOR-6M) with spec Yield/JPY/JPY6M to configuration default
DATA [2024-Jan-31 23:17:47.036963] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DEBUG [2024-Jan-31 23:17:47.036963] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-LIBOR-6M,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:17:47.036963] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:47.036963] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.036963] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(USD-LIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.036963] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:47.036963] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EONIA index curve
...
ALERT [2024-Jan-31 23:17:47.036963] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EONIA)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.036963] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:47.036963] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EONIA discount[0]=1.00057
...
DEBUG [2024-Jan-31 23:17:47.052587] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EONIA index curve done
DEBUG [2024-Jan-31 23:17:47.052587] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building CHF-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:17:47.052587] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.052587] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(CHF-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.052587] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:47.052587] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve CHF-LIBOR-6M discount[0]=1.00217
...
DEBUG [2024-Jan-31 23:17:47.068208] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building CHF-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:17:47.068208] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EURIBOR-3M index curve
DEBUG [2024-Jan-31 23:17:47.068208] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.068208] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EURIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.068208] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:47.068208] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EURIBOR-3M discount[0]=1.00004
...
DEBUG [2024-Jan-31 23:17:47.068208] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EURIBOR-3M index curve done
DEBUG [2024-Jan-31 23:17:47.068208] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EURIBOR-6M index curve
DEBUG [2024-Jan-31 23:17:47.068208] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.068208] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EURIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.083835] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:47.083835] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EURIBOR-6M discount[0]=0.999939
...
DEBUG [2024-Jan-31 23:17:47.083835] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EURIBOR-6M index curve done
DEBUG [2024-Jan-31 23:17:47.083835] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building GBP-LIBOR-3M index curve
DEBUG [2024-Jan-31 23:17:47.083835] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.083835] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(GBP-LIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.083835] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:47.083835] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve GBP-LIBOR-3M discount[0]=0.998346
...
DEBUG [2024-Jan-31 23:17:47.099459] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building GBP-LIBOR-3M index curve done
DEBUG [2024-Jan-31 23:17:47.099459] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building GBP-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:17:47.099459] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.099459] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(GBP-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.099459] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:47.099459] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve GBP-LIBOR-6M discount[0]=0.998346
...
DEBUG [2024-Jan-31 23:17:47.115082] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building GBP-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:17:47.115082] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building JPY-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:17:47.115082] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(JPY-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.115082] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(JPY-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.115082] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:47.115082] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve JPY-LIBOR-6M discount[0]=0.999982
...
DEBUG [2024-Jan-31 23:17:47.130706] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building JPY-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:17:47.130706] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building USD-LIBOR-3M index curve
DEBUG [2024-Jan-31 23:17:47.130706] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.130706] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(USD-LIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.130706] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:47.130706] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve USD-LIBOR-3M discount[0]=0.998002
...
DEBUG [2024-Jan-31 23:17:47.130706] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building USD-LIBOR-3M index curve done
NOTICE [2024-Jan-31 23:17:47.130706] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built IndexCurve 8 220 ms
DEBUG [2024-Jan-31 23:17:47.130706] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building CHF swaption volatility curve...
DEBUG [2024-Jan-31 23:17:47.130706] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.130706] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:47.146330] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.146330] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DATA [2024-Jan-31 23:17:47.146330] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:17:47.146330] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.146330] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.146330] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:47.146330] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-1Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:17:47.146330] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) in configuration default
...
DEBUG [2024-Jan-31 23:17:47.146330] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.146330] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.161954] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:17:47.161954] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-30Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:17:47.161954] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-30Y,CHF-TOIS) in configuration default
DEBUG [2024-Jan-31 23:17:47.161954] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (CHF) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:17:47.161954] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:17:47.161954] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:17:47.161954] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.007529 0.007587 0.007603 0.006725 0.005853 0.005456 0.006673 0.007006 0.007346 0.007336 0.007335 |
...
NOTICE [2024-Jan-31 23:17:47.177578] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config CHF_SW_N
DEBUG [2024-Jan-31 23:17:47.177578] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:17:47.177578] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:17:47.177578] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (CHF) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration default
DEBUG [2024-Jan-31 23:17:47.177578] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) in configuration default
DEBUG [2024-Jan-31 23:17:47.177578] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:17:47.177578] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.177578] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:17:47.177578] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:17:47.177578] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.177578] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market CHF yield volatility type = Normal
DEBUG [2024-Jan-31 23:17:47.193202] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (Normal) yield vols (ForwardVariance) for qualifier CHF
DEBUG [2024-Jan-31 23:17:47.193202] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market CHF yield volatility type = Normal
DEBUG [2024-Jan-31 23:17:47.193202] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building EUR swaption volatility curve...
DEBUG [2024-Jan-31 23:17:47.193202] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.193202] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:47.193202] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.193202] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (already built)
...
DATA [2024-Jan-31 23:17:47.193202] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:17:47.193202] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.193202] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.193202] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:47.193202] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:17:47.208826] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration default
...
DEBUG [2024-Jan-31 23:17:47.208826] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.208826] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.208826] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:17:47.208826] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:17:47.208826] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration default
DEBUG [2024-Jan-31 23:17:47.208826] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (EUR) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:17:47.208826] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:17:47.208826] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:17:47.208826] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.004013 0.004226 0.004472 0.004759 0.005066 0.005804 0.006629 0.007562 0.008134 0.008291 0.00849 |
...
NOTICE [2024-Jan-31 23:17:47.224450] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config EUR_SW_N
DEBUG [2024-Jan-31 23:17:47.224450] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:17:47.224450] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:17:47.224450] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration default
DEBUG [2024-Jan-31 23:17:47.224450] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(EUR,SwaptionVolatility/EUR/EUR_SW_N) in configuration default
DEBUG [2024-Jan-31 23:17:47.224450] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:17:47.224450] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.224450] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:17:47.224450] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:17:47.224450] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.240074] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market EUR yield volatility type = Normal
DEBUG [2024-Jan-31 23:17:47.240074] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (Normal) yield vols (ForwardVariance) for qualifier EUR
DEBUG [2024-Jan-31 23:17:47.240074] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market EUR yield volatility type = Normal
DEBUG [2024-Jan-31 23:17:47.240074] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building GBP swaption volatility curve...
DEBUG [2024-Jan-31 23:17:47.240074] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.240074] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:47.240074] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.240074] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #19: IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) (already built)
...
DATA [2024-Jan-31 23:17:47.240074] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:17:47.240074] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.240074] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.255697] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:47.255697] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-1Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:17:47.255697] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-1Y,GBP-SONIA) in configuration default
...
DEBUG [2024-Jan-31 23:17:47.255697] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.255697] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.255697] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:17:47.255697] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-30Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:17:47.255697] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) in configuration default
DEBUG [2024-Jan-31 23:17:47.255697] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (GBP) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:17:47.255697] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:17:47.255697] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:17:47.255697] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.468006 0.642861 0.802119 0.878475 0.880872 0.756155 0.642449 0.545265 0.512265 0.519984 0.519112 |
...
NOTICE [2024-Jan-31 23:17:47.271320] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config GBP_SW_N
DEBUG [2024-Jan-31 23:17:47.271320] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:17:47.271320] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:17:47.271320] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (GBP) with spec SwaptionVolatility/GBP/GBP_SW_N to configuration default
DEBUG [2024-Jan-31 23:17:47.271320] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(GBP,SwaptionVolatility/GBP/GBP_SW_N) in configuration default
DEBUG [2024-Jan-31 23:17:47.271320] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:17:47.271320] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.271320] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:17:47.271320] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:17:47.286945] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.286945] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market GBP yield volatility type = ShiftedLognormal
DEBUG [2024-Jan-31 23:17:47.286945] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (ShiftedLognormal) yield vols (ForwardVariance) for qualifier GBP
DEBUG [2024-Jan-31 23:17:47.286945] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market GBP yield volatility type = ShiftedLognormal
DEBUG [2024-Jan-31 23:17:47.286945] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building JPY swaption volatility curve...
DEBUG [2024-Jan-31 23:17:47.286945] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.286945] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:47.286945] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.286945] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:17:47.302570] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (JPY) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration default
DEBUG [2024-Jan-31 23:17:47.302570] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(JPY,SwaptionVolatility/CHF/CHF_SW_N) in configuration default
DEBUG [2024-Jan-31 23:17:47.302570] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:47.302570] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.302570] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:17:47.302570] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:17:47.302570] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.302570] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market JPY yield volatility type = Normal
DEBUG [2024-Jan-31 23:17:47.302570] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (Normal) yield vols (ForwardVariance) for qualifier JPY
DEBUG [2024-Jan-31 23:17:47.302570] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market JPY yield volatility type = Normal
DEBUG [2024-Jan-31 23:17:47.302570] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building USD swaption volatility curve...
DEBUG [2024-Jan-31 23:17:47.302570] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.318194] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:17:47.318194] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.318194] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DATA [2024-Jan-31 23:17:47.318194] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:17:47.318194] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.318194] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.318194] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:47.318194] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-1Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:17:47.318194] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) in configuration default
...
DEBUG [2024-Jan-31 23:17:47.318194] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.318194] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.333817] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:47.333817] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-30Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:17:47.333817] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-30Y,USD-FedFunds) in configuration default
DEBUG [2024-Jan-31 23:17:47.333817] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (USD) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:17:47.333817] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:17:47.333817] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:17:47.333817] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.528012 0.722185 0.760853 0.766932 0.738673 0.629572 0.542948 0.471117 0.438879 0.427615 0.418857 |
...
NOTICE [2024-Jan-31 23:17:47.349441] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config USD_SW_N
DEBUG [2024-Jan-31 23:17:47.349441] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:17:47.349441] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:17:47.349441] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (USD) with spec SwaptionVolatility/USD/USD_SW_N to configuration default
DEBUG [2024-Jan-31 23:17:47.349441] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(USD,SwaptionVolatility/USD/USD_SW_N) in configuration default
DEBUG [2024-Jan-31 23:17:47.349441] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:17:47.349441] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.349441] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:17:47.349441] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:17:47.349441] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.349441] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market USD yield volatility type = ShiftedLognormal
DEBUG [2024-Jan-31 23:17:47.365065] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (ShiftedLognormal) yield vols (ForwardVariance) for qualifier USD
DEBUG [2024-Jan-31 23:17:47.365065] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market USD yield volatility type = ShiftedLognormal
NOTICE [2024-Jan-31 23:17:47.365065] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built SwaptionVolatility 5 223 ms
DEBUG [2024-Jan-31 23:17:47.365065] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding CHFEUR FX rates
DATA [2024-Jan-31 23:17:47.365065] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(CHFEUR): 0 / JoinHolidays(TARGET, Switzerland) from convention.
DEBUG [2024-Jan-31 23:17:47.365065] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.365065] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.365065] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'CHF' to 'EUR': CHF-EUR
DEBUG [2024-Jan-31 23:17:47.365065] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding GBPEUR FX rates
DATA [2024-Jan-31 23:17:47.365065] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(GBPEUR): 0 / JoinHolidays(TARGET, UK settlement) from convention.
DEBUG [2024-Jan-31 23:17:47.365065] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.365065] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.365065] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'GBP' to 'EUR': GBP-EUR
DEBUG [2024-Jan-31 23:17:47.365065] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding JPYEUR FX rates
DATA [2024-Jan-31 23:17:47.365065] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(JPYEUR): 0 / JoinHolidays(TARGET, Japan) from convention.
DEBUG [2024-Jan-31 23:17:47.365065] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.365065] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.380689] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'JPY' to 'EUR': JPY-EUR
DEBUG [2024-Jan-31 23:17:47.380689] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding USDEUR FX rates
DATA [2024-Jan-31 23:17:47.380689] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DEBUG [2024-Jan-31 23:17:47.380689] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.380689] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.380689] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
NOTICE [2024-Jan-31 23:17:47.380689] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:17:47.380689] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFEUR
...
NOTICE [2024-Jan-31 23:17:47.380689] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 4 quotes, 5 currencies.
NOTICE [2024-Jan-31 23:17:47.380689] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built FXSpot 4 23.5 ms
DEBUG [2024-Jan-31 23:17:47.380689] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(GBPEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.380689] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(GBPEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.380689] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:17:47.396321] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.396321] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #45: FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP) (not yet built)
DEBUG [2024-Jan-31 23:17:47.396321] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:47.396321] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:17:47.396321] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:17:47.396321] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:17:47.396321] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:17:47.396321] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURGBP, assuming defaults
DATA [2024-Jan-31 23:17:47.396321] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'GBP': EUR-GBP
NOTICE [2024-Jan-31 23:17:47.396321] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:17:47.411935] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:17:47.411935] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/GBP/EURGBP 1M 0.12336 0.00129246
...
DEBUG [2024-Jan-31 23:17:47.411935] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
WARNING [2024-Jan-31 23:17:47.411935] OREData/ored/marketdata/fxvolcurve.cpp:918 : no domestic / foreign yield curves given in fx vol curve config for EURGBP, skip building calibration info
DEBUG [2024-Jan-31 23:17:47.411935] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURGBP) with spec FXVolatility/EUR/GBP/EURGBP to configuration default
DEBUG [2024-Jan-31 23:17:47.411935] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP) in configuration default
DEBUG [2024-Jan-31 23:17:47.411935] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:47.411935] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(GBPEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.411935] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:17:47.427575] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:17:47.427575] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(GBPEUR): 0 / JoinHolidays(TARGET, UK settlement) from convention.
DATA [2024-Jan-31 23:17:47.427575] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'GBP' to 'EUR': GBP-EUR
NOTICE [2024-Jan-31 23:17:47.427575] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1558 : Deterministic FX Vols with decay mode ForwardVariance for GBPEUR
DEBUG [2024-Jan-31 23:17:47.427575] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(JPYEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.427575] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(JPYEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.427575] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:17:47.427575] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.427575] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #46: FXVol(EURJPY,FXVolatility/EUR/JPY/EURJPY) (not yet built)
DEBUG [2024-Jan-31 23:17:47.427575] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:47.427575] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:17:47.427575] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:17:47.443198] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:17:47.443198] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:17:47.443198] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURJPY, assuming defaults
DATA [2024-Jan-31 23:17:47.443198] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'JPY': EUR-JPY
NOTICE [2024-Jan-31 23:17:47.443198] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 9 ATM vols
DEBUG [2024-Jan-31 23:17:47.443198] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:17:47.443198] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/JPY/EURJPY 1M 0.137438 0.00160429
...
DEBUG [2024-Jan-31 23:17:47.458809] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
WARNING [2024-Jan-31 23:17:47.458809] OREData/ored/marketdata/fxvolcurve.cpp:918 : no domestic / foreign yield curves given in fx vol curve config for EURJPY, skip building calibration info
DEBUG [2024-Jan-31 23:17:47.458809] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURJPY) with spec FXVolatility/EUR/JPY/EURJPY to configuration default
DEBUG [2024-Jan-31 23:17:47.458809] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURJPY,FXVolatility/EUR/JPY/EURJPY) in configuration default
DEBUG [2024-Jan-31 23:17:47.458809] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:47.458809] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(JPYEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.458809] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:17:47.458809] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:17:47.458809] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(JPYEUR): 0 / JoinHolidays(TARGET, Japan) from convention.
DATA [2024-Jan-31 23:17:47.458809] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'JPY' to 'EUR': JPY-EUR
NOTICE [2024-Jan-31 23:17:47.458809] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1558 : Deterministic FX Vols with decay mode ForwardVariance for JPYEUR
DEBUG [2024-Jan-31 23:17:47.458809] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:47.474433] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(USDEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:47.474433] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:17:47.474433] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.474433] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:17:47.474433] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:47.474433] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:17:47.474433] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:17:47.474433] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:17:47.474433] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:17:47.490057] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURUSD, assuming defaults
DATA [2024-Jan-31 23:17:47.490057] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
NOTICE [2024-Jan-31 23:17:47.490057] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:17:47.490057] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:17:47.490057] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/USD/EURUSD 1M 0.121699 0.00125789
...
DEBUG [2024-Jan-31 23:17:47.490057] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
DEBUG [2024-Jan-31 23:17:47.505679] OREData/ored/marketdata/fxvolcurve.cpp:1142 : Building calibration info for fx vol surface completed.
DEBUG [2024-Jan-31 23:17:47.505679] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURUSD) with spec FXVolatility/EUR/USD/EURUSD to configuration default
DEBUG [2024-Jan-31 23:17:47.505679] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURUSD,FXVolatility/EUR/USD/EURUSD) in configuration default
DEBUG [2024-Jan-31 23:17:47.505679] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:47.505679] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:47.505679] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:17:47.505679] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:17:47.505679] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DATA [2024-Jan-31 23:17:47.505679] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
NOTICE [2024-Jan-31 23:17:47.505679] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1558 : Deterministic FX Vols with decay mode ForwardVariance for USDEUR
NOTICE [2024-Jan-31 23:17:47.505679] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built FXVolatility 3 121 ms
DEBUG [2024-Jan-31 23:17:47.505679] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2707 : building swap indices...
DEBUG [2024-Jan-31 23:17:47.505679] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2737 : Adding swap index EUR-CMS-1Y with discounting index EUR-EONIA
DATA [2024-Jan-31 23:17:47.505679] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:17:47.505679] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2740 : Adding swap index EUR-CMS-1Y done.
DEBUG [2024-Jan-31 23:17:47.505679] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2737 : Adding swap index EUR-CMS-30Y with discounting index EUR-EONIA
...
DEBUG [2024-Jan-31 23:17:47.521303] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2740 : Adding swap index EUR-CMS-30Y done.
NOTICE [2024-Jan-31 23:17:47.521303] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2712 : building base scenario
NOTICE [2024-Jan-31 23:17:47.521303] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2729 : building base scenario done
NOTICE [2024-Jan-31 23:17:47.521303] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:618 : XVA: Build Scenario Generator
NOTICE [2024-Jan-31 23:17:47.521303] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:156 : XVA: Build Simulation Model (continueOnCalibrationError = true)
NOTICE [2024-Jan-31 23:17:47.521303] OREData/ored/model/crossassetmodelbuilder.cpp:167 : Start building CrossAssetModel
DEBUG [2024-Jan-31 23:17:47.521303] OREData/ored/model/crossassetmodelbuilder.cpp:172 : configurations: LgmCalibration collateral_inccy, FxCalibration collateral_eur, EqCalibration default, InfCalibration default, CrCalibrationdefault, ComCalibrationdefault, FinalModel collateral_eur
DEBUG [2024-Jan-31 23:17:47.521303] OREData/ored/model/crossassetmodelbuilder.cpp:212 : Defaulting to LGM measure
DEBUG [2024-Jan-31 23:17:47.521303] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 0 qualifier EUR
DEBUG [2024-Jan-31 23:17:47.521303] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR) failed: Two or three tokens required in EUR: CCY-INDEX or CCY-INDEX-TERM
NOTICE [2024-Jan-31 23:17:47.521303] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier EUR (ccy=EUR), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:17:47.521303] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:17:47.521303] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.521303] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:17:47.521303] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.521303] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.536929] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:47.536929] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:17:47.536929] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.536929] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:17:47.536929] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DATA [2024-Jan-31 23:17:47.536929] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:17:47.536929] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:17:47.536929] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.536929] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.536929] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:47.552552] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:17:47.552552] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.552552] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:17:47.552552] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.552552] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.552552] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:17:47.552552] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:17:47.552552] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.552552] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:17:47.552552] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:17:47.552552] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.552552] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:17:47.568177] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:17:47.568177] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:17:47.568177] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 29Y: vol=0.002, index=Euribor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:17:47.583801] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:17:47.583801] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 3.00274; 4.00274; 5.00548; 7.00822; 10.0082; 12.0137; 15.011; 20.0137 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:17:47.583801] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:17:47.583801] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for EUR: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:17:47.583801] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:17:47.583801] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:17:47.583801] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR currency EUR
DEBUG [2024-Jan-31 23:17:47.583801] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:17:47.599425] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR calibration errors:
DATA [2024-Jan-31 23:17:47.599425] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:17:47.599425] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.599425] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:17:47.615049] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:17:47.615049] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:17:47.615049] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:17:47.630672] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:17:47.630672] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:17:47.646296] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 6.22277e-14
DEBUG [2024-Jan-31 23:17:47.646296] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:17:47.646296] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR) failed: Two or three tokens required in EUR: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:17:47.646296] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 1 qualifier USD
...
NOTICE [2024-Jan-31 23:17:47.646296] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier USD (ccy=USD), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:17:47.646296] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:17:47.646296] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.646296] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #4: DiscountCurve(USD,Yield/USD/USD1D) (not yet built)
DEBUG [2024-Jan-31 23:17:47.646296] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.646296] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.646296] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:47.646296] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:17:47.646296] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.646296] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (not yet built)
...
DEBUG [2024-Jan-31 23:17:47.661920] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration collateral_inccy
DATA [2024-Jan-31 23:17:47.661920] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:17:47.661920] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:17:47.661920] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.661920] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.661920] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:47.661920] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-1Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:17:47.661920] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:17:47.661920] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.661920] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.677543] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:47.677543] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-30Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:17:47.677543] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-30Y,USD-FedFunds) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.677543] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (USD) with spec SwaptionVolatility/USD/USD_SW_N to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:17:47.677543] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 5, error: 0
DEBUG [2024-Jan-31 23:17:47.677543] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.677543] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:17:47.677543] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:17:47.677543] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:17:47.693167] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 29Y: vol=0.1, index=USDLibor3M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:17:47.708793] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:17:47.708793] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 3.00274; 4.00274; 5.00548; 7.00822; 10.0082; 12.0137; 15.011; 20.0137 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:17:47.708793] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:17:47.708793] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for USD: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:17:47.708793] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:17:47.708793] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:17:47.708793] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier USD currency USD
DEBUG [2024-Jan-31 23:17:47.724431] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:17:47.740054] OREData/ored/model/lgmbuilder.cpp:377 : LGM USD calibration errors:
DATA [2024-Jan-31 23:17:47.740054] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:17:47.740054] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.740054] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:17:47.755678] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:17:47.755678] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:17:47.771301] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:17:47.771301] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:17:47.786912] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:17:47.786912] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 8.39325e-14
DEBUG [2024-Jan-31 23:17:47.786912] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:17:47.786912] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD) failed: Two or three tokens required in USD: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:17:47.786912] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 2 qualifier GBP
...
NOTICE [2024-Jan-31 23:17:47.786912] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier GBP (ccy=GBP), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:17:47.786912] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:17:47.802536] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.802536] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: DiscountCurve(GBP,Yield/GBP/GBP1D) (not yet built)
DEBUG [2024-Jan-31 23:17:47.802536] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.802536] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.802536] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:47.802536] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:17:47.802536] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.802536] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: DiscountCurve(GBP,Yield/GBP/GBP1D) (already built)
...
DEBUG [2024-Jan-31 23:17:47.802536] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration collateral_inccy
DATA [2024-Jan-31 23:17:47.802536] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DEBUG [2024-Jan-31 23:17:47.802536] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:17:47.818158] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.818158] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.818158] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:47.818158] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-1Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:17:47.818158] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-1Y,GBP-SONIA) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:17:47.818158] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.818158] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.818158] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:17:47.818158] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-30Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:17:47.818158] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.818158] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (GBP) with spec SwaptionVolatility/GBP/GBP_SW_N to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:17:47.833784] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:17:47.833784] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.833784] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:17:47.833784] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:17:47.833784] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:17:47.833784] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 29Y: vol=0.1, index=GBPLibor6M Actual/365 (Fixed), strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:17:47.849408] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:17:47.849408] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 3.00274; 4.00274; 5.00548; 7.00822; 10.0082; 12.0137; 15.011; 20.0137 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:17:47.865032] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:17:47.865032] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for GBP: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:17:47.865032] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:17:47.865032] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:17:47.865032] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier GBP currency GBP
DEBUG [2024-Jan-31 23:17:47.865032] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:17:47.865032] OREData/ored/model/lgmbuilder.cpp:377 : LGM GBP calibration errors:
DATA [2024-Jan-31 23:17:47.865032] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:17:47.880653] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.880653] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:17:47.880653] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:17:47.880653] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:17:47.896278] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:17:47.896278] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:17:47.896278] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:17:47.911904] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 6.67459e-14
DEBUG [2024-Jan-31 23:17:47.911904] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:17:47.911904] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP) failed: Two or three tokens required in GBP: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:17:47.911904] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 3 qualifier CHF
...
NOTICE [2024-Jan-31 23:17:47.911904] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier CHF (ccy=CHF), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:17:47.911904] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:17:47.911904] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.911904] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (not yet built)
DEBUG [2024-Jan-31 23:17:47.911904] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.911904] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.927525] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:47.927525] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:17:47.927525] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:47.927525] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:17:47.927525] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-3M) with spec Yield/CHF/CHF3M to configuration collateral_inccy
DATA [2024-Jan-31 23:17:47.927525] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:17:47.927525] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:17:47.943166] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.943166] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.943166] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:17:47.943166] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-1Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:17:47.943166] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.943166] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-6M) with spec Yield/CHF/CHF6M to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:17:47.958788] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.958788] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:17:47.962958] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:17:47.964973] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-30Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:17:47.965970] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-30Y,CHF-TOIS) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:47.965970] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (CHF) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:17:47.967968] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:17:47.968968] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:47.968968] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:17:47.973965] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:17:47.975964] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:17:47.977962] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 29Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:17:47.995883] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:17:47.996883] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 3.00274; 4.00274; 5.00548; 7.00822; 10.0082; 12.0137; 15.011; 20.0137 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:17:47.996883] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:17:47.997926] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for CHF: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:17:47.997926] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:17:47.997926] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:17:47.997926] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier CHF currency CHF
DEBUG [2024-Jan-31 23:17:47.997926] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:17:48.013567] OREData/ored/model/lgmbuilder.cpp:377 : LGM CHF calibration errors:
DATA [2024-Jan-31 23:17:48.013567] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:17:48.013567] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:48.013567] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:17:48.013567] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:17:48.013567] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:17:48.029174] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:17:48.029174] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:17:48.044800] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:17:48.044800] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 1.16072e-13
DEBUG [2024-Jan-31 23:17:48.044800] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:17:48.044800] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF) failed: Two or three tokens required in CHF: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:17:48.044800] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 4 qualifier JPY
...
NOTICE [2024-Jan-31 23:17:48.044800] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier JPY (ccy=JPY), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:17:48.044800] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #3: DiscountCurve(JPY,Yield/JPY/JPY1D) (not yet built)
DEBUG [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (JPY) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(JPY,SwaptionVolatility/CHF/CHF_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:48.060424] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:17:48.076062] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:17:48.076062] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:17:48.076062] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 29Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:17:48.091686] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:17:48.091686] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 3.00274; 4.00274; 5.00548; 7.00822; 10.0082; 12.0137; 15.011; 20.0137 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:17:48.091686] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:17:48.091686] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for JPY: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:17:48.091686] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:17:48.091686] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:17:48.091686] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier JPY currency JPY
DEBUG [2024-Jan-31 23:17:48.091686] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:17:48.107309] OREData/ored/model/lgmbuilder.cpp:377 : LGM JPY calibration errors:
DATA [2024-Jan-31 23:17:48.107309] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:17:48.107309] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:17:48.107309] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:17:48.122918] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:17:48.122918] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:17:48.122918] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:17:48.138542] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:17:48.138542] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:17:48.154165] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 8.50026e-14
DEBUG [2024-Jan-31 23:17:48.154165] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:17:48.154165] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY) failed: Two or three tokens required in JPY: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:17:48.154165] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 0
NOTICE [2024-Jan-31 23:17:48.154165] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for USDEUR
DEBUG [2024-Jan-31 23:17:48.154165] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:48.154165] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.154165] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:17:48.169789] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(USDEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.169789] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:17:48.169789] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:17:48.169789] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:17:48.169789] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:17:48.169789] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper USDEUR 2017-02-05 0.871636 0.120828
...
DEBUG [2024-Jan-31 23:17:48.169789] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:17:48.169789] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:17:48.185413] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:17:48.185413] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 1
NOTICE [2024-Jan-31 23:17:48.185413] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for GBPEUR
DEBUG [2024-Jan-31 23:17:48.185413] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:48.185413] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.185413] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:17:48.201038] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(GBPEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.201038] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:17:48.201038] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:17:48.201038] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:17:48.201038] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:17:48.201038] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper GBPEUR 2017-02-05 1.21921 0.12979
...
DEBUG [2024-Jan-31 23:17:48.201038] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:17:48.201038] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:17:48.201038] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:17:48.216662] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 2
NOTICE [2024-Jan-31 23:17:48.216662] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for CHFEUR
DEBUG [2024-Jan-31 23:17:48.216662] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:48.216662] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.216662] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:17:48.232286] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(CHFEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.232286] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:17:48.232286] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:17:48.232286] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #44: FXVol(EURCHF,FXVolatility/EUR/CHF/EURCHF) (not yet built)
DEBUG [2024-Jan-31 23:17:48.232286] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:17:48.232286] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:17:48.232286] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:17:48.232286] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:17:48.232286] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:17:48.247911] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURCHF, assuming defaults
DATA [2024-Jan-31 23:17:48.247911] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'CHF': EUR-CHF
NOTICE [2024-Jan-31 23:17:48.247911] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 9 ATM vols
DEBUG [2024-Jan-31 23:17:48.247911] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:17:48.247911] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/CHF/EURCHF 1M 0.077042 0.000504108
...
DEBUG [2024-Jan-31 23:17:48.263535] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
WARNING [2024-Jan-31 23:17:48.263535] OREData/ored/marketdata/fxvolcurve.cpp:918 : no domestic / foreign yield curves given in fx vol curve config for EURCHF, skip building calibration info
DEBUG [2024-Jan-31 23:17:48.263535] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURCHF) with spec FXVolatility/EUR/CHF/EURCHF to configuration default
DEBUG [2024-Jan-31 23:17:48.263535] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURCHF,FXVolatility/EUR/CHF/EURCHF) in configuration default
DEBUG [2024-Jan-31 23:17:48.263535] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:17:48.263535] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(CHFEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:48.263535] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:17:48.263535] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:48.263535] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:17:48.263535] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper CHFEUR 2017-02-05 0.89377 0.0928951
...
DEBUG [2024-Jan-31 23:17:48.263535] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:17:48.279161] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:17:48.279161] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:17:48.279161] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 3
NOTICE [2024-Jan-31 23:17:48.279161] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for JPYEUR
DEBUG [2024-Jan-31 23:17:48.279161] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:48.279161] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.279161] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:17:48.294782] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(JPYEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.294782] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:17:48.294782] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:17:48.294782] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:17:48.294782] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:17:48.294782] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper JPYEUR 2017-02-05 0.0077825 0.137665
...
DEBUG [2024-Jan-31 23:17:48.294782] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:17:48.310407] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:17:48.310407] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:17:48.310407] OREData/ored/model/crossassetmodelbuilder.cpp:441 : CrossAssetModelBuilder: adding correlations.
DEBUG [2024-Jan-31 23:17:48.310407] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,GBP,0}) = 0.3.
...
DATA [2024-Jan-31 23:17:48.310407] OREData/ored/model/crossassetmodelbuilder.cpp:450 : CAM correlation matrix:
DATA [2024-Jan-31 23:17:48.326031] OREData/ored/model/crossassetmodelbuilder.cpp:451 : | 1 0.3 0.3 0 0 0 0 0 0 |
...
DEBUG [2024-Jan-31 23:17:48.326031] OREData/ored/model/crossassetmodelbuilder.cpp:465 : IR Calibration 0
...
DEBUG [2024-Jan-31 23:17:48.326031] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:48.326031] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.326031] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:48.326031] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for EUR for FX calibration
...
ALERT [2024-Jan-31 23:17:48.326031] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.326031] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:48.341655] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for USD for FX calibration
...
ALERT [2024-Jan-31 23:17:48.341655] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.341655] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:48.341655] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for GBP for FX calibration
...
ALERT [2024-Jan-31 23:17:48.341655] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.341655] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:48.341655] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for CHF for FX calibration
...
ALERT [2024-Jan-31 23:17:48.341655] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.341655] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:48.341655] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for JPY for FX calibration
DEBUG [2024-Jan-31 23:17:48.341655] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 0
DEBUG [2024-Jan-31 23:17:48.372902] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX USD calibration errors:
DATA [2024-Jan-31 23:17:48.388526] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:17:48.388526] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:17:48.404150] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 2.42409e-14
DEBUG [2024-Jan-31 23:17:48.404150] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 1
DEBUG [2024-Jan-31 23:17:48.435397] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX GBP calibration errors:
DATA [2024-Jan-31 23:17:48.435397] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:17:48.451022] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:17:48.451022] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 9.76759e-14
DEBUG [2024-Jan-31 23:17:48.451022] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 2
DEBUG [2024-Jan-31 23:17:48.482268] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX CHF calibration errors:
DATA [2024-Jan-31 23:17:48.482268] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:17:48.497892] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:17:48.497892] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 1.15276e-13
DEBUG [2024-Jan-31 23:17:48.497892] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 3
DEBUG [2024-Jan-31 23:17:48.529140] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX JPY calibration errors:
DATA [2024-Jan-31 23:17:48.544765] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:17:48.544765] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:17:48.560389] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 2.29969e-14
DEBUG [2024-Jan-31 23:17:48.560389] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:17:48.560389] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:48.560389] OREData/ored/model/crossassetmodelbuilder.cpp:548 : Relinked discounting curve for EUR for EQ calibration
...
DEBUG [2024-Jan-31 23:17:48.576013] OREData/ored/model/crossassetmodelbuilder.cpp:619 : Relinked discounting curve for EUR for INF calibration
...
ALERT [2024-Jan-31 23:17:48.576013] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.576013] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:48.576013] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for EUR as final model curves
...
ALERT [2024-Jan-31 23:17:48.576013] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.591651] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:48.591651] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for USD as final model curves
...
ALERT [2024-Jan-31 23:17:48.591651] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.591651] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:48.591651] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for GBP as final model curves
...
ALERT [2024-Jan-31 23:17:48.591651] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.591651] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:48.591651] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for CHF as final model curves
...
ALERT [2024-Jan-31 23:17:48.591651] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.591651] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:17:48.591651] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for JPY as final model curves
DEBUG [2024-Jan-31 23:17:48.591651] OREData/ored/model/crossassetmodelbuilder.cpp:656 : Building CrossAssetModel done
NOTICE [2024-Jan-31 23:17:48.607276] OREAnalytics/orea/scenario/scenariogeneratorbuilder.cpp:48 : ScenarioGeneratorBuilder::build() called
NOTICE [2024-Jan-31 23:17:48.607276] OREAnalytics/orea/scenario/crossassetmodelscenariogenerator.cpp:42 : CrossAssetModelScenarioGenerator ctor called
DEBUG [2024-Jan-31 23:17:48.607276] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:17:48.607276] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(CHF-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:17:48.607276] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:17:48.622900] OREAnalytics/orea/scenario/crossassetmodelscenariogenerator.cpp:313 : CrossAssetModelScenarioGenerator ctor done
NOTICE [2024-Jan-31 23:17:48.622900] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:141 : simulation grid size 290
NOTICE [2024-Jan-31 23:17:48.638510] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:142 : simulation grid valuation dates 290
NOTICE [2024-Jan-31 23:17:48.638510] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:143 : simulation grid close-out dates 0
NOTICE [2024-Jan-31 23:17:48.638510] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:144 : simulation grid front date 2016-02-19
NOTICE [2024-Jan-31 23:17:48.638510] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:145 : simulation grid back date 2027-03-19
NOTICE [2024-Jan-31 23:17:48.638510] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:624 : XVA: Attach Scenario Generator to ScenarioSimMarket
NOTICE [2024-Jan-31 23:17:48.638510] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:228 : XVA: classicRun
NOTICE [2024-Jan-31 23:17:48.638510] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:234 : XVA: Build classic portfolio of size 3 linked to the simulation market
NOTICE [2024-Jan-31 23:17:48.638510] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 3
NOTICE [2024-Jan-31 23:17:48.638510] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:90 : XvaAnalytic::engineFactory() called
NOTICE [2024-Jan-31 23:17:48.638510] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:17:48.638510] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 3 for context = 'analytic/XVA'
DEBUG [2024-Jan-31 23:17:48.638510] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_1
DEBUG [2024-Jan-31 23:17:48.638510] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:17:48.638510] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:17:48.638510] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = GBP
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DEBUG [2024-Jan-31 23:17:48.654147] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = GBP
DEBUG [2024-Jan-31 23:17:48.654147] OREData/ored/portfolio/swap.cpp:142 : Notional is 4e+07 GBP
DEBUG [2024-Jan-31 23:17:48.654147] OREData/ored/portfolio/swap.cpp:146 : npv currency is GBP
DEBUG [2024-Jan-31 23:17:48.654147] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:17:48.654147] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Swap_1:
DATA [2024-Jan-31 23:17:48.654147] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
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DEBUG [2024-Jan-31 23:17:48.685381] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_2
DEBUG [2024-Jan-31 23:17:48.685381] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:17:48.685381] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
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DEBUG [2024-Jan-31 23:17:48.685381] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
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DEBUG [2024-Jan-31 23:17:48.701006] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:17:48.701006] OREData/ored/portfolio/swap.cpp:142 : Notional is 3e+07 EUR
DEBUG [2024-Jan-31 23:17:48.701006] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:17:48.701006] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:17:48.701006] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Swap_2:
DATA [2024-Jan-31 23:17:48.701006] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:17:48.747876] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_3
DEBUG [2024-Jan-31 23:17:48.747876] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:17:48.747876] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
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DEBUG [2024-Jan-31 23:17:48.747876] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
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DEBUG [2024-Jan-31 23:17:48.747876] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = USD
DEBUG [2024-Jan-31 23:17:48.747876] OREData/ored/portfolio/swap.cpp:142 : Notional is 5e+07 USD
DEBUG [2024-Jan-31 23:17:48.747876] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:17:48.747876] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:17:48.747876] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Swap_3:
DATA [2024-Jan-31 23:17:48.747876] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:17:48.779137] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 3, size now 3, built 0 failed trades, context is analytic/XVA
NOTICE [2024-Jan-31 23:17:48.779137] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:248 : Filter trades that expire before February 5th, 2016
NOTICE [2024-Jan-31 23:17:48.779137] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:193 : XVA: initClassicRun
NOTICE [2024-Jan-31 23:17:48.779137] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:169 : XVA: Set cube depth
NOTICE [2024-Jan-31 23:17:48.779137] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:171 : XVA: Cube depth set to: 3
NOTICE [2024-Jan-31 23:17:48.779137] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:199 : XVA: Create asd 290 x 1000
NOTICE [2024-Jan-31 23:17:48.779137] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:177 : Init cube with depth 3
DEBUG [2024-Jan-31 23:17:48.779137] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:180 : initCube: grid[0]=2016-02-19
...
NOTICE [2024-Jan-31 23:17:49.143013] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:223 : XVA: initClassicRun completed
NOTICE [2024-Jan-31 23:17:49.143013] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:267 : XVA::buildCube
NOTICE [2024-Jan-31 23:17:49.143013] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:306 : XVA: Build Cube 3 x 290 x 1000
NOTICE [2024-Jan-31 23:17:49.143013] OREAnalytics/orea/engine/valuationengine.cpp:83 : Build cube with mporStickyDate=0, dryRun=false
NOTICE [2024-Jan-31 23:17:49.143013] OREAnalytics/orea/engine/valuationengine.cpp:109 : Starting ValuationEngine for 3 trades, 1000 samples and 290 dates.
NOTICE [2024-Jan-31 23:17:49.143013] OREAnalytics/orea/engine/valuationengine.cpp:116 : Initialise 2 valuation calculators
DEBUG [2024-Jan-31 23:17:49.143013] OREAnalytics/orea/engine/valuationcalculator.cpp:32 : init NPVCalculator
DEBUG [2024-Jan-31 23:17:49.143013] OREAnalytics/orea/engine/valuationcalculator.cpp:81 : init CashflowCalculator
NOTICE [2024-Jan-31 23:17:49.143013] OREAnalytics/orea/engine/valuationengine.cpp:127 : Initialise state objects...
DEBUG [2024-Jan-31 23:17:49.143013] OREAnalytics/orea/engine/valuationengine.cpp:133 : Initialise wrapper for trade Swap_1
...
NOTICE [2024-Jan-31 23:17:49.158632] OREAnalytics/orea/engine/valuationengine.cpp:166 : Total number of trades = 3
DATA [2024-Jan-31 23:17:49.158632] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DATA [2024-Jan-31 23:17:49.158632] OREAnalytics/orea/simulation/fixingmanager.cpp:105 : Added 44 fixing dates for 'GBP-LIBOR-6M'
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DATA [2024-Jan-31 23:17:49.158632] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #0
NOTICE [2024-Jan-31 23:17:49.158632] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 0 out of 1000 steps (0%) completed
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NOTICE [2024-Jan-31 23:17:52.678168] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 10 out of 1000 steps (1%) completed
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NOTICE [2024-Jan-31 23:17:53.865585] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 20 out of 1000 steps (2%) completed
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NOTICE [2024-Jan-31 23:17:55.085896] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 30 out of 1000 steps (3%) completed
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NOTICE [2024-Jan-31 23:17:56.304561] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 40 out of 1000 steps (4%) completed
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NOTICE [2024-Jan-31 23:17:57.539217] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 50 out of 1000 steps (5%) completed
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NOTICE [2024-Jan-31 23:17:58.789261] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 60 out of 1000 steps (6%) completed
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NOTICE [2024-Jan-31 23:18:00.086152] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 70 out of 1000 steps (7%) completed
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NOTICE [2024-Jan-31 23:18:01.320569] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 80 out of 1000 steps (8%) completed
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NOTICE [2024-Jan-31 23:18:02.573075] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 90 out of 1000 steps (9%) completed
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NOTICE [2024-Jan-31 23:18:03.833313] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 100 out of 1000 steps (10%) completed
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NOTICE [2024-Jan-31 23:18:05.398400] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 110 out of 1000 steps (11%) completed
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NOTICE [2024-Jan-31 23:18:06.617253] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 120 out of 1000 steps (12%) completed
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NOTICE [2024-Jan-31 23:18:07.869492] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 130 out of 1000 steps (13%) completed
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NOTICE [2024-Jan-31 23:18:09.148572] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 140 out of 1000 steps (14%) completed
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NOTICE [2024-Jan-31 23:18:10.367343] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 150 out of 1000 steps (15%) completed
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NOTICE [2024-Jan-31 23:18:11.570616] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 160 out of 1000 steps (16%) completed
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NOTICE [2024-Jan-31 23:18:12.820671] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 170 out of 1000 steps (17%) completed
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NOTICE [2024-Jan-31 23:18:14.039472] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 180 out of 1000 steps (18%) completed
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NOTICE [2024-Jan-31 23:18:15.300056] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 190 out of 1000 steps (19%) completed
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NOTICE [2024-Jan-31 23:18:16.541891] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 200 out of 1000 steps (20%) completed
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NOTICE [2024-Jan-31 23:18:17.776254] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 210 out of 1000 steps (21%) completed
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NOTICE [2024-Jan-31 23:18:19.070055] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 220 out of 1000 steps (22%) completed
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NOTICE [2024-Jan-31 23:18:20.352053] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 230 out of 1000 steps (23%) completed
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NOTICE [2024-Jan-31 23:18:21.578969] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 240 out of 1000 steps (24%) completed
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NOTICE [2024-Jan-31 23:18:23.019892] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 250 out of 1000 steps (25%) completed
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NOTICE [2024-Jan-31 23:18:24.313517] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 260 out of 1000 steps (26%) completed
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NOTICE [2024-Jan-31 23:18:25.686771] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 270 out of 1000 steps (27%) completed
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NOTICE [2024-Jan-31 23:18:27.042125] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 280 out of 1000 steps (28%) completed
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NOTICE [2024-Jan-31 23:18:28.269405] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 290 out of 1000 steps (28%) completed
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NOTICE [2024-Jan-31 23:18:29.660358] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 300 out of 1000 steps (30%) completed
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NOTICE [2024-Jan-31 23:18:31.029039] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 310 out of 1000 steps (31%) completed
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NOTICE [2024-Jan-31 23:18:33.174397] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 320 out of 1000 steps (32%) completed
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NOTICE [2024-Jan-31 23:18:34.451532] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 330 out of 1000 steps (33%) completed
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NOTICE [2024-Jan-31 23:18:35.716020] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 340 out of 1000 steps (34%) completed
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NOTICE [2024-Jan-31 23:18:38.933356] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 350 out of 1000 steps (35%) completed
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NOTICE [2024-Jan-31 23:18:40.617058] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 360 out of 1000 steps (36%) completed
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NOTICE [2024-Jan-31 23:18:41.867266] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 370 out of 1000 steps (37%) completed
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NOTICE [2024-Jan-31 23:18:43.138106] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 380 out of 1000 steps (38%) completed
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NOTICE [2024-Jan-31 23:18:44.376316] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 390 out of 1000 steps (39%) completed
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NOTICE [2024-Jan-31 23:18:45.580892] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 400 out of 1000 steps (40%) completed
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NOTICE [2024-Jan-31 23:18:46.810536] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 410 out of 1000 steps (41%) completed
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NOTICE [2024-Jan-31 23:18:48.158665] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 420 out of 1000 steps (42%) completed
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NOTICE [2024-Jan-31 23:18:49.846835] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 430 out of 1000 steps (43%) completed
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NOTICE [2024-Jan-31 23:18:51.549151] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 440 out of 1000 steps (44%) completed
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NOTICE [2024-Jan-31 23:18:53.066842] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 450 out of 1000 steps (45%) completed
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NOTICE [2024-Jan-31 23:18:54.359960] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 460 out of 1000 steps (46%) completed
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NOTICE [2024-Jan-31 23:18:55.581024] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 470 out of 1000 steps (47%) completed
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NOTICE [2024-Jan-31 23:18:56.786744] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 480 out of 1000 steps (48%) completed
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NOTICE [2024-Jan-31 23:18:58.044826] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 490 out of 1000 steps (49%) completed
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NOTICE [2024-Jan-31 23:18:59.306412] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 500 out of 1000 steps (50%) completed
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NOTICE [2024-Jan-31 23:19:00.558506] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 510 out of 1000 steps (51%) completed
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NOTICE [2024-Jan-31 23:19:02.205176] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 520 out of 1000 steps (52%) completed
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NOTICE [2024-Jan-31 23:19:04.124353] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 530 out of 1000 steps (53%) completed
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NOTICE [2024-Jan-31 23:19:05.772274] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 540 out of 1000 steps (54%) completed
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NOTICE [2024-Jan-31 23:19:07.401821] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 550 out of 1000 steps (55%) completed
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NOTICE [2024-Jan-31 23:19:09.081232] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 560 out of 1000 steps (56%) completed
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NOTICE [2024-Jan-31 23:19:10.713428] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 570 out of 1000 steps (56%) completed
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NOTICE [2024-Jan-31 23:19:12.472052] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 580 out of 1000 steps (57%) completed
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NOTICE [2024-Jan-31 23:19:14.685832] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 590 out of 1000 steps (59%) completed
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NOTICE [2024-Jan-31 23:19:16.488696] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 600 out of 1000 steps (60%) completed
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NOTICE [2024-Jan-31 23:19:18.116796] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 610 out of 1000 steps (61%) completed
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NOTICE [2024-Jan-31 23:19:19.682919] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 620 out of 1000 steps (62%) completed
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NOTICE [2024-Jan-31 23:19:21.759114] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 630 out of 1000 steps (63%) completed
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NOTICE [2024-Jan-31 23:19:23.636843] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 640 out of 1000 steps (64%) completed
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NOTICE [2024-Jan-31 23:19:25.425618] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 650 out of 1000 steps (65%) completed
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NOTICE [2024-Jan-31 23:19:27.006734] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 660 out of 1000 steps (66%) completed
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NOTICE [2024-Jan-31 23:19:28.588210] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 670 out of 1000 steps (67%) completed
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NOTICE [2024-Jan-31 23:19:30.279256] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 680 out of 1000 steps (68%) completed
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NOTICE [2024-Jan-31 23:19:31.878863] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 690 out of 1000 steps (69%) completed
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NOTICE [2024-Jan-31 23:19:33.553130] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 700 out of 1000 steps (70%) completed
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NOTICE [2024-Jan-31 23:19:35.404664] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 710 out of 1000 steps (71%) completed
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NOTICE [2024-Jan-31 23:19:37.006876] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 720 out of 1000 steps (72%) completed
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NOTICE [2024-Jan-31 23:19:38.566807] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 730 out of 1000 steps (73%) completed
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NOTICE [2024-Jan-31 23:19:40.157008] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 740 out of 1000 steps (74%) completed
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NOTICE [2024-Jan-31 23:19:41.724525] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 750 out of 1000 steps (75%) completed
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NOTICE [2024-Jan-31 23:19:43.296376] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 760 out of 1000 steps (76%) completed
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NOTICE [2024-Jan-31 23:19:44.886026] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 770 out of 1000 steps (77%) completed
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NOTICE [2024-Jan-31 23:19:46.485486] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 780 out of 1000 steps (78%) completed
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NOTICE [2024-Jan-31 23:19:47.932983] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 790 out of 1000 steps (79%) completed
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NOTICE [2024-Jan-31 23:19:49.267637] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 800 out of 1000 steps (80%) completed
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NOTICE [2024-Jan-31 23:19:50.634785] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 810 out of 1000 steps (81%) completed
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NOTICE [2024-Jan-31 23:19:52.027197] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 820 out of 1000 steps (82%) completed
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NOTICE [2024-Jan-31 23:19:53.315725] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 830 out of 1000 steps (83%) completed
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NOTICE [2024-Jan-31 23:19:55.180617] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 840 out of 1000 steps (84%) completed
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NOTICE [2024-Jan-31 23:19:56.922592] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 850 out of 1000 steps (85%) completed
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NOTICE [2024-Jan-31 23:19:58.603574] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 860 out of 1000 steps (86%) completed
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NOTICE [2024-Jan-31 23:19:59.932086] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 870 out of 1000 steps (87%) completed
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NOTICE [2024-Jan-31 23:20:01.284450] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 880 out of 1000 steps (88%) completed
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NOTICE [2024-Jan-31 23:20:02.584434] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 890 out of 1000 steps (89%) completed
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NOTICE [2024-Jan-31 23:20:03.880297] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 900 out of 1000 steps (90%) completed
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NOTICE [2024-Jan-31 23:20:05.186552] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 910 out of 1000 steps (91%) completed
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NOTICE [2024-Jan-31 23:20:06.483765] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 920 out of 1000 steps (92%) completed
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NOTICE [2024-Jan-31 23:20:07.857367] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 930 out of 1000 steps (93%) completed
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NOTICE [2024-Jan-31 23:20:09.197535] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 940 out of 1000 steps (94%) completed
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NOTICE [2024-Jan-31 23:20:10.493521] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 950 out of 1000 steps (95%) completed
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NOTICE [2024-Jan-31 23:20:11.952723] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 960 out of 1000 steps (96%) completed
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NOTICE [2024-Jan-31 23:20:13.433200] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 970 out of 1000 steps (97%) completed
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NOTICE [2024-Jan-31 23:20:14.886849] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 980 out of 1000 steps (98%) completed
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NOTICE [2024-Jan-31 23:20:16.215710] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 990 out of 1000 steps (99%) completed
...
NOTICE [2024-Jan-31 23:20:17.774420] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 1000 out of 1000 steps (100%) completed
NOTICE [2024-Jan-31 23:20:17.782828] OREAnalytics/orea/engine/valuationengine.cpp:286 : ValuationEngine completed: loop 148.62 sec, pricing 36 sec, update 1.1e+02 sec fixing 0.14
NOTICE [2024-Jan-31 23:20:17.783838] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:377 : XVA::buildCube done
NOTICE [2024-Jan-31 23:20:17.784842] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:259 : XVA: classicRun completed
WARNING [2024-Jan-31 23:20:17.785896] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:680 : We have generated a classic cube only
NOTICE [2024-Jan-31 23:20:17.785970] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:683 : NPV cube generation completed
NOTICE [2024-Jan-31 23:20:17.786984] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:689 : Classic portfolio size 3
NOTICE [2024-Jan-31 23:20:17.787983] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:690 : AMC portfolio size 0
NOTICE [2024-Jan-31 23:20:17.787983] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:696 : Total portfolio size 3
MEMORY [2024-Jan-31 23:20:17.788983] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:725 : 135389184|134905856
NOTICE [2024-Jan-31 23:20:17.789982] OREAnalytics/orea/app/reportwriter.cpp:1420 : Writing cube report
NOTICE [2024-Jan-31 23:20:20.070809] OREAnalytics/orea/app/reportwriter.cpp:1485 : Cube report written
NOTICE [2024-Jan-31 23:20:20.071809] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:66 : For netting-set CPTY_ACSA flag is 0
NOTICE [2024-Jan-31 23:20:20.073806] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:565 : baseCurrency EUR
DEBUG [2024-Jan-31 23:20:20.073806] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,GBP,0}) = 0.3.
...
NOTICE [2024-Jan-31 23:20:20.081800] OREAnalytics/orea/aggregation/postprocess.cpp:89 : cube storage is regular: 1
NOTICE [2024-Jan-31 23:20:20.082800] OREAnalytics/orea/aggregation/postprocess.cpp:90 : cube dates: 290
NOTICE [2024-Jan-31 23:20:20.083799] OREAnalytics/orea/aggregation/postprocess.cpp:137 : Compute netting set NPVs as of today and netting set maturity
NOTICE [2024-Jan-31 23:20:20.084799] OREAnalytics/orea/aggregation/postprocess.cpp:140 : AsOfDate = 2016-02-05
NOTICE [2024-Jan-31 23:20:20.084799] OREAnalytics/orea/aggregation/exposurecalculator.cpp:72 : Compute trade exposure profiles, regular (flipViewXVA = N)
NOTICE [2024-Jan-31 23:20:20.085798] OREAnalytics/orea/aggregation/exposurecalculator.cpp:78 : Aggregate exposure for trade Swap_1
DEBUG [2024-Jan-31 23:20:20.091795] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:20:20.092794] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:20.093793] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:20:20.166897] OREAnalytics/orea/aggregation/exposurecalculator.cpp:78 : Aggregate exposure for trade Swap_2
...
ALERT [2024-Jan-31 23:20:20.168911] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:20.169910] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:20:20.244533] OREAnalytics/orea/aggregation/exposurecalculator.cpp:78 : Aggregate exposure for trade Swap_3
...
ALERT [2024-Jan-31 23:20:20.246812] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:20.247810] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:20:20.326268] OREAnalytics/orea/aggregation/nettedexposurecalculator.cpp:96 : Compute netting set exposure profiles
NOTICE [2024-Jan-31 23:20:20.333254] OREAnalytics/orea/aggregation/nettedexposurecalculator.cpp:154 : Aggregate exposure for netting set CPTY_A
NOTICE [2024-Jan-31 23:20:20.334254] OREAnalytics/orea/aggregation/nettedexposurecalculator.cpp:405 : CSA missing or inactive for netting set CPTY_A
DEBUG [2024-Jan-31 23:20:20.335253] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:20:20.336253] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:20.337252] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:20:20.418364] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade Swap_1, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:20:20.419363] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:20:20.420363] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:20:20.421362] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:20:20.423361] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:20:20.423361] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_BORROW
DEBUG [2024-Jan-31 23:20:20.424360] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_BORROW built
DEBUG [2024-Jan-31 23:20:20.425360] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_BORROW" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:20:20.426360] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BANK_EUR_BORROW) with spec Yield/EUR/BANK_EUR_BORROW to configuration default
DEBUG [2024-Jan-31 23:20:20.426360] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) in configuration default
DEBUG [2024-Jan-31 23:20:20.427357] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:20:20.428358] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:20:20.429358] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:20:20.430358] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_BORROW) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:20:20.430358] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:20.432357] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:20:20.434356] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:20:20.435356] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:20:20.437354] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:20:20.437354] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_LEND
DEBUG [2024-Jan-31 23:20:20.438352] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_LEND built
DEBUG [2024-Jan-31 23:20:20.439351] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_LEND" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:20:20.440350] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BANK_EUR_LEND) with spec Yield/EUR/BANK_EUR_LEND to configuration default
DEBUG [2024-Jan-31 23:20:20.440350] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_LEND,Yield/EUR/BANK_EUR_LEND) in configuration default
DEBUG [2024-Jan-31 23:20:20.441350] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:20:20.442349] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:20:20.442349] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:20:20.443349] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_LEND) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:20:20.444348] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:20.446349] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:20:20.449346] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:20:20.449346] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #56: DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) (not yet built)
DEBUG [2024-Jan-31 23:20:20.450345] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:20:20.451345] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_A_SR_USD
NOTICE [2024-Jan-31 23:20:20.452344] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_A_SR_USD
DATA [2024-Jan-31 23:20:20.452344] OREData/ored/marketdata/defaultcurve.cpp:80 : Loaded quote HAZARD_RATE/RATE/CPTY_A/SR/USD/0Y for default curve CPTY_A_SR_USD
...
NOTICE [2024-Jan-31 23:20:20.460339] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_A_SR_USD using 11 default quotes of 11 requested quotes.
NOTICE [2024-Jan-31 23:20:20.461470] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:20:20.461470] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:20:20.463469] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_A_SR_USD
DEBUG [2024-Jan-31 23:20:20.464483] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (CPTY_A) with spec Default/USD/CPTY_A_SR_USD to configuration default
DEBUG [2024-Jan-31 23:20:20.464483] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:20:20.465483] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:20:20.466481] OREData/ored/marketdata/todaysmarket.cpp:823 : market object Securities(CPTY_A) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:20:20.466481] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "Securities(CPTY_A)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:20.468480] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:20:20.471478] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:20:20.471478] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:20:20.473477] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:20:20.474477] OREData/ored/marketdata/defaultcurve.cpp:309 : Start building default curve of type SpreadCDS for curve BANK_SR_USD
NOTICE [2024-Jan-31 23:20:20.475464] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve BANK_SR_USD
DATA [2024-Jan-31 23:20:20.476473] OREData/ored/marketdata/defaultcurve.cpp:80 : Loaded quote CDS/CREDIT_SPREAD/BANK/SR/USD/1Y for default curve BANK_SR_USD
...
NOTICE [2024-Jan-31 23:20:20.481461] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve BANK_SR_USD using 7 default quotes of 7 requested quotes.
DATA [2024-Jan-31 23:20:20.484458] OREData/ored/marketdata/defaultcurve.cpp:526 : 2016-12-20,0.985311623
...
DEBUG [2024-Jan-31 23:20:20.489652] OREData/ored/marketdata/defaultcurve.cpp:541 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:20:20.490651] OREData/ored/marketdata/defaultcurve.cpp:548 : Finished building default curve of type SpreadCDS for curve BANK_SR_USD
DEBUG [2024-Jan-31 23:20:20.490651] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (BANK) with spec Default/USD/BANK_SR_USD to configuration default
DEBUG [2024-Jan-31 23:20:20.491651] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(BANK,Default/USD/BANK_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:20:20.492650] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:20:20.492650] OREData/ored/marketdata/todaysmarket.cpp:823 : market object Securities(BANK) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:20:20.493650] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "Securities(BANK)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:20.495647] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:20:20.498659] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:20:28.526176] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade Swap_2, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:20:28.527175] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:28.528174] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:20:28.529174] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:20:28.530173] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:20:28.531173] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:28.533172] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:28.540219] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:20:28.540219] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:20:28.542217] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:28.543216] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:28.549213] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:20:28.554356] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:28.558709] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:20:28.560724] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:20:36.799416] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade Swap_3, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:20:36.800416] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:36.802414] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:20:36.802414] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:20:36.803414] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:20:36.805397] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:36.806397] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:36.811410] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:20:36.811410] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:20:36.813408] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:36.814407] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:36.820404] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:20:36.823402] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:36.826404] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:20:36.829384] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:20:43.834618] OREAnalytics/orea/aggregation/xvacalculator.cpp:371 : Update XVA for netting set CPTY_A, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:20:43.835724] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DefaultCurve(CPTY_A)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:43.837737] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:43.839738] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:20:43.842736] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:43.845735] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:20:43.850732] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:20:43.851732] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:20:43.851732] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:20:43.853729] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:43.854728] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:43.858726] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:20:43.859726] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:20:43.860724] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:43.861724] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:50.935367] OREAnalytics/orea/aggregation/postprocess.cpp:233 : Marginal Calculation handled in NettedExposureCalculator
...
ALERT [2024-Jan-31 23:20:50.937367] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:50.938366] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:20:50.939365] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade Swap_1, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:20:50.941364] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:50.942363] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:20:50.943351] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:20:50.944375] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:20:50.945349] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:50.946349] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:50.950346] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:20:50.951346] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:20:50.953345] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:50.954342] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:50.960338] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:20:50.963514] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:50.966513] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:20:50.969511] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:20:57.888874] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade Swap_2, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:20:57.890972] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:57.892972] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:20:57.893971] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:20:57.894970] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:20:57.895970] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:57.897968] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:57.900967] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:20:57.901966] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:20:57.902977] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:20:57.904979] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:57.910976] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:20:57.913974] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:20:57.916972] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:20:57.919970] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:21:06.294719] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade Swap_3, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:21:06.296718] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:21:06.298315] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:21:06.300986] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:21:06.301984] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:21:06.303981] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:21:06.304980] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:21:06.307979] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:21:06.308978] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:21:06.310994] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:21:06.310994] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:21:06.321227] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:21:06.323226] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:21:06.326225] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:21:06.329222] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:21:14.578583] OREAnalytics/orea/aggregation/xvacalculator.cpp:371 : Update XVA for netting set CPTY_A, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:21:14.580582] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DefaultCurve(CPTY_A)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:21:14.581582] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:21:14.584580] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:21:14.590037] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:21:14.592033] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:21:14.595032] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:21:14.596031] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:21:14.597030] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:21:14.598030] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:21:14.599029] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:21:14.603803] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:21:14.604585] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:21:14.607312] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:21:14.608311] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:21:22.704680] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:582 : post done
NOTICE [2024-Jan-31 23:21:22.705680] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:767 : Generating XVA reports and cube outputs
NOTICE [2024-Jan-31 23:21:22.707679] OREAnalytics/orea/app/reportwriter.cpp:1420 : Writing cube report
NOTICE [2024-Jan-31 23:21:22.928011] OREAnalytics/orea/app/reportwriter.cpp:1485 : Cube report written
WARNING [2024-Jan-31 23:21:22.930022] OREAnalytics/orea/app/analytic.cpp:86 : 974381056|974376960
NOTICE [2024-Jan-31 23:21:22.931020] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'XVA' finished.
DEBUG [2024-Jan-31 23:21:22.932019] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve CHF-IN-EUR for label as it has already been added
...
NOTICE [2024-Jan-31 23:21:22.948171] OREAnalytics/orea/app/reportwriter.cpp:1399 : Writing Pricing stats report
NOTICE [2024-Jan-31 23:21:22.949170] OREAnalytics/orea/app/reportwriter.cpp:1415 : Pricing stats report written
NOTICE [2024-Jan-31 23:21:22.950169] OREAnalytics/orea/app/analyticsmanager.cpp:239 : report name cashflow occurs 1 times
...
NOTICE [2024-Jan-31 23:21:22.964961] OREData/ored/report/csvreport.cpp:107 : Opening CSV file report 'Output/flows.csv'
NOTICE [2024-Jan-31 23:21:22.968957] OREData/ored/report/csvreport.cpp:190 : CSV file report 'Output/flows.csv' closed.
NOTICE [2024-Jan-31 23:21:22.969958] OREAnalytics/orea/app/analyticsmanager.cpp:282 : report cashflow written to Output/flows.csv
...
NOTICE [2024-Jan-31 23:21:33.621540] OREAnalytics/orea/app/oreapp.cpp:263 : write npv cube cube
NOTICE [2024-Jan-31 23:21:33.622540] OREAnalytics/orea/app/oreapp.cpp:266 : write npv cube cube to file Output/cube.csv.gz
NOTICE [2024-Jan-31 23:21:37.761848] OREAnalytics/orea/app/oreapp.cpp:276 : write market cube scenariodata to file Output/scenariodata.csv.gz
WARNING [2024-Jan-31 23:21:45.835951] OREAnalytics/orea/app/oreapp.cpp:290 : 974475264|974471168
NOTICE [2024-Jan-31 23:21:45.835951] OREAnalytics/orea/app/oreapp.cpp:291 : ORE analytics done
NOTICE [2024-Jan-31 23:21:45.835951] OREAnalytics/orea/app/oreapp.cpp:397 : ORE done.