NOTICE [2024-Jan-31 23:26:28.691043] OREAnalytics/orea/app/parameters.cpp:133 : Parameters:
NOTICE [2024-Jan-31 23:26:28.694042] OREAnalytics/orea/app/parameters.cpp:136 : group = cashflow : active = Y
...
NOTICE [2024-Jan-31 23:26:28.780002] OREAnalytics/orea/app/oreapp.cpp:462 : buildInputParameters called
WARNING [2024-Jan-31 23:26:28.782000] OREAnalytics/orea/app/oreapp.cpp:484 : Calendar adjustments not found, using defaults
WARNING [2024-Jan-31 23:26:28.783000] OREAnalytics/orea/app/oreapp.cpp:495 : Currency configurations not found, using defaults
NOTICE [2024-Jan-31 23:26:28.784000] OREAnalytics/orea/app/oreapp.cpp:555 : Observation Mode is None
WARNING [2024-Jan-31 23:26:28.785999] OREAnalytics/orea/app/oreapp.cpp:568 : Reference data not found
WARNING [2024-Jan-31 23:26:28.786998] OREAnalytics/orea/app/oreapp.cpp:578 : Script library not loaded
NOTICE [2024-Jan-31 23:26:28.787998] OREAnalytics/orea/app/oreapp.cpp:583 : Loading conventions from file: Input/../../Input/conventions.xml
DEBUG [2024-Jan-31 23:26:28.793994] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-ZERO-CONVENTIONS
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DEBUG [2024-Jan-31 23:26:29.038850] OREData/ored/configuration/conventions.cpp:2449 : Building Convention GBP-USD-FX-CONVENTIONS
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DEBUG [2024-Jan-31 23:26:29.076829] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-USD-XCCY-BASIS-CONVENTIONS
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WARNING [2024-Jan-31 23:26:29.154784] OREAnalytics/orea/app/oreapp.cpp:594 : Using default Ibor fallback config
NOTICE [2024-Jan-31 23:26:29.155783] OREAnalytics/orea/app/oreapp.cpp:599 : Load curve configurations from file:
NOTICE [2024-Jan-31 23:26:29.160781] OREAnalytics/orea/app/oreapp.cpp:608 : Load pricing engine data from file: Input/../../Input/pricingengine.xml
DEBUG [2024-Jan-31 23:26:29.162779] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:26:29.164779] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:26:29.165778] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
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DEBUG [2024-Jan-31 23:26:29.177771] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
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DEBUG [2024-Jan-31 23:26:29.183767] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:26:29.185767] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
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DEBUG [2024-Jan-31 23:26:29.186768] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
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DEBUG [2024-Jan-31 23:26:29.193763] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:26:29.194762] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
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DEBUG [2024-Jan-31 23:26:29.197761] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:26:29.198760] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
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DEBUG [2024-Jan-31 23:26:29.209754] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
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DEBUG [2024-Jan-31 23:26:29.216751] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
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DEBUG [2024-Jan-31 23:26:29.219750] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:26:29.220749] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
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DEBUG [2024-Jan-31 23:26:29.229744] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=IndexCreditDefaultSwap paramName=Curve paramValue=Underlying
...
DEBUG [2024-Jan-31 23:26:29.234741] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=SyntheticCDO paramName=correlation paramValue=0.0
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DEBUG [2024-Jan-31 23:26:29.238736] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=SyntheticCDO engine=Bucketing
DEBUG [2024-Jan-31 23:26:29.239735] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=SyntheticCDO paramName=buckets paramValue=124
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DEBUG [2024-Jan-31 23:26:29.240735] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS model=LinearTSR
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DEBUG [2024-Jan-31 23:26:29.250732] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:26:29.251731] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
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DEBUG [2024-Jan-31 23:26:29.259726] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:26:29.260726] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
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DEBUG [2024-Jan-31 23:26:29.269721] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
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DEBUG [2024-Jan-31 23:26:29.271720] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:26:29.272719] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
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DEBUG [2024-Jan-31 23:26:29.277716] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BondOption paramName=TimestepPeriod paramValue=6M
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NOTICE [2024-Jan-31 23:26:29.281535] OREAnalytics/orea/app/oreapp.cpp:617 : Loading today's market parameters from fileInput/../../Input/todaysmarket.xml
DEBUG [2024-Jan-31 23:26:29.283617] OREData/ored/marketdata/todaysmarketparameters.cpp:322 : TodaysMarketParameters, add market objects of type YieldCurve: default BANK_EUR_BORROW Yield/EUR/BANK_EUR_BORROW
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WARNING [2024-Jan-31 23:26:29.354578] 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 23:26:29.359577] 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 23:26:29.393559] OREAnalytics/orea/app/inputparameters.cpp:143 : Loading portfolio from file: Input/portfolio.xml
DEBUG [2024-Jan-31 23:26:29.413304] OREData/ored/portfolio/portfolio.cpp:58 : Parsing trade id:SWAP_EUR
DEBUG [2024-Jan-31 23:26:29.415292] OREData/ored/portfolio/portfolio.cpp:68 : Added Trade SWAP_EUR (SWAP_EUR) type:Swap
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DEBUG [2024-Jan-31 23:26:29.458859] OREData/ored/portfolio/creditdefaultswapdata.cpp:451 : tryParseCdsInformation: attempting to parse BANK
DATA [2024-Jan-31 23:26:29.459908] OREData/ored/portfolio/creditdefaultswapdata.cpp:458 : String BANK not of form ID|TIER|CCY(|DOCCLAUSE) so parsing failed
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NOTICE [2024-Jan-31 23:26:29.461547] OREData/ored/portfolio/portfolio.cpp:95 : Finished Parsing XML doc
NOTICE [2024-Jan-31 23:26:29.462549] OREAnalytics/orea/app/oreapp.cpp:636 : MarketContext::fxcalibration = collateral_eur
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NOTICE [2024-Jan-31 23:26:29.466546] OREAnalytics/orea/app/oreapp.cpp:713 : Loading sensitivity scenario sim market parameters from fileInput/simulation.xml
DEBUG [2024-Jan-31 23:26:29.477718] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:699 : ScenarioSimMarketParameters::fromXML()
DEBUG [2024-Jan-31 23:26:29.478716] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:706 : Loading Currencies
DEBUG [2024-Jan-31 23:26:29.479715] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:710 : Loading BenchmarkCurve
DEBUG [2024-Jan-31 23:26:29.479715] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:723 : Loading YieldCurves
DEBUG [2024-Jan-31 23:26:29.480715] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse Y
WARNING [2024-Jan-31 23:26:29.481714] 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 23:26:29.482714] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:761 : Loading Libor indices
DEBUG [2024-Jan-31 23:26:29.483713] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:764 : Loading swap indices
DEBUG [2024-Jan-31 23:26:29.485702] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:775 : Loading FX Rates
DEBUG [2024-Jan-31 23:26:29.486702] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:804 : Loading SwaptionVolatilities
ALERT [2024-Jan-31 23:26:29.487700] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:816 : ScenarioSimMarketParameters: SwaptionVolatilities/Currencies is deprecated, use Keys instead.
DEBUG [2024-Jan-31 23:26:29.488699] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:922 : Loading YieldVolatilities
DEBUG [2024-Jan-31 23:26:29.489699] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:941 : Loading Correlations
DEBUG [2024-Jan-31 23:26:29.489699] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:970 : Loading CapFloorVolatilities
ALERT [2024-Jan-31 23:26:29.490698] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:985 : ScenarioSimMarketParameters: CapFloorVolatilities/Currencies is deprecated, use Keys instead.
DEBUG [2024-Jan-31 23:26:29.491698] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1076 : Loading YYCapFloorVolatilities
DEBUG [2024-Jan-31 23:26:29.492697] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1138 : Loading CPICapFloorVolatilities
DEBUG [2024-Jan-31 23:26:29.493697] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1201 : Loading DefaultCurves Rates
DEBUG [2024-Jan-31 23:26:29.494696] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1229 : Loading Equities Rates
DEBUG [2024-Jan-31 23:26:29.495695] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1242 : Loading CDSVolatilities Rates
DEBUG [2024-Jan-31 23:26:29.495695] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1270 : Loading FXVolatilities
DEBUG [2024-Jan-31 23:26:29.496695] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1339 : Loading EquityVolatilities
DEBUG [2024-Jan-31 23:26:29.497694] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1395 : No surface provided, all equity volatilities will be taken as ATM.
DEBUG [2024-Jan-31 23:26:29.498694] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1405 : Loading CpiInflationIndexCurves
DEBUG [2024-Jan-31 23:26:29.499693] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1408 : Loading ZeroInflationIndexCurves
DEBUG [2024-Jan-31 23:26:29.500693] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1415 : Loading YYInflationIndexCurves
DEBUG [2024-Jan-31 23:26:29.501692] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1423 : Loading AggregationScenarioDataIndices
DEBUG [2024-Jan-31 23:26:29.501692] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1428 : Loading AggregationScenarioDataCurrencies
DEBUG [2024-Jan-31 23:26:29.502691] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1434 : Loading Securities
DEBUG [2024-Jan-31 23:26:29.503691] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1444 : Loading CPRs
DEBUG [2024-Jan-31 23:26:29.504690] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1451 : Loading BaseCorrelations
DEBUG [2024-Jan-31 23:26:29.505690] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1461 : Loading commodities data
DEBUG [2024-Jan-31 23:26:29.506689] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1503 : Loading commodity volatility data
DEBUG [2024-Jan-31 23:26:29.506689] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1533 : Loading credit states data
DEBUG [2024-Jan-31 23:26:29.507688] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1540 : Loading AggregationScenarioDataCreditStates
DEBUG [2024-Jan-31 23:26:29.508688] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1547 : Loading AggregationScenarioDataSurvivalWeights
DEBUG [2024-Jan-31 23:26:29.509687] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1551 : Loaded ScenarioSimMarketParameters
NOTICE [2024-Jan-31 23:26:29.510687] OREAnalytics/orea/app/oreapp.cpp:722 : Load sensitivity scenario data from fileInput/sensitivity.xml
NOTICE [2024-Jan-31 23:26:29.520678] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:139 : Get discount curve sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.521823] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:145 : Discount curve for ccy EUR
...
NOTICE [2024-Jan-31 23:26:29.526327] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:152 : Get index curve sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.527329] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:164 : Get yield curve sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.528840] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:178 : Get dividend yield curve sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.528840] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:191 : Get FX spot sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.529852] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:203 : Get swaption vol sensitivity parameters
ALERT [2024-Jan-31 23:26:29.530851] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:213 : SensitivityData: attribute 'ccy' for SwaptionVolatilities is deprecated, use 'key' instead.
NOTICE [2024-Jan-31 23:26:29.531852] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:225 : Get yield vol sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.532850] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:242 : Get cap/floor vol sensitivity parameters
ALERT [2024-Jan-31 23:26:29.533849] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:252 : SensitivityData: attribute 'ccy' for CapFloorVolatilities is deprecated, use 'key' instead.
...
NOTICE [2024-Jan-31 23:26:29.534849] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:262 : Get fx vol sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.535848] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:274 : Get credit curve sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.536848] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:288 : Get cds vol sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.537848] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:301 : Get Base Correlation sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.538847] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:315 : Get Equity spot sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.539846] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:327 : Get Equity vol sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.540845] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:339 : Get Zero Inflation sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.540845] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:351 : Get Yoy Inflation sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.541845] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:363 : Get yoy inflation cap/floor vol sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.542844] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:375 : Get zero inflation cap/floor vol sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.543845] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:387 : Get commodity curve sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.544843] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:400 : Get commodity volatility sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.545842] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:419 : Get security spread sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.545842] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:431 : Get correlation sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.547843] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:447 : Get cross gamma parameters
NOTICE [2024-Jan-31 23:26:29.548841] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:457 : Get compute gamma flag
NOTICE [2024-Jan-31 23:26:29.549841] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:460 : Get useSpreadedTermStructures flag
DEBUG [2024-Jan-31 23:26:29.549841] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:466 : Get TwoSidedDeltaKeyTypes.
NOTICE [2024-Jan-31 23:26:29.550840] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:481 : Get discount curve parSensitivity parameters
NOTICE [2024-Jan-31 23:26:29.551839] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:493 : Get index curve parSensitivity parameters
NOTICE [2024-Jan-31 23:26:29.552839] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:505 : Get yield curve parSensitivity parameters
NOTICE [2024-Jan-31 23:26:29.553838] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:518 : Get cap/floor vol par sensitivity parameters
ALERT [2024-Jan-31 23:26:29.554837] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:528 : SensitivityData: attribute 'ccy' for CapFloorVolatilities is deprecated, use 'key' instead.
...
NOTICE [2024-Jan-31 23:26:29.555837] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:540 : Get credit curve parSensitivity parameters
NOTICE [2024-Jan-31 23:26:29.556836] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:552 : Get Zero Inflation parSensitivity parameters
NOTICE [2024-Jan-31 23:26:29.557836] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:564 : Get Yoy Inflation parSensitivity parameters
NOTICE [2024-Jan-31 23:26:29.558835] OREAnalytics/orea/scenario/sensitivityscenariodata.cpp:576 : Get Yoy cap/floor vol par sensitivity parameters
NOTICE [2024-Jan-31 23:26:29.559834] OREAnalytics/orea/app/oreapp.cpp:731 : Load pricing engine data from file: Input/../../Input/pricingengine.xml
DEBUG [2024-Jan-31 23:26:29.560835] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:26:29.561834] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:26:29.561834] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
...
DEBUG [2024-Jan-31 23:26:29.569829] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:26:29.573827] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:26:29.574826] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
...
DEBUG [2024-Jan-31 23:26:29.576814] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
...
DEBUG [2024-Jan-31 23:26:29.582821] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:26:29.583821] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
...
DEBUG [2024-Jan-31 23:26:29.587819] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:26:29.587819] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
...
DEBUG [2024-Jan-31 23:26:29.598812] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
...
DEBUG [2024-Jan-31 23:26:29.605808] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:26:29.608807] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:26:29.609806] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
...
DEBUG [2024-Jan-31 23:26:29.618790] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=IndexCreditDefaultSwap paramName=Curve paramValue=Underlying
...
DEBUG [2024-Jan-31 23:26:29.622788] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=SyntheticCDO paramName=correlation paramValue=0.0
...
DEBUG [2024-Jan-31 23:26:29.626785] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=SyntheticCDO engine=Bucketing
DEBUG [2024-Jan-31 23:26:29.627786] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=SyntheticCDO paramName=buckets paramValue=124
...
DEBUG [2024-Jan-31 23:26:29.629784] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS model=LinearTSR
...
DEBUG [2024-Jan-31 23:26:29.638779] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:26:29.639778] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:26:29.648776] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:26:29.648776] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:26:29.657771] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
...
DEBUG [2024-Jan-31 23:26:29.659767] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:26:29.660766] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
...
DEBUG [2024-Jan-31 23:26:29.665763] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BondOption paramName=TimestepPeriod paramValue=6M
...
NOTICE [2024-Jan-31 23:26:29.669761] OREAnalytics/orea/app/oreapp.cpp:755 : Loading stress test scenario sim market parameters from fileInput/simulation.xml
DEBUG [2024-Jan-31 23:26:29.670760] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:699 : ScenarioSimMarketParameters::fromXML()
DEBUG [2024-Jan-31 23:26:29.671760] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:706 : Loading Currencies
DEBUG [2024-Jan-31 23:26:29.671760] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:710 : Loading BenchmarkCurve
DEBUG [2024-Jan-31 23:26:29.672759] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:723 : Loading YieldCurves
DEBUG [2024-Jan-31 23:26:29.673759] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse Y
WARNING [2024-Jan-31 23:26:29.674758] 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 23:26:29.675758] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:761 : Loading Libor indices
DEBUG [2024-Jan-31 23:26:29.676757] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:764 : Loading swap indices
DEBUG [2024-Jan-31 23:26:29.677756] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:775 : Loading FX Rates
DEBUG [2024-Jan-31 23:26:29.678756] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:804 : Loading SwaptionVolatilities
ALERT [2024-Jan-31 23:26:29.678756] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:816 : ScenarioSimMarketParameters: SwaptionVolatilities/Currencies is deprecated, use Keys instead.
DEBUG [2024-Jan-31 23:26:29.679756] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:922 : Loading YieldVolatilities
DEBUG [2024-Jan-31 23:26:29.680755] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:941 : Loading Correlations
DEBUG [2024-Jan-31 23:26:29.681754] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:970 : Loading CapFloorVolatilities
ALERT [2024-Jan-31 23:26:29.682753] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:985 : ScenarioSimMarketParameters: CapFloorVolatilities/Currencies is deprecated, use Keys instead.
DEBUG [2024-Jan-31 23:26:29.683753] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1076 : Loading YYCapFloorVolatilities
DEBUG [2024-Jan-31 23:26:29.684752] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1138 : Loading CPICapFloorVolatilities
DEBUG [2024-Jan-31 23:26:29.684752] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1201 : Loading DefaultCurves Rates
DEBUG [2024-Jan-31 23:26:29.685752] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1229 : Loading Equities Rates
DEBUG [2024-Jan-31 23:26:29.686751] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1242 : Loading CDSVolatilities Rates
DEBUG [2024-Jan-31 23:26:29.687751] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1270 : Loading FXVolatilities
DEBUG [2024-Jan-31 23:26:29.688750] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1339 : Loading EquityVolatilities
DEBUG [2024-Jan-31 23:26:29.689749] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1395 : No surface provided, all equity volatilities will be taken as ATM.
DEBUG [2024-Jan-31 23:26:29.690749] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1405 : Loading CpiInflationIndexCurves
DEBUG [2024-Jan-31 23:26:29.691750] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1408 : Loading ZeroInflationIndexCurves
DEBUG [2024-Jan-31 23:26:29.694748] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1415 : Loading YYInflationIndexCurves
DEBUG [2024-Jan-31 23:26:29.695748] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1423 : Loading AggregationScenarioDataIndices
DEBUG [2024-Jan-31 23:26:29.696746] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1428 : Loading AggregationScenarioDataCurrencies
DEBUG [2024-Jan-31 23:26:29.697745] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1434 : Loading Securities
DEBUG [2024-Jan-31 23:26:29.698745] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1444 : Loading CPRs
DEBUG [2024-Jan-31 23:26:29.699745] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1451 : Loading BaseCorrelations
DEBUG [2024-Jan-31 23:26:29.700744] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1461 : Loading commodities data
DEBUG [2024-Jan-31 23:26:29.701743] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1503 : Loading commodity volatility data
DEBUG [2024-Jan-31 23:26:29.701743] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1533 : Loading credit states data
DEBUG [2024-Jan-31 23:26:29.702742] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1540 : Loading AggregationScenarioDataCreditStates
DEBUG [2024-Jan-31 23:26:29.703741] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1547 : Loading AggregationScenarioDataSurvivalWeights
DEBUG [2024-Jan-31 23:26:29.704741] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1551 : Loaded ScenarioSimMarketParameters
NOTICE [2024-Jan-31 23:26:29.705740] OREAnalytics/orea/app/oreapp.cpp:764 : Load stress test scenario data from fileInput/stresstest.xml
NOTICE [2024-Jan-31 23:26:29.716777] OREAnalytics/orea/scenario/stressscenariodata.cpp:42 : Load stress test label parallel_rates
NOTICE [2024-Jan-31 23:26:29.717760] OREAnalytics/orea/scenario/stressscenariodata.cpp:44 : Get recovery rate shift parameters
NOTICE [2024-Jan-31 23:26:29.718762] OREAnalytics/orea/scenario/stressscenariodata.cpp:57 : Get survival probability shift parameters
NOTICE [2024-Jan-31 23:26:29.719761] OREAnalytics/orea/scenario/stressscenariodata.cpp:75 : Get discount curve shift parameters
NOTICE [2024-Jan-31 23:26:29.719761] OREAnalytics/orea/scenario/stressscenariodata.cpp:82 : Loading stress parameters for discount curve for ccy EUR
...
NOTICE [2024-Jan-31 23:26:29.723758] OREAnalytics/orea/scenario/stressscenariodata.cpp:93 : Get index curve stress parameters
NOTICE [2024-Jan-31 23:26:29.724758] OREAnalytics/orea/scenario/stressscenariodata.cpp:100 : Loading stress parameters for index EUR-EURIBOR-6M
...
NOTICE [2024-Jan-31 23:26:29.732753] OREAnalytics/orea/scenario/stressscenariodata.cpp:112 : Get yield curve stress parameters
NOTICE [2024-Jan-31 23:26:29.732753] OREAnalytics/orea/scenario/stressscenariodata.cpp:119 : Loading stress parameters for yield curve BENCHMARK_EUR
NOTICE [2024-Jan-31 23:26:29.733753] OREAnalytics/orea/scenario/stressscenariodata.cpp:131 : Get FX spot stress parameters
NOTICE [2024-Jan-31 23:26:29.734752] OREAnalytics/orea/scenario/stressscenariodata.cpp:138 : Loading stress parameters for FX USDEUR
...
NOTICE [2024-Jan-31 23:26:29.737750] OREAnalytics/orea/scenario/stressscenariodata.cpp:145 : Get fx vol stress parameters
NOTICE [2024-Jan-31 23:26:29.738764] OREAnalytics/orea/scenario/stressscenariodata.cpp:152 : Loading stress parameters for FX vols USDEUR
...
NOTICE [2024-Jan-31 23:26:29.741760] OREAnalytics/orea/scenario/stressscenariodata.cpp:160 : Get Equity spot stress parameters
NOTICE [2024-Jan-31 23:26:29.742761] OREAnalytics/orea/scenario/stressscenariodata.cpp:167 : Loading stress parameters for Equity SP5
...
NOTICE [2024-Jan-31 23:26:29.744760] OREAnalytics/orea/scenario/stressscenariodata.cpp:174 : Get equity vol stress parameters
NOTICE [2024-Jan-31 23:26:29.744760] OREAnalytics/orea/scenario/stressscenariodata.cpp:181 : Loading stress parameters for Equity vols SP5
...
NOTICE [2024-Jan-31 23:26:29.746757] OREAnalytics/orea/scenario/stressscenariodata.cpp:189 : Get swaption vol stress parameters
NOTICE [2024-Jan-31 23:26:29.747756] OREAnalytics/orea/scenario/stressscenariodata.cpp:196 : Loading stress parameters for swaption vols EUR
NOTICE [2024-Jan-31 23:26:29.748755] OREAnalytics/orea/scenario/stressscenariodata.cpp:221 : Get cap/floor vol stress parameters
ALERT [2024-Jan-31 23:26:29.749755] OREAnalytics/orea/scenario/stressscenariodata.cpp:231 : StressScenarioData: 'ccy' is deprecated as an attribute for CapFloorVolatilities, use 'key' instead.
...
NOTICE [2024-Jan-31 23:26:29.750754] OREAnalytics/orea/scenario/stressscenariodata.cpp:241 : Get Security spread stress parameters
NOTICE [2024-Jan-31 23:26:29.751753] OREAnalytics/orea/scenario/stressscenariodata.cpp:257 : Loading stress test label parallel_rates done
NOTICE [2024-Jan-31 23:26:29.752753] OREAnalytics/orea/scenario/stressscenariodata.cpp:42 : Load stress test label twist
NOTICE [2024-Jan-31 23:26:29.753752] OREAnalytics/orea/scenario/stressscenariodata.cpp:44 : Get recovery rate shift parameters
NOTICE [2024-Jan-31 23:26:29.755751] OREAnalytics/orea/scenario/stressscenariodata.cpp:57 : Get survival probability shift parameters
NOTICE [2024-Jan-31 23:26:29.756751] OREAnalytics/orea/scenario/stressscenariodata.cpp:75 : Get discount curve shift parameters
NOTICE [2024-Jan-31 23:26:29.757750] OREAnalytics/orea/scenario/stressscenariodata.cpp:93 : Get index curve stress parameters
NOTICE [2024-Jan-31 23:26:29.758740] OREAnalytics/orea/scenario/stressscenariodata.cpp:112 : Get yield curve stress parameters
NOTICE [2024-Jan-31 23:26:29.759749] OREAnalytics/orea/scenario/stressscenariodata.cpp:119 : Loading stress parameters for yield curve BENCHMARK_EUR
NOTICE [2024-Jan-31 23:26:29.760750] OREAnalytics/orea/scenario/stressscenariodata.cpp:131 : Get FX spot stress parameters
NOTICE [2024-Jan-31 23:26:29.761748] OREAnalytics/orea/scenario/stressscenariodata.cpp:145 : Get fx vol stress parameters
NOTICE [2024-Jan-31 23:26:29.762748] OREAnalytics/orea/scenario/stressscenariodata.cpp:160 : Get Equity spot stress parameters
NOTICE [2024-Jan-31 23:26:29.762748] OREAnalytics/orea/scenario/stressscenariodata.cpp:174 : Get equity vol stress parameters
NOTICE [2024-Jan-31 23:26:29.763746] OREAnalytics/orea/scenario/stressscenariodata.cpp:189 : Get swaption vol stress parameters
NOTICE [2024-Jan-31 23:26:29.764746] OREAnalytics/orea/scenario/stressscenariodata.cpp:196 : Loading stress parameters for swaption vols EUR
NOTICE [2024-Jan-31 23:26:29.765746] OREAnalytics/orea/scenario/stressscenariodata.cpp:221 : Get cap/floor vol stress parameters
NOTICE [2024-Jan-31 23:26:29.766745] OREAnalytics/orea/scenario/stressscenariodata.cpp:241 : Get Security spread stress parameters
NOTICE [2024-Jan-31 23:26:29.767744] OREAnalytics/orea/scenario/stressscenariodata.cpp:257 : Loading stress test label twist done
NOTICE [2024-Jan-31 23:26:29.767744] OREAnalytics/orea/scenario/stressscenariodata.cpp:260 : Loading stress tests done
NOTICE [2024-Jan-31 23:26:29.768744] OREAnalytics/orea/app/oreapp.cpp:773 : Load pricing engine data from file: Input/../../Input/pricingengine.xml
DEBUG [2024-Jan-31 23:26:29.770618] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:26:29.771629] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:26:29.772628] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
...
DEBUG [2024-Jan-31 23:26:29.779625] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:26:29.783622] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:26:29.784621] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
...
DEBUG [2024-Jan-31 23:26:29.786610] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
...
DEBUG [2024-Jan-31 23:26:29.793605] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:26:29.793605] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
...
DEBUG [2024-Jan-31 23:26:29.797603] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:26:29.798602] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
...
DEBUG [2024-Jan-31 23:26:29.809607] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
...
DEBUG [2024-Jan-31 23:26:29.815603] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:26:29.819590] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:26:29.820590] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
...
DEBUG [2024-Jan-31 23:26:29.829584] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=IndexCreditDefaultSwap paramName=Curve paramValue=Underlying
...
DEBUG [2024-Jan-31 23:26:29.833582] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=SyntheticCDO paramName=correlation paramValue=0.0
...
DEBUG [2024-Jan-31 23:26:29.836591] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=SyntheticCDO engine=Bucketing
DEBUG [2024-Jan-31 23:26:29.837591] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=SyntheticCDO paramName=buckets paramValue=124
...
DEBUG [2024-Jan-31 23:26:29.839590] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS model=LinearTSR
...
DEBUG [2024-Jan-31 23:26:29.848585] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:26:29.849584] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:26:29.857580] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:26:29.858579] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:26:29.867566] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
...
DEBUG [2024-Jan-31 23:26:29.869565] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:26:29.870564] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
...
DEBUG [2024-Jan-31 23:26:29.875561] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BondOption paramName=TimestepPeriod paramValue=6M
...
NOTICE [2024-Jan-31 23:26:29.879559] OREAnalytics/orea/app/oreapp.cpp:1398 : buildInputParameters done
NOTICE [2024-Jan-31 23:26:29.879559] OREAnalytics/orea/app/inputparameters.cpp:463 : OutputFileNameMap called
NOTICE [2024-Jan-31 23:26:29.880558] OREAnalytics/orea/app/inputparameters.cpp:527 : OutputFileNameMap complete
NOTICE [2024-Jan-31 23:26:29.881555] OREAnalytics/orea/app/oreapp.cpp:221 : ORE analytics starting
WARNING [2024-Jan-31 23:26:29.882554] OREAnalytics/orea/app/oreapp.cpp:222 : 8818688|8814592
DEBUG [2024-Jan-31 23:26:29.883565] OREData/ored/marketdata/market.cpp:98 : Building default PseudoCurrencyMarketParameters
DEBUG [2024-Jan-31 23:26:29.884564] OREData/ored/marketdata/market.cpp:100 : PseudoCurrencyMarketParameters { TreatAsFX:True, BaseCurrency:}
...
WARNING [2024-Jan-31 23:26:29.887562] OREAnalytics/orea/app/oreapp.cpp:210 : dividend data file not found
NOTICE [2024-Jan-31 23:26:29.888562] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/market_20160205.txt
DATA [2024-Jan-31 23:26:29.889777] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum BMA_SWAP/RATIO/USD/3M/3M
...
WARNING [2024-Jan-31 23:26:30.147499] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum FRA/RATE/EUR/1M/6M - this is already present.
...
DATA [2024-Jan-31 23:26:30.154485] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum IR_SWAP/RATE/EUR/2D/6M/2Y
...
WARNING [2024-Jan-31 23:26:30.884783] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum FX_OPTION/RATE_LNVOL/EUR/USD/2M/25RR - this is already present.
...
DATA [2024-Jan-31 23:26:30.914766] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum SWAPTION/RATE_LNVOL/CHF/25Y/10Y/ATM
...
WARNING [2024-Jan-31 23:26:35.705472] 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 23:26:35.740452] 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 23:26:35.774430] 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 23:26:35.809256] 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 23:26:35.843239] 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 23:26:35.877219] 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 23:26:35.924191] 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 23:26:35.981158] 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 23:26:36.030176] 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 23:26:36.071152] 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 23:26:36.106133] 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 23:26:36.141112] 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 23:26:37.671669] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum RECOVERY_RATE/RATE/BANK/SR/USD - this is already present.
...
DATA [2024-Jan-31 23:26:37.691660] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum RECOVERY_RATE/RATE/CPTY_A/SR/EUR
...
WARNING [2024-Jan-31 23:26:37.702653] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum BOND/YIELD_SPREAD/SECURITY_1 - this is already present.
...
NOTICE [2024-Jan-31 23:26:37.769616] OREData/ored/marketdata/csvloader.cpp:166 : CSVLoader completed processing Input/../../Input/market_20160205.txt
NOTICE [2024-Jan-31 23:26:37.772613] OREData/ored/marketdata/csvloader.cpp:78 : CSVLoader loaded 7968 market data points for February 5th, 2016
NOTICE [2024-Jan-31 23:26:37.773614] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/fixings_20160205.txt
...
NOTICE [2024-Jan-31 23:26:37.801361] OREData/ored/marketdata/csvloader.cpp:83 : CSVLoader loaded 5452 fixings
NOTICE [2024-Jan-31 23:26:37.802361] OREData/ored/marketdata/csvloader.cpp:88 : CSVLoader loaded 0 dividends
NOTICE [2024-Jan-31 23:26:37.802361] OREData/ored/marketdata/csvloader.cpp:90 : CSVLoader complete.
NOTICE [2024-Jan-31 23:26:37.803360] OREAnalytics/orea/app/analyticsmanager.cpp:77 : register analytic with label 'MARKETDATA' and sub-analytics MARKETDATA
...
NOTICE [2024-Jan-31 23:26:37.806359] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:48 : XvaAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:26:37.809357] OREAnalytics/orea/app/analytics/scenariostatisticsanalytic.cpp:42 : ScenarioStatisticsAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:26:37.811348] 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 23:26:37.812347] OREAnalytics/orea/app/oreapp.cpp:242 : Requested analytics: CASHFLOW,NPV,SENSITIVITY,STRESS
NOTICE [2024-Jan-31 23:26:37.813344] OREAnalytics/orea/app/analyticsmanager.cpp:142 : AnalyticsManager::runAnalytics: requireMarketData Y
NOTICE [2024-Jan-31 23:26:37.814355] OREAnalytics/orea/app/analyticsmanager.cpp:147 : AnalyticsManager::runAnalytics: populate loader
NOTICE [2024-Jan-31 23:26:37.815354] OREAnalytics/orea/app/marketdatacsvloader.cpp:78 : MarketDataCsvLoader::retrieveFixings called: all fixings ? Y
NOTICE [2024-Jan-31 23:26:37.820351] OREAnalytics/orea/app/marketdataloader.cpp:264 : Adding the loaded fixings to the IndexManager
DATA [2024-Jan-31 23:26:37.821350] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:26:37.822350] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
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WARNING [2024-Jan-31 23:26:37.828346] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:26:37.829346] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
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WARNING [2024-Jan-31 23:26:37.837341] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:26:37.838340] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
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WARNING [2024-Jan-31 23:26:37.852332] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:26:37.854331] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
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WARNING [2024-Jan-31 23:26:38.155308] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:26:38.156307] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
WARNING [2024-Jan-31 23:26:38.463088] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:26:38.464087] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
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WARNING [2024-Jan-31 23:26:38.713891] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:26:38.714891] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
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WARNING [2024-Jan-31 23:26:38.964583] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:26:38.965583] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
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WARNING [2024-Jan-31 23:26:39.213189] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:26:39.214188] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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WARNING [2024-Jan-31 23:26:39.460909] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:26:39.461910] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
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DATA [2024-Jan-31 23:26:39.468906] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
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WARNING [2024-Jan-31 23:26:39.470904] 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)
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DATA [2024-Jan-31 23:26:39.720736] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
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DATA [2024-Jan-31 23:26:39.981387] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
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DATA [2024-Jan-31 23:26:40.246238] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:26:40.494129] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
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DATA [2024-Jan-31 23:26:40.777747] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
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DATA [2024-Jan-31 23:26:41.027607] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
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DATA [2024-Jan-31 23:26:41.275146] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
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DATA [2024-Jan-31 23:26:41.519257] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:26:41.766909] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
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DATA [2024-Jan-31 23:26:42.010615] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
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DATA [2024-Jan-31 23:26:42.026609] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
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DATA [2024-Jan-31 23:26:42.033379] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
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DATA [2024-Jan-31 23:26:42.277978] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
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DATA [2024-Jan-31 23:26:42.519859] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
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DATA [2024-Jan-31 23:26:42.766728] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:26:43.010366] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
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DATA [2024-Jan-31 23:26:43.253012] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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NOTICE [2024-Jan-31 23:26:43.262007] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 5.439983 seconds
NOTICE [2024-Jan-31 23:26:43.263007] OREAnalytics/orea/app/marketdataloader.cpp:268 : Generating market datum set
DEBUG [2024-Jan-31 23:26:43.264006] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
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WARNING [2024-Jan-31 23:26:43.614808] OREData/ored/configuration/capfloorvolcurveconfig.cpp:142 : CapFloorVolatilityCurveConfig (EUR_CF_N): The IborIndex node is deprecated, use Index instead.
DATA [2024-Jan-31 23:26:43.615808] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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WARNING [2024-Jan-31 23:26:43.623803] 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 23:26:43.625802] OREData/ored/configuration/inflationcapfloorvolcurveconfig.cpp:179 : ZC Inflation Cap/Floor Strike 0 = -0.02
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DEBUG [2024-Jan-31 23:26:43.653783] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
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NOTICE [2024-Jan-31 23:26:48.178733] OREAnalytics/orea/app/marketdataloader.cpp:286 : CurveConfigs require 2489 quotes
DATA [2024-Jan-31 23:26:48.180734] OREData/ored/marketdata/inmemoryloader.cpp:113 : Added MarketDatum BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/10Y
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NOTICE [2024-Jan-31 23:26:54.952576] OREAnalytics/orea/app/marketdataloader.cpp:293 : Got market data
NOTICE [2024-Jan-31 23:26:54.954575] OREAnalytics/orea/app/reportwriter.cpp:1324 : Writing MarketData report
NOTICE [2024-Jan-31 23:26:54.960572] OREAnalytics/orea/app/reportwriter.cpp:1363 : MarketData report written
NOTICE [2024-Jan-31 23:26:54.961571] OREAnalytics/orea/app/reportwriter.cpp:1368 : Writing Fixings report
NOTICE [2024-Jan-31 23:26:54.965569] OREAnalytics/orea/app/reportwriter.cpp:1377 : Fixings report written
NOTICE [2024-Jan-31 23:26:54.966568] OREAnalytics/orea/app/reportwriter.cpp:1382 : Writing Dividends report
NOTICE [2024-Jan-31 23:26:54.967568] OREAnalytics/orea/app/reportwriter.cpp:1394 : Dividends report written
NOTICE [2024-Jan-31 23:26:54.968567] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'PRICING'
WARNING [2024-Jan-31 23:26:54.968567] OREAnalytics/orea/app/analytic.cpp:83 : 33120256|33116160
NOTICE [2024-Jan-31 23:26:54.969566] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:26:54.970558] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
DATA [2024-Jan-31 23:26:54.972557] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:26:54.973556] 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 23:26:54.979550] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
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DATA [2024-Jan-31 23:26:54.986546] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
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DATA [2024-Jan-31 23:26:55.001540] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
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DATA [2024-Jan-31 23:26:55.257276] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
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DATA [2024-Jan-31 23:26:55.514386] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
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DATA [2024-Jan-31 23:26:55.770776] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
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DATA [2024-Jan-31 23:26:56.027465] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
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DATA [2024-Jan-31 23:26:56.284245] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:26:56.543349] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
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DATA [2024-Jan-31 23:26:56.550343] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
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DATA [2024-Jan-31 23:26:56.808998] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
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DATA [2024-Jan-31 23:26:57.061619] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
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DATA [2024-Jan-31 23:26:57.315342] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:26:57.567100] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
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DATA [2024-Jan-31 23:26:57.824720] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
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DATA [2024-Jan-31 23:26:58.076362] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
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DATA [2024-Jan-31 23:26:58.329222] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
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DATA [2024-Jan-31 23:26:58.581967] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:26:58.842589] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
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DATA [2024-Jan-31 23:26:59.096218] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
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DATA [2024-Jan-31 23:26:59.113205] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
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DATA [2024-Jan-31 23:26:59.120204] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
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DATA [2024-Jan-31 23:26:59.376925] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
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DATA [2024-Jan-31 23:26:59.630681] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
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DATA [2024-Jan-31 23:26:59.885305] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:27:00.151950] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
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DATA [2024-Jan-31 23:27:00.408603] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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NOTICE [2024-Jan-31 23:27:00.417599] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 5.445049 seconds
NOTICE [2024-Jan-31 23:27:00.418598] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:27:00.419597] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:27:00.420596] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:27:00.421596] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:27:00.421596] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFUSD
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NOTICE [2024-Jan-31 23:27:00.430591] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 10 quotes, 7 currencies.
NOTICE [2024-Jan-31 23:27:00.431590] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
DATA [2024-Jan-31 23:27:00.431590] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:27:00.510764] 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 23:27:00.559587] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-CMS-1Y
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DATA [2024-Jan-31 23:27:00.560587] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DATA [2024-Jan-31 23:27:00.561586] 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 23:27:00.562585] 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 23:27:00.565583] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DATA [2024-Jan-31 23:27:00.566583] 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 23:27:00.567583] 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 23:27:00.569581] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:27:00.571580] 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 23:27:00.573579] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DATA [2024-Jan-31 23:27:00.574578] 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 23:27:00.575577] 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 23:27:00.583573] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:27:00.584573] 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 23:27:00.587571] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DATA [2024-Jan-31 23:27:00.588570] 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 23:27:00.589570] 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 23:27:00.591568] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DATA [2024-Jan-31 23:27:00.592568] 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 23:27:00.593568] 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 23:27:00.598564] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:27:00.600556] 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)
...
DATA [2024-Jan-31 23:27:00.603561] 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 23:27:00.613546] 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 23:27:00.621551] 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 23:27:00.624550] 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 23:27:00.625549] 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 23:27:00.632545] 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 23:27:00.633544] 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 23:27:00.635543] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:27:00.636542] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:27:00.637542] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:27:00.722493] 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)
...
DATA [2024-Jan-31 23:27:00.761472] 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 23:27:00.762474] 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 23:27:00.782234] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:27:00.792227] 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 23:27:00.800223] 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 23:27:00.803221] 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 23:27:00.804221] 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 23:27:00.811216] 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 23:27:00.812216] 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 23:27:00.815214] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
NOTICE [2024-Jan-31 23:27:00.815214] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
DATA [2024-Jan-31 23:27:00.816214] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:27:00.897157] 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 23:27:00.944140] 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 23:27:00.945140] 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 23:27:00.964129] 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 23:27:00.974124] 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 23:27:00.983118] 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 23:27:00.985118] 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 23:27:00.986116] 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 23:27:00.994112] 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 23:27:00.994112] 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 23:27:00.997110] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:27:00.998110] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
DATA [2024-Jan-31 23:27:00.999109] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:27:01.078936] 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 23:27:01.124909] 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 23:27:01.125909] 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 23:27:01.145899] 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 23:27:01.155892] 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 23:27:01.163887] 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 23:27:01.166885] 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 23:27:01.167886] 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 23:27:01.174881] 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 23:27:01.175880] 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 23:27:01.177879] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:27:01.178879] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:27:01.179878] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:27:01.273829] 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 23:27:01.324806] 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 23:27:01.325806] 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 23:27:01.346795] 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 23:27:01.359775] 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 23:27:01.368772] 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 23:27:01.372789] 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 23:27:01.373779] 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 23:27:01.380774] 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 23:27:01.381773] 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 23:27:01.385762] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
NOTICE [2024-Jan-31 23:27:01.387763] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:27:01.388777] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:27:01.389762] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 5.45e+03 ms 1 5.45e+03 ms
...
NOTICE [2024-Jan-31 23:27:01.393767] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 6413.61 ms
NOTICE [2024-Jan-31 23:27:01.394766] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 6.423538 sec
NOTICE [2024-Jan-31 23:27:01.395766] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 23
NOTICE [2024-Jan-31 23:27:01.396757] OREAnalytics/orea/app/analytic.cpp:209 : Build the portfolio
NOTICE [2024-Jan-31 23:27:01.397756] OREAnalytics/orea/app/analytic.cpp:138 : Analytic::engineFactory() called
NOTICE [2024-Jan-31 23:27:01.398756] OREAnalytics/orea/app/analytic.cpp:148 : MarketContext::pricing = collateral_eur
NOTICE [2024-Jan-31 23:27:01.399755] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:27:01.401754] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 23 for context = 'analytic/PRICING'
DEBUG [2024-Jan-31 23:27:01.406372] OREData/ored/portfolio/swaption.cpp:65 : Swaption::build() for BERMUDAN_SWAPTION: build underlying swap
DEBUG [2024-Jan-31 23:27:01.407375] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade
DEBUG [2024-Jan-31 23:27:01.408373] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:01.409372] 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." } ] }
...
DATA [2024-Jan-31 23:27:01.410371] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:01.411371] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:27:01.413370] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:01.414369] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:27:01.414369] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:01.415369] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EONIA-CONVENTIONS
DATA [2024-Jan-31 23:27:01.416370] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:27:01.420368] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:27:01.427363] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
DEBUG [2024-Jan-31 23:27:01.433359] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
DEBUG [2024-Jan-31 23:27:01.435359] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:01.436359] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:27:01.437358] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:27:01.438374] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:01.439377] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR3M
DEBUG [2024-Jan-31 23:27:01.440366] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:01.441365] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EURIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:27:01.442364] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:27:01.443364] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:27:01.449361] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:01.450360] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:27:01.461353] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:27:01.482334] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:27:01.498321] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR3M built
DEBUG [2024-Jan-31 23:27:01.499321] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:01.500320] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration default
DATA [2024-Jan-31 23:27:01.501320] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:27:01.502319] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration default
DEBUG [2024-Jan-31 23:27:01.503318] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:27:01.504318] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:01.505317] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:01.508315] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:27:01.512314] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:01.513313] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:27:01.514312] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:27:01.515311] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:01.516311] 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 23:27:01.518310] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:01.518310] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:27:01.519309] OREData/ored/portfolio/swaption.cpp:73 : Swaption::build() for BERMUDAN_SWAPTION: build exercise
DEBUG [2024-Jan-31 23:27:01.523614] OREData/ored/portfolio/optiondata.cpp:165 : Got notice date 2028-10-01 using notice period 0D, convention Unadjusted, calendar Null from exercise date October 1st, 2028
...
DEBUG [2024-Jan-31 23:27:01.538179] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:01.539181] 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 23:27:01.540179] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:01.541179] OREData/ored/portfolio/swaption.cpp:156 : Swaption::build() for BERMUDAN_SWAPTION: type: isCrossCcy = false, isOis = false, isBma = false, isStandard = true
DEBUG [2024-Jan-31 23:27:01.547902] OREData/ored/portfolio/swaption.cpp:381 : found ibor / ois index 'Euribor3M Actual/360'
DEBUG [2024-Jan-31 23:27:01.548905] OREData/ored/portfolio/swaption.cpp:405 : calibration strike for ex date 2028-10-01 is 0.050000 (fixed rate 0.050000, spread 0.000000)
...
DEBUG [2024-Jan-31 23:27:01.563909] OREData/ored/portfolio/builders/swaption.cpp:209 : Building Bermudan Swaption engine for trade BERMUDAN_SWAPTION
DATA [2024-Jan-31 23:27:01.568856] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:27:01.569869] OREData/ored/portfolio/builders/swaption.cpp:87 : Get model data
DEBUG [2024-Jan-31 23:27:01.570867] OREData/ored/portfolio/builders/swaption.cpp:140 : Build LgmData for co-terminal specification
DEBUG [2024-Jan-31 23:27:01.571867] OREData/ored/portfolio/builders/swaption.cpp:156 : Calibrate piecewise alpha
DEBUG [2024-Jan-31 23:27:01.572867] OREData/ored/portfolio/builders/swaption.cpp:184 : Build LGM model
DATA [2024-Jan-31 23:27:01.573866] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
NOTICE [2024-Jan-31 23:27:01.574866] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier EUR-EURIBOR-3M (ccy=EUR), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:27:01.574866] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:27:01.575864] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:01.576864] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:27:01.577863] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:27:01.578863] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:27:01.579862] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:01.579862] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR-EURIBOR-3M) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:27:01.580861] OREData/ored/marketdata/todaysmarket.cpp:866 : not found, retry with default configuration
...
DEBUG [2024-Jan-31 23:27:01.582860] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:01.584860] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DATA [2024-Jan-31 23:27:01.586858] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:01.587846] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:27:01.593854] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DATA [2024-Jan-31 23:27:01.594853] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:27:01.594853] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:27:01.599851] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:27:01.600850] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:01.602849] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:01.605847] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:27:01.606847] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:27:01.607846] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:01.608846] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:27:01.608846] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:01.609845] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:27:01.610844] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:27:01.611844] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:01.612843] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:27:01.614842] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:27:01.629834] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:27:01.638829] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:27:01.639828] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:01.640827] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration collateral_inccy
DATA [2024-Jan-31 23:27:01.641826] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:27:01.642826] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:27:01.643826] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:27:01.644825] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:01.647823] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:27:01.649822] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:27:01.650822] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:27:01.651822] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (EUR) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:27:01.653820] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:27:01.654821] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:27:01.655819] 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 23:27:01.666813] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config EUR_SW_N
DEBUG [2024-Jan-31 23:27:01.667812] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:27:01.668812] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:27:01.669811] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:27:01.670803] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(EUR,SwaptionVolatility/EUR/EUR_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:27:01.671803] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:27:01.672801] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR-EURIBOR-3M) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:27:01.672801] OREData/ored/marketdata/todaysmarket.cpp:866 : not found, retry with default configuration
...
DEBUG [2024-Jan-31 23:27:01.674800] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:01.677798] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:01.678799] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:01.682793] OREData/ored/marketdata/todaysmarket.cpp:866 : not found, retry with default configuration
...
DEBUG [2024-Jan-31 23:27:01.684792] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:01.689789] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:01.692789] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:01.696785] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:27:01.698784] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:27:01.703792] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry October 1st, 2028 and term October 1st, 2038: vol=0.002, index=Euribor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:27:01.712776] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 12.663; 13.663; 14.663; 15.663; 16.6658 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:27:01.713775] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:27:01.714775] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for EUR-EURIBOR-3M: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:27:01.715774] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 5
DEBUG [2024-Jan-31 23:27:01.716774] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:27:01.716774] OREData/ored/portfolio/builders/swaption.cpp:192 : Calibrate model (configuration collateral_inccy)
DEBUG [2024-Jan-31 23:27:01.718774] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:01.719773] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:01.723772] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:01.724770] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:27:01.725770] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:27:01.726768] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:27:01.728769] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:01.736763] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:01.739760] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
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DATA [2024-Jan-31 23:27:01.746756] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:01.748755] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:01.758749] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.60491e-14
DEBUG [2024-Jan-31 23:27:01.759749] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:01.759749] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DEBUG [2024-Jan-31 23:27:01.760748] OREData/ored/portfolio/builders/swaption.cpp:213 : Get engine data
DEBUG [2024-Jan-31 23:27:01.761748] OREData/ored/portfolio/builders/swaption.cpp:220 : Build engine (configuration collateral_eur)
DATA [2024-Jan-31 23:27:01.762747] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:27:01.763746] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:01.764746] 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 23:27:01.767746] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:01.768745] OREData/ored/portfolio/swaption.cpp:426 : Swaption model calibration time: 0.210656 s
DEBUG [2024-Jan-31 23:27:01.771742] OREData/ored/portfolio/swaption.cpp:563 : Added leg with start date 2028-10-02 for exercise 2028-10-01
...
DEBUG [2024-Jan-31 23:27:01.783735] OREData/ored/portfolio/swaption.cpp:449 : Building Bermudan Swaption done
DATA [2024-Jan-31 23:27:01.785735] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade BERMUDAN_SWAPTION:
DATA [2024-Jan-31 23:27:01.793729] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:01.827710] OREData/ored/portfolio/bond.cpp:229 : Bond::build() called for trade BOND
DEBUG [2024-Jan-31 23:27:01.829638] OREData/ored/portfolio/bond.cpp:190 : could not get BondReferenceDatum for name SECURITY_1 leave data in trade unchanged
DEBUG [2024-Jan-31 23:27:01.830944] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:01.830944] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:01.834625] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BENCHMARK_EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:01.835627] 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(BENCHMARK_EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:01.837625] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:01.837625] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:01.839624] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:01.840623] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BENCHMARK_EUR
DEBUG [2024-Jan-31 23:27:01.841623] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-ZERO-CONVENTIONS-TENOR-BASED
DEBUG [2024-Jan-31 23:27:01.842622] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BENCHMARK_EUR built
DEBUG [2024-Jan-31 23:27:01.843622] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BENCHMARK_EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:01.843622] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BENCHMARK_EUR) with spec Yield/EUR/BENCHMARK_EUR to configuration default
DEBUG [2024-Jan-31 23:27:01.844621] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BENCHMARK_EUR,Yield/EUR/BENCHMARK_EUR) in configuration default
DEBUG [2024-Jan-31 23:27:01.845621] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:01.846620] 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 23:27:01.847619] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:01.848619] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BENCHMARK_EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:01.849618] 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(BENCHMARK_EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:01.850617] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:01.854615] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:01.855969] OREData/ored/utilities/marketdata.cpp:94 : Could not link SECURITY_1 to security specific credit curve __SECCRCRV_SECURITY_1_&_CPTY_C_&_ so just using CPTY_C default curve.
...
ALERT [2024-Jan-31 23:27:01.856970] 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_C)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:01.858969] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:01.859968] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #58: DefaultCurve(CPTY_C,Default/EUR/CPTY_C_SR_EUR) (not yet built)
DEBUG [2024-Jan-31 23:27:01.860969] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:27:01.860969] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_C_SR_EUR
DEBUG [2024-Jan-31 23:27:01.861967] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CDS-STANDARD-CONVENTIONS
NOTICE [2024-Jan-31 23:27:01.862967] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_C_SR_EUR
DATA [2024-Jan-31 23:27:01.863966] 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 23:27:01.864966] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_C_SR_EUR using 1 default quotes of 1 requested quotes.
NOTICE [2024-Jan-31 23:27:01.865965] OREData/ored/marketdata/defaultcurve.cpp:576 : DefaultCurve: add asof (February 5th, 2016), hazard rate 0, as not given
NOTICE [2024-Jan-31 23:27:01.866964] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:27:01.866964] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:27:01.867964] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_C_SR_EUR
DEBUG [2024-Jan-31 23:27:01.868964] 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 23:27:01.869974] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_C,Default/EUR/CPTY_C_SR_EUR) in configuration default
DEBUG [2024-Jan-31 23:27:01.870973] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:01.871964] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(SECURITY_1) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:01.872972] 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(SECURITY_1)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:01.873972] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:01.877969] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:01.878969] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #89: Securities(SECURITY_1,Security/SECURITY_1) (not yet built)
DEBUG [2024-Jan-31 23:27:01.880579] OREData/ored/marketdata/todaysmarket.cpp:711 : Building Securities for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:01.881737] OREData/ored/marketdata/todaysmarket.cpp:717 : Adding Security (SECURITY_1) with spec Security/SECURITY_1 to configuration default
DEBUG [2024-Jan-31 23:27:01.881737] OREData/ored/marketdata/todaysmarket.cpp:914 : built node Securities(SECURITY_1,Security/SECURITY_1) in configuration default
DEBUG [2024-Jan-31 23:27:01.882749] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:01.884506] OREData/ored/marketdata/todaysmarket.cpp:823 : market object Securities(SECURITY_1) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:01.884506] 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(SECURITY_1)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:01.886517] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:01.889013] OREData/ored/portfolio/bond.cpp:292 : Bond::build() finished for trade BOND
DATA [2024-Jan-31 23:27:01.889013] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade BOND:
DATA [2024-Jan-31 23:27:01.890026] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:27:01.891024] OREData/ored/portfolio/bond.cpp:229 : Bond::build() called for trade Bond_Floating
DEBUG [2024-Jan-31 23:27:01.892026] OREData/ored/portfolio/bond.cpp:190 : could not get BondReferenceDatum for name SECURITY_1 leave data in trade unchanged
DEBUG [2024-Jan-31 23:27:01.893024] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:01.894023] 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." } ] }
...
DATA [2024-Jan-31 23:27:01.895017] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:01.896022] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:01.898020] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DATA [2024-Jan-31 23:27:01.899020] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:27:01.900019] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:27:01.900019] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:01.901019] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:01.902019] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:01.905016] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:27:01.906015] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:01.907015] 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 23:27:01.909006] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:01.912004] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:01.915002] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:01.916002] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:01.918001] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:01.919000] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:01.921998] OREData/ored/marketdata/todaysmarket.cpp:453 : Building cap/floor volatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:01.922998] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:01.922998] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:27:01.925939] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:27:01.929845] OREData/ored/marketdata/capfloorvolcurve.cpp:1095 : Found 144 quotes for capfloor surface EUR_CF_N
DEBUG [2024-Jan-31 23:27:02.568017] OREData/ored/marketdata/capfloorvolcurve.cpp:1306 : Building calibration info for cap floor vols
DEBUG [2024-Jan-31 23:27:02.569017] OREData/ored/marketdata/capfloorvolcurve.cpp:1515 : Building calibration info cap floor vols completed.
DEBUG [2024-Jan-31 23:27:02.570016] OREData/ored/marketdata/todaysmarket.cpp:495 : Adding CapFloorVol (EUR) with spec CapFloorVolatility/EUR/EUR_CF_N to configuration default
DEBUG [2024-Jan-31 23:27:02.571016] OREData/ored/marketdata/todaysmarket.cpp:914 : built node CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) in configuration default
DEBUG [2024-Jan-31 23:27:02.572015] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:02.572015] OREData/ored/marketdata/todaysmarket.cpp:823 : market object CapFloorVol(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:02.573015] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:02.575014] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:02.578923] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DATA [2024-Jan-31 23:27:02.579923] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:02.581922] 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 23:27:02.582921] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:02.586919] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:02.587918] OREData/ored/utilities/marketdata.cpp:94 : Could not link SECURITY_1 to security specific credit curve __SECCRCRV_SECURITY_1_&_CPTY_C_&_ so just using CPTY_C default curve.
...
ALERT [2024-Jan-31 23:27:02.588919] 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_C)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:02.590917] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:02.593915] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:27:02.597912] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:02.601909] OREData/ored/portfolio/bond.cpp:292 : Bond::build() finished for trade Bond_Floating
DATA [2024-Jan-31 23:27:02.602911] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Bond_Floating:
DATA [2024-Jan-31 23:27:02.604908] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:02.614434] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade CAP_EUR, leg type is Floating
DEBUG [2024-Jan-31 23:27:02.615208] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:02.616210] 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 23:27:02.617209] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:02.622207] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:02.623206] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:02.626707] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CAP_EUR:
DATA [2024-Jan-31 23:27:02.628719] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:02.645710] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade CAP_USD, leg type is Floating
DEBUG [2024-Jan-31 23:27:02.646709] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:02.647708] 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 23:27:02.649707] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:02.650707] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (not yet built)
...
DEBUG [2024-Jan-31 23:27:02.652706] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:02.653705] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD1D
DEBUG [2024-Jan-31 23:27:02.653705] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-FED-FUNDS-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:02.654704] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-FED-FUNDS-CONVENTIONS
DATA [2024-Jan-31 23:27:02.655704] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:27:02.657703] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:27:02.663699] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:27:02.667697] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD1D built
DEBUG [2024-Jan-31 23:27:02.668686] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:02.669685] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration default
DATA [2024-Jan-31 23:27:02.670684] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:27:02.671684] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration default
DEBUG [2024-Jan-31 23:27:02.672683] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:02.673683] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD3M
DEBUG [2024-Jan-31 23:27:02.673683] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:02.674682] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:27:02.675682] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:27:02.676681] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:27:02.682678] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:02.685678] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:27:02.693675] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:27:02.711672] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 22 instruments
DEBUG [2024-Jan-31 23:27:02.723665] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD3M built
DEBUG [2024-Jan-31 23:27:02.724664] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:02.725664] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD3M to configuration default
DATA [2024-Jan-31 23:27:02.726663] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:27:02.727663] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration default
DEBUG [2024-Jan-31 23:27:02.728662] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:27:02.728662] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:02.729662] 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 23:27:02.731660] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:02.732653] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:02.733649] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:02.737646] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:27:02.738646] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:02.739645] 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 23:27:02.740644] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:02.741644] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:02.745641] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:02.746641] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-IN-EUR
DEBUG [2024-Jan-31 23:27:02.747640] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:02.748652] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:27:02.749650] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:27:02.750650] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:02.751649] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-USD-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:27:02.752649] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:02.770638] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:27:02.898414] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-IN-EUR built
DEBUG [2024-Jan-31 23:27:02.899414] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:02.900413] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:27:02.901414] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:27:02.902405] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:02.903415] OREData/ored/marketdata/todaysmarket.cpp:823 : market object CapFloorVol(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:02.904413] 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": "CapFloorVol(USD-LIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:02.905412] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:02.908409] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:02.910409] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:02.911408] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:02.912408] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:27:02.915407] OREData/ored/marketdata/todaysmarket.cpp:453 : Building cap/floor volatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:02.916404] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:02.916404] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:27:02.917405] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:02.921403] OREData/ored/marketdata/capfloorvolcurve.cpp:1095 : Found 228 quotes for capfloor surface USD_CF_N
DEBUG [2024-Jan-31 23:27:08.319726] OREData/ored/marketdata/capfloorvolcurve.cpp:1306 : Building calibration info for cap floor vols
DEBUG [2024-Jan-31 23:27:08.335355] OREData/ored/marketdata/capfloorvolcurve.cpp:1515 : Building calibration info cap floor vols completed.
DEBUG [2024-Jan-31 23:27:08.335355] OREData/ored/marketdata/todaysmarket.cpp:495 : Adding CapFloorVol (USD) with spec CapFloorVolatility/USD/USD_CF_N to configuration default
DEBUG [2024-Jan-31 23:27:08.335355] OREData/ored/marketdata/todaysmarket.cpp:914 : built node CapFloorVol(USD,CapFloorVolatility/USD/USD_CF_N) in configuration default
DEBUG [2024-Jan-31 23:27:08.335355] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:08.335355] OREData/ored/marketdata/todaysmarket.cpp:823 : market object CapFloorVol(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:08.335355] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.335355] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:08.335355] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CAP_USD:
DATA [2024-Jan-31 23:27:08.350966] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:08.382221] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CC_SWAP_EUR_USD
DEBUG [2024-Jan-31 23:27:08.382221] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:08.382221] 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-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:08.382221] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:08.382221] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:27:08.382221] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:08.382221] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD6M
DEBUG [2024-Jan-31 23:27:08.382221] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:08.382221] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:27:08.382221] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:27:08.397845] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:08.397845] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:27:08.397845] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "USD-LIBOR-3M-6M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:08.397845] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-3M-6M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:27:08.413469] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 21 instruments
DEBUG [2024-Jan-31 23:27:08.429093] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD6M built
DEBUG [2024-Jan-31 23:27:08.429093] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:08.429093] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-6M) with spec Yield/USD/USD6M to configuration default
DATA [2024-Jan-31 23:27:08.429093] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
DEBUG [2024-Jan-31 23:27:08.429093] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-6M,Yield/USD/USD6M) in configuration default
DEBUG [2024-Jan-31 23:27:08.444718] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:08.444718] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:08.444718] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:08.444718] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DEBUG [2024-Jan-31 23:27:08.444718] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:08.444718] 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 23:27:08.444718] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:08.444718] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:08.444718] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:08.460341] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
...
DEBUG [2024-Jan-31 23:27:08.460341] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+08 USD
DEBUG [2024-Jan-31 23:27:08.460341] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:27:08.460341] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(__XCCY__-USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:08.460341] 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(__XCCY__-USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.460341] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.460341] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:27:08.460341] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:27:08.460341] 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(__XCCY__-USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.460341] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.476606] OREData/ored/utilities/marketdata.cpp:57 : Could not link USD termstructure to cross currency yield curve __XCCY__-USD so just using USD discount curve.
...
ALERT [2024-Jan-31 23:27:08.478614] 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 23:27:08.481612] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:08.486599] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.487599] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:27:08.488599] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:27:08.490600] 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(__XCCY__-EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.491599] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.492598] OREData/ored/utilities/marketdata.cpp:57 : Could not link EUR termstructure to cross currency yield curve __XCCY__-EUR so just using EUR discount curve.
...
ALERT [2024-Jan-31 23:27:08.494597] 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 23:27:08.496596] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:27:08.497596] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(EURUSD): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
...
DATA [2024-Jan-31 23:27:08.501593] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
...
ALERT [2024-Jan-31 23:27:08.502592] 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(__XCCY__-USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.504591] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.505591] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:27:08.506590] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:27:08.508589] 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(__XCCY__-USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.509589] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.510588] OREData/ored/utilities/marketdata.cpp:57 : Could not link USD termstructure to cross currency yield curve __XCCY__-USD so just using USD discount curve.
...
ALERT [2024-Jan-31 23:27:08.512587] 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 23:27:08.514586] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:08.517584] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.518583] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:27:08.519583] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:27:08.520582] 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(__XCCY__-EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.522581] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.524443] OREData/ored/utilities/marketdata.cpp:57 : Could not link EUR termstructure to cross currency yield curve __XCCY__-EUR so just using EUR discount curve.
...
ALERT [2024-Jan-31 23:27:08.525444] 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 23:27:08.527442] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:08.529369] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:08.529369] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CC_SWAP_EUR_USD:
DATA [2024-Jan-31 23:27:08.534368] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:08.569359] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CC_SWAP_EUR_USD_RESET
DEBUG [2024-Jan-31 23:27:08.570359] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:08.570359] 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-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.572347] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:08.573346] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:08.574346] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:08.577344] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DEBUG [2024-Jan-31 23:27:08.581342] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:08.582341] 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 23:27:08.583340] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:08.584340] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:08.585339] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:08.588338] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
DATA [2024-Jan-31 23:27:08.591336] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(FX-ECB-USD-EUR): 2 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DEBUG [2024-Jan-31 23:27:08.591336] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:08.592335] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:08.595333] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
...
ALERT [2024-Jan-31 23:27:08.596333] 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(__XCCY__-EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.598332] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.599331] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:27:08.600331] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:27:08.602330] 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(__XCCY__-EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.603329] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.604329] OREData/ored/utilities/marketdata.cpp:57 : Could not link EUR termstructure to cross currency yield curve __XCCY__-EUR so just using EUR discount curve.
...
ALERT [2024-Jan-31 23:27:08.606327] 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 23:27:08.608326] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:08.611324] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.612324] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:27:08.613324] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:27:08.614323] 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(__XCCY__-USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.616322] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.617321] OREData/ored/utilities/marketdata.cpp:57 : Could not link USD termstructure to cross currency yield curve __XCCY__-USD so just using USD discount curve.
...
ALERT [2024-Jan-31 23:27:08.619320] 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 23:27:08.620319] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:27:08.621319] OREData/ored/portfolio/legbuilders.cpp:98 : Building FX Resettable with first domestic notional specified explicitly
DEBUG [2024-Jan-31 23:27:08.622705] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:08.624306] OREData/ored/portfolio/legdata.cpp:2723 : Building Resetting XCCY Notional leg
DATA [2024-Jan-31 23:27:08.625058] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
DEBUG [2024-Jan-31 23:27:08.626071] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(__XCCY__-EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:08.627069] 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(__XCCY__-EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.628069] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.629068] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:27:08.630068] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:27:08.632067] 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(__XCCY__-EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.633066] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.634065] OREData/ored/utilities/marketdata.cpp:57 : Could not link EUR termstructure to cross currency yield curve __XCCY__-EUR so just using EUR discount curve.
...
ALERT [2024-Jan-31 23:27:08.636065] 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 23:27:08.638064] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:08.641062] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.642061] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:27:08.643060] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:27:08.644060] 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(__XCCY__-USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.646059] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:08.647058] OREData/ored/utilities/marketdata.cpp:57 : Could not link USD termstructure to cross currency yield curve __XCCY__-USD so just using USD discount curve.
...
ALERT [2024-Jan-31 23:27:08.649057] 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 23:27:08.650057] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:08.652047] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+08 USD
DEBUG [2024-Jan-31 23:27:08.652047] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:27:08.653055] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:08.654055] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CC_SWAP_EUR_USD_RESET:
DATA [2024-Jan-31 23:27:08.662050] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:08.729012] OREData/ored/portfolio/creditdefaultswap.cpp:35 : CreditDefaultSwap::build() called for trade CDS
DEBUG [2024-Jan-31 23:27:08.731010] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:08.731999] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:08.734997] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:08.736000] 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 23:27:08.737998] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:08.742005] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:08.743003] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:27:08.745002] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:27:08.746002] OREData/ored/marketdata/defaultcurve.cpp:309 : Start building default curve of type SpreadCDS for curve BANK_SR_USD
NOTICE [2024-Jan-31 23:27:08.747002] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve BANK_SR_USD
DATA [2024-Jan-31 23:27:08.748001] 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 23:27:08.753997] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve BANK_SR_USD using 7 default quotes of 7 requested quotes.
DATA [2024-Jan-31 23:27:08.756986] OREData/ored/marketdata/defaultcurve.cpp:526 : 2016-12-20,0.985311623
...
DEBUG [2024-Jan-31 23:27:08.762992] OREData/ored/marketdata/defaultcurve.cpp:541 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:27:08.763992] OREData/ored/marketdata/defaultcurve.cpp:548 : Finished building default curve of type SpreadCDS for curve BANK_SR_USD
DEBUG [2024-Jan-31 23:27:08.764991] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (BANK) with spec Default/USD/BANK_SR_USD to configuration default
DEBUG [2024-Jan-31 23:27:08.765990] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(BANK,Default/USD/BANK_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:27:08.766989] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:08.767989] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BANK) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:08.767989] 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(BANK)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:08.769988] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:08.772986] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
ALERT [2024-Jan-31 23:27:08.775069] OREData/ored/portfolio/creditdefaultswap.cpp:152 : Credit reference data missing for entity BANK, isdaSubProduct left blank
DATA [2024-Jan-31 23:27:08.775069] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CDS:
DATA [2024-Jan-31 23:27:08.776081] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:27:08.777080] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CPI_Swap
DEBUG [2024-Jan-31 23:27:08.778932] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:08.778932] 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 23:27:08.780945] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:08.781944] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #19: IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) (not yet built)
...
DEBUG [2024-Jan-31 23:27:08.783940] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:08.784940] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP1D
DEBUG [2024-Jan-31 23:27:08.784940] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "GBP-OIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:08.785938] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-OIS-CONVENTIONS
DATA [2024-Jan-31 23:27:08.786938] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
...
DEBUG [2024-Jan-31 23:27:08.791935] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:27:08.799931] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP1D built
DEBUG [2024-Jan-31 23:27:08.800930] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:08.801929] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-SONIA) with spec Yield/GBP/GBP1D to configuration default
DATA [2024-Jan-31 23:27:08.802929] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:27:08.803928] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) in configuration default
DEBUG [2024-Jan-31 23:27:08.803928] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:08.804928] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP6M
DEBUG [2024-Jan-31 23:27:08.805927] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:27:08.806916] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-DEPOSIT
DEBUG [2024-Jan-31 23:27:08.807927] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:27:08.808926] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:27:08.816913] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "GBP-6M-FRA"
DEBUG [2024-Jan-31 23:27:08.817912] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-6M-FRA
...
DEBUG [2024-Jan-31 23:27:08.826916] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "GBP-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:27:08.848894] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 26 instruments
DEBUG [2024-Jan-31 23:27:08.861887] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP6M built
DEBUG [2024-Jan-31 23:27:08.862887] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:08.862887] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration default
DATA [2024-Jan-31 23:27:08.863886] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DEBUG [2024-Jan-31 23:27:08.864885] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration default
DEBUG [2024-Jan-31 23:27:08.865885] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:27:08.866884] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:08.867884] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:08.869883] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = GBP
DEBUG [2024-Jan-31 23:27:08.871889] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(UKRPI) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:08.872889] 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": "ZeroInflationCurve(UKRPI)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:08.873889] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:08.874889] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #19: IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) (already built)
...
DEBUG [2024-Jan-31 23:27:08.876887] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/UKRPI/UKRPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:08.877886] OREData/ored/configuration/conventions.cpp:2587 : Building Convention UKRPI_INFLATIONSWAP
DATA [2024-Jan-31 23:27:08.878886] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DEBUG [2024-Jan-31 23:27:08.886881] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (UKRPI) with spec Inflation/UKRPI/UKRPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:27:08.888880] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(UKRPI,Inflation/UKRPI/UKRPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:27:08.889881] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:08.891703] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:08.891703] 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 23:27:08.893714] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:08.894714] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:08.899711] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:08.900711] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP3M
DEBUG [2024-Jan-31 23:27:08.901710] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:27:08.902710] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:27:08.903710] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:27:08.909706] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "GBP-LIBOR-3M-6M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:08.910705] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-LIBOR-3M-6M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:27:08.924698] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 19 instruments
DEBUG [2024-Jan-31 23:27:08.955679] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP3M built
DEBUG [2024-Jan-31 23:27:08.956679] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:08.957679] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-3M) with spec Yield/GBP/GBP3M to configuration default
DATA [2024-Jan-31 23:27:08.958678] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
DEBUG [2024-Jan-31 23:27:08.958678] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) in configuration default
DEBUG [2024-Jan-31 23:27:08.959677] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:08.960665] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP-IN-EUR
DEBUG [2024-Jan-31 23:27:08.961677] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-GBP-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:08.962675] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:27:08.963675] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:27:08.964674] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-GBP-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:08.964674] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-GBP-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:27:08.965674] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:08.978666] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:27:09.000654] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP-IN-EUR built
DEBUG [2024-Jan-31 23:27:09.001654] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:09.002653] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:27:09.003652] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:27:09.004651] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:27:09.007221] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = GBP
DEBUG [2024-Jan-31 23:27:09.008234] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 GBP
DEBUG [2024-Jan-31 23:27:09.008234] OREData/ored/portfolio/swap.cpp:146 : npv currency is GBP
DEBUG [2024-Jan-31 23:27:09.009233] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.010233] 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 23:27:09.012231] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:09.013231] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:09.014270] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CPI_Swap:
DATA [2024-Jan-31 23:27:09.016958] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:09.034967] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.034967] 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": "EquityCurves(Lufthansa)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:09.036967] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:09.037967] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:09.039966] OREData/ored/marketdata/todaysmarket.cpp:644 : Building EquityCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:09.041316] OREData/ored/marketdata/equitycurve.cpp:223 : EquityCurve: read 4 quotes of type ForwardPrice
DEBUG [2024-Jan-31 23:27:09.042313] OREData/ored/marketdata/equitycurve.cpp:224 : EquityCurve: ignored 0 expired quotes.
DEBUG [2024-Jan-31 23:27:09.045505] OREData/ored/marketdata/todaysmarket.cpp:652 : Adding EquityCurve (Lufthansa) with spec Equity/EUR/Lufthansa to configuration default
DATA [2024-Jan-31 23:27:09.045505] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Lufthansa' <-> 'EQ-Lufthansa'
DEBUG [2024-Jan-31 23:27:09.046506] OREData/ored/marketdata/todaysmarket.cpp:914 : built node EquityCurves(Lufthansa,Equity/EUR/Lufthansa) in configuration default
DEBUG [2024-Jan-31 23:27:09.047505] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:09.048505] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.049504] 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": "EquityCurves(Lufthansa)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.051503] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:27:09.051503] OREData/ored/portfolio/equityoption.cpp:59 : Setting strike currency to payoff currency EUR for trade EQ_CALL_LUFT.
NOTICE [2024-Jan-31 23:27:09.053957] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade EQ_CALL_LUFT
NOTICE [2024-Jan-31 23:27:09.055491] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade EQ_CALL_LUFT
DEBUG [2024-Jan-31 23:27:09.056806] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityVols(Lufthansa) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.056806] 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": "EquityVols(Lufthansa)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:09.058818] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:09.059817] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
NOTICE [2024-Jan-31 23:27:09.062815] OREData/ored/marketdata/todaysmarket.cpp:671 : Building EquityVol for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:09.062815] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:09.063815] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:27:09.064814] OREData/ored/marketdata/equityvolcurve.cpp:66 : EquityVolCurve: start building equity volatility structure with ID Lufthansa
DEBUG [2024-Jan-31 23:27:09.066075] OREData/ored/marketdata/equityvolcurve.cpp:79 : EquityVolCurve: Attempting to build equity vol curve from volatilityConfig, 1 volatility configs provided.
DEBUG [2024-Jan-31 23:27:09.067536] OREData/ored/marketdata/equityvolcurve.cpp:169 : EquityVolCurve: start building 1-D volatility curve
DEBUG [2024-Jan-31 23:27:09.068640] OREData/ored/marketdata/equityvolcurve.cpp:221 : Have 1 explicit quotes
DATA [2024-Jan-31 23:27:09.068640] OREData/ored/marketdata/equityvolcurve.cpp:241 : Found the configured quote EQUITY_OPTION/RATE_LNVOL/Lufthansa/EUR/2016-06-15/ATMF
DATA [2024-Jan-31 23:27:09.069653] OREData/ored/marketdata/equityvolcurve.cpp:258 : Added quote EQUITY_OPTION/RATE_LNVOL/Lufthansa/EUR/2016-06-15/ATMF: (2016-06-15,0.300000000)
DATA [2024-Jan-31 23:27:09.071485] OREData/ored/marketdata/equityvolcurve.cpp:276 : Added data point (2016-06-15,0.300000000)
DEBUG [2024-Jan-31 23:27:09.071485] OREData/ored/marketdata/equityvolcurve.cpp:279 : Creating BlackVarianceCurve object.
DEBUG [2024-Jan-31 23:27:09.072497] OREData/ored/marketdata/equityvolcurve.cpp:296 : Interpolation Flat not recognised so leaving it Linear.
DEBUG [2024-Jan-31 23:27:09.073488] OREData/ored/marketdata/equityvolcurve.cpp:304 : Enabling BlackVarianceCurve flat volatility extrapolation.
DEBUG [2024-Jan-31 23:27:09.074497] OREData/ored/marketdata/equityvolcurve.cpp:318 : EquityVolCurve: finished building 1-D volatility curve
NOTICE [2024-Jan-31 23:27:09.075495] OREData/ored/marketdata/equityvolcurve.cpp:126 : EquityVolCurve: finished building equity volatility structure with ID Lufthansa
DEBUG [2024-Jan-31 23:27:09.076867] OREData/ored/marketdata/equityvolcurve.cpp:1083 : EquityVolCurve: Building calibration info for eq vol surface
DEBUG [2024-Jan-31 23:27:09.077879] OREData/ored/marketdata/equityvolcurve.cpp:1285 : EquityVolCurve: Building calibration info for eq vol surface completed.
DEBUG [2024-Jan-31 23:27:09.078879] OREData/ored/marketdata/todaysmarket.cpp:688 : Adding EquityVol (Lufthansa) with spec EquityVolatility/EUR/Lufthansa to configuration default
DEBUG [2024-Jan-31 23:27:09.079869] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:09.080871] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.084868] OREData/ored/marketdata/todaysmarket.cpp:914 : built node EquityVols(Lufthansa,EquityVolatility/EUR/Lufthansa) in configuration default
DEBUG [2024-Jan-31 23:27:09.085867] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
...
ALERT [2024-Jan-31 23:27:09.087866] 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": "EquityCurves(Lufthansa)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.088865] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:09.104396] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_CALL_LUFT:
DATA [2024-Jan-31 23:27:09.105395] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
ALERT [2024-Jan-31 23:27:09.107394] 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": "EquityCurves(SP5)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:09.108394] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:09.109392] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:27:09.111393] OREData/ored/marketdata/todaysmarket.cpp:644 : Building EquityCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:09.112391] OREData/ored/marketdata/equitycurve.cpp:210 : EquityCurve Dividend Yield found for quote: EQUITY_DIVIDEND/RATE/SP5/USD/20160915
...
DEBUG [2024-Jan-31 23:27:09.115389] OREData/ored/marketdata/equitycurve.cpp:223 : EquityCurve: read 4 quotes of type DividendYield
DEBUG [2024-Jan-31 23:27:09.116389] OREData/ored/marketdata/equitycurve.cpp:224 : EquityCurve: ignored 0 expired quotes.
DEBUG [2024-Jan-31 23:27:09.117388] OREData/ored/marketdata/equitycurve.cpp:391 : Building Equity Dividend Yield curve from Dividend Yield rates
DEBUG [2024-Jan-31 23:27:09.118388] OREData/ored/marketdata/todaysmarket.cpp:652 : Adding EquityCurve (SP5) with spec Equity/USD/SP5 to configuration default
DATA [2024-Jan-31 23:27:09.118388] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DEBUG [2024-Jan-31 23:27:09.119387] OREData/ored/marketdata/todaysmarket.cpp:914 : built node EquityCurves(SP5,Equity/USD/SP5) in configuration default
DEBUG [2024-Jan-31 23:27:09.120387] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:09.121386] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(SP5) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.122385] 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": "EquityCurves(SP5)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.124384] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:27:09.124384] OREData/ored/portfolio/equityoption.cpp:59 : Setting strike currency to payoff currency USD for trade EQ_CALL_SP5.
NOTICE [2024-Jan-31 23:27:09.125384] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade EQ_CALL_SP5
NOTICE [2024-Jan-31 23:27:09.126383] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade EQ_CALL_SP5
DEBUG [2024-Jan-31 23:27:09.127383] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityVols(SP5) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.128382] 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": "EquityVols(SP5)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:09.130381] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:09.130381] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
NOTICE [2024-Jan-31 23:27:09.136378] OREData/ored/marketdata/todaysmarket.cpp:671 : Building EquityVol for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:09.137377] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(SP5) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:09.138377] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:27:09.139375] OREData/ored/marketdata/equityvolcurve.cpp:66 : EquityVolCurve: start building equity volatility structure with ID SP5
DEBUG [2024-Jan-31 23:27:09.140365] OREData/ored/marketdata/equityvolcurve.cpp:79 : EquityVolCurve: Attempting to build equity vol curve from volatilityConfig, 1 volatility configs provided.
DEBUG [2024-Jan-31 23:27:09.141375] OREData/ored/marketdata/equityvolcurve.cpp:169 : EquityVolCurve: start building 1-D volatility curve
DEBUG [2024-Jan-31 23:27:09.141375] OREData/ored/marketdata/equityvolcurve.cpp:221 : Have 1 explicit quotes
DATA [2024-Jan-31 23:27:09.142374] OREData/ored/marketdata/equityvolcurve.cpp:241 : Found the configured quote EQUITY_OPTION/RATE_LNVOL/SP5/USD/6M/ATMF
DATA [2024-Jan-31 23:27:09.143374] OREData/ored/marketdata/equityvolcurve.cpp:258 : Added quote EQUITY_OPTION/RATE_LNVOL/SP5/USD/6M/ATMF: (2016-08-05,0.250000000)
DATA [2024-Jan-31 23:27:09.144373] OREData/ored/marketdata/equityvolcurve.cpp:276 : Added data point (2016-08-05,0.250000000)
DEBUG [2024-Jan-31 23:27:09.145372] OREData/ored/marketdata/equityvolcurve.cpp:279 : Creating BlackVarianceCurve object.
DEBUG [2024-Jan-31 23:27:09.146372] OREData/ored/marketdata/equityvolcurve.cpp:296 : Interpolation Flat not recognised so leaving it Linear.
DEBUG [2024-Jan-31 23:27:09.147371] OREData/ored/marketdata/equityvolcurve.cpp:304 : Enabling BlackVarianceCurve flat volatility extrapolation.
DEBUG [2024-Jan-31 23:27:09.147371] OREData/ored/marketdata/equityvolcurve.cpp:318 : EquityVolCurve: finished building 1-D volatility curve
NOTICE [2024-Jan-31 23:27:09.148370] OREData/ored/marketdata/equityvolcurve.cpp:126 : EquityVolCurve: finished building equity volatility structure with ID SP5
DEBUG [2024-Jan-31 23:27:09.149370] OREData/ored/marketdata/equityvolcurve.cpp:1083 : EquityVolCurve: Building calibration info for eq vol surface
DEBUG [2024-Jan-31 23:27:09.150369] OREData/ored/marketdata/equityvolcurve.cpp:1285 : EquityVolCurve: Building calibration info for eq vol surface completed.
DEBUG [2024-Jan-31 23:27:09.151369] OREData/ored/marketdata/todaysmarket.cpp:688 : Adding EquityVol (SP5) with spec EquityVolatility/USD/SP5 to configuration default
DEBUG [2024-Jan-31 23:27:09.152368] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(SP5) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:09.152368] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.157366] OREData/ored/marketdata/todaysmarket.cpp:914 : built node EquityVols(SP5,EquityVolatility/USD/SP5) in configuration default
DEBUG [2024-Jan-31 23:27:09.157366] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
...
ALERT [2024-Jan-31 23:27:09.159365] 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": "EquityCurves(SP5)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.161364] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:09.175355] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_CALL_SP5:
DATA [2024-Jan-31 23:27:09.176354] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
WARNING [2024-Jan-31 23:27:09.178354] OREData/ored/portfolio/equityforward.cpp:57 : No Strike Currency provide for trade EQ_FWD_LUFT, assuming trade currency EUR
...
ALERT [2024-Jan-31 23:27:09.181284] 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 23:27:09.183283] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:09.197267] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_FWD_LUFT:
DATA [2024-Jan-31 23:27:09.198266] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
ALERT [2024-Jan-31 23:27:09.201265] 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 23:27:09.217255] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_FWD_SP5:
DATA [2024-Jan-31 23:27:09.218255] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
ALERT [2024-Jan-31 23:27:09.220254] 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": "EquityCurves(Lufthansa)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.222253] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:09.226248] OREData/ored/portfolio/equityoption.cpp:59 : Setting strike currency to payoff currency EUR for trade EQ_PUT_LUFT.
NOTICE [2024-Jan-31 23:27:09.227247] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade EQ_PUT_LUFT
NOTICE [2024-Jan-31 23:27:09.228246] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade EQ_PUT_LUFT
DATA [2024-Jan-31 23:27:09.229246] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_PUT_LUFT:
DATA [2024-Jan-31 23:27:09.230246] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:27:09.230246] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(SP5) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.231245] 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": "EquityCurves(SP5)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.233244] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:09.237241] OREData/ored/portfolio/equityoption.cpp:59 : Setting strike currency to payoff currency USD for trade EQ_PUT_SP5.
NOTICE [2024-Jan-31 23:27:09.238241] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade EQ_PUT_SP5
NOTICE [2024-Jan-31 23:27:09.239244] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade EQ_PUT_SP5
DATA [2024-Jan-31 23:27:09.240243] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_PUT_SP5:
DATA [2024-Jan-31 23:27:09.241242] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:27:09.242241] OREData/ored/portfolio/swaption.cpp:65 : Swaption::build() for EUROPEAN_SWAPTION: build underlying swap
DEBUG [2024-Jan-31 23:27:09.243241] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade
DEBUG [2024-Jan-31 23:27:09.243241] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.244240] 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 23:27:09.246239] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:09.247238] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:09.248238] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:09.251236] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:27:09.255233] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:09.256231] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:27:09.257230] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:27:09.258231] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:27:09.259230] OREData/ored/portfolio/swaption.cpp:73 : Swaption::build() for EUROPEAN_SWAPTION: build exercise
DEBUG [2024-Jan-31 23:27:09.260229] OREData/ored/portfolio/optiondata.cpp:165 : Got notice date 2028-10-01 using notice period 0D, convention Unadjusted, calendar Null from exercise date October 1st, 2028
DEBUG [2024-Jan-31 23:27:09.260229] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.261228] 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 23:27:09.263227] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:09.264227] OREData/ored/portfolio/swaption.cpp:156 : Swaption::build() for EUROPEAN_SWAPTION: type: isCrossCcy = false, isOis = false, isBma = false, isStandard = true
DEBUG [2024-Jan-31 23:27:09.265226] OREData/ored/portfolio/swaption.cpp:304 : Building European Swaption EUROPEAN_SWAPTION
...
ALERT [2024-Jan-31 23:27:09.267225] 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 23:27:09.268225] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:27:09.270223] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
ALERT [2024-Jan-31 23:27:09.271998] 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 23:27:09.272997] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.277005] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.279003] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
ALERT [2024-Jan-31 23:27:09.281002] 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 23:27:09.283001] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:09.284001] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:27:09.289997] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration default
DATA [2024-Jan-31 23:27:09.290997] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:27:09.291996] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration default
...
DEBUG [2024-Jan-31 23:27:09.292996] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:09.293995] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:09.296993] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:09.298992] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:27:09.299991] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration default
...
DEBUG [2024-Jan-31 23:27:09.301990] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:09.302990] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:09.304989] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:27:09.307987] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:27:09.308986] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration default
DEBUG [2024-Jan-31 23:27:09.309986] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration default
...
DEBUG [2024-Jan-31 23:27:09.311985] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 4, error: 0
DEBUG [2024-Jan-31 23:27:09.311985] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.312984] 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 23:27:09.314983] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:27:09.315982] OREData/ored/portfolio/builders/swaption.cpp:71 : Build BachelierSwaptionEngine for currency EUR
DEBUG [2024-Jan-31 23:27:09.316982] OREData/ored/portfolio/swaption.cpp:343 : Building European Swaption done
DATA [2024-Jan-31 23:27:09.317982] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EUROPEAN_SWAPTION:
DATA [2024-Jan-31 23:27:09.321979] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:09.355949] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade FLOOR_EUR, leg type is Floating
DEBUG [2024-Jan-31 23:27:09.356948] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.357948] 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 23:27:09.359946] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.363944] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:09.364944] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:09.367953] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FLOOR_EUR:
DATA [2024-Jan-31 23:27:09.370951] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:09.387942] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade FLOOR_USD, leg type is Floating
DEBUG [2024-Jan-31 23:27:09.388941] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.389940] 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 23:27:09.391939] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.395936] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:09.396936] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:09.399934] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FLOOR_USD:
DATA [2024-Jan-31 23:27:09.403932] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:09.438696] OREData/ored/portfolio/fxforward.cpp:104 : Build FxForward with maturity date 2026-03-01 and pay date 2026-03-01
DEBUG [2024-Jan-31 23:27:09.440367] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.441380] 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 23:27:09.442378] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:09.448123] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FXFWD_EURUSD_10Y:
DATA [2024-Jan-31 23:27:09.448123] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
NOTICE [2024-Jan-31 23:27:09.449978] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade FX_CALL_OPTION
NOTICE [2024-Jan-31 23:27:09.449978] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to FxOption for trade FX_CALL_OPTION
DEBUG [2024-Jan-31 23:27:09.450979] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(EURUSD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.451978] 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(EURUSD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:09.453977] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:09.454976] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:09.456975] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:09.457975] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:27:09.458974] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:27:09.464971] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:27:09.465970] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:27:09.470967] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURUSD, assuming defaults
DATA [2024-Jan-31 23:27:09.472238] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
NOTICE [2024-Jan-31 23:27:09.473239] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:27:09.474239] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:27:09.475237] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/USD/EURUSD 1M 0.121699 0.00125789
...
DEBUG [2024-Jan-31 23:27:09.486230] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
DEBUG [2024-Jan-31 23:27:09.487229] OREData/ored/marketdata/fxvolcurve.cpp:1142 : Building calibration info for fx vol surface completed.
DEBUG [2024-Jan-31 23:27:09.488229] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURUSD) with spec FXVolatility/EUR/USD/EURUSD to configuration default
DEBUG [2024-Jan-31 23:27:09.489228] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURUSD,FXVolatility/EUR/USD/EURUSD) in configuration default
DEBUG [2024-Jan-31 23:27:09.489228] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:09.490228] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.491227] 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 23:27:09.493229] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:27:09.495228] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:27:09.496227] 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 23:27:09.506221] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FX_CALL_OPTION:
DATA [2024-Jan-31 23:27:09.506221] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
NOTICE [2024-Jan-31 23:27:09.507220] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade FX_PUT_OPTION
NOTICE [2024-Jan-31 23:27:09.508230] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to FxOption for trade FX_PUT_OPTION
...
DEBUG [2024-Jan-31 23:27:09.511227] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade SWAP_EUR
DEBUG [2024-Jan-31 23:27:09.512227] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:09.513226] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:09.515225] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
DEBUG [2024-Jan-31 23:27:09.516224] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.517223] 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 23:27:09.519222] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:09.520222] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:09.520222] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:09.523989] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:09.525001] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:27:09.525001] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:27:09.525999] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:09.526998] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade SWAP_EUR:
DATA [2024-Jan-31 23:27:09.530996] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:09.565968] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade YearOnYear_Swap
DEBUG [2024-Jan-31 23:27:09.565968] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.566967] 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 23:27:09.568966] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:09.569966] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:09.570965] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:09.573963] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
DEBUG [2024-Jan-31 23:27:09.573963] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YoYInflationCurve(EUHICPXT) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.574963] 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": "YoYInflationCurve(EUHICPXT)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:09.576961] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:09.577961] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:09.579960] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/EUHICPXT/EUHICPXT_YY_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:09.579960] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUHICPXT_INFLATIONSWAP
DATA [2024-Jan-31 23:27:09.580959] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
DEBUG [2024-Jan-31 23:27:09.590250] OREData/ored/marketdata/todaysmarket.cpp:593 : Adding YoYInflationIndex (EUHICPXT) with spec Inflation/EUHICPXT/EUHICPXT_YY_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:27:09.592248] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YoYInflationCurve(EUHICPXT,Inflation/EUHICPXT/EUHICPXT_YY_Swaps) in configuration default
DEBUG [2024-Jan-31 23:27:09.593248] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:09.594844] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.594844] 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 23:27:09.596845] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:09.598546] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:09.598546] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:27:09.599547] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:27:09.600546] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:09.601546] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade YearOnYear_Swap:
DATA [2024-Jan-31 23:27:09.604544] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:27:09.617537] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 23, size now 23, built 0 failed trades, context is analytic/PRICING
NOTICE [2024-Jan-31 23:27:09.618536] OREAnalytics/orea/app/analytic.cpp:218 : Filter trades that expire before February 5th, 2016
NOTICE [2024-Jan-31 23:27:09.620546] OREAnalytics/orea/app/reportwriter.cpp:154 : Writing cashflow report for February 5th, 2016
WARNING [2024-Jan-31 23:27:09.621546] OREAnalytics/orea/app/reportwriter.cpp:190 : cashflow for Swaption BERMUDAN_SWAPTION skipped
DEBUG [2024-Jan-31 23:27:09.624777] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:09.625790] 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 23:27:09.627788] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.630786] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.633784] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.635785] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.636783] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.644779] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.646777] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.648776] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.650766] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.657763] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.660761] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.662760] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.663759] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.670755] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.672754] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.674753] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.676752] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.687748] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.691741] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.692740] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.694739] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.701735] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.703734] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.705733] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.707732] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.714739] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.716737] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.718736] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.720735] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.727731] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.729730] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.731728] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.733727] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.739724] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.742722] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.744721] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.746709] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.752706] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.755704] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.757703] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.758702] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.765698] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.768696] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.770696] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.771695] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.778482] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.781491] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.783490] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.784489] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.791486] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.794485] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.796482] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.797482] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.804478] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.806477] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.808477] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.810464] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.817460] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.819459] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.821457] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.823456] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.830452] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.832451] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.834450] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.835449] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.842448] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.845446] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.847445] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.848445] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.855441] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.858437] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.860435] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.861435] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.868431] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.871429] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:09.872428] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.874428] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:09.883425] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
...
DATA [2024-Jan-31 23:27:09.887423] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
...
ALERT [2024-Jan-31 23:27:09.889422] 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": "CapFloorVol(USD-LIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.890421] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.893419] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:09.895418] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.896418] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.903413] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.906412] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:09.908411] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.909410] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.916406] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.919404] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:09.920404] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.922403] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.929398] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.932397] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:09.933396] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.936393] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.943388] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.945387] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:09.947386] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.949384] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.956380] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.959379] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:09.960378] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.962377] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.969373] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.971372] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:09.973371] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.975370] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.982366] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.984366] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:09.986364] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:09.988363] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:09.995369] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:09.997368] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:09.999367] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.001358] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.008354] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.010352] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.012351] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.014350] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.021183] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.024181] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.025181] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.027179] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.034175] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.037174] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.038174] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.040172] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.047168] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.049167] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.051166] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.053164] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.060160] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.062160] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.064147] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.066146] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.072143] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.075141] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.077140] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.078139] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.085135] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.088134] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.090133] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.091132] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.098128] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.101126] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.102126] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.104124] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.111120] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.114119] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.115118] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.117117] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.124113] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.127113] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.128113] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.130111] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.137107] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.139106] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.141105] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.143103] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.150098] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.152097] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.154096] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.156095] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.162091] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.165089] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.167088] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.168088] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.175085] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.178093] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.179092] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.181091] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.188087] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.190086] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.192077] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.194075] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.200072] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.203070] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.205069] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.206069] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.213065] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.216063] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.218062] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.219061] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.226057] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.229056] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.230055] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.232054] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.239058] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.242057] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.243056] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.245054] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.252051] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.254039] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.256037] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.258036] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.265032] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.267031] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.269875] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.270886] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.277880] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.280879] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.282878] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.283877] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.291862] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.294860] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.296859] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.297858] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.304855] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.307853] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.309851] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.310851] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.317859] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.320856] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.322855] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.323854] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.330839] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.333839] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.335837] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.336836] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.343832] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.346830] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.347830] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.349829] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.356825] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.358825] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.360822] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.362821] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.368818] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.371816] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.373815] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.374816] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.381823] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.384819] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.385819] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.387818] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:10.428846] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(GBPEUR): 0 / JoinHolidays(TARGET, UK settlement) from convention.
...
DATA [2024-Jan-31 23:27:10.432843] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'GBP' to 'EUR': GBP-EUR
...
ALERT [2024-Jan-31 23:27:10.434842] 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 23:27:10.436841] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
WARNING [2024-Jan-31 23:27:10.439141] OREAnalytics/orea/app/reportwriter.cpp:190 : cashflow for Swaption EUROPEAN_SWAPTION skipped
...
ALERT [2024-Jan-31 23:27:10.441153] 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 23:27:10.442153] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.446150] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.448149] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.450148] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.452147] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.458135] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.461143] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.463141] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.465139] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.471305] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.474313] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.476315] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.478311] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.484308] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.487306] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.489305] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.490305] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.497301] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.500299] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.501298] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.503297] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.510293] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.512292] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.514290] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.516290] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.522286] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.525031] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.527028] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.529028] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.535013] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.538023] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.540022] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.541023] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.548016] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.551014] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.552013] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.554012] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.561008] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.563007] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.565006] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.567004] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.573001] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.575999] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.577998] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.578998] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.585994] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.588981] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.590980] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.591980] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.598975] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.601974] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.603984] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.604983] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.611979] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.614977] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.615977] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.617976] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.624963] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.626970] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.628969] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.630968] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.636964] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.639963] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.641962] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.642961] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.649957] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.652956] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.653955] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.655954] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.662950] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.664949] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.666947] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.668947] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.674932] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.677941] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:27:10.679940] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.680940] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.695931] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.698929] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.700928] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.701927] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.708925] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.711922] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.712921] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.714920] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.721916] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.723904] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.725915] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.727912] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.733909] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.736907] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.738906] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.739906] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.746891] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.749889] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.751888] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.752887] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.759883] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.762894] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.764892] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.765891] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.772887] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.775886] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.777884] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.779675] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.785671] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.788670] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.789669] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.791657] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.798664] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.801665] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.802663] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.804661] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.811648] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.813647] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.815646] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.817645] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.824641] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.826648] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.828647] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.830645] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.836642] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.839640] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.841628] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.842639] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.849624] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.852633] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.853632] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.855631] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.862627] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.864626] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.866625] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.868623] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.874620] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.877618] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.879617] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.880617] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.887613] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.890600] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.892599] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.894598] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.901594] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.903593] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.905594] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.907593] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.913590] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.916588] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.918587] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.919586] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.926582] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.929580] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.931579] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.932579] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.939575] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.942573] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.943572] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.945571] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.952565] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.954564] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.956562] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.958561] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.965557] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.967556] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.969558] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.971556] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.977553] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.980551] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.982551] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.983550] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:10.990546] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:10.993544] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:10.995543] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:10.996542] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.003538] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.006536] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.007536] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.009535] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.016366] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.019363] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.021364] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.022363] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.029359] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.032357] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.034356] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.035355] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.042353] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.045350] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.046349] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.048348] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.055344] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.057343] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.059343] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.061340] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.067337] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.070335] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.072334] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.073334] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.080332] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.083330] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.085329] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.086328] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.093324] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.096323] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.097322] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.099321] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.106317] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.108316] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.110315] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.112313] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.119309] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.121308] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.123307] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.125306] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.132300] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.134299] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.136298] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.137297] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.144293] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.147291] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.149290] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.150290] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.157286] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.160284] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.161283] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.163282] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.170278] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.172277] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.174277] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.176276] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:11.182271] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:11.185279] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:27:11.187278] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:11.188278] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:27:11.214264] OREAnalytics/orea/app/reportwriter.cpp:596 : Cashflow report written
NOTICE [2024-Jan-31 23:27:11.216252] OREAnalytics/orea/app/reportwriter.cpp:81 : portfolio valuation
WARNING [2024-Jan-31 23:27:11.221180] OREData/ored/portfolio/swap.cpp:239 : swap engine does not provide current notional: currentNotional not provided, using fallback
...
NOTICE [2024-Jan-31 23:27:11.234184] OREAnalytics/orea/app/reportwriter.cpp:144 : NPV file written
NOTICE [2024-Jan-31 23:27:11.236172] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:107 : Write curves report
DEBUG [2024-Jan-31 23:27:11.237183] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 240
DEBUG [2024-Jan-31 23:27:11.238179] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:1M, Date:2016-03-07, Valuation:1, CloseOut:0
...
NOTICE [2024-Jan-31 23:27:11.457887] OREAnalytics/orea/app/reportwriter.cpp:662 : Write curves...
DEBUG [2024-Jan-31 23:27:11.458887] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - CHF
DEBUG [2024-Jan-31 23:27:11.459886] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'default'
DATA [2024-Jan-31 23:27:11.460885] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:11.461885] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (not yet built)
...
DEBUG [2024-Jan-31 23:27:11.465883] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:11.466882] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF1D
DEBUG [2024-Jan-31 23:27:11.467882] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-TOIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:11.467882] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-TOIS-CONVENTIONS
DATA [2024-Jan-31 23:27:11.468881] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
...
DEBUG [2024-Jan-31 23:27:11.470880] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "CHF-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:27:11.478080] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:27:11.483077] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF1D built
DEBUG [2024-Jan-31 23:27:11.484077] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:11.485076] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-TOIS) with spec Yield/CHF/CHF1D to configuration default
DATA [2024-Jan-31 23:27:11.486075] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:27:11.487075] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) in configuration default
DEBUG [2024-Jan-31 23:27:11.488074] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:11.488074] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF3M
DEBUG [2024-Jan-31 23:27:11.489074] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:11.491074] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:27:11.492072] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:27:11.493072] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:27:11.497069] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:11.498068] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:27:11.500067] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:27:11.513060] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:27:11.523925] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF3M built
DEBUG [2024-Jan-31 23:27:11.524924] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:11.524924] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-3M) with spec Yield/CHF/CHF3M to configuration default
DATA [2024-Jan-31 23:27:11.525923] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:27:11.526923] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) in configuration default
DEBUG [2024-Jan-31 23:27:11.527922] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:11.528921] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF-IN-EUR
DEBUG [2024-Jan-31 23:27:11.529921] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-CHF-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:11.530920] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:27:11.531920] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:27:11.531920] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-CHF-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:11.532919] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-CHF-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:27:11.533919] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:11.542914] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 10 instruments
DEBUG [2024-Jan-31 23:27:11.552907] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF-IN-EUR built
DEBUG [2024-Jan-31 23:27:11.553908] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:11.554907] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:27:11.554907] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:27:11.555907] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:27:11.556905] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - EUR
DEBUG [2024-Jan-31 23:27:11.557905] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:11.558904] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:11.563901] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:11.564900] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (not yet built)
...
DEBUG [2024-Jan-31 23:27:11.565900] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:11.566900] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY1D
DEBUG [2024-Jan-31 23:27:11.567899] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "JPY-OIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:11.568898] OREData/ored/configuration/conventions.cpp:2587 : Building Convention JPY-OIS-CONVENTIONS
DATA [2024-Jan-31 23:27:11.569898] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
...
DEBUG [2024-Jan-31 23:27:11.573897] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:27:11.580892] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY1D built
DEBUG [2024-Jan-31 23:27:11.581893] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:11.582892] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-TONAR) with spec Yield/JPY/JPY1D to configuration default
DATA [2024-Jan-31 23:27:11.583891] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
DEBUG [2024-Jan-31 23:27:11.584891] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) in configuration default
DEBUG [2024-Jan-31 23:27:11.584891] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:11.585890] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY6M
DEBUG [2024-Jan-31 23:27:11.586890] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "JPY-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:11.587889] OREData/ored/configuration/conventions.cpp:2587 : Building Convention JPY-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:27:11.588889] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY-LIBOR) failed: parseIborIndex "JPY-LIBOR" not recognized
DATA [2024-Jan-31 23:27:11.589888] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:27:11.595885] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "JPY-LIBOR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:27:11.612875] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 18 instruments
DEBUG [2024-Jan-31 23:27:11.620870] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY6M built
DEBUG [2024-Jan-31 23:27:11.621870] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:11.621870] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY6M to configuration default
DEBUG [2024-Jan-31 23:27:11.622869] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:27:11.623869] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:27:11.624868] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - USD
DEBUG [2024-Jan-31 23:27:11.625867] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:11.626867] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:11.626867] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BANK_EUR_BORROW
...
DATA [2024-Jan-31 23:27:11.628866] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:11.629865] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:11.631864] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:11.632863] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_BORROW
DEBUG [2024-Jan-31 23:27:11.632863] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_BORROW built
DEBUG [2024-Jan-31 23:27:11.633863] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_BORROW" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:11.634862] 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 23:27:11.635862] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) in configuration default
DEBUG [2024-Jan-31 23:27:11.636861] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:11.637860] 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 23:27:11.637860] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:11.638860] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_BORROW) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:11.639859] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:11.640859] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BANK_EUR_LEND
...
DATA [2024-Jan-31 23:27:11.642858] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:11.642858] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:11.644857] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:11.645856] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_LEND
DEBUG [2024-Jan-31 23:27:11.646855] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_LEND built
DEBUG [2024-Jan-31 23:27:11.647855] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_LEND" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:11.648854] 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 23:27:11.648854] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_LEND,Yield/EUR/BANK_EUR_LEND) in configuration default
DEBUG [2024-Jan-31 23:27:11.649853] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:11.650853] 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 23:27:11.651853] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:11.652852] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_LEND) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:11.653851] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:11.654851] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BENCHMARK_EUR
...
DEBUG [2024-Jan-31 23:27:11.656849] 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 23:27:11.657849] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
...
DEBUG [2024-Jan-31 23:27:11.659848] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BOND_YIELD_EUR
...
DATA [2024-Jan-31 23:27:11.661847] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:11.662846] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #8: YieldCurve(BOND_YIELD_EUR,Yield/EUR/BOND_YIELD_EUR) (not yet built)
DEBUG [2024-Jan-31 23:27:11.663846] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:11.664845] OREData/ored/marketdata/yieldcurve.cpp:255 : Building ZeroCurve Yield/EUR/BOND_YIELD_EUR
DEBUG [2024-Jan-31 23:27:11.665844] 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 23:27:11.666844] 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 23:27:11.667843] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BOND_YIELD_EUR built
DEBUG [2024-Jan-31 23:27:11.668843] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BOND_YIELD_EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:11.669842] 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 23:27:11.670842] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BOND_YIELD_EUR,Yield/EUR/BOND_YIELD_EUR) in configuration default
DEBUG [2024-Jan-31 23:27:11.671841] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:11.672840] 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 23:27:11.672840] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BOND_YIELD_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:11.673840] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BOND_YIELD_EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:11.674839] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:11.675839] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - CHF-LIBOR-3M
...
DATA [2024-Jan-31 23:27:11.679836] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:11.680836] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:27:11.683832] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:11.685833] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF6M
DEBUG [2024-Jan-31 23:27:11.686833] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:11.687830] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:27:11.688832] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:27:11.701824] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:11.701824] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:27:11.709820] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:27:11.725808] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:27:11.732805] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF6M built
DEBUG [2024-Jan-31 23:27:11.733806] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:11.734805] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-6M) with spec Yield/CHF/CHF6M to configuration default
DATA [2024-Jan-31 23:27:11.735804] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DEBUG [2024-Jan-31 23:27:11.736804] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M) in configuration default
DEBUG [2024-Jan-31 23:27:11.737803] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:11.738803] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - CHF-TOIS
DEBUG [2024-Jan-31 23:27:11.738803] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:11.739802] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:11.744800] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:11.745799] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:11.748797] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:11.749797] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR12M
DEBUG [2024-Jan-31 23:27:11.749797] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-DEPOSIT"
DEBUG [2024-Jan-31 23:27:11.750796] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-DEPOSIT
DEBUG [2024-Jan-31 23:27:11.751796] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:27:11.752795] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:27:11.775784] OREData/ored/marketdata/yieldcurve.cpp:1961 : Adding Segment Tenor Basis Two Swaps with conventions "EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:11.777576] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:27:11.784573] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:27:11.795566] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR12M built
DEBUG [2024-Jan-31 23:27:11.796565] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR12M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:11.796565] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-12M) with spec Yield/EUR/EUR12M to configuration default
DATA [2024-Jan-31 23:27:11.797564] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1Y Actual/360' <-> 'EUR-EURIBOR-12M'
DEBUG [2024-Jan-31 23:27:11.798564] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-12M,Yield/EUR/EUR12M) in configuration default
DEBUG [2024-Jan-31 23:27:11.799563] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:11.800562] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-EURIBOR-1M
DEBUG [2024-Jan-31 23:27:11.801562] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-1M) required for configuration 'default'
DATA [2024-Jan-31 23:27:11.802561] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:11.802561] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:11.804560] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:11.805560] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1M
DEBUG [2024-Jan-31 23:27:11.806559] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-DEPOSIT"
DEBUG [2024-Jan-31 23:27:11.807558] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:27:11.808558] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:27:11.810557] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-1M-SWAP-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:11.811556] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-1M-SWAP-CONVENTIONS
...
DEBUG [2024-Jan-31 23:27:11.845537] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:27:11.877519] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1M built
DEBUG [2024-Jan-31 23:27:11.878520] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:11.879519] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-1M) with spec Yield/EUR/EUR1M to configuration default
DATA [2024-Jan-31 23:27:11.880518] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
DEBUG [2024-Jan-31 23:27:11.881518] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-1M,Yield/EUR/EUR1M) in configuration default
DEBUG [2024-Jan-31 23:27:11.882517] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:11.882517] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-EURIBOR-3M
DEBUG [2024-Jan-31 23:27:11.883517] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:11.884516] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:11.897510] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:11.897510] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (already built)
...
DEBUG [2024-Jan-31 23:27:11.899509] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-LIBOR-6M) with spec Yield/JPY/JPY6M to configuration default
DATA [2024-Jan-31 23:27:11.900508] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DEBUG [2024-Jan-31 23:27:11.901508] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-LIBOR-6M,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:27:11.902507] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:11.903506] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - JPY-TONAR
DEBUG [2024-Jan-31 23:27:11.904506] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(JPY-TONAR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:11.904506] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:11.914500] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:11.915500] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:27:11.918498] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:11.919497] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USDBMA
DEBUG [2024-Jan-31 23:27:11.919497] OREData/ored/marketdata/yieldcurve.cpp:2044 : Adding Segment BMA Basis Swap with conventions "USD-LIBOR-SIFMA-3M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:27:11.920497] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-SIFMA-3M-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:27:11.921496] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:11.934488] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 16 instruments
DEBUG [2024-Jan-31 23:27:12.058171] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USDBMA built
DEBUG [2024-Jan-31 23:27:12.059163] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USDBMA" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:27:12.060172] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-SIFMA) with spec Yield/USD/USDBMA to configuration default
DATA [2024-Jan-31 23:27:12.061170] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
DEBUG [2024-Jan-31 23:27:12.062162] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-SIFMA,Yield/USD/USDBMA) in configuration default
DEBUG [2024-Jan-31 23:27:12.063161] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:12.064160] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - EUHICP
DEBUG [2024-Jan-31 23:27:12.065160] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(EUHICP) required for configuration 'default'
DATA [2024-Jan-31 23:27:12.066159] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:12.066159] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:12.068158] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/EUHICP/EUHICP_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:12.069157] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUHICP_INFLATIONSWAP
DATA [2024-Jan-31 23:27:12.070157] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
DEBUG [2024-Jan-31 23:27:12.076153] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (EUHICP) with spec Inflation/EUHICP/EUHICP_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:27:12.080149] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(EUHICP,Inflation/EUHICP/EUHICP_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:27:12.082148] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:12.083148] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - EUHICPXT
DEBUG [2024-Jan-31 23:27:12.084147] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(EUHICPXT) required for configuration 'default'
DATA [2024-Jan-31 23:27:12.086146] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:12.087145] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:12.091143] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/EUHICPXT/EUHICPXT_ZC_Swaps for asof February 5th, 2016
DATA [2024-Jan-31 23:27:12.094142] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
DEBUG [2024-Jan-31 23:27:12.102137] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (EUHICPXT) with spec Inflation/EUHICPXT/EUHICPXT_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:27:12.104135] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(EUHICPXT,Inflation/EUHICPXT/EUHICPXT_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:27:12.106134] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:12.107136] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - FRHICP
DEBUG [2024-Jan-31 23:27:12.108135] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(FRHICP) required for configuration 'default'
DATA [2024-Jan-31 23:27:12.109132] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:12.110135] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:12.112130] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/FRHICP/FRHICP_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:12.113130] OREData/ored/configuration/conventions.cpp:2587 : Building Convention FRHICP_INFLATIONSWAP
DATA [2024-Jan-31 23:27:12.114130] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DEBUG [2024-Jan-31 23:27:12.123125] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (FRHICP) with spec Inflation/FRHICP/FRHICP_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:27:12.124124] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(FRHICP,Inflation/FRHICP/FRHICP_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:27:12.125123] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:12.126123] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - UKRPI
DEBUG [2024-Jan-31 23:27:12.127122] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(UKRPI) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:12.128121] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:12.131119] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:12.131119] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:27:12.133118] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/USCPI/USCPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:12.134117] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USCPI_INFLATIONSWAP
DATA [2024-Jan-31 23:27:12.135117] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
...
DEBUG [2024-Jan-31 23:27:12.144111] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (USCPI) with spec Inflation/USCPI/USCPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:27:12.146111] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(USCPI,Inflation/USCPI/USCPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:27:12.147110] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:12.147110] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - ZACPI
DEBUG [2024-Jan-31 23:27:12.148110] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(ZACPI) required for configuration 'default'
DATA [2024-Jan-31 23:27:12.149109] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:12.150108] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:27:12.152107] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/ZACPI/ZACPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:12.153107] OREData/ored/configuration/conventions.cpp:2587 : Building Convention ZACPI_INFLATIONSWAP
DATA [2024-Jan-31 23:27:12.153107] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'South Africa CPI' <-> 'ZACPI'
...
DEBUG [2024-Jan-31 23:27:12.161103] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (ZACPI) with spec Inflation/ZACPI/ZACPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:27:12.163103] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(ZACPI,Inflation/ZACPI/ZACPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:27:12.164102] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:12.164102] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - BANK
DEBUG [2024-Jan-31 23:27:12.165102] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BANK) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:12.166101] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:12.169099] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:12.169099] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #8: YieldCurve(BOND_YIELD_EUR,Yield/EUR/BOND_YIELD_EUR) (already built)
...
DEBUG [2024-Jan-31 23:27:12.172097] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:27:12.173097] OREData/ored/marketdata/defaultcurve.cpp:611 : Start building default curve of type Benchmark for curve BOND_YIELD_EUR_OVER_OIS
NOTICE [2024-Jan-31 23:27:12.174096] OREData/ored/marketdata/defaultcurve.cpp:659 : DefaultCurve: set up interpolated surv prob curve as yield over benchmark
DEBUG [2024-Jan-31 23:27:12.175096] OREData/ored/marketdata/defaultcurve.cpp:667 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:27:12.175096] OREData/ored/marketdata/defaultcurve.cpp:673 : Finished building default curve of type Benchmark for curve BOND_YIELD_EUR_OVER_OIS
DEBUG [2024-Jan-31 23:27:12.176094] 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 23:27:12.177095] 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 23:27:12.178094] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:12.179093] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - CPTY_A
DEBUG [2024-Jan-31 23:27:12.180092] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_A) required for configuration 'default'
DATA [2024-Jan-31 23:27:12.181092] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:12.181092] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #56: DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) (not yet built)
DEBUG [2024-Jan-31 23:27:12.182091] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:27:12.183091] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_A_SR_USD
NOTICE [2024-Jan-31 23:27:12.184090] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_A_SR_USD
DATA [2024-Jan-31 23:27:12.185090] 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 23:27:12.198081] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_A_SR_USD using 11 default quotes of 11 requested quotes.
NOTICE [2024-Jan-31 23:27:12.199080] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:27:12.200080] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:27:12.201081] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_A_SR_USD
DEBUG [2024-Jan-31 23:27:12.202079] 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 23:27:12.203078] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:27:12.204078] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:12.205078] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - CPTY_B
DEBUG [2024-Jan-31 23:27:12.206077] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_B) required for configuration 'default'
DATA [2024-Jan-31 23:27:12.207076] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:12.208079] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #57: DefaultCurve(CPTY_B,Default/USD/CPTY_A_SR_USD) (not yet built)
DEBUG [2024-Jan-31 23:27:12.209077] 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 23:27:12.210074] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_B,Default/USD/CPTY_A_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:27:12.211074] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:12.212073] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - CPTY_C
DEBUG [2024-Jan-31 23:27:12.213073] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_C) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:12.215072] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:27:12.225066] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:160 : Sensi Analysis - Initialise
NOTICE [2024-Jan-31 23:27:12.226065] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:166 : Single-threaded sensi analysis
NOTICE [2024-Jan-31 23:27:12.227068] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:175 : Single-threaded sensi analysis created
NOTICE [2024-Jan-31 23:27:12.228068] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:209 : Sensi analysis - generate
NOTICE [2024-Jan-31 23:27:12.229066] OREAnalytics/orea/engine/sensitivityanalysis.cpp:89 : Build Sensitivity Scenario Generator and Simulation Market
NOTICE [2024-Jan-31 23:27:12.232062] OREAnalytics/orea/engine/sensitivityanalysis.cpp:577 : Initialise sim market for sensitivity analysis (continueOnError=true)
NOTICE [2024-Jan-31 23:27:12.233062] OREAnalytics/orea/scenario/scenariosimmarket.cpp:323 : building ScenarioSimMarket...
DEBUG [2024-Jan-31 23:27:12.235060] OREAnalytics/orea/scenario/scenariosimmarket.cpp:325 : AsOf 2016-02-05
DEBUG [2024-Jan-31 23:27:12.236060] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building CHF yield curve..
DEBUG [2024-Jan-31 23:27:12.237061] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.238058] 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 23:27:12.239058] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.240057] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve CHF discount[0]=1.0047
...
DEBUG [2024-Jan-31 23:27:12.250055] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building CHF yield curve done
DEBUG [2024-Jan-31 23:27:12.250055] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building EUR yield curve..
DEBUG [2024-Jan-31 23:27:12.251054] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.252054] 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 23:27:12.255049] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.256048] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve EUR discount[0]=1.0013
...
DEBUG [2024-Jan-31 23:27:12.269018] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building EUR yield curve done
DEBUG [2024-Jan-31 23:27:12.270020] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building GBP yield curve..
DEBUG [2024-Jan-31 23:27:12.270020] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.272016] 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 23:27:12.275015] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.276014] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve GBP discount[0]=0.996469
...
DEBUG [2024-Jan-31 23:27:12.286009] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building GBP yield curve done
DEBUG [2024-Jan-31 23:27:12.288008] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building JPY yield curve..
DEBUG [2024-Jan-31 23:27:12.289007] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.289007] 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 23:27:12.291005] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.292005] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve JPY discount[0]=1.00015
...
DEBUG [2024-Jan-31 23:27:12.305997] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building JPY yield curve done
DEBUG [2024-Jan-31 23:27:12.306997] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building USD yield curve..
DEBUG [2024-Jan-31 23:27:12.308996] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.311819] 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 23:27:12.314817] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.316816] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve USD discount[0]=0.995439
...
DEBUG [2024-Jan-31 23:27:12.332808] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building USD yield curve done
NOTICE [2024-Jan-31 23:27:12.334807] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built DiscountCurve 5 98.4 ms
DEBUG [2024-Jan-31 23:27:12.335806] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building BENCHMARK_EUR yield curve..
DEBUG [2024-Jan-31 23:27:12.337805] 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 23:27:12.338804] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:12.340803] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BENCHMARK_EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.341802] 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(BENCHMARK_EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:12.345801] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.346799] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve YieldCurve BENCHMARK_EUR discount[0]=1.0038
...
DEBUG [2024-Jan-31 23:27:12.362789] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building BENCHMARK_EUR yield curve done
NOTICE [2024-Jan-31 23:27:12.364788] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built YieldCurve 1 28.3 ms
DEBUG [2024-Jan-31 23:27:12.365787] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.366788] 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 23:27:12.369786] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:12.433750] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building USD-FedFunds index curve
...
ALERT [2024-Jan-31 23:27:12.435747] 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-FedFunds)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:12.437748] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.439746] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve USD-FedFunds discount[0]=0.997372
...
DEBUG [2024-Jan-31 23:27:12.450739] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building USD-FedFunds index curve done
DEBUG [2024-Jan-31 23:27:12.451738] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building JPY-TONAR index curve
DEBUG [2024-Jan-31 23:27:12.452738] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(JPY-TONAR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.454738] 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-TONAR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:12.457736] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.458736] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve JPY-TONAR discount[0]=1.0002
...
DEBUG [2024-Jan-31 23:27:12.469729] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building JPY-TONAR index curve done
DEBUG [2024-Jan-31 23:27:12.470728] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building GBP-SONIA index curve
DEBUG [2024-Jan-31 23:27:12.472030] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.474029] 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-SONIA)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:12.476028] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.477028] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve GBP-SONIA discount[0]=0.997289
...
DEBUG [2024-Jan-31 23:27:12.487022] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building GBP-SONIA index curve done
DEBUG [2024-Jan-31 23:27:12.488021] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EONIA index curve
DEBUG [2024-Jan-31 23:27:12.490020] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.491020] 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 23:27:12.494018] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.495017] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EONIA discount[0]=1.0013
...
DEBUG [2024-Jan-31 23:27:12.504012] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EONIA index curve done
DEBUG [2024-Jan-31 23:27:12.506011] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building CHF-TOIS index curve
DEBUG [2024-Jan-31 23:27:12.507010] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.509009] 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-TOIS)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:12.511008] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.512007] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve CHF-TOIS discount[0]=1.00454
...
DEBUG [2024-Jan-31 23:27:12.519964] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building CHF-TOIS index curve done
DEBUG [2024-Jan-31 23:27:12.520963] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building CHF-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:27:12.520963] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.521962] 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 23:27:12.523962] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.524962] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve CHF-LIBOR-6M discount[0]=1.0042
...
DEBUG [2024-Jan-31 23:27:12.535954] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building CHF-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:27:12.536953] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EURIBOR-3M index curve
DEBUG [2024-Jan-31 23:27:12.537953] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.537953] 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 23:27:12.539951] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.540951] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EURIBOR-3M discount[0]=1.00048
...
DEBUG [2024-Jan-31 23:27:12.551945] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EURIBOR-3M index curve done
DEBUG [2024-Jan-31 23:27:12.553943] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EURIBOR-6M index curve
DEBUG [2024-Jan-31 23:27:12.554943] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.556942] 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 23:27:12.559942] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.560942] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EURIBOR-6M discount[0]=0.999876
...
DEBUG [2024-Jan-31 23:27:12.568936] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EURIBOR-6M index curve done
DEBUG [2024-Jan-31 23:27:12.569935] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building GBP-LIBOR-3M index curve
DEBUG [2024-Jan-31 23:27:12.569935] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.570936] 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 23:27:12.572935] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.573935] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve GBP-LIBOR-3M discount[0]=0.996407
...
DEBUG [2024-Jan-31 23:27:12.581929] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building GBP-LIBOR-3M index curve done
DEBUG [2024-Jan-31 23:27:12.582928] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building GBP-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:27:12.583927] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.584927] 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 23:27:12.586926] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.586926] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve GBP-LIBOR-6M discount[0]=0.995559
...
DEBUG [2024-Jan-31 23:27:12.594923] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building GBP-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:27:12.596919] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building JPY-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:27:12.597918] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(JPY-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.598918] 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 23:27:12.599918] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.600917] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve JPY-LIBOR-6M discount[0]=1.00015
...
DEBUG [2024-Jan-31 23:27:12.608913] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building JPY-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:27:12.609912] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building USD-LIBOR-3M index curve
DEBUG [2024-Jan-31 23:27:12.610911] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.611910] 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 23:27:12.613912] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.614909] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve USD-LIBOR-3M discount[0]=0.99597
...
DEBUG [2024-Jan-31 23:27:12.621907] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building USD-LIBOR-3M index curve done
DEBUG [2024-Jan-31 23:27:12.622906] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building USD-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:27:12.623906] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.624906] 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-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:12.626904] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:12.627903] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve USD-LIBOR-6M discount[0]=0.995974
...
DEBUG [2024-Jan-31 23:27:12.634900] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building USD-LIBOR-6M index curve done
NOTICE [2024-Jan-31 23:27:12.635899] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built IndexCurve 13 271 ms
DEBUG [2024-Jan-31 23:27:12.636898] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building CHF swaption volatility curve...
DEBUG [2024-Jan-31 23:27:12.637898] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.638897] 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 23:27:12.640896] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:12.640896] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DATA [2024-Jan-31 23:27:12.646892] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:27:12.647893] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:12.648891] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:12.651889] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:12.653888] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-1Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:27:12.654888] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) in configuration default
...
DEBUG [2024-Jan-31 23:27:12.656887] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:12.657887] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:12.660883] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:27:12.662882] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-30Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:27:12.663881] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-30Y,CHF-TOIS) in configuration default
DEBUG [2024-Jan-31 23:27:12.664881] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (CHF) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:27:12.666879] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:27:12.667878] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:27:12.668878] 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 23:27:12.690866] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config CHF_SW_N
DEBUG [2024-Jan-31 23:27:12.692865] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:27:12.694864] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:27:12.695862] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (CHF) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration default
DEBUG [2024-Jan-31 23:27:12.697862] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) in configuration default
DEBUG [2024-Jan-31 23:27:12.699861] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:27:12.700860] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:12.702859] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:27:12.705857] 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 23:27:12.712854] 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 23:27:12.721848] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market CHF yield volatility type = Normal
NOTICE [2024-Jan-31 23:27:12.722847] OREAnalytics/orea/scenario/scenariosimmarket.cpp:656 : Simulating yield vols for ccy CHF
DEBUG [2024-Jan-31 23:27:12.730844] OREAnalytics/orea/scenario/scenariosimmarket.cpp:657 : YieldVol T0 source is atm : True
DEBUG [2024-Jan-31 23:27:12.733844] OREAnalytics/orea/scenario/scenariosimmarket.cpp:658 : YieldVol ssm target is cube : False
DEBUG [2024-Jan-31 23:27:12.734841] OREAnalytics/orea/scenario/scenariosimmarket.cpp:659 : YieldVol simulate atm only : False
DEBUG [2024-Jan-31 23:27:12.736839] OREAnalytics/orea/scenario/scenariosimmarket.cpp:695 : T0 ts is normal : True
DEBUG [2024-Jan-31 23:27:12.737840] OREAnalytics/orea/scenario/scenariosimmarket.cpp:697 : Have swaption vol : True
DEBUG [2024-Jan-31 23:27:12.738841] OREAnalytics/orea/scenario/scenariosimmarket.cpp:698 : Will convert to normal vol : False
DEBUG [2024-Jan-31 23:27:12.739841] OREAnalytics/orea/scenario/scenariosimmarket.cpp:752 : AtmVol at 6M/1Y is 0.007208, shift is 0, (name,index) = (CHF,0)
...
DEBUG [2024-Jan-31 23:27:12.866764] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market CHF yield volatility type = Normal
DEBUG [2024-Jan-31 23:27:12.867765] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building EUR swaption volatility curve...
DEBUG [2024-Jan-31 23:27:12.868763] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.869763] 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 23:27:12.870762] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:27:12.874760] 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 23:27:12.882756] 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 23:27:12.886753] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market EUR yield volatility type = Normal
NOTICE [2024-Jan-31 23:27:12.887752] OREAnalytics/orea/scenario/scenariosimmarket.cpp:656 : Simulating yield vols for ccy EUR
DEBUG [2024-Jan-31 23:27:12.888752] OREAnalytics/orea/scenario/scenariosimmarket.cpp:657 : YieldVol T0 source is atm : True
DEBUG [2024-Jan-31 23:27:12.889752] OREAnalytics/orea/scenario/scenariosimmarket.cpp:658 : YieldVol ssm target is cube : False
DEBUG [2024-Jan-31 23:27:12.890751] OREAnalytics/orea/scenario/scenariosimmarket.cpp:659 : YieldVol simulate atm only : False
DEBUG [2024-Jan-31 23:27:12.891750] OREAnalytics/orea/scenario/scenariosimmarket.cpp:695 : T0 ts is normal : True
DEBUG [2024-Jan-31 23:27:12.891750] OREAnalytics/orea/scenario/scenariosimmarket.cpp:697 : Have swaption vol : True
DEBUG [2024-Jan-31 23:27:12.895754] OREAnalytics/orea/scenario/scenariosimmarket.cpp:698 : Will convert to normal vol : False
DEBUG [2024-Jan-31 23:27:12.896750] OREAnalytics/orea/scenario/scenariosimmarket.cpp:752 : AtmVol at 6M/1Y is 0.003343, shift is 0, (name,index) = (EUR,0)
...
DEBUG [2024-Jan-31 23:27:12.990693] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market EUR yield volatility type = Normal
DEBUG [2024-Jan-31 23:27:12.991693] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building GBP swaption volatility curve...
DEBUG [2024-Jan-31 23:27:12.992692] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:12.996693] 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 23:27:12.998689] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:12.998689] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #19: IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) (already built)
...
DATA [2024-Jan-31 23:27:13.004686] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:27:13.004686] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:13.005685] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:13.008683] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:13.014680] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-1Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:27:13.015679] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-1Y,GBP-SONIA) in configuration default
...
DEBUG [2024-Jan-31 23:27:13.017678] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:13.017678] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:13.020676] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:27:13.023675] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-30Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:27:13.023675] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) in configuration default
DEBUG [2024-Jan-31 23:27:13.025427] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (GBP) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:27:13.029430] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:27:13.030427] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:27:13.031426] 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 23:27:13.046420] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config GBP_SW_N
DEBUG [2024-Jan-31 23:27:13.047416] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:27:13.048415] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:27:13.049413] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (GBP) with spec SwaptionVolatility/GBP/GBP_SW_N to configuration default
DEBUG [2024-Jan-31 23:27:13.050413] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(GBP,SwaptionVolatility/GBP/GBP_SW_N) in configuration default
DEBUG [2024-Jan-31 23:27:13.051412] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:27:13.051412] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:13.052412] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:27:13.054410] 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 23:27:13.059407] 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 23:27:13.067403] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market GBP yield volatility type = ShiftedLognormal
NOTICE [2024-Jan-31 23:27:13.068402] OREAnalytics/orea/scenario/scenariosimmarket.cpp:656 : Simulating yield vols for ccy GBP
DEBUG [2024-Jan-31 23:27:13.069402] OREAnalytics/orea/scenario/scenariosimmarket.cpp:657 : YieldVol T0 source is atm : True
DEBUG [2024-Jan-31 23:27:13.069402] OREAnalytics/orea/scenario/scenariosimmarket.cpp:658 : YieldVol ssm target is cube : False
DEBUG [2024-Jan-31 23:27:13.070401] OREAnalytics/orea/scenario/scenariosimmarket.cpp:659 : YieldVol simulate atm only : False
DEBUG [2024-Jan-31 23:27:13.071401] OREAnalytics/orea/scenario/scenariosimmarket.cpp:695 : T0 ts is normal : False
DEBUG [2024-Jan-31 23:27:13.072400] OREAnalytics/orea/scenario/scenariosimmarket.cpp:697 : Have swaption vol : True
DEBUG [2024-Jan-31 23:27:13.073401] OREAnalytics/orea/scenario/scenariosimmarket.cpp:698 : Will convert to normal vol : True
DEBUG [2024-Jan-31 23:27:13.074399] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwapIndexCurve(GBP-CMS-30Y) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:13.075398] 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": "SwapIndexCurve(GBP-CMS-30Y)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:13.079400] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:13.085643] OREAnalytics/orea/scenario/scenariosimmarket.cpp:752 : AtmVol at 6M/1Y is 0.0060648, shift is 0, (name,index) = (GBP,0)
...
DEBUG [2024-Jan-31 23:27:13.272539] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market GBP yield volatility type = Normal
DEBUG [2024-Jan-31 23:27:13.273538] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building JPY swaption volatility curve...
DEBUG [2024-Jan-31 23:27:13.275537] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:13.276537] 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 23:27:13.279535] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:13.281534] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:27:13.289529] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (JPY) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration default
DEBUG [2024-Jan-31 23:27:13.290528] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(JPY,SwaptionVolatility/CHF/CHF_SW_N) in configuration default
DEBUG [2024-Jan-31 23:27:13.292527] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:13.293526] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:13.295525] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:27:13.298524] 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 23:27:13.306519] 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 23:27:13.313515] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market JPY yield volatility type = Normal
NOTICE [2024-Jan-31 23:27:13.314514] OREAnalytics/orea/scenario/scenariosimmarket.cpp:656 : Simulating yield vols for ccy JPY
DEBUG [2024-Jan-31 23:27:13.315514] OREAnalytics/orea/scenario/scenariosimmarket.cpp:657 : YieldVol T0 source is atm : True
DEBUG [2024-Jan-31 23:27:13.317513] OREAnalytics/orea/scenario/scenariosimmarket.cpp:658 : YieldVol ssm target is cube : False
DEBUG [2024-Jan-31 23:27:13.318512] OREAnalytics/orea/scenario/scenariosimmarket.cpp:659 : YieldVol simulate atm only : False
DEBUG [2024-Jan-31 23:27:13.319514] OREAnalytics/orea/scenario/scenariosimmarket.cpp:695 : T0 ts is normal : True
DEBUG [2024-Jan-31 23:27:13.320512] OREAnalytics/orea/scenario/scenariosimmarket.cpp:697 : Have swaption vol : True
DEBUG [2024-Jan-31 23:27:13.320512] OREAnalytics/orea/scenario/scenariosimmarket.cpp:698 : Will convert to normal vol : False
DEBUG [2024-Jan-31 23:27:13.321511] OREAnalytics/orea/scenario/scenariosimmarket.cpp:752 : AtmVol at 6M/1Y is 0.007208, shift is 0, (name,index) = (JPY,0)
...
DEBUG [2024-Jan-31 23:27:13.401464] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market JPY yield volatility type = Normal
DEBUG [2024-Jan-31 23:27:13.402464] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building USD swaption volatility curve...
DEBUG [2024-Jan-31 23:27:13.403464] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:13.404463] 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 23:27:13.406462] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:13.407462] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DATA [2024-Jan-31 23:27:13.411459] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:27:13.412458] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:13.413457] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:13.415457] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:13.418455] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-1Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:27:13.419454] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) in configuration default
...
DEBUG [2024-Jan-31 23:27:13.421454] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:13.422455] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:13.424452] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:27:13.427451] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-30Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:27:13.428450] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-30Y,USD-FedFunds) in configuration default
DEBUG [2024-Jan-31 23:27:13.429450] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (USD) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:27:13.430449] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:27:13.432448] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:27:13.433447] 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 23:27:13.445439] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config USD_SW_N
DEBUG [2024-Jan-31 23:27:13.446439] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:27:13.447438] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:27:13.448438] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (USD) with spec SwaptionVolatility/USD/USD_SW_N to configuration default
DEBUG [2024-Jan-31 23:27:13.449437] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(USD,SwaptionVolatility/USD/USD_SW_N) in configuration default
DEBUG [2024-Jan-31 23:27:13.450437] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:27:13.452437] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:13.454449] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:27:13.459434] 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." } ] }
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ALERT [2024-Jan-31 23:27:13.468428] 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 23:27:13.473883] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market USD yield volatility type = ShiftedLognormal
NOTICE [2024-Jan-31 23:27:13.474882] OREAnalytics/orea/scenario/scenariosimmarket.cpp:656 : Simulating yield vols for ccy USD
DEBUG [2024-Jan-31 23:27:13.475882] OREAnalytics/orea/scenario/scenariosimmarket.cpp:657 : YieldVol T0 source is atm : True
DEBUG [2024-Jan-31 23:27:13.475882] OREAnalytics/orea/scenario/scenariosimmarket.cpp:658 : YieldVol ssm target is cube : False
DEBUG [2024-Jan-31 23:27:13.478881] OREAnalytics/orea/scenario/scenariosimmarket.cpp:659 : YieldVol simulate atm only : False
DEBUG [2024-Jan-31 23:27:13.480880] OREAnalytics/orea/scenario/scenariosimmarket.cpp:695 : T0 ts is normal : False
DEBUG [2024-Jan-31 23:27:13.482877] OREAnalytics/orea/scenario/scenariosimmarket.cpp:697 : Have swaption vol : True
DEBUG [2024-Jan-31 23:27:13.483876] OREAnalytics/orea/scenario/scenariosimmarket.cpp:698 : Will convert to normal vol : True
DEBUG [2024-Jan-31 23:27:13.486875] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwapIndexCurve(USD-CMS-30Y) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:13.487874] 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": "SwapIndexCurve(USD-CMS-30Y)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:13.490872] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:13.498868] OREAnalytics/orea/scenario/scenariosimmarket.cpp:752 : AtmVol at 6M/1Y is 0.00622809, shift is 0, (name,index) = (USD,0)
...
DEBUG [2024-Jan-31 23:27:13.763718] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market USD yield volatility type = Normal
NOTICE [2024-Jan-31 23:27:13.765720] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built SwaptionVolatility 5 1.13e+03 ms
NOTICE [2024-Jan-31 23:27:13.767715] OREAnalytics/orea/scenario/scenariosimmarket.cpp:876 : building EUR cap/floor volatility curve...
DEBUG [2024-Jan-31 23:27:13.768714] OREData/ored/marketdata/todaysmarket.cpp:823 : market object CapFloorVol(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:13.769712] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:13.772712] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:27:13.775710] 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": "CapFloorVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:13.784704] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
NOTICE [2024-Jan-31 23:27:13.785704] OREAnalytics/orea/scenario/scenariosimmarket.cpp:883 : Initial market cap/floor volatility type = Normal
NOTICE [2024-Jan-31 23:27:13.786704] OREAnalytics/orea/scenario/scenariosimmarket.cpp:889 : Simulating Cap/Floor Optionlet vols for key EUR
DEBUG [2024-Jan-31 23:27:13.788701] OREAnalytics/orea/scenario/scenariosimmarket.cpp:939 : cap floor use adjusted option pillars = false
DEBUG [2024-Jan-31 23:27:13.789702] OREAnalytics/orea/scenario/scenariosimmarket.cpp:940 : have ibor index = true
DEBUG [2024-Jan-31 23:27:13.790700] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [6M, 2016-08-05]
DEBUG [2024-Jan-31 23:27:13.791699] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1042 : Vol at [date, strike] pair [August 5th, 2016, 0.0000] is 0.002667060000
...
DEBUG [2024-Jan-31 23:27:13.803693] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [1Y, 2017-02-06]
...
DEBUG [2024-Jan-31 23:27:13.817690] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [2Y, 2018-02-05]
...
DEBUG [2024-Jan-31 23:27:13.825681] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [3Y, 2019-02-05]
...
DEBUG [2024-Jan-31 23:27:13.838675] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [5Y, 2021-02-05]
...
DEBUG [2024-Jan-31 23:27:13.851667] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [7Y, 2023-02-06]
...
DEBUG [2024-Jan-31 23:27:13.859662] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [10Y, 2026-02-05]
...
DEBUG [2024-Jan-31 23:27:13.870655] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [15Y, 2031-02-05]
...
DEBUG [2024-Jan-31 23:27:13.880650] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [20Y, 2036-02-05]
...
NOTICE [2024-Jan-31 23:27:13.889646] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1100 : Simulation market cap/floor volatility type = Normal
NOTICE [2024-Jan-31 23:27:13.890643] OREAnalytics/orea/scenario/scenariosimmarket.cpp:876 : building USD cap/floor volatility curve...
DEBUG [2024-Jan-31 23:27:13.891642] OREData/ored/marketdata/todaysmarket.cpp:823 : market object CapFloorVol(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:13.892642] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:13.894643] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:27:13.899641] 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": "CapFloorVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:27:13.904635] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
NOTICE [2024-Jan-31 23:27:13.905634] OREAnalytics/orea/scenario/scenariosimmarket.cpp:883 : Initial market cap/floor volatility type = Normal
NOTICE [2024-Jan-31 23:27:13.905634] OREAnalytics/orea/scenario/scenariosimmarket.cpp:889 : Simulating Cap/Floor Optionlet vols for key USD
DEBUG [2024-Jan-31 23:27:13.906635] OREAnalytics/orea/scenario/scenariosimmarket.cpp:939 : cap floor use adjusted option pillars = false
DEBUG [2024-Jan-31 23:27:13.907633] OREAnalytics/orea/scenario/scenariosimmarket.cpp:940 : have ibor index = true
DEBUG [2024-Jan-31 23:27:13.908633] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [6M, 2016-08-05]
DEBUG [2024-Jan-31 23:27:13.909632] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1042 : Vol at [date, strike] pair [August 5th, 2016, 0.0000] is 0.002887205148
...
DEBUG [2024-Jan-31 23:27:13.918627] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [1Y, 2017-02-06]
...
DEBUG [2024-Jan-31 23:27:13.926623] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [2Y, 2018-02-05]
...
DEBUG [2024-Jan-31 23:27:13.937616] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [3Y, 2019-02-05]
...
DEBUG [2024-Jan-31 23:27:13.946614] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [5Y, 2021-02-05]
...
DEBUG [2024-Jan-31 23:27:13.953607] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [7Y, 2023-02-06]
...
DEBUG [2024-Jan-31 23:27:13.962604] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [10Y, 2026-02-05]
...
DEBUG [2024-Jan-31 23:27:13.969600] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [15Y, 2031-02-05]
...
DEBUG [2024-Jan-31 23:27:13.978594] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [20Y, 2036-02-05]
...
NOTICE [2024-Jan-31 23:27:13.990586] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1100 : Simulation market cap/floor volatility type = Normal
NOTICE [2024-Jan-31 23:27:13.991586] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built OptionletVolatility 2 224 ms
DEBUG [2024-Jan-31 23:27:13.992585] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding CHFEUR FX rates
DATA [2024-Jan-31 23:27:13.993584] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(CHFEUR): 0 / JoinHolidays(TARGET, Switzerland) from convention.
DEBUG [2024-Jan-31 23:27:13.994586] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:13.995585] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:13.997583] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'CHF' to 'EUR': CHF-EUR
DEBUG [2024-Jan-31 23:27:13.998583] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding GBPEUR FX rates
...
DATA [2024-Jan-31 23:27:14.000582] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(JPYEUR): 0 / JoinHolidays(TARGET, Japan) from convention.
DEBUG [2024-Jan-31 23:27:14.001581] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:14.002581] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:14.004579] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'JPY' to 'EUR': JPY-EUR
DEBUG [2024-Jan-31 23:27:14.005579] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding USDEUR FX rates
NOTICE [2024-Jan-31 23:27:14.006578] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:27:14.007578] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFEUR
...
NOTICE [2024-Jan-31 23:27:14.010576] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 4 quotes, 5 currencies.
NOTICE [2024-Jan-31 23:27:14.011576] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built FXSpot 4 19.5 ms
DEBUG [2024-Jan-31 23:27:14.012575] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(GBPEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.013574] 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 23:27:14.015573] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:14.018571] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:14.019572] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #45: FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP) (not yet built)
DEBUG [2024-Jan-31 23:27:14.020572] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:14.021571] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:27:14.021571] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:27:14.028505] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:27:14.029504] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:27:14.034501] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURGBP, assuming defaults
DATA [2024-Jan-31 23:27:14.035500] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'GBP': EUR-GBP
NOTICE [2024-Jan-31 23:27:14.036500] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:27:14.037499] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:27:14.038499] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/GBP/EURGBP 1M 0.12336 0.00129246
...
DEBUG [2024-Jan-31 23:27:14.050492] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
WARNING [2024-Jan-31 23:27:14.051491] 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 23:27:14.052491] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURGBP) with spec FXVolatility/EUR/GBP/EURGBP to configuration default
DEBUG [2024-Jan-31 23:27:14.053490] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP) in configuration default
DEBUG [2024-Jan-31 23:27:14.054490] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:14.055489] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(GBPEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:14.057487] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:27:14.059486] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:27:14.060486] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(GBPEUR): 0 / JoinHolidays(TARGET, UK settlement) from convention.
DATA [2024-Jan-31 23:27:14.062483] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'GBP' to 'EUR': GBP-EUR
NOTICE [2024-Jan-31 23:27:14.063483] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1333 : Simulating FX Vols for GBPEUR
DATA [2024-Jan-31 23:27:14.065482] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1349 : Foreign term structure '' from t_0 market is empty
DATA [2024-Jan-31 23:27:14.065482] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1353 : Domestic term structure '' from t_0 market is empty
DATA [2024-Jan-31 23:27:14.067480] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1358 : Falling back on the discount curves for GBP and EUR from t_0 market
DEBUG [2024-Jan-31 23:27:14.067480] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.068479] 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 23:27:14.070478] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:14.074475] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1367 : Foreign term structure '' from sim market is empty
DATA [2024-Jan-31 23:27:14.075475] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1371 : Domestic term structure '' from sim market is empty
DATA [2024-Jan-31 23:27:14.076474] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1376 : Falling back on the discount curves for GBP and EUR from sim market
NOTICE [2024-Jan-31 23:27:14.077474] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1539 : ATM FX Vols (BlackVarianceCurve3) for GBPEUR
DEBUG [2024-Jan-31 23:27:14.078476] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(JPYEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.079475] 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 23:27:14.081474] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:14.084471] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:27:14.085472] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #46: FXVol(EURJPY,FXVolatility/EUR/JPY/EURJPY) (not yet built)
DEBUG [2024-Jan-31 23:27:14.086470] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:27:14.087469] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:27:14.088468] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:27:14.096466] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:27:14.097464] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:27:14.105461] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURJPY, assuming defaults
DATA [2024-Jan-31 23:27:14.105461] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'JPY': EUR-JPY
NOTICE [2024-Jan-31 23:27:14.106460] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 9 ATM vols
DEBUG [2024-Jan-31 23:27:14.107459] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:27:14.108459] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/JPY/EURJPY 1M 0.137438 0.00160429
...
DEBUG [2024-Jan-31 23:27:14.129444] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
WARNING [2024-Jan-31 23:27:14.130444] 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 23:27:14.132442] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURJPY) with spec FXVolatility/EUR/JPY/EURJPY to configuration default
DEBUG [2024-Jan-31 23:27:14.133442] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURJPY,FXVolatility/EUR/JPY/EURJPY) in configuration default
DEBUG [2024-Jan-31 23:27:14.134441] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:27:14.136440] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(JPYEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:14.137439] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:27:14.140438] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:27:14.141437] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(JPYEUR): 0 / JoinHolidays(TARGET, Japan) from convention.
DATA [2024-Jan-31 23:27:14.143436] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'JPY' to 'EUR': JPY-EUR
NOTICE [2024-Jan-31 23:27:14.144438] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1333 : Simulating FX Vols for JPYEUR
DATA [2024-Jan-31 23:27:14.145437] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1349 : Foreign term structure '' from t_0 market is empty
DATA [2024-Jan-31 23:27:14.146436] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1353 : Domestic term structure '' from t_0 market is empty
DATA [2024-Jan-31 23:27:14.147435] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1358 : Falling back on the discount curves for JPY and EUR from t_0 market
DEBUG [2024-Jan-31 23:27:14.147435] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.148436] 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 23:27:14.150433] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:14.155430] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1367 : Foreign term structure '' from sim market is empty
DATA [2024-Jan-31 23:27:14.157429] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1371 : Domestic term structure '' from sim market is empty
DATA [2024-Jan-31 23:27:14.158428] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1376 : Falling back on the discount curves for JPY and EUR from sim market
NOTICE [2024-Jan-31 23:27:14.160427] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1539 : ATM FX Vols (BlackVarianceCurve3) for JPYEUR
DEBUG [2024-Jan-31 23:27:14.161428] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.162428] 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 23:27:14.163427] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:27:14.167425] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:14.169423] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:27:14.171422] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DATA [2024-Jan-31 23:27:14.172421] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
NOTICE [2024-Jan-31 23:27:14.173421] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1333 : Simulating FX Vols for USDEUR
DATA [2024-Jan-31 23:27:14.174420] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1349 : Foreign term structure '' from t_0 market is empty
DATA [2024-Jan-31 23:27:14.175419] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1353 : Domestic term structure '' from t_0 market is empty
DATA [2024-Jan-31 23:27:14.176419] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1358 : Falling back on the discount curves for USD and EUR from t_0 market
DEBUG [2024-Jan-31 23:27:14.177417] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.178416] 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 23:27:14.181414] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:14.186415] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1367 : Foreign term structure '' from sim market is empty
DATA [2024-Jan-31 23:27:14.187414] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1371 : Domestic term structure '' from sim market is empty
DATA [2024-Jan-31 23:27:14.188413] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1376 : Falling back on the discount curves for USD and EUR from sim market
NOTICE [2024-Jan-31 23:27:14.189412] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1539 : ATM FX Vols (BlackVarianceCurve3) for USDEUR
NOTICE [2024-Jan-31 23:27:14.189412] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built FXVolatility 3 177 ms
DEBUG [2024-Jan-31 23:27:14.190412] OREAnalytics/orea/scenario/scenariosimmarket.cpp:514 : adding Lufthansa equity spot...
DEBUG [2024-Jan-31 23:27:14.191411] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.192411] 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": "EquityCurves(Lufthansa)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.194410] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.195407] OREAnalytics/orea/scenario/scenariosimmarket.cpp:524 : adding Lufthansa equity spot done
DEBUG [2024-Jan-31 23:27:14.197405] OREAnalytics/orea/scenario/scenariosimmarket.cpp:514 : adding SP5 equity spot...
...
ALERT [2024-Jan-31 23:27:14.199407] 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": "EquityCurves(SP5)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.200407] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.201406] OREAnalytics/orea/scenario/scenariosimmarket.cpp:524 : adding SP5 equity spot done
NOTICE [2024-Jan-31 23:27:14.202405] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built EquitySpot 2 11.8 ms
DEBUG [2024-Jan-31 23:27:14.203405] OREAnalytics/orea/scenario/scenariosimmarket.cpp:535 : building Lufthansa equity dividend yield curve..
DEBUG [2024-Jan-31 23:27:14.204404] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(Lufthansa) failed: Two or three tokens required in Lufthansa: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:27:14.205403] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'Lufthansa' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:14.205403] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.206403] 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": "EquityCurves(Lufthansa)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.208402] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.209401] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DividendYield Lufthansa discount[0]=1.0013
...
DEBUG [2024-Jan-31 23:27:14.212399] OREAnalytics/orea/scenario/scenariosimmarket.cpp:539 : building Lufthansa equity dividend yield curve done
DATA [2024-Jan-31 23:27:14.213399] OREAnalytics/orea/scenario/scenariosimmarket.cpp:552 : Got forecast curve 'Yield/EUR/EUR1D' from equity curve config for Lufthansa
DEBUG [2024-Jan-31 23:27:14.214398] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.215395] 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": "EquityCurves(Lufthansa)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.218393] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.219393] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(Lufthansa) failed: Two or three tokens required in Lufthansa: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:27:14.220392] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'Lufthansa' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:14.222391] OREAnalytics/orea/scenario/scenariosimmarket.cpp:535 : building SP5 equity dividend yield curve..
...
DEBUG [2024-Jan-31 23:27:14.224389] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(SP5) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.225389] 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": "EquityCurves(SP5)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.227387] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.228389] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DividendYield SP5 discount[0]=0.993312
...
DEBUG [2024-Jan-31 23:27:14.231388] OREAnalytics/orea/scenario/scenariosimmarket.cpp:539 : building SP5 equity dividend yield curve done
DATA [2024-Jan-31 23:27:14.232387] OREAnalytics/orea/scenario/scenariosimmarket.cpp:552 : Got forecast curve 'Yield/USD/USD1D' from equity curve config for SP5
DEBUG [2024-Jan-31 23:27:14.233386] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(SP5) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.234387] 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": "EquityCurves(SP5)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.236384] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.237385] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(SP5) failed: Two or three tokens required in SP5: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:27:14.237385] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'SP5' - look for a genuine yield curve
NOTICE [2024-Jan-31 23:27:14.238384] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built DividendYield 2 35.4 ms
DEBUG [2024-Jan-31 23:27:14.239383] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityVols(Lufthansa) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.240382] 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": "EquityVols(Lufthansa)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.242381] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:27:14.243380] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1778 : ATM EQ Vols (BlackVarianceCurve3) for Lufthansa
DEBUG [2024-Jan-31 23:27:14.244379] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1816 : EQ volatility curve built for Lufthansa
...
ALERT [2024-Jan-31 23:27:14.247378] 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": "EquityVols(SP5)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.250376] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:27:14.251375] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1778 : ATM EQ Vols (BlackVarianceCurve3) for SP5
DEBUG [2024-Jan-31 23:27:14.253374] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1816 : EQ volatility curve built for SP5
NOTICE [2024-Jan-31 23:27:14.254374] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built EquityVolatility 2 14.8 ms
NOTICE [2024-Jan-31 23:27:14.255373] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1111 : building BANK default curve..
DEBUG [2024-Jan-31 23:27:14.257371] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BANK) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.258371] 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(BANK)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.261369] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.262368] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1139 : ScenarioSimMarket default curve BANK survival[0]=0.991593
...
NOTICE [2024-Jan-31 23:27:14.266366] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1111 : building CPTY_C default curve..
DEBUG [2024-Jan-31 23:27:14.267365] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_C) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.268364] 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_C)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.269364] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.270363] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1139 : ScenarioSimMarket default curve CPTY_C survival[0]=1
...
NOTICE [2024-Jan-31 23:27:14.275361] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built SurvivalProbability 2 19.2 ms
DEBUG [2024-Jan-31 23:27:14.275361] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1185 : Adding security recovery rate BANK from configuration collateral_eur
DEBUG [2024-Jan-31 23:27:14.276360] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BANK) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.277359] 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(BANK)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.280363] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:14.283360] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:14.284359] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1185 : Adding security recovery rate CPTY_C from configuration collateral_eur
...
ALERT [2024-Jan-31 23:27:14.286359] 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_C)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.288357] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:14.291355] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
NOTICE [2024-Jan-31 23:27:14.292354] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built RecoveryRate 2 16.4 ms
NOTICE [2024-Jan-31 23:27:14.293354] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1944 : building EUHICP zero inflation curve
...
ALERT [2024-Jan-31 23:27:14.295354] 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": "ZeroInflationCurve(EUHICP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.297352] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.298351] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1987 : ScenarioSimMarket zero inflation curve EUHICP zeroRate[1]=0.00992313
...
DATA [2024-Jan-31 23:27:14.305347] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
NOTICE [2024-Jan-31 23:27:14.306346] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2014 : building EUHICP zero inflation curve done
NOTICE [2024-Jan-31 23:27:14.307347] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1944 : building EUHICPXT zero inflation curve
DEBUG [2024-Jan-31 23:27:14.308345] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(EUHICPXT) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.309345] 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": "ZeroInflationCurve(EUHICPXT)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.311343] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.312344] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1987 : ScenarioSimMarket zero inflation curve EUHICPXT zeroRate[1]=0.0108058
...
DATA [2024-Jan-31 23:27:14.319339] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
NOTICE [2024-Jan-31 23:27:14.320339] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2014 : building EUHICPXT zero inflation curve done
NOTICE [2024-Jan-31 23:27:14.321338] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1944 : building FRHICP zero inflation curve
DEBUG [2024-Jan-31 23:27:14.322338] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(FRHICP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.323337] 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": "ZeroInflationCurve(FRHICP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.324337] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.326334] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1987 : ScenarioSimMarket zero inflation curve FRHICP zeroRate[1]=0.00733733
...
DATA [2024-Jan-31 23:27:14.334331] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
NOTICE [2024-Jan-31 23:27:14.335329] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2014 : building FRHICP zero inflation curve done
NOTICE [2024-Jan-31 23:27:14.336330] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1944 : building UKRPI zero inflation curve
DEBUG [2024-Jan-31 23:27:14.337328] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(UKRPI) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.337328] 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": "ZeroInflationCurve(UKRPI)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.339328] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.340327] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1987 : ScenarioSimMarket zero inflation curve UKRPI zeroRate[1]=0.0191238
...
DATA [2024-Jan-31 23:27:14.349320] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
NOTICE [2024-Jan-31 23:27:14.350319] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2014 : building UKRPI zero inflation curve done
NOTICE [2024-Jan-31 23:27:14.350319] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1944 : building USCPI zero inflation curve
DEBUG [2024-Jan-31 23:27:14.351319] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(USCPI) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.352318] 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": "ZeroInflationCurve(USCPI)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.354317] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.355317] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1987 : ScenarioSimMarket zero inflation curve USCPI zeroRate[1]=0.013951
...
DATA [2024-Jan-31 23:27:14.364314] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
NOTICE [2024-Jan-31 23:27:14.365312] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2014 : building USCPI zero inflation curve done
NOTICE [2024-Jan-31 23:27:14.366313] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built ZeroInflationCurve 5 73.1 ms
DEBUG [2024-Jan-31 23:27:14.367311] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YoYInflationCurve(EUHICPXT) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.368312] 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": "YoYInflationCurve(EUHICPXT)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.369311] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.370309] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2156 : ScenarioSimMarket yoy inflation curve EUHICPXT yoyRate[1]=0.01165
...
NOTICE [2024-Jan-31 23:27:14.379305] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built YoYInflationCurve 1 12.1 ms
DEBUG [2024-Jan-31 23:27:14.380306] OREAnalytics/orea/scenario/scenariosimmarket.cpp:584 : Adding security spread SECURITY_1 from configuration collateral_eur
DEBUG [2024-Jan-31 23:27:14.380306] OREData/ored/marketdata/todaysmarket.cpp:823 : market object Securities(SECURITY_1) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:27:14.381304] 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(SECURITY_1)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.383303] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:14.384302] OREAnalytics/orea/scenario/scenariosimmarket.cpp:599 : Adding security recovery rate SECURITY_1 from configuration collateral_eur
...
ALERT [2024-Jan-31 23:27:14.386301] 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(SECURITY_1)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:27:14.387300] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:27:14.392296] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:27:14.394294] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built SecuritySpread 1 13.9 ms
DEBUG [2024-Jan-31 23:27:14.395297] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2707 : building swap indices...
DEBUG [2024-Jan-31 23:27:14.395297] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2737 : Adding swap index EUR-CMS-1Y with discounting index EUR-EONIA
DATA [2024-Jan-31 23:27:14.396295] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:27:14.400293] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2740 : Adding swap index EUR-CMS-1Y done.
DEBUG [2024-Jan-31 23:27:14.401293] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2737 : Adding swap index EUR-CMS-30Y with discounting index EUR-EONIA
...
DEBUG [2024-Jan-31 23:27:14.405290] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2740 : Adding swap index EUR-CMS-30Y done.
NOTICE [2024-Jan-31 23:27:14.406289] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2712 : building base scenario
NOTICE [2024-Jan-31 23:27:14.408289] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2729 : building base scenario done
NOTICE [2024-Jan-31 23:27:14.409287] OREAnalytics/orea/engine/sensitivityanalysis.cpp:582 : Sim market initialised for sensitivity analysis
NOTICE [2024-Jan-31 23:27:14.410287] OREAnalytics/orea/engine/sensitivityanalysis.cpp:584 : Create scenario factory for sensitivity analysis
NOTICE [2024-Jan-31 23:27:14.412284] OREAnalytics/orea/engine/sensitivityanalysis.cpp:588 : DeltaScenario factory created for sensitivity analysis
NOTICE [2024-Jan-31 23:27:14.413286] OREAnalytics/orea/engine/sensitivityanalysis.cpp:594 : Create scenario generator for sensitivity analysis (continueOnError=true)
DEBUG [2024-Jan-31 23:27:14.415284] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:473 : generate discount curve scenario, ccy CHF, bucket 0, up 1, desc Up:DiscountCurve/CHF/0/6M
DEBUG [2024-Jan-31 23:27:14.417283] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:504 : Sensitivity scenario # 2, label Up:DiscountCurve/CHF/0/6M created
...
NOTICE [2024-Jan-31 23:27:14.509530] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:508 : Discount curve scenarios done
...
NOTICE [2024-Jan-31 23:27:14.604558] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:508 : Discount curve scenarios done
WARNING [2024-Jan-31 23:27:14.605556] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:516 : Index CHF-TOIS in simmarket is not included in sensitivities analysis
...
DEBUG [2024-Jan-31 23:27:14.609554] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:601 : Sensitivity scenario # 92, label Up:IndexCurve/CHF-LIBOR-6M/0/6M created for indexName CHF-LIBOR-6M
...
NOTICE [2024-Jan-31 23:27:14.698504] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:605 : Index curve scenarios done
WARNING [2024-Jan-31 23:27:14.699503] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:516 : Index CHF-TOIS in simmarket is not included in sensitivities analysis
...
DEBUG [2024-Jan-31 23:27:14.703501] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:601 : Sensitivity scenario # 173, label Down:IndexCurve/CHF-LIBOR-6M/0/6M created for indexName CHF-LIBOR-6M
...
NOTICE [2024-Jan-31 23:27:14.776226] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:605 : Index curve scenarios done
DEBUG [2024-Jan-31 23:27:14.777573] 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 23:27:14.778577] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:14.778577] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:695 : Sensitivity scenario # 254, label Up:YieldCurve/BENCHMARK_EUR/0/6M created
...
NOTICE [2024-Jan-31 23:27:14.786571] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:699 : Yield curve scenarios done
DEBUG [2024-Jan-31 23:27:14.787571] 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 23:27:14.788570] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
...
NOTICE [2024-Jan-31 23:27:14.796576] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:699 : Yield curve scenarios done
DEBUG [2024-Jan-31 23:27:14.798445] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:345 : Sensitivity scenario # 272, label Up:FXSpot/CHFEUR/0/spot created: 0.897741
...
NOTICE [2024-Jan-31 23:27:14.801456] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:347 : FX scenarios done
...
NOTICE [2024-Jan-31 23:27:14.805454] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:347 : FX scenarios done
DEBUG [2024-Jan-31 23:27:14.806453] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:389 : Sensitivity scenario # 280, label Up:EquitySpot/Lufthansa/0/spot created: 12.8775
...
NOTICE [2024-Jan-31 23:27:14.808452] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:391 : Equity scenarios done
...
DEBUG [2024-Jan-31 23:27:14.811440] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1643 : Sensitivity scenario # 284, label Up:ZeroInflationCurve/EUHICP/0/6M created for indexName EUHICP
...
NOTICE [2024-Jan-31 23:27:14.850418] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1647 : Zero Inflation Index curve scenarios done
...
NOTICE [2024-Jan-31 23:27:14.890406] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1647 : Zero Inflation Index curve scenarios done
DEBUG [2024-Jan-31 23:27:14.891917] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1740 : Sensitivity scenario # 374, label Up:YoYInflationCurve/EUHICPXT/0/6M created for indexName EUHICPXT
...
NOTICE [2024-Jan-31 23:27:14.898926] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1744 : YoY Inflation Index curve scenarios done
...
NOTICE [2024-Jan-31 23:27:14.907920] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1744 : YoY Inflation Index curve scenarios done
DEBUG [2024-Jan-31 23:27:14.908920] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:901 : Sensitivity scenario # 392, label Up:FXVolatility/GBPEUR/0/1Y/ATM created
...
NOTICE [2024-Jan-31 23:27:14.918914] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:905 : FX vol scenarios done
...
NOTICE [2024-Jan-31 23:27:14.929909] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:905 : FX vol scenarios done
DEBUG [2024-Jan-31 23:27:14.930907] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1016 : Sensitivity scenario # 416, label Up:EquityVolatility/Lufthansa/0/6M/ATM created
...
NOTICE [2024-Jan-31 23:27:14.938903] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1020 : Equity vol scenarios done
...
NOTICE [2024-Jan-31 23:27:14.948897] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1020 : Equity vol scenarios done
NOTICE [2024-Jan-31 23:27:14.950146] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1216 : starting swapVol sgen
WARNING [2024-Jan-31 23:27:14.950146] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1221 : Swaption key CHF in simmarket is not included in sensitivities analysis
...
DEBUG [2024-Jan-31 23:27:14.954149] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1172 : Generic Yield vol looping over 0 to 1 for strike 0
DEBUG [2024-Jan-31 23:27:14.955148] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1208 : Sensitivity scenario # 436, label Up:SwaptionVolatility/EUR/0/1Y/1Y/ATM created for generic yield vol EUR
...
NOTICE [2024-Jan-31 23:27:14.975137] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1225 : Swaption vol scenarios done
NOTICE [2024-Jan-31 23:27:14.976136] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1216 : starting swapVol sgen
WARNING [2024-Jan-31 23:27:14.976136] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1221 : Swaption key CHF in simmarket is not included in sensitivities analysis
...
DEBUG [2024-Jan-31 23:27:14.980134] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1172 : Generic Yield vol looping over 0 to 1 for strike 0
DEBUG [2024-Jan-31 23:27:14.981134] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1208 : Sensitivity scenario # 448, label Down:SwaptionVolatility/EUR/0/1Y/1Y/ATM created for generic yield vol EUR
...
NOTICE [2024-Jan-31 23:27:15.001122] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1225 : Swaption vol scenarios done
DEBUG [2024-Jan-31 23:27:15.002784] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1355 : Sensitivity scenario # 460, label Up:OptionletVolatility/EUR/0/1Y/0.01 created
...
NOTICE [2024-Jan-31 23:27:15.055537] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1359 : Optionlet vol scenarios done
...
NOTICE [2024-Jan-31 23:27:15.110245] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1359 : Optionlet vol scenarios done
NOTICE [2024-Jan-31 23:27:15.111244] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1431 : generate survival probability scenario, name BANK, bucket 0, up 1, desc Up:SurvivalProbability/BANK/0/6M
DEBUG [2024-Jan-31 23:27:15.112244] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1459 : Sensitivity scenario # 580, label Up:SurvivalProbability/BANK/0/6M created
...
NOTICE [2024-Jan-31 23:27:15.128235] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1463 : Discount curve scenarios done
...
NOTICE [2024-Jan-31 23:27:15.146235] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:1463 : Discount curve scenarios done
DEBUG [2024-Jan-31 23:27:15.147235] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:2428 : Sensitivity scenario # 600, label Up:SecuritySpread/SECURITY_1/0/spread created: 0.0001
NOTICE [2024-Jan-31 23:27:15.148234] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:2430 : Security scenarios done
...
DEBUG [2024-Jan-31 23:27:15.150233] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:212 : Fill maps linking factors with RiskFactorKeys
DEBUG [2024-Jan-31 23:27:15.151233] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:220 : KeyToFactor map: to
...
DEBUG [2024-Jan-31 23:27:15.656028] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:262 : Sensitivity scenario # 602, label Cross:DiscountCurve/EUR/0/6M:DiscountCurve/EUR/1/1Y created
...
NOTICE [2024-Jan-31 23:27:16.569030] OREAnalytics/orea/scenario/sensitivityscenariogenerator.cpp:266 : sensitivity scenario generator initialised
NOTICE [2024-Jan-31 23:27:16.570030] OREAnalytics/orea/engine/sensitivityanalysis.cpp:598 : Scenario generator created for sensitivity analysis
NOTICE [2024-Jan-31 23:27:16.571584] OREAnalytics/orea/engine/sensitivityanalysis.cpp:92 : Build Engine Factory and rebuild portfolio
NOTICE [2024-Jan-31 23:27:16.571584] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:27:16.573596] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 23
NOTICE [2024-Jan-31 23:27:16.575772] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 23 for context = 'sensi analysis'
DEBUG [2024-Jan-31 23:27:16.576785] OREData/ored/portfolio/swaption.cpp:65 : Swaption::build() for BERMUDAN_SWAPTION: build underlying swap
DEBUG [2024-Jan-31 23:27:16.577784] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade
DEBUG [2024-Jan-31 23:27:16.578783] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:16.579784] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:16.582781] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:27:16.586779] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:16.587778] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:27:16.588778] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:27:16.588778] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:27:16.589777] OREData/ored/portfolio/swaption.cpp:73 : Swaption::build() for BERMUDAN_SWAPTION: build exercise
DEBUG [2024-Jan-31 23:27:16.590777] OREData/ored/portfolio/optiondata.cpp:165 : Got notice date 2028-10-01 using notice period 0D, convention Unadjusted, calendar Null from exercise date October 1st, 2028
...
DEBUG [2024-Jan-31 23:27:16.596774] OREData/ored/portfolio/swaption.cpp:156 : Swaption::build() for BERMUDAN_SWAPTION: type: isCrossCcy = false, isOis = false, isBma = false, isStandard = true
DEBUG [2024-Jan-31 23:27:16.597773] OREData/ored/portfolio/swaption.cpp:381 : found ibor / ois index 'Euribor3M Actual/360'
DEBUG [2024-Jan-31 23:27:16.598772] OREData/ored/portfolio/swaption.cpp:405 : calibration strike for ex date 2028-10-01 is 0.050000 (fixed rate 0.050000, spread 0.000000)
...
DEBUG [2024-Jan-31 23:27:16.603769] OREData/ored/portfolio/builders/swaption.cpp:209 : Building Bermudan Swaption engine for trade BERMUDAN_SWAPTION
DATA [2024-Jan-31 23:27:16.604768] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:27:16.605768] OREData/ored/portfolio/builders/swaption.cpp:87 : Get model data
DEBUG [2024-Jan-31 23:27:16.606767] OREData/ored/portfolio/builders/swaption.cpp:140 : Build LgmData for co-terminal specification
DEBUG [2024-Jan-31 23:27:16.607768] OREData/ored/portfolio/builders/swaption.cpp:156 : Calibrate piecewise alpha
DEBUG [2024-Jan-31 23:27:16.608766] OREData/ored/portfolio/builders/swaption.cpp:184 : Build LGM model
DATA [2024-Jan-31 23:27:16.609766] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
NOTICE [2024-Jan-31 23:27:16.610765] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier EUR-EURIBOR-3M (ccy=EUR), configuration is default
...
DEBUG [2024-Jan-31 23:27:16.613764] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
DEBUG [2024-Jan-31 23:27:16.614763] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:27:16.616762] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry October 1st, 2028 and term October 1st, 2038: vol=0.002, index=Euribor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:27:16.625757] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 12.663; 13.663; 14.663; 15.663; 16.6658 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:27:16.625757] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:27:16.626757] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for EUR-EURIBOR-3M: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:27:16.627756] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 5
DEBUG [2024-Jan-31 23:27:16.628755] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:27:16.629755] OREData/ored/portfolio/builders/swaption.cpp:192 : Calibrate model (configuration default)
DEBUG [2024-Jan-31 23:27:16.630753] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:16.631754] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:16.635751] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:16.636750] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:16.638749] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:16.644746] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:16.646746] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:16.653741] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:16.655740] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:16.662725] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:16.662725] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:16.663736] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DEBUG [2024-Jan-31 23:27:16.664734] OREData/ored/portfolio/builders/swaption.cpp:213 : Get engine data
DEBUG [2024-Jan-31 23:27:16.665734] OREData/ored/portfolio/builders/swaption.cpp:220 : Build engine (configuration collateral_eur)
DATA [2024-Jan-31 23:27:16.666733] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:27:16.667732] OREData/ored/portfolio/swaption.cpp:426 : Swaption model calibration time: 0.063354 s
DEBUG [2024-Jan-31 23:27:16.668732] OREData/ored/portfolio/swaption.cpp:563 : Added leg with start date 2028-10-02 for exercise 2028-10-01
...
DEBUG [2024-Jan-31 23:27:16.679727] OREData/ored/portfolio/swaption.cpp:449 : Building Bermudan Swaption done
DATA [2024-Jan-31 23:27:16.680725] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade BERMUDAN_SWAPTION:
DATA [2024-Jan-31 23:27:16.684723] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:16.721702] OREData/ored/portfolio/bond.cpp:229 : Bond::build() called for trade BOND
DEBUG [2024-Jan-31 23:27:16.722701] OREData/ored/portfolio/bond.cpp:190 : could not get BondReferenceDatum for name SECURITY_1 leave data in trade unchanged
DEBUG [2024-Jan-31 23:27:16.723701] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:16.723701] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:16.726699] 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 23:27:16.727699] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:16.728698] OREData/ored/utilities/marketdata.cpp:94 : Could not link SECURITY_1 to security specific credit curve __SECCRCRV_SECURITY_1_&_CPTY_C_&_ so just using CPTY_C default curve.
DEBUG [2024-Jan-31 23:27:16.729688] OREData/ored/portfolio/bond.cpp:292 : Bond::build() finished for trade BOND
DATA [2024-Jan-31 23:27:16.729688] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade BOND:
DATA [2024-Jan-31 23:27:16.730697] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:27:16.731697] OREData/ored/portfolio/bond.cpp:229 : Bond::build() called for trade Bond_Floating
DEBUG [2024-Jan-31 23:27:16.732695] OREData/ored/portfolio/bond.cpp:190 : could not get BondReferenceDatum for name SECURITY_1 leave data in trade unchanged
DEBUG [2024-Jan-31 23:27:16.733695] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:16.734695] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:16.737693] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:27:16.739691] OREData/ored/utilities/marketdata.cpp:94 : Could not link SECURITY_1 to security specific credit curve __SECCRCRV_SECURITY_1_&_CPTY_C_&_ so just using CPTY_C default curve.
DEBUG [2024-Jan-31 23:27:16.740691] OREData/ored/portfolio/bond.cpp:292 : Bond::build() finished for trade Bond_Floating
DATA [2024-Jan-31 23:27:16.741690] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Bond_Floating:
DATA [2024-Jan-31 23:27:16.743689] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:16.752684] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade CAP_EUR, leg type is Floating
DEBUG [2024-Jan-31 23:27:16.753683] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:16.754683] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:16.757681] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CAP_EUR:
DATA [2024-Jan-31 23:27:16.759680] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:16.777425] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade CAP_USD, leg type is Floating
DEBUG [2024-Jan-31 23:27:16.778424] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:16.779411] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:16.782423] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:27:16.784419] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CAP_USD:
DATA [2024-Jan-31 23:27:16.788416] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:16.822397] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CC_SWAP_EUR_USD
DEBUG [2024-Jan-31 23:27:16.823397] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:16.824396] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:16.826395] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DEBUG [2024-Jan-31 23:27:16.834382] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
...
DEBUG [2024-Jan-31 23:27:16.839379] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+08 USD
DEBUG [2024-Jan-31 23:27:16.839379] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:27:16.840379] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:27:16.841379] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:16.842378] OREData/ored/utilities/marketdata.cpp:57 : Could not link USD termstructure to cross currency yield curve __XCCY__-USD so just using USD discount curve.
...
DATA [2024-Jan-31 23:27:16.846375] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(EURUSD): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DATA [2024-Jan-31 23:27:16.847384] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
DEBUG [2024-Jan-31 23:27:16.848372] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:27:16.849371] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:16.849371] OREData/ored/utilities/marketdata.cpp:57 : Could not link USD termstructure to cross currency yield curve __XCCY__-USD so just using USD discount curve.
...
DEBUG [2024-Jan-31 23:27:16.853380] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:16.854379] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CC_SWAP_EUR_USD:
DATA [2024-Jan-31 23:27:16.858376] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:16.893349] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CC_SWAP_EUR_USD_RESET
DEBUG [2024-Jan-31 23:27:16.894348] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:16.895347] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:16.897347] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DATA [2024-Jan-31 23:27:16.905342] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
DATA [2024-Jan-31 23:27:16.908338] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(FX-ECB-USD-EUR): 2 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DATA [2024-Jan-31 23:27:16.909337] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
DEBUG [2024-Jan-31 23:27:16.910336] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:27:16.912346] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:16.913336] OREData/ored/utilities/marketdata.cpp:57 : Could not link EUR termstructure to cross currency yield curve __XCCY__-EUR so just using EUR discount curve.
...
NOTICE [2024-Jan-31 23:27:16.916344] OREData/ored/portfolio/legbuilders.cpp:98 : Building FX Resettable with first domestic notional specified explicitly
DEBUG [2024-Jan-31 23:27:16.917343] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:16.918343] OREData/ored/portfolio/legdata.cpp:2723 : Building Resetting XCCY Notional leg
DATA [2024-Jan-31 23:27:16.919342] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
DEBUG [2024-Jan-31 23:27:16.920341] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:27:16.921341] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:16.922341] OREData/ored/utilities/marketdata.cpp:57 : Could not link EUR termstructure to cross currency yield curve __XCCY__-EUR so just using EUR discount curve.
...
DEBUG [2024-Jan-31 23:27:16.925339] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+08 USD
DEBUG [2024-Jan-31 23:27:16.926338] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:27:16.927337] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:16.928337] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CC_SWAP_EUR_USD_RESET:
DATA [2024-Jan-31 23:27:16.936332] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:17.007291] OREData/ored/portfolio/creditdefaultswap.cpp:35 : CreditDefaultSwap::build() called for trade CDS
DEBUG [2024-Jan-31 23:27:17.008291] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:17.009291] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
ALERT [2024-Jan-31 23:27:17.012289] OREData/ored/portfolio/creditdefaultswap.cpp:152 : Credit reference data missing for entity BANK, isdaSubProduct left blank
DATA [2024-Jan-31 23:27:17.014279] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CDS:
DATA [2024-Jan-31 23:27:17.015283] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:27:17.016279] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CPI_Swap
DEBUG [2024-Jan-31 23:27:17.017278] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:17.018278] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:17.021274] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = GBP
...
DEBUG [2024-Jan-31 23:27:17.024277] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 GBP
DEBUG [2024-Jan-31 23:27:17.025285] OREData/ored/portfolio/swap.cpp:146 : npv currency is GBP
DEBUG [2024-Jan-31 23:27:17.026276] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:17.027273] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CPI_Swap:
DATA [2024-Jan-31 23:27:17.030269] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:27:17.053255] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade EQ_CALL_LUFT
NOTICE [2024-Jan-31 23:27:17.054266] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade EQ_CALL_LUFT
DATA [2024-Jan-31 23:27:17.055264] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_CALL_LUFT:
...
WARNING [2024-Jan-31 23:27:17.060261] OREData/ored/portfolio/equityforward.cpp:57 : No Strike Currency provide for trade EQ_FWD_LUFT, assuming trade currency EUR
...
NOTICE [2024-Jan-31 23:27:17.068266] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade EQ_PUT_LUFT
NOTICE [2024-Jan-31 23:27:17.069264] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade EQ_PUT_LUFT
...
DEBUG [2024-Jan-31 23:27:17.075254] OREData/ored/portfolio/swaption.cpp:65 : Swaption::build() for EUROPEAN_SWAPTION: build underlying swap
DEBUG [2024-Jan-31 23:27:17.076252] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade
DEBUG [2024-Jan-31 23:27:17.077251] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:17.078251] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:17.082244] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:27:17.088245] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:17.089245] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:27:17.089245] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:27:17.090245] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:27:17.091244] OREData/ored/portfolio/swaption.cpp:73 : Swaption::build() for EUROPEAN_SWAPTION: build exercise
DEBUG [2024-Jan-31 23:27:17.092243] OREData/ored/portfolio/optiondata.cpp:165 : Got notice date 2028-10-01 using notice period 0D, convention Unadjusted, calendar Null from exercise date October 1st, 2028
DEBUG [2024-Jan-31 23:27:17.093244] OREData/ored/portfolio/swaption.cpp:156 : Swaption::build() for EUROPEAN_SWAPTION: type: isCrossCcy = false, isOis = false, isBma = false, isStandard = true
DEBUG [2024-Jan-31 23:27:17.094242] OREData/ored/portfolio/swaption.cpp:304 : Building European Swaption EUROPEAN_SWAPTION
DATA [2024-Jan-31 23:27:17.095241] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
NOTICE [2024-Jan-31 23:27:17.099231] OREData/ored/portfolio/builders/swaption.cpp:71 : Build BachelierSwaptionEngine for currency EUR
DEBUG [2024-Jan-31 23:27:17.100241] OREData/ored/portfolio/swaption.cpp:343 : Building European Swaption done
DATA [2024-Jan-31 23:27:17.101247] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EUROPEAN_SWAPTION:
DATA [2024-Jan-31 23:27:17.105238] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:17.145205] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade FLOOR_EUR, leg type is Floating
DEBUG [2024-Jan-31 23:27:17.147203] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:17.149205] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:17.153209] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FLOOR_EUR:
DATA [2024-Jan-31 23:27:17.156206] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:17.178184] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade FLOOR_USD, leg type is Floating
DEBUG [2024-Jan-31 23:27:17.181190] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:17.183182] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:17.187193] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FLOOR_USD:
DATA [2024-Jan-31 23:27:17.192177] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:17.243147] OREData/ored/portfolio/fxforward.cpp:104 : Build FxForward with maturity date 2026-03-01 and pay date 2026-03-01
DATA [2024-Jan-31 23:27:17.245146] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FXFWD_EURUSD_10Y:
...
NOTICE [2024-Jan-31 23:27:17.247149] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade FX_CALL_OPTION
NOTICE [2024-Jan-31 23:27:17.248145] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to FxOption for trade FX_CALL_OPTION
...
DEBUG [2024-Jan-31 23:27:17.257141] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade SWAP_EUR
DEBUG [2024-Jan-31 23:27:17.258137] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:17.259139] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:17.262136] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:27:17.272130] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:17.273130] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:27:17.275129] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:27:17.276128] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:17.277128] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade SWAP_EUR:
DATA [2024-Jan-31 23:27:17.284122] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:17.330100] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade YearOnYear_Swap
DEBUG [2024-Jan-31 23:27:17.332100] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:17.333095] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:17.336095] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:27:17.339091] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:27:17.341093] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:27:17.343096] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:17.344091] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade YearOnYear_Swap:
DATA [2024-Jan-31 23:27:17.346087] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:27:17.363077] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 23, size now 23, built 0 failed trades, context is sensi analysis
NOTICE [2024-Jan-31 23:27:17.365078] OREAnalytics/orea/engine/sensitivityanalysis.cpp:101 : Build the cube object to store sensitivities
DEBUG [2024-Jan-31 23:27:17.378069] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 1
DEBUG [2024-Jan-31 23:27:17.379069] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:0W, Date:2016-02-05, Valuation:1, CloseOut:0
NOTICE [2024-Jan-31 23:27:17.381072] OREAnalytics/orea/engine/sensitivityanalysis.cpp:138 : Run Sensitivity Scenarios
NOTICE [2024-Jan-31 23:27:17.382070] OREAnalytics/orea/engine/valuationengine.cpp:83 : Build cube with mporStickyDate=1, dryRun=false
NOTICE [2024-Jan-31 23:27:17.383068] OREAnalytics/orea/engine/valuationengine.cpp:109 : Starting ValuationEngine for 23 trades, 1231 samples and 1 dates.
NOTICE [2024-Jan-31 23:27:17.384068] OREAnalytics/orea/engine/valuationengine.cpp:116 : Initialise 1 valuation calculators
DEBUG [2024-Jan-31 23:27:17.385067] OREAnalytics/orea/engine/valuationcalculator.cpp:32 : init NPVCalculator
NOTICE [2024-Jan-31 23:27:17.386066] OREAnalytics/orea/engine/valuationengine.cpp:127 : Initialise state objects...
DEBUG [2024-Jan-31 23:27:17.386066] OREAnalytics/orea/engine/valuationengine.cpp:133 : Initialise wrapper for trade BERMUDAN_SWAPTION
...
NOTICE [2024-Jan-31 23:27:17.416048] OREAnalytics/orea/engine/valuationengine.cpp:166 : Total number of trades = 23
DATA [2024-Jan-31 23:27:17.417048] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #0
NOTICE [2024-Jan-31 23:27:17.418047] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 0 out of 1231 steps (0%) completed
...
DEBUG [2024-Jan-31 23:27:17.430040] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.431039] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.435036] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.436036] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.438035] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.444031] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.447033] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.454037] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.456037] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.463032] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:17.464033] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.465032] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.467029] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #11
DEBUG [2024-Jan-31 23:27:17.468030] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.469029] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.473227] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.474226] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.476226] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.483213] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.485212] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.492208] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.494207] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.501203] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:17.502202] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.503202] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.505199] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #12
DEBUG [2024-Jan-31 23:27:17.506200] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.507199] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.512197] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.513196] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.515195] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.521191] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.523191] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.531027] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.534024] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.540021] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:17.541020] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.542019] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.545018] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #13
NOTICE [2024-Jan-31 23:27:17.545018] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 13 out of 1231 steps (1%) completed
DEBUG [2024-Jan-31 23:27:17.546017] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.547019] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.552014] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.553013] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.555012] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.561009] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.563009] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.570003] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.572003] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.577999] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:17.578998] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.579997] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.582996] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #14
DEBUG [2024-Jan-31 23:27:17.583996] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.584995] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.588993] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.589993] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.592002] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.597998] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.599996] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.606992] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.608991] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.615987] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:17.616987] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.616987] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.619985] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #15
DEBUG [2024-Jan-31 23:27:17.620984] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.621984] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.625981] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.626981] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.628980] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.634976] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.636976] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.643963] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.646959] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.652958] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:17.654956] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.655955] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.658954] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #16
DEBUG [2024-Jan-31 23:27:17.659954] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.660954] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.665958] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.666958] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.668957] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.674953] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.676952] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.683949] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.686938] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.694931] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:17.695943] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.697930] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.699928] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #17
DEBUG [2024-Jan-31 23:27:17.700928] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.701927] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.706924] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.707924] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.709923] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.714920] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.717918] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.724917] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.726916] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.733912] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:17.734921] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.734921] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.737917] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #18
DEBUG [2024-Jan-31 23:27:17.738917] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.739916] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.743914] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.744914] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.746902] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.752909] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.754908] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.761904] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.763904] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.770660] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:17.771659] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.772658] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.774657] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #19
DEBUG [2024-Jan-31 23:27:17.775656] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.776657] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.781653] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.782654] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.784644] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.790648] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.792647] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.799643] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.801642] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.807638] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:17.808638] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.809638] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.812636] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #20
...
NOTICE [2024-Jan-31 23:27:17.818632] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 25 out of 1231 steps (2%) completed
...
NOTICE [2024-Jan-31 23:27:17.831346] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 37 out of 1231 steps (3%) completed
...
NOTICE [2024-Jan-31 23:27:17.849338] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 50 out of 1231 steps (4%) completed
...
DEBUG [2024-Jan-31 23:27:17.855345] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.855345] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.860342] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.861342] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.863331] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.869326] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.871326] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.878321] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.880320] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.887316] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:17.888316] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.889315] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.892313] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #56
DEBUG [2024-Jan-31 23:27:17.892313] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.894313] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.899320] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.900320] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.902318] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.907316] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.910314] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.916310] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.918310] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.925305] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:17.926294] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.927293] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.930292] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #57
DEBUG [2024-Jan-31 23:27:17.931292] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.931292] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.936288] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.937288] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.939287] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.945294] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.947284] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.954289] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.956287] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.963284] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:17.963284] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:17.964284] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:17.967281] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #58
DEBUG [2024-Jan-31 23:27:17.968281] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:17.969280] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:17.973278] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:17.974278] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:17.976276] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:17.982273] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:17.984271] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:17.991260] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:17.993259] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.000254] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.001254] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.002253] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.004252] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #59
DEBUG [2024-Jan-31 23:27:18.005252] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.006251] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.011248] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.012248] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.014247] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.020243] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.023016] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.029012] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.032011] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.037999] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.038999] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.039998] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.042996] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #60
DEBUG [2024-Jan-31 23:27:18.043996] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.044995] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.048993] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.049993] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.051991] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.057996] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.059995] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.066991] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.068991] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.075986] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.076985] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.077985] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.079983] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #61
DEBUG [2024-Jan-31 23:27:18.080984] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.081983] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.086979] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.087979] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.089978] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.095974] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.097974] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.104969] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.106969] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.113953] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.50655e-14
DEBUG [2024-Jan-31 23:27:18.114964] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.115963] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.117962] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #62
NOTICE [2024-Jan-31 23:27:18.118961] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 62 out of 1231 steps (5%) completed
DEBUG [2024-Jan-31 23:27:18.120741] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.121754] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.125751] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.126751] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.128750] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.134735] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.136735] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.143730] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.145730] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.152736] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43725e-14
DEBUG [2024-Jan-31 23:27:18.153735] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.154735] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.156734] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #63
DEBUG [2024-Jan-31 23:27:18.157733] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.158723] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.163730] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.164731] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.166728] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.171725] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.174723] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.180710] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.183720] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.189716] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.523e-14
DEBUG [2024-Jan-31 23:27:18.190714] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.191716] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.193715] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #64
DEBUG [2024-Jan-31 23:27:18.194714] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.195714] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.200709] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.201709] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.203707] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.208704] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.211703] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.217699] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.219698] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.226694] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.227693] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.228694] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.230681] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #65
...
NOTICE [2024-Jan-31 23:27:18.240686] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 74 out of 1231 steps (6%) completed
...
NOTICE [2024-Jan-31 23:27:18.256677] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 87 out of 1231 steps (7%) completed
...
NOTICE [2024-Jan-31 23:27:18.270669] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 99 out of 1231 steps (8%) completed
...
DEBUG [2024-Jan-31 23:27:18.272668] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.273667] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.278479] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.279479] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.281479] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.287475] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.289474] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.296470] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.298469] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.305465] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.305465] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.306464] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.309462] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #101
DEBUG [2024-Jan-31 23:27:18.309462] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.310462] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.315459] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.316458] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.318457] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.324453] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.326452] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.332449] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.335447] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.341444] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.342444] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.343443] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.345442] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #102
DEBUG [2024-Jan-31 23:27:18.346442] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.347430] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.351438] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.352438] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.354437] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.360433] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.363431] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.369428] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.371428] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.378423] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.379422] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.380422] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.382420] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #103
DEBUG [2024-Jan-31 23:27:18.383410] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.384419] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.388417] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.389417] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.391415] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.397401] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.399410] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.406407] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.408405] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.415401] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.415401] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.416401] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.419392] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #104
DEBUG [2024-Jan-31 23:27:18.420391] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.421391] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.426395] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.427395] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.429394] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.435392] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.437389] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.444385] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.446383] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.452380] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.453380] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.454379] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.456380] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #105
DEBUG [2024-Jan-31 23:27:18.457378] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.458377] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.462374] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.463374] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.465373] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.471543] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.473552] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.480548] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.482547] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.489543] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.490543] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.491542] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.493541] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #106
DEBUG [2024-Jan-31 23:27:18.494540] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.495540] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.499537] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.500537] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.502536] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.508532] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.510531] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.517527] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.519525] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.525523] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.526523] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.527524] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.530290] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #107
DEBUG [2024-Jan-31 23:27:18.531291] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.532290] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.536287] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.537286] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.539285] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.545282] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.547280] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.553277] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.556275] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.563271] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.564260] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.565271] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.567269] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #108
DEBUG [2024-Jan-31 23:27:18.568269] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.568269] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.573266] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.574265] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.576264] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.582261] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.584259] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.591255] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.593255] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.599251] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.600250] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.601249] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.603248] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #109
DEBUG [2024-Jan-31 23:27:18.604248] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.605247] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.609246] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.610244] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.612243] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.618240] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.620239] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.627235] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.629234] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.636230] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.637229] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.638229] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.640228] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #110
DEBUG [2024-Jan-31 23:27:18.641228] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.642226] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.646224] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.647223] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.649222] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.655219] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.657218] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.664203] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.666212] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.673209] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.674208] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.674208] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.676207] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #111
NOTICE [2024-Jan-31 23:27:18.677206] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 111 out of 1231 steps (9%) completed
DEBUG [2024-Jan-31 23:27:18.678206] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.679205] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.684203] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.685202] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.688191] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.697196] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.700193] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.706190] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.709188] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.715187] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.716184] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.717183] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.719183] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #112
DEBUG [2024-Jan-31 23:27:18.720183] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.721182] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.725179] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.726178] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.728177] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.734174] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.736173] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.743168] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.745167] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.752164] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.753163] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.754162] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.756161] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #113
DEBUG [2024-Jan-31 23:27:18.757161] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.757161] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.762157] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.763157] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.765157] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.770934] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.772932] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.779928] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.781928] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.788923] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.789922] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.790922] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.792921] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #114
DEBUG [2024-Jan-31 23:27:18.793920] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.794920] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.798918] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.799917] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.801916] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.807912] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.809911] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.816907] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.818906] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.825902] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.825902] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.826901] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.828900] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #115
DEBUG [2024-Jan-31 23:27:18.829899] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.830899] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.835896] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.836896] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.838894] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.844891] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.846890] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.854885] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.857883] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.864881] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.864881] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.865879] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.867878] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #116
DEBUG [2024-Jan-31 23:27:18.868878] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.869877] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.874874] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.875873] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.876873] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.882870] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.885867] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.891864] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.893863] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.900860] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.901858] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.902858] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.904857] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #117
DEBUG [2024-Jan-31 23:27:18.905856] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.906856] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.910846] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.911846] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.916840] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.923846] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.925845] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.932842] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.934840] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.941836] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.942825] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.943825] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.945833] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #118
DEBUG [2024-Jan-31 23:27:18.946834] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.947833] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.952829] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.953830] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.955827] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.961824] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:18.963823] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.970819] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:18.972818] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:18.979804] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:18.980805] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:18.981805] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:18.984803] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #119
DEBUG [2024-Jan-31 23:27:18.985803] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:18.986802] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:18.990799] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:18.991799] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:18.993798] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:18.999794] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.002792] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.008797] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.011795] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.017783] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.018784] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.019792] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.022608] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #120
DEBUG [2024-Jan-31 23:27:19.023607] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.024605] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.029601] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.030601] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.032599] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.038585] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.040584] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.047580] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.049579] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.056575] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.057574] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.058573] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.061572] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #121
DEBUG [2024-Jan-31 23:27:19.062571] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.063571] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.067568] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.068568] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.070567] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.076563] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.078561] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.085559] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.087557] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.094553] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.095552] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.096552] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.098552] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #122
DEBUG [2024-Jan-31 23:27:19.100550] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.101550] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.105547] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.106546] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.108545] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.114542] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.116540] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.123547] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.125546] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.132542] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.132542] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.133542] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.136540] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #123
DEBUG [2024-Jan-31 23:27:19.137539] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.138539] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.142536] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.143536] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.145535] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.151531] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.153530] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.160526] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.162525] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.169521] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.170520] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.171520] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.174518] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #124
NOTICE [2024-Jan-31 23:27:19.175518] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 124 out of 1231 steps (10%) completed
DEBUG [2024-Jan-31 23:27:19.176517] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.176517] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.181503] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.182515] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.184513] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.190509] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.192508] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.200363] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.202362] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.209358] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:19.209358] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.210357] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.213355] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #125
DEBUG [2024-Jan-31 23:27:19.214355] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.215355] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.220351] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.221351] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.223350] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.228348] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.231334] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.237341] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.239340] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.246336] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:19.247336] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.248336] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.251334] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #126
DEBUG [2024-Jan-31 23:27:19.252333] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.253332] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.257330] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.258329] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.260329] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.266325] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.268323] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.275320] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.278350] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.285345] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:19.286345] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.286345] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.290343] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #127
DEBUG [2024-Jan-31 23:27:19.291342] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.291342] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.296339] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.297338] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.299337] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.305334] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.307342] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.314338] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.317325] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.323321] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.324321] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.325320] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.328319] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #128
...
NOTICE [2024-Jan-31 23:27:19.336314] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 136 out of 1231 steps (11%) completed
...
NOTICE [2024-Jan-31 23:27:19.349308] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 148 out of 1231 steps (12%) completed
...
NOTICE [2024-Jan-31 23:27:19.366307] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 161 out of 1231 steps (13%) completed
...
NOTICE [2024-Jan-31 23:27:19.387286] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 173 out of 1231 steps (14%) completed
...
DEBUG [2024-Jan-31 23:27:19.397279] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.403277] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.409272] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.412274] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.414271] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.424265] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.426264] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.436268] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.439256] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.446250] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.447250] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.450251] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.453258] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #182
DEBUG [2024-Jan-31 23:27:19.454254] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.455248] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.460243] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.461242] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.463241] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.472657] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.475653] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.485652] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.489644] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.497638] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.500641] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.501638] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.504647] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #183
DEBUG [2024-Jan-31 23:27:19.505638] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.506635] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.511631] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.512630] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.516629] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.526386] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.528533] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.538527] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.541526] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.550524] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.551523] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.553527] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.555518] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #184
DEBUG [2024-Jan-31 23:27:19.556517] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.558515] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.563511] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.566512] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.570516] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.578504] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.583502] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.595495] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.597493] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.608487] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.609486] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.610486] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.612485] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #185
NOTICE [2024-Jan-31 23:27:19.613484] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 185 out of 1231 steps (15%) completed
DEBUG [2024-Jan-31 23:27:19.614483] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.616486] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.620478] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.621478] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.623478] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.629474] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.632473] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.639469] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.641467] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.648463] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.649465] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.650464] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.652462] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #186
DEBUG [2024-Jan-31 23:27:19.653462] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.654460] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.658458] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.659457] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.661457] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.667453] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.670451] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.676447] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.678457] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.686443] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.687442] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.689440] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.691438] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #187
DEBUG [2024-Jan-31 23:27:19.692438] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.693438] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.698434] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.699445] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.701443] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.707439] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.709438] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.716435] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.718434] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.724430] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.725429] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.726429] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.728427] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #188
DEBUG [2024-Jan-31 23:27:19.729428] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.730427] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.734424] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.735424] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.737423] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.743419] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.745418] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.752406] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.755404] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.761401] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.762400] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.763399] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.765408] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #189
DEBUG [2024-Jan-31 23:27:19.766406] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.767406] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.771403] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.772403] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.774402] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.781184] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.783194] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.790190] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.792189] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.799177] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.800176] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.800176] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.803173] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #190
DEBUG [2024-Jan-31 23:27:19.804174] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.805173] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.809171] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.810171] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.812169] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.818166] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.821164] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.827160] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.830167] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.836153] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.837153] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.838152] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.840151] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #191
DEBUG [2024-Jan-31 23:27:19.841151] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.842150] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.846148] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.847147] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.851144] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.857141] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.859140] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.866138] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.868135] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.875131] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.876134] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.877132] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.879129] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #192
DEBUG [2024-Jan-31 23:27:19.880129] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.881128] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.886135] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.887134] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.888134] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.896118] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.898118] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.905124] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.907123] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.914108] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.915107] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.916119] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.918117] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #193
DEBUG [2024-Jan-31 23:27:19.919116] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.920116] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.925112] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.926112] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.927112] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.934097] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.936096] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.943092] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.945091] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.952086] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.952086] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.953086] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.956087] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #194
DEBUG [2024-Jan-31 23:27:19.957087] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.957087] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:19.962084] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:19.963083] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:19.965082] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:19.971079] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:19.974077] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.980073] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:19.983072] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:19.989068] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:19.990067] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:19.991067] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:19.993066] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #195
DEBUG [2024-Jan-31 23:27:19.994065] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:19.995065] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.000062] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.001061] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.003060] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.009057] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.011056] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.018052] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.020838] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.026833] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:20.027833] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.028832] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.030831] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #196
DEBUG [2024-Jan-31 23:27:20.031829] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.032831] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.037827] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.038827] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.040825] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.045822] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.047822] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.054817] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.056816] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.063812] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:20.064812] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.065813] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.067810] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #197
NOTICE [2024-Jan-31 23:27:20.068809] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 197 out of 1231 steps (16%) completed
DEBUG [2024-Jan-31 23:27:20.069809] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.070808] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.074816] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.075816] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.077814] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.083812] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.085810] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.092806] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.094804] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.101793] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:20.102792] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.103792] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.105790] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #198
DEBUG [2024-Jan-31 23:27:20.106790] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.107789] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.112786] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.113786] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.115794] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.120790] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.123788] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.129784] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.132784] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.138781] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:20.139779] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.140778] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.142777] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #199
DEBUG [2024-Jan-31 23:27:20.143777] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.144776] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.150772] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.151772] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.153771] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.159767] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.161767] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.168754] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.170753] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.177749] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:20.178749] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.179748] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.182746] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #200
DEBUG [2024-Jan-31 23:27:20.183746] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.184745] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.188743] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.189742] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.191741] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.197738] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.200736] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.206733] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.209732] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.216727] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:20.217726] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.217726] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.221724] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #201
DEBUG [2024-Jan-31 23:27:20.222723] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.223723] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.227719] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.228718] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.230717] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.236713] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.238712] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.245710] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.247709] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.254705] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:20.255704] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.256704] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.259702] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #202
DEBUG [2024-Jan-31 23:27:20.260702] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.261701] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.265697] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.267698] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.268697] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.275472] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.277471] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.284467] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.286466] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.293461] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:20.293461] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.294461] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.297459] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #203
DEBUG [2024-Jan-31 23:27:20.299458] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.301459] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.307455] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.308455] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.310454] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.317454] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.319449] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.328448] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.331440] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.342434] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:20.344432] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.346432] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.350430] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #204
DEBUG [2024-Jan-31 23:27:20.352428] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.353427] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.358428] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.359434] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.362424] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.372417] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.376415] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.386411] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.388410] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.397412] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:20.399402] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.401400] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.404398] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #205
DEBUG [2024-Jan-31 23:27:20.405397] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.406396] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.412396] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.413395] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.416393] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.423390] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.426393] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.435380] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.438378] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.446374] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.462e-14
DEBUG [2024-Jan-31 23:27:20.447373] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.448372] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.452371] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #206
DEBUG [2024-Jan-31 23:27:20.453370] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.454370] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.460372] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.461367] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.464363] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.471359] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.474359] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.484354] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.489349] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.501344] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47089e-14
DEBUG [2024-Jan-31 23:27:20.502343] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.503341] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.506340] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #207
DEBUG [2024-Jan-31 23:27:20.507340] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.509351] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.517335] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.518339] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.522332] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.529150] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.531149] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.541143] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.544142] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.551141] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.48054e-14
DEBUG [2024-Jan-31 23:27:20.552137] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.553136] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.556135] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #208
DEBUG [2024-Jan-31 23:27:20.557134] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.557134] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.562131] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.563131] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.565129] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.572125] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.575128] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.582121] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.584119] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.591114] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:20.592114] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.593113] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.596122] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #209
...
NOTICE [2024-Jan-31 23:27:20.597122] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 210 out of 1231 steps (17%) completed
...
NOTICE [2024-Jan-31 23:27:20.610104] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 222 out of 1231 steps (18%) completed
...
NOTICE [2024-Jan-31 23:27:20.623099] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 234 out of 1231 steps (19%) completed
...
NOTICE [2024-Jan-31 23:27:20.643088] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 247 out of 1231 steps (20%) completed
...
NOTICE [2024-Jan-31 23:27:20.658087] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 259 out of 1231 steps (21%) completed
...
NOTICE [2024-Jan-31 23:27:20.670081] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 271 out of 1231 steps (22%) completed
...
NOTICE [2024-Jan-31 23:27:20.686062] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 284 out of 1231 steps (23%) completed
...
NOTICE [2024-Jan-31 23:27:20.702054] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 296 out of 1231 steps (24%) completed
...
NOTICE [2024-Jan-31 23:27:20.713047] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 308 out of 1231 steps (25%) completed
...
NOTICE [2024-Jan-31 23:27:20.727047] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 321 out of 1231 steps (26%) completed
...
NOTICE [2024-Jan-31 23:27:20.739041] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 333 out of 1231 steps (27%) completed
...
NOTICE [2024-Jan-31 23:27:20.751034] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 345 out of 1231 steps (28%) completed
...
NOTICE [2024-Jan-31 23:27:20.763027] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 357 out of 1231 steps (29%) completed
...
NOTICE [2024-Jan-31 23:27:20.776019] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 370 out of 1231 steps (30%) completed
...
NOTICE [2024-Jan-31 23:27:20.788834] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 382 out of 1231 steps (31%) completed
...
NOTICE [2024-Jan-31 23:27:20.800817] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 394 out of 1231 steps (32%) completed
...
NOTICE [2024-Jan-31 23:27:20.815808] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 407 out of 1231 steps (33%) completed
...
NOTICE [2024-Jan-31 23:27:20.827801] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 419 out of 1231 steps (34%) completed
...
NOTICE [2024-Jan-31 23:27:20.840794] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 431 out of 1231 steps (35%) completed
...
DEBUG [2024-Jan-31 23:27:20.845801] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.846801] OREData/ored/model/lgmbuilder.cpp:317 : Skipping calibration as nothing has changed
...
NOTICE [2024-Jan-31 23:27:20.876773] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 444 out of 1231 steps (36%) completed
DEBUG [2024-Jan-31 23:27:20.877772] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.878772] OREData/ored/model/lgmbuilder.cpp:317 : Skipping calibration as nothing has changed
...
DEBUG [2024-Jan-31 23:27:20.880771] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.885768] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.886767] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.888766] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.894764] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.896764] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.903760] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.905759] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.912755] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 2.86593e-14
DEBUG [2024-Jan-31 23:27:20.913755] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.913755] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.916753] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #446
DEBUG [2024-Jan-31 23:27:20.917753] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.918752] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.922749] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.923758] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.925756] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.931752] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.933743] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.940737] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.942736] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.949732] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.64769e-14
DEBUG [2024-Jan-31 23:27:20.950731] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.950731] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.953730] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #447
DEBUG [2024-Jan-31 23:27:20.953730] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.954729] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:20.959726] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:20.960726] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:20.962725] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:20.968721] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:20.970720] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.977716] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:20.979715] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:20.986711] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:20.987721] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:20.987721] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:20.990718] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #448
DEBUG [2024-Jan-31 23:27:20.990718] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:20.991718] OREData/ored/model/lgmbuilder.cpp:317 : Skipping calibration as nothing has changed
...
NOTICE [2024-Jan-31 23:27:21.008708] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 456 out of 1231 steps (37%) completed
DEBUG [2024-Jan-31 23:27:21.009708] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.010707] OREData/ored/model/lgmbuilder.cpp:317 : Skipping calibration as nothing has changed
...
DEBUG [2024-Jan-31 23:27:21.013705] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.018477] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.019488] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.021486] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.028473] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.033473] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.041465] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.044471] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.053460] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 2.90635e-14
DEBUG [2024-Jan-31 23:27:21.053460] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.054460] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.057456] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #458
DEBUG [2024-Jan-31 23:27:21.058456] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.060461] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.065451] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.067453] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.069449] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.076460] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.080452] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.088438] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.090436] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.098444] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 2.35086e-14
DEBUG [2024-Jan-31 23:27:21.099431] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.101433] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.103429] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #459
DEBUG [2024-Jan-31 23:27:21.104428] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.105429] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.111432] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.113424] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.114422] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.122419] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.126422] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.135412] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.139408] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.148404] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.148404] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.150403] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.155399] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #460
...
NOTICE [2024-Jan-31 23:27:21.173400] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 468 out of 1231 steps (38%) completed
...
NOTICE [2024-Jan-31 23:27:21.199385] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 481 out of 1231 steps (39%) completed
...
NOTICE [2024-Jan-31 23:27:21.227373] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 493 out of 1231 steps (40%) completed
...
NOTICE [2024-Jan-31 23:27:21.256345] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 505 out of 1231 steps (41%) completed
...
NOTICE [2024-Jan-31 23:27:21.280330] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 518 out of 1231 steps (42%) completed
...
NOTICE [2024-Jan-31 23:27:21.299327] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 530 out of 1231 steps (43%) completed
...
NOTICE [2024-Jan-31 23:27:21.317306] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 542 out of 1231 steps (44%) completed
...
NOTICE [2024-Jan-31 23:27:21.336306] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 554 out of 1231 steps (45%) completed
...
NOTICE [2024-Jan-31 23:27:21.357283] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 567 out of 1231 steps (46%) completed
...
NOTICE [2024-Jan-31 23:27:21.378271] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 579 out of 1231 steps (47%) completed
...
NOTICE [2024-Jan-31 23:27:21.393263] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 591 out of 1231 steps (48%) completed
...
DEBUG [2024-Jan-31 23:27:21.404256] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.405256] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.410253] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.411253] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.413251] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.419248] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.421247] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.428243] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.430242] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.437237] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.438237] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.439236] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.442235] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #602
DEBUG [2024-Jan-31 23:27:21.443234] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.444234] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.448231] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.449231] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.451230] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.457226] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.459225] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.466221] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.469220] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.481412] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.483410] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.484410] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.486408] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #603
DEBUG [2024-Jan-31 23:27:21.487408] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.490406] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.494404] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.495403] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.497402] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.503398] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.506397] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.512404] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.515402] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.522387] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.522387] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.523387] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.527187] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #604
NOTICE [2024-Jan-31 23:27:21.528194] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 604 out of 1231 steps (49%) completed
DEBUG [2024-Jan-31 23:27:21.529192] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.530192] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.534179] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.535178] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.537177] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.544173] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.547171] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.554167] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.556167] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.563162] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.564162] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.564162] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.568160] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #605
DEBUG [2024-Jan-31 23:27:21.569159] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.570158] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.574156] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.575155] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.577154] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.583151] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.586150] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.593148] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.595146] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.602150] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.603150] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.604149] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.607137] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #606
DEBUG [2024-Jan-31 23:27:21.608136] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.609136] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.614133] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.615133] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.617131] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.623131] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.626137] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.632133] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.635121] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.642128] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:21.643118] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.644128] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.647114] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #607
DEBUG [2024-Jan-31 23:27:21.648113] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.649113] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.655111] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.656114] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.658111] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.664107] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.666106] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.673110] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.676109] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.682105] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:21.683093] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.686094] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.690090] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #608
DEBUG [2024-Jan-31 23:27:21.691090] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.693088] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.697096] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.698096] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.701083] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.706080] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.709079] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.715075] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.718074] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.725070] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:21.726069] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.726069] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.729067] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #609
DEBUG [2024-Jan-31 23:27:21.730067] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.731066] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.736063] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.737063] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.739062] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.745058] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.747057] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.754053] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.756053] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.764049] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.765048] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.766046] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.769044] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #610
DEBUG [2024-Jan-31 23:27:21.770044] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.771043] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.775041] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.777040] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.779920] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.785916] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.787915] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.794912] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.796911] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.803905] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.804905] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.805904] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.807904] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #611
DEBUG [2024-Jan-31 23:27:21.808903] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.809902] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.814900] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.815899] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.817899] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.823894] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.825893] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.832889] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.834888] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.841884] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.842883] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.843883] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.845881] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #612
DEBUG [2024-Jan-31 23:27:21.846881] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.848880] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.852877] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.853877] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.855876] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.861872] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.863871] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.870867] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.873867] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.880863] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.880863] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.881862] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.884859] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #613
DEBUG [2024-Jan-31 23:27:21.885859] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.886858] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.891855] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.892855] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.893854] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.899851] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.902849] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.908848] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.911846] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.918851] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.919850] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.919850] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.923837] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #614
DEBUG [2024-Jan-31 23:27:21.924837] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.925836] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.930833] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.931832] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.933833] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.939830] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.941828] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.948824] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.951832] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.959827] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.959827] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.960826] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:21.963825] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #615
DEBUG [2024-Jan-31 23:27:21.964824] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:21.965824] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:21.969822] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:21.970821] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:21.972820] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:21.978817] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:21.980816] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.988810] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:21.990809] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:21.996806] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:21.997806] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:21.998805] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.001804] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #616
NOTICE [2024-Jan-31 23:27:22.002803] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 616 out of 1231 steps (50%) completed
DEBUG [2024-Jan-31 23:27:22.003802] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.004801] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.008799] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.009799] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.011797] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.018542] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.020542] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.027537] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.029536] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.036543] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.037542] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.038541] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.040540] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #617
DEBUG [2024-Jan-31 23:27:22.041540] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.042540] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.046537] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.047537] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.050525] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.055521] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.058520] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.064516] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.068514] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.074521] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.075520] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.076520] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.079518] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #618
DEBUG [2024-Jan-31 23:27:22.080518] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.081518] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.085504] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.086503] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.088503] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.094499] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.096510] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.103494] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.106492] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.112500] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.113499] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.114498] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.117486] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #619
DEBUG [2024-Jan-31 23:27:22.118485] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.119485] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.123482] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.124482] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.126481] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.132477] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.135476] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.141473] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.144471] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.151468] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.152467] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.152467] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.155465] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #620
DEBUG [2024-Jan-31 23:27:22.156465] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.157465] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.162460] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.163459] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.165459] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.171456] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.173456] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.180452] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.182451] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.189456] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.190455] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.191455] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.193453] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #621
DEBUG [2024-Jan-31 23:27:22.194452] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.195452] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.200439] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.201438] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.203437] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.209433] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.211432] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.218439] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.220438] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.227422] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.228422] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.229433] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.232432] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #622
DEBUG [2024-Jan-31 23:27:22.233420] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.234419] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.239419] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.240418] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.242417] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.247414] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.250412] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.257408] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.259408] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.266403] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.267412] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.268411] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.271158] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #623
DEBUG [2024-Jan-31 23:27:22.272169] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.273167] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.277166] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.278165] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.280164] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.288149] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.291148] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.298144] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.300143] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.307148] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.308147] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.309146] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.311145] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #624
DEBUG [2024-Jan-31 23:27:22.312145] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.313144] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.318133] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.319133] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.321132] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.327128] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.329127] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.336120] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.339119] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.345115] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.346114] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.347114] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.350112] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #625
DEBUG [2024-Jan-31 23:27:22.351123] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.352122] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.357119] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.358118] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.360117] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.365114] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.368102] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.375098] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.377097] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.384094] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.385092] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.385092] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.388090] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #626
DEBUG [2024-Jan-31 23:27:22.389090] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.390091] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.394087] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.395086] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.397085] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.404082] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.406081] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.413077] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.415076] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.422071] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.423070] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.424070] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.426069] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #627
DEBUG [2024-Jan-31 23:27:22.427068] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.428068] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.433065] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.434075] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.436074] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.442070] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.444069] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.451055] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.454053] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.461050] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.461050] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.462059] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.465057] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #628
NOTICE [2024-Jan-31 23:27:22.466057] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 628 out of 1231 steps (51%) completed
DEBUG [2024-Jan-31 23:27:22.467045] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.468045] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.473250] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.474249] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.476248] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.482244] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.484233] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.491228] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.493238] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.500234] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.501226] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.502225] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.505222] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #629
DEBUG [2024-Jan-31 23:27:22.506222] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.507222] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.511228] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.512227] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.514226] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.520211] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.523210] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.529991] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.531989] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.538974] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.539974] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.540973] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.543972] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #630
DEBUG [2024-Jan-31 23:27:22.544971] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.545970] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.549968] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.550979] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.552977] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.558974] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.560972] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.567970] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.570967] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.576963] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.577963] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.578962] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.581960] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #631
DEBUG [2024-Jan-31 23:27:22.582960] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.583949] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.588957] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.589956] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.591955] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.597952] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.599950] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.606948] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.608945] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.615941] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.616941] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.617943] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.620939] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #632
DEBUG [2024-Jan-31 23:27:22.621940] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.622939] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.626936] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.627936] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.629935] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.635930] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.637928] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.644925] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.646924] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.653919] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.654919] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.654919] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.657917] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #633
DEBUG [2024-Jan-31 23:27:22.658917] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.659916] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.664913] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.665912] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.667904] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.673900] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.675899] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.685892] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.687890] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.694897] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:22.695895] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.696895] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.699893] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #634
DEBUG [2024-Jan-31 23:27:22.700882] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.701893] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.705890] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.706889] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.708888] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.714885] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.716883] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.723880] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.725879] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.732875] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:22.733874] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.733874] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.736872] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #635
DEBUG [2024-Jan-31 23:27:22.738871] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.739870] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.743868] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.744868] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.746866] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.752863] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.754862] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.761859] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.763857] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.770852] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:22.771852] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.771852] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.774851] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #636
DEBUG [2024-Jan-31 23:27:22.775850] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.777652] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.781660] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.782660] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.784659] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.790654] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.792654] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.799650] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.801649] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.808645] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.809644] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.810643] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.813641] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #637
DEBUG [2024-Jan-31 23:27:22.814641] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.815640] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.819638] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.820638] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.822636] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.828633] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.830632] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.837628] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.839626] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.846622] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.847622] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.847622] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.851610] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #638
DEBUG [2024-Jan-31 23:27:22.852609] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.853608] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.857608] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.858608] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.860607] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.866603] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.869601] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.876605] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.878604] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.884602] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.885600] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.886600] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.889600] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #639
DEBUG [2024-Jan-31 23:27:22.890599] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.891597] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.896594] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.897593] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.898594] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.905581] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.907579] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.914576] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.916575] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.923578] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:22.924578] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.924578] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.927576] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #640
DEBUG [2024-Jan-31 23:27:22.928576] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.929575] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.933573] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.935573] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.936571] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.942568] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.945566] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.951564] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.953562] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.960557] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:22.961557] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:22.962546] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:22.965545] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #641
NOTICE [2024-Jan-31 23:27:22.966544] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 641 out of 1231 steps (52%) completed
DEBUG [2024-Jan-31 23:27:22.968543] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:22.969542] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:22.973539] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:22.974539] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:22.976538] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:22.982534] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:22.985544] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:22.992539] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:22.994538] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.001524] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:23.002523] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.003522] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.005521] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #642
DEBUG [2024-Jan-31 23:27:23.006520] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.007520] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.012517] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.013516] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.015526] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.021523] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.023521] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.030266] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.032276] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.039272] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:23.040271] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.040271] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.043269] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #643
DEBUG [2024-Jan-31 23:27:23.044268] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.045257] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.049266] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.050265] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.052264] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.058261] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.060259] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.067245] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.069244] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.076239] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.077239] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.078238] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.080237] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #644
DEBUG [2024-Jan-31 23:27:23.081237] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.082236] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.087233] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.088233] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.090232] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.096229] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.098237] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.104234] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.107232] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.113229] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.114229] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.115228] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.117227] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #645
DEBUG [2024-Jan-31 23:27:23.118228] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.119226] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.124223] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.125222] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.127221] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.133218] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.135217] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.142213] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.144211] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.151200] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.151200] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.152208] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.155205] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #646
DEBUG [2024-Jan-31 23:27:23.156206] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.157205] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.161202] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.162203] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.164201] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.170199] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.172198] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.179192] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.181190] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.188187] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.189186] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.189186] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.192184] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #647
DEBUG [2024-Jan-31 23:27:23.193183] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.194183] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.198180] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.199180] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.201168] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.207175] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.209175] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.216170] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.218171] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.225166] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.226165] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.227164] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.229163] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #648
DEBUG [2024-Jan-31 23:27:23.230163] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.231162] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.236159] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.237158] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.239157] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.245154] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.247153] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.254148] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.257147] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.263143] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.264143] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.265142] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.268217] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #649
DEBUG [2024-Jan-31 23:27:23.269229] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.270227] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.274224] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.275224] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.277223] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.283219] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.286218] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.292214] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.294213] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.301198] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.302198] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.303197] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.306195] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #650
DEBUG [2024-Jan-31 23:27:23.307195] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.308194] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.312192] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.313191] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.315191] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.321187] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.323186] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.330182] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.332193] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.339187] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.340188] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.341186] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.343185] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #651
DEBUG [2024-Jan-31 23:27:23.344185] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.345184] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.350170] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.351170] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.353168] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.358165] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.361164] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.367160] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.370159] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.376156] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.377155] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.378154] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.381152] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #652
DEBUG [2024-Jan-31 23:27:23.382152] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.383152] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.387149] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.388149] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.390147] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.396145] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.398154] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.405150] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.407148] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.414145] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.415144] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.415144] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.418143] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #653
NOTICE [2024-Jan-31 23:27:23.419142] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 653 out of 1231 steps (53%) completed
DEBUG [2024-Jan-31 23:27:23.420141] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.421141] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.425138] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.426138] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.428137] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.434133] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.436132] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.443128] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.445127] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.452124] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.453122] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.454121] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.456120] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #654
DEBUG [2024-Jan-31 23:27:23.457120] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.458119] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.463116] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.464116] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.466115] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.472140] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.474344] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.481338] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.483338] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.490333] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.491333] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.492332] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.495330] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #655
DEBUG [2024-Jan-31 23:27:23.496330] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.497330] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.501327] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.502327] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.504326] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.510324] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.512324] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.519319] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.522072] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.528080] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.529080] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.530078] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.533077] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #656
DEBUG [2024-Jan-31 23:27:23.534077] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.535078] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.540072] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.541073] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.543072] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.548069] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.550066] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.557062] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.559061] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.566057] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.567057] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.568045] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.570055] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #657
DEBUG [2024-Jan-31 23:27:23.571054] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.572054] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.577051] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.578050] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.580049] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.586047] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.588045] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.595041] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.597039] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.604036] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.604036] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.605035] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.608033] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #658
DEBUG [2024-Jan-31 23:27:23.609033] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.610033] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.614029] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.615029] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.617028] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.623025] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.626023] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.632020] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.635019] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.641014] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.642014] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.643014] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.646012] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #659
DEBUG [2024-Jan-31 23:27:23.647012] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.648011] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.652009] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.653008] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.655007] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.660993] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.663003] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.671986] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.673985] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.681982] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.685979] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.687977] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.691975] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #660
DEBUG [2024-Jan-31 23:27:23.692985] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.693985] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.698982] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.699982] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.701969] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.708965] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.710964] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.721958] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.723956] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.730952] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.731952] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.732951] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.734950] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #661
DEBUG [2024-Jan-31 23:27:23.735950] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.736949] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.741946] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.742946] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.744947] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.750942] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.753940] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.759937] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.762934] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.768943] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.769941] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.770940] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.773938] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #662
DEBUG [2024-Jan-31 23:27:23.774938] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.775937] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.780736] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.781736] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.783735] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.789731] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.791729] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.797727] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.800725] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.806723] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.807720] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.808721] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.811720] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #663
DEBUG [2024-Jan-31 23:27:23.812718] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.813717] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.817715] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.818716] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.820714] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.826711] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.828710] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.835706] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.837703] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.844700] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.845699] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.846699] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.849686] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #664
DEBUG [2024-Jan-31 23:27:23.850685] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.851685] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.856693] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.857692] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.859691] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.864688] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.867686] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.873683] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.876681] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.882678] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.883677] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.884677] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.887675] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #665
NOTICE [2024-Jan-31 23:27:23.888675] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 665 out of 1231 steps (54%) completed
DEBUG [2024-Jan-31 23:27:23.889674] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.890673] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.894671] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.895670] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.897669] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.903656] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.905665] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.912660] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.914660] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.921647] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.922647] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.923646] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.926644] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #666
DEBUG [2024-Jan-31 23:27:23.927644] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.928644] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.932641] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.933641] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.936639] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.942635] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.944633] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.951628] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.953627] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.960622] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:23.961622] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.961622] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:23.964620] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #667
DEBUG [2024-Jan-31 23:27:23.965620] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:23.966619] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:23.971616] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:23.972616] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:23.974615] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:23.980611] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:23.982610] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.989606] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:23.991605] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:23.998601] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:23.998601] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:23.999602] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.002600] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #668
DEBUG [2024-Jan-31 23:27:24.003599] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.004598] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.009595] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.010595] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.012594] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.018593] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.020599] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.026595] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.029347] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.036353] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:24.037352] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.038352] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.041350] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #669
DEBUG [2024-Jan-31 23:27:24.042350] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.043350] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.047347] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.048346] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.050345] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.056342] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.058341] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.065337] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.067337] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.074333] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:24.074333] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.075333] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.079318] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #670
DEBUG [2024-Jan-31 23:27:24.080317] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.081317] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.086314] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.087313] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.088313] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.094310] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.097307] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.103304] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.106302] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.112310] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.113309] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.114309] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.117307] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #671
DEBUG [2024-Jan-31 23:27:24.118295] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.119307] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.123303] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.124303] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.126302] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.132299] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.134297] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.141294] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.143292] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.150288] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.151288] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.152288] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.154286] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #672
DEBUG [2024-Jan-31 23:27:24.155285] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.156285] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.161281] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.162281] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.164280] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.170277] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.172276] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.178272] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.181271] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.187267] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.188267] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.189266] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.192264] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #673
DEBUG [2024-Jan-31 23:27:24.192264] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.193264] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.198260] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.199260] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.201259] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.207256] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.209254] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.216250] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.218249] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.225245] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:24.226244] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.226244] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.229243] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #674
DEBUG [2024-Jan-31 23:27:24.230243] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.231241] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.235229] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.237239] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.238238] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.244225] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.246233] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.253230] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.255228] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.262224] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:24.263224] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.264223] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.266221] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #675
DEBUG [2024-Jan-31 23:27:24.267221] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.269191] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.273191] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.274191] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.277189] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.282186] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.285185] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.292189] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.294188] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.301184] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:24.301184] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.302184] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.305181] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #676
DEBUG [2024-Jan-31 23:27:24.306180] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.307180] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.311177] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.312177] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.314176] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.320172] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.322172] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.329168] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.331166] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.338162] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.339161] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.340161] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.342160] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #677
DEBUG [2024-Jan-31 23:27:24.343159] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.344159] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.349156] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.350156] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.352147] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.358151] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.360150] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.367146] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.369145] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.376141] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.376141] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.377140] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.380138] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #678
NOTICE [2024-Jan-31 23:27:24.381138] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 678 out of 1231 steps (55%) completed
DEBUG [2024-Jan-31 23:27:24.382137] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.383137] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.387134] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.388133] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.390132] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.396118] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.398118] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.405113] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.407112] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.414120] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.415119] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.416119] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.418117] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #679
DEBUG [2024-Jan-31 23:27:24.419117] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.420115] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.425114] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.426114] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.428112] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.433110] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.436108] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.443103] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.445101] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.451097] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.452086] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.453098] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.456095] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #680
DEBUG [2024-Jan-31 23:27:24.457094] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.458094] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.462091] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.463091] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.465090] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.471086] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.473312] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.480308] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.482307] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.489306] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.489306] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.490303] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.493301] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #681
DEBUG [2024-Jan-31 23:27:24.494301] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.495301] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.499297] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.500296] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.502286] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.508293] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.510292] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.517289] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.519287] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.526087] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.527086] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.528086] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.531084] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #682
DEBUG [2024-Jan-31 23:27:24.531084] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.532083] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.537081] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.538080] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.540079] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.546075] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.548074] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.555070] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.557069] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.563065] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.564065] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.565064] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.568063] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #683
DEBUG [2024-Jan-31 23:27:24.569063] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.570052] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.574059] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.575059] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.577058] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.583054] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.585046] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.593038] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.595037] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.602033] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.603032] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.604031] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.607030] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #684
DEBUG [2024-Jan-31 23:27:24.608029] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.609028] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.613026] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.614026] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.616025] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.622021] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.624020] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.631016] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.634014] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.640011] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.641010] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.642010] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.645008] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #685
DEBUG [2024-Jan-31 23:27:24.646007] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.647007] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.651005] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.652004] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.654003] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.659999] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.661999] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.668995] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.671995] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.677992] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.678991] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.681989] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.686986] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #686
DEBUG [2024-Jan-31 23:27:24.687984] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.688983] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.693980] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.694979] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.696979] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.702975] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.704974] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.710970] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.713979] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.719966] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.720965] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.721964] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.724962] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #687
DEBUG [2024-Jan-31 23:27:24.725962] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.726961] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.730959] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.731958] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.733957] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.739954] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.741953] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.748950] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.750949] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.757945] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.758944] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.759944] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.761943] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #688
DEBUG [2024-Jan-31 23:27:24.762942] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.763942] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.768939] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.769940] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.771939] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.777765] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.780763] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.786760] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.789758] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.795754] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.796754] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.797754] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.800751] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #689
DEBUG [2024-Jan-31 23:27:24.801751] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.802752] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.806748] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.807748] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.809747] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.815743] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.817742] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.824738] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.826736] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.832730] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.833733] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.834732] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.837730] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #690
NOTICE [2024-Jan-31 23:27:24.838730] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 690 out of 1231 steps (56%) completed
DEBUG [2024-Jan-31 23:27:24.839730] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.840729] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.844726] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.845726] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.847725] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.853721] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.855721] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.862716] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.864715] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.871712] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.872711] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.872711] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.875709] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #691
DEBUG [2024-Jan-31 23:27:24.876708] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.877707] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.881705] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.882705] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.884704] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.890700] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.892699] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.899695] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.901694] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.908690] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.909689] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.910689] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.912687] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #692
DEBUG [2024-Jan-31 23:27:24.913687] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.914687] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.919685] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.920683] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.922682] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.927680] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.930677] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.936675] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.939672] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.945670] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.946668] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.947667] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.950667] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #693
DEBUG [2024-Jan-31 23:27:24.951666] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.952666] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.956662] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.957662] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.959660] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:24.965658] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:24.967656] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.974652] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:24.976651] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:24.983647] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:24.983647] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:24.984647] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:24.987645] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #694
DEBUG [2024-Jan-31 23:27:24.988644] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:24.989644] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:24.993641] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:24.994641] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:24.996640] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.002627] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.004635] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.011631] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.013630] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.020626] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.021625] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.021625] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.024623] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #695
DEBUG [2024-Jan-31 23:27:25.026623] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.026623] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.031417] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.032416] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.034415] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.040412] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.042410] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.049407] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.051405] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.058401] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.059401] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.060401] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.063399] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #696
DEBUG [2024-Jan-31 23:27:25.064398] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.065397] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.069396] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.070395] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.072393] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.078390] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.080389] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.087385] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.089384] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.096380] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.096380] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.097379] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.100378] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #697
DEBUG [2024-Jan-31 23:27:25.101377] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.102365] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.107373] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.108373] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.110372] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.116368] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.118367] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.124364] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.127362] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.133359] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.134358] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.135358] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.138356] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #698
DEBUG [2024-Jan-31 23:27:25.139355] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.140355] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.144352] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.145352] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.147351] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.153348] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.156336] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.162331] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.165330] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.172328] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.172328] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.173328] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.176326] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #699
DEBUG [2024-Jan-31 23:27:25.177326] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.178325] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.183322] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.184322] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.186321] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.192325] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.194324] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.201320] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.203320] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.210315] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.211314] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.212314] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.215312] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #700
DEBUG [2024-Jan-31 23:27:25.216311] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.217301] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.221309] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.222308] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.224308] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.230303] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.232302] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.239298] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.241297] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.248293] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:25.249293] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.249293] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.252291] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #701
DEBUG [2024-Jan-31 23:27:25.254290] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.255289] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.259286] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.260286] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.262285] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.268078] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.271078] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.277075] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.280073] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.287070] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:25.288069] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.289068] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.292066] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #702
NOTICE [2024-Jan-31 23:27:25.293065] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 702 out of 1231 steps (57%) completed
DEBUG [2024-Jan-31 23:27:25.294065] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.295065] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.300070] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.301069] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.303069] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.308065] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.311063] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.317060] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.320060] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.326055] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:25.327054] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.328054] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.331042] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #703
DEBUG [2024-Jan-31 23:27:25.332041] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.333040] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.340039] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.342038] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.344045] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.353029] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.355030] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.362035] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.364033] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.371030] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.372029] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.373028] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.376026] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #704
DEBUG [2024-Jan-31 23:27:25.377026] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.377026] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.382023] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.383023] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.385021] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.391018] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.393017] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.400013] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.402012] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.409008] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.410007] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.411007] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.413005] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #705
DEBUG [2024-Jan-31 23:27:25.414005] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.415004] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.419002] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.421001] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.422000] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.427997] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.430995] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.436993] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.438990] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.445987] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:25.446986] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.447986] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.449984] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #706
DEBUG [2024-Jan-31 23:27:25.450984] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.451983] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.456981] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.457980] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.459979] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.465975] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.467974] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.475308] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.478316] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.485311] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:25.486300] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.486300] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.489308] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #707
DEBUG [2024-Jan-31 23:27:25.490308] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.491307] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.495305] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.496304] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.498303] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.504300] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.506299] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.513294] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.515293] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.522159] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:25.523158] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.524158] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.527156] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #708
DEBUG [2024-Jan-31 23:27:25.528156] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.529155] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.533152] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.534152] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.537140] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.543136] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.545135] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.552142] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.554141] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.561136] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.561136] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.562136] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.565134] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #709
DEBUG [2024-Jan-31 23:27:25.566134] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.567133] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.571131] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.572130] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.574129] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.580126] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.582125] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.591109] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.593108] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.600116] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.600116] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.601114] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.604113] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #710
DEBUG [2024-Jan-31 23:27:25.605112] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.606111] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.610109] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.611108] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.613096] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.619103] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.621102] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.628098] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.630097] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.637094] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.638093] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.638093] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.641091] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #711
DEBUG [2024-Jan-31 23:27:25.642090] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.643090] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.648089] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.649086] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.651086] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.657082] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.659080] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.666077] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.668075] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.674072] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.675072] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.676071] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.679069] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #712
DEBUG [2024-Jan-31 23:27:25.681059] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.682058] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.689055] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.690055] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.692054] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.698050] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.700049] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.707045] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.709044] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.716048] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.717047] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.718047] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.720046] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #713
DEBUG [2024-Jan-31 23:27:25.721046] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.722044] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.727042] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.728041] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.730040] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.736037] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.738035] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.745023] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.747022] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.754018] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.755018] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.755018] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.758015] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #714
NOTICE [2024-Jan-31 23:27:25.759016] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 714 out of 1231 steps (58%) completed
DEBUG [2024-Jan-31 23:27:25.760015] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.761015] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.766011] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.767011] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.769009] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.774815] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.776824] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.783820] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.785820] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.792815] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.793815] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.794814] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.796813] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #715
DEBUG [2024-Jan-31 23:27:25.797813] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.798812] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.802809] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.804809] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.806809] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.811804] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.814802] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.820801] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.823798] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.829795] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.830794] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.831793] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.833792] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #716
DEBUG [2024-Jan-31 23:27:25.834791] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.835791] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.840787] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.841787] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.843786] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.849772] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.851782] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.858778] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.860776] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.867772] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.868772] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.869761] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.871770] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #717
DEBUG [2024-Jan-31 23:27:25.872770] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.873769] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.878766] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.879766] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.881765] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.887761] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.890759] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.896756] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.898755] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.905751] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.906750] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.907750] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.909749] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #718
DEBUG [2024-Jan-31 23:27:25.910748] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.911747] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.916744] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.917745] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.919732] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.925739] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.927738] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.933736] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.936734] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.942730] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.943729] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.944728] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.946727] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #719
DEBUG [2024-Jan-31 23:27:25.947727] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.948726] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.953724] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.954723] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.956722] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:25.962718] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:25.964717] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.971714] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:25.973713] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:25.979710] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:25.980708] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:25.981700] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:25.984697] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #720
DEBUG [2024-Jan-31 23:27:25.985697] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:25.986694] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:25.991693] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:25.992693] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:25.994692] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.000688] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.002687] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.009683] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.011682] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.018675] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.019675] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.020674] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.023672] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #721
DEBUG [2024-Jan-31 23:27:26.024672] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.024672] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.029473] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.030471] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.032470] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.038466] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.040465] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.047461] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.049460] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.056456] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.057456] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.058455] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.061444] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #722
DEBUG [2024-Jan-31 23:27:26.062442] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.064452] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.069438] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.070437] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.072437] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.078433] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.080432] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.087428] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.089427] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.096422] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.097422] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.097422] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.100420] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #723
DEBUG [2024-Jan-31 23:27:26.101419] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.102419] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.106417] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.108417] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.109415] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.115411] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.117410] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.124407] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.126405] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.133401] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.134401] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.135400] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.137400] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #724
DEBUG [2024-Jan-31 23:27:26.138398] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.139398] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.144395] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.145394] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.146394] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.152390] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.155389] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.161396] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.163395] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.170393] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.171380] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.172379] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.175377] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #725
DEBUG [2024-Jan-31 23:27:26.176377] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.177376] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.181374] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.182373] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.184372] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.191371] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.193369] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.200366] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.202364] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.209358] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.210357] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.210357] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.213355] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #726
DEBUG [2024-Jan-31 23:27:26.214355] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.215354] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.220354] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.221354] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.223353] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.229349] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.231348] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.238352] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.240351] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.247347] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.248347] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.248347] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.252333] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #727
NOTICE [2024-Jan-31 23:27:26.253333] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 727 out of 1231 steps (59%) completed
DEBUG [2024-Jan-31 23:27:26.254332] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.255332] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.259330] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.260329] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.262328] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.269143] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.271142] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.278137] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.280127] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.287121] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.287121] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.288132] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.291130] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #728
DEBUG [2024-Jan-31 23:27:26.292129] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.293129] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.298127] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.299126] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.301124] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.307121] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.309120] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.315117] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.318114] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.324111] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.325111] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.326110] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.329108] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #729
DEBUG [2024-Jan-31 23:27:26.330109] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.331107] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.336104] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.337104] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.339102] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.344099] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.347098] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.353094] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.355093] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.362079] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.363078] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.364077] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.367076] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #730
DEBUG [2024-Jan-31 23:27:26.368075] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.369074] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.374072] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.375071] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.377070] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.383066] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.385065] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.392061] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.394072] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.401067] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.401067] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.402066] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.405065] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #731
DEBUG [2024-Jan-31 23:27:26.406064] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.407065] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.412061] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.413061] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.415059] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.421057] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.423055] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.430050] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.432049] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.439045] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.439045] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.440045] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.443043] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #732
DEBUG [2024-Jan-31 23:27:26.444042] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.445042] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.450039] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.451038] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.453038] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.459034] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.461033] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.467030] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.470028] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.476207] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:26.477207] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.478205] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.481204] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #733
DEBUG [2024-Jan-31 23:27:26.482204] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.483203] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.488202] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.489199] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.491198] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.497195] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.499194] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.506190] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.508188] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.515184] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:26.516184] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.517183] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.519948] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #734
DEBUG [2024-Jan-31 23:27:26.520947] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.521946] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.526944] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.527942] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.528941] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.534938] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.536925] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.543932] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.545931] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.552927] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:26.553927] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.554926] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.557924] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #735
DEBUG [2024-Jan-31 23:27:26.558924] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.559923] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.563920] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.564920] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.566919] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.572915] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.574914] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.581910] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.583909] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.590905] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.590905] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.591904] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.594903] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #736
DEBUG [2024-Jan-31 23:27:26.595903] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.596901] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.601899] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.602898] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.604897] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.609894] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.612893] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.618889] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.621888] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.627884] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:26.628883] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.629883] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.632881] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #737
DEBUG [2024-Jan-31 23:27:26.633881] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.634880] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.638878] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.639877] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.641876] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.647872] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.649871] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.656867] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.658866] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.665862] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:26.666862] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.667862] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.669860] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #738
DEBUG [2024-Jan-31 23:27:26.670861] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.671859] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.676857] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.677855] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.681843] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.688841] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.690840] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.697836] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.699835] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.706831] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:26.707830] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.708829] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.710828] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #739
NOTICE [2024-Jan-31 23:27:26.711828] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 739 out of 1231 steps (60%) completed
DEBUG [2024-Jan-31 23:27:26.712827] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.713827] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.718823] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.719823] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.721822] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.727818] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.729818] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.736813] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.738812] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.745808] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.746808] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.747807] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.749805] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #740
DEBUG [2024-Jan-31 23:27:26.750806] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.751805] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.756802] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.757802] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.759801] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.765797] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.767796] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.774574] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.777572] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.783568] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.784568] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.785567] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.788566] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #741
DEBUG [2024-Jan-31 23:27:26.789565] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.790565] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.794562] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.795562] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.797560] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.803557] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.805556] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.812552] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.814551] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.821548] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.822546] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.822546] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.825544] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #742
DEBUG [2024-Jan-31 23:27:26.826544] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.827544] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.831551] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.832550] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.834549] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.840546] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.843544] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.850529] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.852539] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.859535] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.859535] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.860534] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.863533] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #743
DEBUG [2024-Jan-31 23:27:26.864532] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.865531] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.869529] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.870518] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.872528] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.878524] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.880524] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.887520] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.889518] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.896514] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.896514] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.897513] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.900512] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #744
DEBUG [2024-Jan-31 23:27:26.901511] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.902510] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.906508] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.907508] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.909506] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.915503] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.917502] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.924498] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.926497] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.933493] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.934493] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.934493] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.937491] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #745
DEBUG [2024-Jan-31 23:27:26.938490] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.939489] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.943478] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.944487] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.946485] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.952482] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.954482] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.961477] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:26.963476] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.970460] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:26.971473] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:26.972470] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:26.974469] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #746
DEBUG [2024-Jan-31 23:27:26.975469] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:26.976468] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:26.981465] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:26.982465] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:26.984463] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:26.990461] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:26.992459] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:26.999447] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.001443] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.008442] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.009441] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.010441] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.013439] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #747
DEBUG [2024-Jan-31 23:27:27.014439] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.014439] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.019436] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.020435] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.022434] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.029243] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.031242] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.038238] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.040237] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.047233] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.048232] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.049232] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.051230] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #748
DEBUG [2024-Jan-31 23:27:27.052230] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.053230] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.058226] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.059225] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.061223] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.067219] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.069219] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.076217] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.079214] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.085211] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.086211] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.087207] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.090207] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #749
DEBUG [2024-Jan-31 23:27:27.091208] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.092207] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.096205] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.097204] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.099203] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.105200] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.108198] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.115194] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.117192] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.124189] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.125188] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.125188] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.128186] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #750
DEBUG [2024-Jan-31 23:27:27.129186] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.130185] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.135182] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.136182] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.138181] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.144178] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.146177] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.153172] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.155171] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.162167] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.163166] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.163166] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.166164] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #751
NOTICE [2024-Jan-31 23:27:27.167164] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 751 out of 1231 steps (61%) completed
DEBUG [2024-Jan-31 23:27:27.168164] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.169163] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.174160] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.175159] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.177159] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.183155] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.185154] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.192148] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.194147] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.201143] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.202143] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.202143] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.205141] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #752
DEBUG [2024-Jan-31 23:27:27.206140] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.207140] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.211137] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.212137] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.214136] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.220132] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.222131] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.229127] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.231126] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.238133] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.239131] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.240131] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.242129] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #753
DEBUG [2024-Jan-31 23:27:27.243129] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.244128] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.249125] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.250115] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.252113] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.258109] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.261108] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.268115] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.270113] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.277109] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.277109] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.278109] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.280879] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #754
DEBUG [2024-Jan-31 23:27:27.281890] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.282889] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.287887] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.288886] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.290884] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.296882] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.298879] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.305875] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.307875] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.314862] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.315859] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.316861] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.318859] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #755
DEBUG [2024-Jan-31 23:27:27.319859] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.320859] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.325856] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.326855] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.328854] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.334850] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.336849] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.343845] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.345845] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.352840] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.353840] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.354840] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.356838] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #756
DEBUG [2024-Jan-31 23:27:27.358837] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.358837] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.363832] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.364832] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.366830] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.372827] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.374826] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.381616] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.384614] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.390611] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.391610] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.392610] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.395608] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #757
DEBUG [2024-Jan-31 23:27:27.396608] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.397607] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.401605] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.402604] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.404604] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.410599] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.412598] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.419594] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.421604] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.428591] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.429590] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.430590] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.433588] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #758
DEBUG [2024-Jan-31 23:27:27.434588] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.435587] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.440592] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.441592] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.442591] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.448588] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.451586] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.457582] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.460581] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.466577] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.467577] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.468576] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.471753] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #759
DEBUG [2024-Jan-31 23:27:27.472763] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.473762] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.477760] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.478759] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.480758] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.486755] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.489753] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.495750] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.498747] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.504745] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.505743] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.506744] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.509741] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #760
DEBUG [2024-Jan-31 23:27:27.510741] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.511740] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.515738] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.516737] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.519520] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.525517] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.527516] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.534513] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.536510] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.543507] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.543507] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.544506] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.547504] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #761
DEBUG [2024-Jan-31 23:27:27.548504] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.549503] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.554490] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.555500] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.557490] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.562496] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.565494] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.571491] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.574489] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.580485] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.581485] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.582485] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.585482] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #762
DEBUG [2024-Jan-31 23:27:27.586482] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.587481] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.591479] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.592479] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.594478] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.600476] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.602474] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.609471] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.611470] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.618465] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.619464] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.620464] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.623462] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #763
DEBUG [2024-Jan-31 23:27:27.624461] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.625460] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.629457] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.630458] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.632456] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.638453] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.640452] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.647447] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.649447] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.656442] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:27.657442] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.658442] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.660440] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #764
NOTICE [2024-Jan-31 23:27:27.662440] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 764 out of 1231 steps (62%) completed
DEBUG [2024-Jan-31 23:27:27.663438] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.664438] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.668435] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.669434] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.671424] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.678420] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.683416] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.690423] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.693421] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.699417] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:27.700418] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.701417] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.704404] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #765
DEBUG [2024-Jan-31 23:27:27.705415] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.706414] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.710412] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.711411] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.713410] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.719406] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.722405] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.728401] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.730399] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.737396] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:27.738396] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.739395] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.742393] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #766
DEBUG [2024-Jan-31 23:27:27.743392] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.744392] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.748389] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.749389] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.751388] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.757386] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.759383] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.766380] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.768378] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.775154] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:27.776154] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.777154] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.780151] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #767
DEBUG [2024-Jan-31 23:27:27.781151] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.782150] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.786148] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.787148] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.789148] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.795143] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.797142] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.804138] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.806129] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.813125] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:27.814124] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.815124] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.817122] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #768
DEBUG [2024-Jan-31 23:27:27.818122] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.819121] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.825118] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.826117] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.828116] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.834113] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.837120] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.845106] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.847105] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.854109] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:27.855109] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.856108] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.859106] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #769
DEBUG [2024-Jan-31 23:27:27.860106] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.861106] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.865103] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.866104] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.868104] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.874099] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.876096] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.883093] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.885092] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.892088] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.893088] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.893088] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.896085] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #770
DEBUG [2024-Jan-31 23:27:27.897085] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.898085] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.902082] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.903081] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.905081] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.911076] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.913075] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.920072] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.922071] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.929067] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.930066] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.930066] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.933064] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #771
DEBUG [2024-Jan-31 23:27:27.934063] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.935063] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.940060] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.941060] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.943059] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.949055] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.951054] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.958050] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.960049] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.966045] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:27.967045] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:27.968044] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:27.971042] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #772
DEBUG [2024-Jan-31 23:27:27.972042] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:27.973042] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:27.977039] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:27.978038] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:27.980038] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:27.986034] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:27.988022] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:27.995029] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:27.997028] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.004024] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.004024] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.005024] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.008021] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #773
DEBUG [2024-Jan-31 23:27:28.009021] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.010020] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.014018] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.015017] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.017017] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.023013] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.025011] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.032771] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.034770] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.040767] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.041766] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.042766] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.045764] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #774
DEBUG [2024-Jan-31 23:27:28.046753] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.047763] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.051760] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.052760] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.054748] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.060755] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.062754] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.070740] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.072738] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.079745] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.080744] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.081744] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.084732] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #775
DEBUG [2024-Jan-31 23:27:28.085731] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.086731] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.091728] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.092727] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.094726] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.100724] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.102724] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.110727] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.113725] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.119721] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.120721] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.121710] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.124708] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #776
NOTICE [2024-Jan-31 23:27:28.125707] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 776 out of 1231 steps (63%) completed
DEBUG [2024-Jan-31 23:27:28.126707] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.127706] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.132704] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.133703] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.135702] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.142701] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.144699] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.151695] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.154691] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.162687] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.163698] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.164697] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.166694] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #777
DEBUG [2024-Jan-31 23:27:28.167694] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.168693] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.174691] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.175690] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.177688] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.183685] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.185684] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.193680] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.196677] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.203675] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.203675] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.205663] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.208660] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #778
DEBUG [2024-Jan-31 23:27:28.209660] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.210660] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.214657] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.215656] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.217667] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.224662] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.227660] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.234645] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.236655] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.244639] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.244639] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.245639] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.248637] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #779
DEBUG [2024-Jan-31 23:27:28.249640] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.250639] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.255637] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.257636] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.259634] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.265639] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.267638] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.276632] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.278630] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.285627] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.286626] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.286626] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.290616] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #780
DEBUG [2024-Jan-31 23:27:28.292623] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.292623] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.297620] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.298609] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.300618] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.307616] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.309613] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.316609] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.318608] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.326595] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.327595] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.328594] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.331593] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #781
DEBUG [2024-Jan-31 23:27:28.332592] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.333591] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.339597] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.340585] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.342586] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.349582] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.351581] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.358585] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.361584] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.367580] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.368579] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.369579] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.372569] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #782
DEBUG [2024-Jan-31 23:27:28.374577] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.375575] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.379574] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.380573] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.382571] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.389557] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.392566] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.399562] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.401560] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.409556] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.410545] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.411556] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.413553] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #783
DEBUG [2024-Jan-31 23:27:28.414554] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.415552] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.420549] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.421549] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.424537] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.430533] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.432532] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.440528] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.443527] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.449523] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.450522] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.451522] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.454519] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #784
DEBUG [2024-Jan-31 23:27:28.455522] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.457519] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.461516] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.462515] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.464514] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.470513] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.474077] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.480084] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.483084] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.490068] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.491080] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.492078] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.495076] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #785
DEBUG [2024-Jan-31 23:27:28.496075] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.497075] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.501072] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.502072] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.504070] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.511058] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.514054] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.521061] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.524049] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.531047] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.532046] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.533056] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.536052] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #786
DEBUG [2024-Jan-31 23:27:28.537052] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.538040] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.544040] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.545039] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.547039] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.553034] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.556031] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.563029] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.565028] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.573022] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.574022] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.575020] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.577019] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #787
DEBUG [2024-Jan-31 23:27:28.578019] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.579019] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.584015] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.585014] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.587014] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.594009] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.597007] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.604003] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.606005] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.613997] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.613997] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.614996] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.617995] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #788
NOTICE [2024-Jan-31 23:27:28.618995] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 788 out of 1231 steps (64%) completed
DEBUG [2024-Jan-31 23:27:28.619994] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.621993] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.626992] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.627990] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.629990] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.635985] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.638984] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.646979] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.648978] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.655975] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.656973] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.657985] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.660981] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #789
DEBUG [2024-Jan-31 23:27:28.662980] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.662980] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.667977] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.668977] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.670975] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.678961] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.683958] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.691965] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.694963] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.700959] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.701958] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.702958] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.706945] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #790
DEBUG [2024-Jan-31 23:27:28.707956] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.708954] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.713951] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.714951] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.716949] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.722939] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.725944] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.732940] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.734939] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.742934] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.743933] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.743933] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.747932] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #791
DEBUG [2024-Jan-31 23:27:28.748931] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.749930] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.753928] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.755918] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.758925] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.764921] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.766921] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.773906] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.776915] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.782911] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.783911] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.784910] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.788898] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #792
DEBUG [2024-Jan-31 23:27:28.790897] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.791906] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.795904] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.796903] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.798902] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.805888] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.808885] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.815881] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.817881] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.824876] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:28.825876] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.826879] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.829876] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #793
DEBUG [2024-Jan-31 23:27:28.830876] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.831875] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.836880] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.837880] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.840868] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.847874] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.851862] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.862855] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.865853] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.874849] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:28.876848] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.876848] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.879845] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #794
DEBUG [2024-Jan-31 23:27:28.881844] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.882844] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.886852] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.887842] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.891839] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.897835] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.899837] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.907842] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.909839] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.916835] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:28.917834] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.918834] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.921832] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #795
DEBUG [2024-Jan-31 23:27:28.923821] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.924831] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.928817] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.929827] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.931826] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.937822] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.940823] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.947817] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.949816] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.957801] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:28.958800] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.959799] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:28.962798] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #796
DEBUG [2024-Jan-31 23:27:28.963800] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:28.964799] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:28.969796] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:28.970796] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:28.972795] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:28.979788] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:28.981787] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.988784] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:28.991781] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:28.998780] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.51067e-14
DEBUG [2024-Jan-31 23:27:28.999779] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:28.999779] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.003777] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #797
DEBUG [2024-Jan-31 23:27:29.004777] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.005774] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.010772] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.011782] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.013780] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.019776] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.021777] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.029762] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.032760] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.039756] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.46175e-14
DEBUG [2024-Jan-31 23:27:29.040754] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.041753] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.044751] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #798
DEBUG [2024-Jan-31 23:27:29.045750] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.046749] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.051747] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.052746] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.054745] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.061741] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.063740] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.070736] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.074735] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.081730] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.082729] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.083729] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.085727] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #799
DEBUG [2024-Jan-31 23:27:29.086727] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.087726] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.093723] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.094722] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.096721] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.102717] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.104716] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.112712] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.114712] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.121707] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.123707] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.124707] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.127705] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #800
DEBUG [2024-Jan-31 23:27:29.128705] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.129704] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.133701] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.134701] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.136700] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.144693] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.146694] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.153689] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.156688] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.163683] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.164682] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.165681] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.167680] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #801
NOTICE [2024-Jan-31 23:27:29.168680] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 801 out of 1231 steps (65%) completed
DEBUG [2024-Jan-31 23:27:29.170680] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.170680] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.176686] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.177686] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.179685] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.185681] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.187680] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.195665] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.197664] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.204670] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.206659] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.207658] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.210656] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #802
DEBUG [2024-Jan-31 23:27:29.211656] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.212655] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.216664] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.217663] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.219663] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.226649] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.228646] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.235643] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.238641] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.246636] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.246636] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.247635] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.250633] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #803
DEBUG [2024-Jan-31 23:27:29.251633] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.252632] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.258630] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.259628] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.261627] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.267624] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.269623] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.281458] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.283638] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.294633] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.295631] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.295631] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.298629] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #804
DEBUG [2024-Jan-31 23:27:29.299628] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.300628] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.305625] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.307627] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.309624] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.316618] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.318617] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.326614] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.329612] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.336607] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.336607] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.337607] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.341607] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #805
DEBUG [2024-Jan-31 23:27:29.342608] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.344605] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.349601] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.350601] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.352600] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.360594] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.364591] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.370588] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.374586] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.383582] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.384581] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.385580] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.387580] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #806
DEBUG [2024-Jan-31 23:27:29.389579] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.391589] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.396586] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.398584] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.400583] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.407578] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.410568] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.418563] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.420562] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.431553] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.432552] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.432552] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.435551] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #807
DEBUG [2024-Jan-31 23:27:29.436550] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.437549] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.444546] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.446546] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.448544] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.454540] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.457540] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.465534] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.467533] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.475810] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.476810] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.477809] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.479808] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #808
DEBUG [2024-Jan-31 23:27:29.480808] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.481807] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.486815] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.487816] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.490812] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.496809] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.498808] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.505792] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.508793] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.514790] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.515789] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.516789] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.519573] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #809
DEBUG [2024-Jan-31 23:27:29.520584] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.521582] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.526579] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.527579] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.529578] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.535564] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.537565] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.544561] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.548559] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.554555] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.555555] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.556555] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.559552] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #810
DEBUG [2024-Jan-31 23:27:29.560552] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.561551] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.566548] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.567548] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.569546] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.575543] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.577542] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.584538] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.586537] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.593533] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.594533] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.594533] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.597529] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #811
DEBUG [2024-Jan-31 23:27:29.598529] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.599529] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.604525] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.605525] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.607523] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.613520] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.616518] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.622514] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.624514] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.631509] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.632509] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.633508] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.635507] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #812
DEBUG [2024-Jan-31 23:27:29.636507] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.637506] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.642503] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.643503] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.645502] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.651508] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.653507] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.660503] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.662502] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.669498] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.669498] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.670497] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.673496] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #813
NOTICE [2024-Jan-31 23:27:29.674495] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 813 out of 1231 steps (66%) completed
DEBUG [2024-Jan-31 23:27:29.675494] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.677484] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.682482] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.683479] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.685489] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.691485] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.694483] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.700480] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.703478] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.709475] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.710474] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.711474] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.714472] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #814
DEBUG [2024-Jan-31 23:27:29.715471] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.716471] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.720469] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.721468] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.723468] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.729463] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.731462] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.738458] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.740458] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.747454] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.748454] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.749453] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.751452] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #815
DEBUG [2024-Jan-31 23:27:29.752453] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.753451] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.758447] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.759446] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.761446] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.767444] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.769442] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.776215] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.778214] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.785210] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.785210] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.787210] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.789208] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #816
DEBUG [2024-Jan-31 23:27:29.790209] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.791207] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.796204] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.797203] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.799202] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.804191] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.807189] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.814185] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.816184] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.823177] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.824177] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.824177] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.827175] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #817
DEBUG [2024-Jan-31 23:27:29.829174] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.829174] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.834171] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.835183] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.837180] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.843177] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.845175] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.852164] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.854171] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.861167] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.862166] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.863165] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.866164] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #818
DEBUG [2024-Jan-31 23:27:29.867164] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.868163] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.872161] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.873161] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.875158] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.881155] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.883144] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.890139] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.892139] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.899146] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.900145] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.901144] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.904142] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #819
DEBUG [2024-Jan-31 23:27:29.905141] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.906130] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.910138] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.911129] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.913137] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.919133] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.921132] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.928128] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.930127] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.937123] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.938123] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.939122] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.942120] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #820
DEBUG [2024-Jan-31 23:27:29.943120] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.944119] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.949107] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.950108] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.953104] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.959100] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:29.961099] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.968095] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:29.971093] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:29.978089] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:29.979101] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:29.980099] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:29.983097] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #821
DEBUG [2024-Jan-31 23:27:29.984097] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:29.985096] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:29.990094] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:29.991093] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:29.993091] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:29.998088] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.001086] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.007084] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.009082] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.016079] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44774e-14
DEBUG [2024-Jan-31 23:27:30.017077] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.018077] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.021075] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #822
DEBUG [2024-Jan-31 23:27:30.022076] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.023066] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.027839] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.028839] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.030837] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.035834] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.038833] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.044821] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.047819] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.053816] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.499e-14
DEBUG [2024-Jan-31 23:27:30.054816] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.055815] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.058821] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #823
DEBUG [2024-Jan-31 23:27:30.059821] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.060820] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.065817] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.066817] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.068816] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.074812] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.076811] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.083807] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.085806] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.092802] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44937e-14
DEBUG [2024-Jan-31 23:27:30.093801] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.094801] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.097799] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #824
DEBUG [2024-Jan-31 23:27:30.099799] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.100787] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.109784] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.115779] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.117780] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.124774] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.127784] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.134778] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.136778] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.145773] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.50804e-14
DEBUG [2024-Jan-31 23:27:30.146771] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.147771] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.150769] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #825
NOTICE [2024-Jan-31 23:27:30.150769] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 825 out of 1231 steps (67%) completed
DEBUG [2024-Jan-31 23:27:30.152769] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.152769] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.157755] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.159754] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.161765] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.167760] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.170758] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.177744] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.180743] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.187737] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.52019e-14
DEBUG [2024-Jan-31 23:27:30.188736] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.189736] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.192734] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #826
DEBUG [2024-Jan-31 23:27:30.194745] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.195743] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.199741] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.200741] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.202739] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.209725] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.212723] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.219721] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.221720] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.229715] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.230715] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.231714] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.234721] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #827
DEBUG [2024-Jan-31 23:27:30.235720] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.235720] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.240709] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.242706] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.244705] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.250712] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.253710] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.262699] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.266702] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.277687] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.279686] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.281685] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.284682] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #828
DEBUG [2024-Jan-31 23:27:30.285685] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.286685] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.292678] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.294677] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.296676] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.302673] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.305670] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.312666] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.314665] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.321661] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.323660] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.324660] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.326658] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #829
DEBUG [2024-Jan-31 23:27:30.327658] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.328657] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.333654] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.334654] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.336653] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.343648] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.345647] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.352644] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.354643] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.365636] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.367635] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.368634] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.371633] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #830
DEBUG [2024-Jan-31 23:27:30.372632] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.373632] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.378628] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.379628] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.381627] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.387623] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.390622] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.397619] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.399618] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.406612] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.407614] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.408613] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.411610] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #831
DEBUG [2024-Jan-31 23:27:30.412611] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.413611] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.417608] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.418608] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.421604] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.429600] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.434597] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.444592] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.446600] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.454588] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.455588] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.456586] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.459583] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #832
DEBUG [2024-Jan-31 23:27:30.460584] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.461583] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.466578] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.467577] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.469576] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.476789] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.478788] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.491782] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.496780] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.504777] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.505775] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.506772] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.510770] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #833
DEBUG [2024-Jan-31 23:27:30.511769] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.512768] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.516766] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.517765] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.519765] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.526761] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.528760] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.535758] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.537757] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.544751] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.545750] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.546749] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.549750] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #834
DEBUG [2024-Jan-31 23:27:30.550747] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.551747] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.555744] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.556745] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.558743] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.564739] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.566738] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.573734] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.576732] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.582728] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.583728] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.584727] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.587725] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #835
DEBUG [2024-Jan-31 23:27:30.588725] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.589724] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.593722] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.595725] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.597733] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.603728] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.605726] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.613722] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.615720] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.622716] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.624705] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.625705] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.629702] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #836
DEBUG [2024-Jan-31 23:27:30.630703] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.631701] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.636708] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.637707] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.639707] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.648691] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.650690] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.657688] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.661695] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.669680] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.670688] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.671689] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.675676] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #837
DEBUG [2024-Jan-31 23:27:30.683671] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.684674] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.690668] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.692668] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.695675] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.702659] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.705658] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.714654] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.716652] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.723649] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.724650] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.726647] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.730646] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #838
NOTICE [2024-Jan-31 23:27:30.732643] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 838 out of 1231 steps (68%) completed
DEBUG [2024-Jan-31 23:27:30.733642] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.734641] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.738639] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.740640] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.743637] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.751633] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.753632] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.761628] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.764625] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.772471] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.773470] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.774471] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.778466] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #839
DEBUG [2024-Jan-31 23:27:30.779467] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.780468] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.785463] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.787463] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.789460] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.797456] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.800453] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.807450] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.811448] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.818444] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.819443] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.820442] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.823440] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #840
DEBUG [2024-Jan-31 23:27:30.824440] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.826439] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.831437] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.832435] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.835434] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.842430] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.844430] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.852425] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.854424] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.862418] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.863417] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.864416] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.867416] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #841
DEBUG [2024-Jan-31 23:27:30.868414] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.869414] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.874412] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.876412] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.878410] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.884407] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.887404] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.894399] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.897398] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.904395] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.904395] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.905394] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.909393] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #842
DEBUG [2024-Jan-31 23:27:30.910392] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.911391] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.916387] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.917386] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.919385] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.926382] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.928381] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.935376] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.937375] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.946370] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.947371] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.947371] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.950368] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #843
DEBUG [2024-Jan-31 23:27:30.951368] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.952367] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:30.958364] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:30.959363] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:30.961362] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:30.967358] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:30.970356] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.978351] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:30.980351] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:30.987348] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:30.988346] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:30.989346] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:30.993345] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #844
DEBUG [2024-Jan-31 23:27:30.994343] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:30.995354] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.000349] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.001349] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.003349] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.010334] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.012344] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.019341] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.021338] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.030444] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:31.030444] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.031444] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.034442] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #845
DEBUG [2024-Jan-31 23:27:31.035441] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.036441] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.042427] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.043440] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.045435] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.051434] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.053433] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.060429] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.062427] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.069422] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:31.070421] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.071421] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.074411] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #846
DEBUG [2024-Jan-31 23:27:31.075411] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.076410] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.081407] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.082406] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.084405] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.090402] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.092401] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.099397] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.101395] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.110392] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:31.112396] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.113391] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.116385] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #847
DEBUG [2024-Jan-31 23:27:31.117385] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.118384] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.122382] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.124381] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.127381] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.133377] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.136385] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.147367] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.151366] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.162359] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:31.162359] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.163358] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.167357] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #848
DEBUG [2024-Jan-31 23:27:31.169369] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.171359] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.176354] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.178349] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.180349] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.188350] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.193341] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.201337] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.204341] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.212330] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:31.213330] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.214329] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.218327] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #849
DEBUG [2024-Jan-31 23:27:31.220331] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.221331] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.230319] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.231320] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.235316] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.244313] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.247311] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.255306] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.259305] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.267300] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.49523e-14
DEBUG [2024-Jan-31 23:27:31.268301] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.270300] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.273296] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #850
NOTICE [2024-Jan-31 23:27:31.276296] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 850 out of 1231 steps (69%) completed
DEBUG [2024-Jan-31 23:27:31.277293] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.279292] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.284290] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.286289] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.289292] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.296282] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.299280] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.308276] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.310274] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.319274] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.50538e-14
DEBUG [2024-Jan-31 23:27:31.320272] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.321269] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.326267] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #851
DEBUG [2024-Jan-31 23:27:31.327264] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.329266] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.334261] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.335260] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.338262] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.345256] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.348258] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.355247] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.358247] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.365242] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44233e-14
DEBUG [2024-Jan-31 23:27:31.366241] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.367241] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.370239] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #852
DEBUG [2024-Jan-31 23:27:31.371238] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.372238] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.377238] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.378238] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.381234] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.387230] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.389229] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.396225] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.398223] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.405219] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.541e-14
DEBUG [2024-Jan-31 23:27:31.406218] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.407218] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.410216] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #853
DEBUG [2024-Jan-31 23:27:31.411216] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.412215] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.416213] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.417212] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.419211] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.425209] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.428216] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.434213] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.436212] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.443197] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.444197] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.445196] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.448195] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #854
DEBUG [2024-Jan-31 23:27:31.449194] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.450193] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.454191] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.456201] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.458189] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.464185] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.466184] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.472452] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.475458] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.482454] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.482454] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.483454] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.486453] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #855
DEBUG [2024-Jan-31 23:27:31.487453] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.488451] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.492438] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.493437] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.495436] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.501432] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.504442] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.511427] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.513426] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.520195] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.521194] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.521194] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.524182] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #856
DEBUG [2024-Jan-31 23:27:31.525181] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.526180] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.531178] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.532177] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.534176] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.539173] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.542171] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.549167] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.551167] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.558163] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.559162] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.560161] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.562160] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #857
DEBUG [2024-Jan-31 23:27:31.563159] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.564159] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.569156] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.570155] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.572154] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.578151] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.580150] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.587146] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.589145] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.596140] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.597140] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.597140] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.600139] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #858
DEBUG [2024-Jan-31 23:27:31.601138] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.602137] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.606135] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.607134] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.609134] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.616130] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.618128] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.625126] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.627123] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.634119] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.635118] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.636118] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.639116] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #859
DEBUG [2024-Jan-31 23:27:31.639116] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.641116] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.645113] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.646112] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.648111] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.654118] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.656117] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.663113] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.666111] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.672108] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.673107] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.674096] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.677094] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #860
DEBUG [2024-Jan-31 23:27:31.678094] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.680094] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.686090] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.687089] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.689098] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.695087] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.697086] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.705089] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.707089] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.715074] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.716072] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.717071] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.720070] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #861
DEBUG [2024-Jan-31 23:27:31.721069] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.721069] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.727068] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.728066] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.730064] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.737061] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.740059] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.749054] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.752051] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.759051] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.761049] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.761049] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.766044] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #862
NOTICE [2024-Jan-31 23:27:31.767043] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 862 out of 1231 steps (70%) completed
DEBUG [2024-Jan-31 23:27:31.768042] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.769042] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.774040] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.776039] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.779037] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.785032] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.788031] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.796026] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.799026] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.806023] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.808022] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.809020] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.813017] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #863
DEBUG [2024-Jan-31 23:27:31.814017] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.815017] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.821013] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.823011] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.827010] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.833005] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.836004] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.846000] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.850996] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.859989] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.860992] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.861990] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.864988] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #864
DEBUG [2024-Jan-31 23:27:31.865989] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.866988] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.871983] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.872983] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.876980] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.885976] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.887974] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.895969] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.897968] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.908963] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.909962] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.911960] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.915958] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #865
DEBUG [2024-Jan-31 23:27:31.916960] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.917959] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.922956] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.923956] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.925953] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.934948] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.938945] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.946941] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.949939] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.957934] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.958933] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.958933] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.961931] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #866
DEBUG [2024-Jan-31 23:27:31.962931] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:31.963931] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:31.968928] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:31.969927] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:31.970926] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:31.976923] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:31.979921] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.985918] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:31.987917] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:31.994913] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:31.995913] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:31.996911] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:31.999910] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #867
DEBUG [2024-Jan-31 23:27:32.000910] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.001909] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.005906] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.006906] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.008904] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.014901] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.016900] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.023896] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.025895] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.032744] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:32.033744] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.034743] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.036742] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #868
DEBUG [2024-Jan-31 23:27:32.037742] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.038741] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.043739] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.044738] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.046749] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.052744] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.054745] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.061739] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.063738] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.069734] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:32.070734] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.071733] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.074732] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #869
DEBUG [2024-Jan-31 23:27:32.075720] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.076719] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.080717] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.081716] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.083716] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.089712] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.091723] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.098718] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.100717] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.107701] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:32.108713] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.109711] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.111711] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #870
DEBUG [2024-Jan-31 23:27:32.112709] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.113709] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.117706] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.118706] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.120705] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.126702] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.129700] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.135697] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.137695] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.144691] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:32.145690] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.146690] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.148689] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #871
DEBUG [2024-Jan-31 23:27:32.149689] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.150688] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.155685] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.156684] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.158683] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.164680] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.166678] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.172675] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.175675] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.181670] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:32.182669] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.183669] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.186668] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #872
DEBUG [2024-Jan-31 23:27:32.187667] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.188667] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.193663] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.194663] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.196661] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.202650] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.204649] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.211645] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.213643] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.220648] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:32.221647] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.222647] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.225646] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #873
DEBUG [2024-Jan-31 23:27:32.226644] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.227644] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.231641] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.232641] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.234641] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.240636] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.242635] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.249631] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.251620] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.258616] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:32.259615] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.260614] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.263613] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #874
DEBUG [2024-Jan-31 23:27:32.264612] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.265611] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.270406] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.271406] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.273404] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.278402] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.281390] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.288385] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.290384] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.297392] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:32.298390] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.299390] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.302388] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #875
NOTICE [2024-Jan-31 23:27:32.302388] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 875 out of 1231 steps (71%) completed
DEBUG [2024-Jan-31 23:27:32.304387] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.304387] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.309384] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.310383] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.312382] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.318379] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.320377] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.327374] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.329374] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.336370] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:32.337370] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.337370] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.340366] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #876
DEBUG [2024-Jan-31 23:27:32.341355] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.342367] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.347351] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.348351] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.350350] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.356346] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.358346] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.365341] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.367340] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.374336] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.47207e-14
DEBUG [2024-Jan-31 23:27:32.375335] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.376335] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.379333] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #877
DEBUG [2024-Jan-31 23:27:32.380332] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.381332] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.386329] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.387329] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.388328] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.395326] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.397325] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.404320] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.406319] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.413313] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.50419e-14
DEBUG [2024-Jan-31 23:27:32.414313] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.415312] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.418311] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #878
DEBUG [2024-Jan-31 23:27:32.419310] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.420310] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.425308] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.426306] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.428305] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.433302] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.436300] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.442298] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.444307] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.451303] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.4064e-14
DEBUG [2024-Jan-31 23:27:32.452302] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.453302] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.456301] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #879
DEBUG [2024-Jan-31 23:27:32.457299] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.458288] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.462296] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.463296] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.465295] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.471539] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.473548] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.480544] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.482543] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.489528] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45094e-14
DEBUG [2024-Jan-31 23:27:32.490528] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.491527] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.494526] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #880
DEBUG [2024-Jan-31 23:27:32.495525] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.496524] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.501521] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.502521] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.504520] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.510516] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.512516] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.519703] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.521712] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.528708] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.529707] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.530707] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.533706] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #881
DEBUG [2024-Jan-31 23:27:32.533706] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.534705] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.539702] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.540702] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.542701] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.548697] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.550696] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.556692] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.559691] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.565687] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.566686] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.567686] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.569685] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #882
DEBUG [2024-Jan-31 23:27:32.570684] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.571684] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.575682] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.576681] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.578679] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.584677] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.586675] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.593671] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.595670] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.602666] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.603665] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.604665] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.606663] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #883
DEBUG [2024-Jan-31 23:27:32.607663] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.608664] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.612660] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.613660] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.615658] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.621655] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.623654] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.630650] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.632650] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.639645] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.640645] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.640645] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.643643] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #884
DEBUG [2024-Jan-31 23:27:32.643643] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.644642] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.649639] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.650639] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.652637] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.658635] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.660633] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.667629] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.669628] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.676624] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.676624] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.677623] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.681612] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #885
DEBUG [2024-Jan-31 23:27:32.682612] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.684609] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.689616] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.690616] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.692615] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.698611] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.700610] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.707607] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.709605] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.716601] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.717589] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.718600] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.720598] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #886
DEBUG [2024-Jan-31 23:27:32.721598] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.722598] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.726595] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.727595] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.729594] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.735590] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.737589] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.744585] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.746584] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.753580] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.753580] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.754580] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.756578] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #887
NOTICE [2024-Jan-31 23:27:32.757578] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 887 out of 1231 steps (72%) completed
DEBUG [2024-Jan-31 23:27:32.758568] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.759577] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.764573] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.765573] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.766572] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.772569] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.775466] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.782472] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.784471] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.791469] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.792469] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.792469] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.794466] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #888
DEBUG [2024-Jan-31 23:27:32.795465] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.796464] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.801463] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.802463] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.804462] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.810458] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.812455] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.818452] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.820451] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.827446] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.828446] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.829445] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.831444] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #889
DEBUG [2024-Jan-31 23:27:32.832444] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.833443] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.838441] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.839440] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.841438] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.846436] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.850423] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.857429] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.859429] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.866424] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.867424] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.868423] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.870414] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #890
DEBUG [2024-Jan-31 23:27:32.871414] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.872413] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.877410] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.878409] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.880408] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.886405] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.888404] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.895400] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.897399] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.904403] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.905402] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.905402] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.908389] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #891
DEBUG [2024-Jan-31 23:27:32.909401] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.909401] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.914397] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.915396] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.917395] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.923392] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.925391] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.932386] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.934386] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.940382] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.941382] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.942373] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.944379] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #892
DEBUG [2024-Jan-31 23:27:32.945379] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.946378] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.950377] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.951375] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.953375] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.959372] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.961370] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.968366] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:32.970365] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:32.977361] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:32.978360] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:32.979360] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:32.981359] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #893
DEBUG [2024-Jan-31 23:27:32.982358] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:32.983358] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:32.987355] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:32.988355] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:32.990353] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:32.996350] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:32.998341] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.005337] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.007336] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.014332] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.015331] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.016331] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.018329] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #894
DEBUG [2024-Jan-31 23:27:33.019329] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.020328] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.024326] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.026325] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.028323] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.034113] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.036112] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.043108] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.045107] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.052102] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.053102] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.053102] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.055101] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #895
DEBUG [2024-Jan-31 23:27:33.056100] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.057100] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.062097] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.063096] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.065095] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.070093] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.073093] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.080089] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.082088] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.089082] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.090081] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.090081] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.093080] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #896
DEBUG [2024-Jan-31 23:27:33.094078] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.095078] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.099075] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.100075] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.102074] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.108071] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.110070] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.117065] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.119064] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.126062] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.127060] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.128060] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.130058] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #897
DEBUG [2024-Jan-31 23:27:33.131057] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.132057] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.136054] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.137054] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.139053] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.145050] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.147049] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.154044] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.156033] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.163028] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.164028] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.165027] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.168026] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #898
DEBUG [2024-Jan-31 23:27:33.169025] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.170025] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.174022] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.175022] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.177021] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.183017] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.185016] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.192012] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.194011] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.201007] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.202006] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.203006] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.206004] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #899
NOTICE [2024-Jan-31 23:27:33.207003] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 899 out of 1231 steps (73%) completed
DEBUG [2024-Jan-31 23:27:33.208003] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.209003] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.213000] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.213999] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.215998] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.221995] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.223994] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.230990] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.232989] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.239985] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.240984] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.241983] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.244982] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #900
DEBUG [2024-Jan-31 23:27:33.245981] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.246981] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.251979] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.252977] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.254987] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.260983] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.262982] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.270738] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.272737] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.278734] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.279733] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.280733] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.283731] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #901
DEBUG [2024-Jan-31 23:27:33.284730] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.285730] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.290726] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.291726] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.293725] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.300710] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.303711] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.310707] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.312706] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.319702] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.320702] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.320702] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.324699] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #902
DEBUG [2024-Jan-31 23:27:33.325699] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.326698] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.330696] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.331695] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.333694] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.339691] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.342689] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.349694] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.351692] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.358677] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.358677] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.359688] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.362686] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #903
DEBUG [2024-Jan-31 23:27:33.363685] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.364685] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.368683] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.369681] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.371680] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.377677] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.380675] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.386672] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.388671] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.395666] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:33.396666] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.397656] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.400664] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #904
DEBUG [2024-Jan-31 23:27:33.401663] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.402662] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.406660] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.407660] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.409660] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.415656] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.417655] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.424650] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.426651] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.433645] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:33.434644] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.435644] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.437643] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #905
DEBUG [2024-Jan-31 23:27:33.439642] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.439642] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.445630] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.446630] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.448628] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.453625] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.456624] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.463628] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.465626] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.471804] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:33.472816] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.473814] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.476812] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #906
DEBUG [2024-Jan-31 23:27:33.477811] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.478811] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.482808] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.483808] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.485807] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.491803] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.493803] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.500798] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.502797] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.509795] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.510792] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.511792] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.514790] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #907
DEBUG [2024-Jan-31 23:27:33.514790] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.515790] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.520576] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.521587] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.523585] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.529581] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.531580] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.538576] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.540575] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.547571] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.548570] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.549571] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.551569] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #908
DEBUG [2024-Jan-31 23:27:33.552568] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.553568] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.557566] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.559565] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.560563] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.566560] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.569558] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.575544] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.577554] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.584550] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.585549] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.586549] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.588547] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #909
DEBUG [2024-Jan-31 23:27:33.589547] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.590547] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.594544] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.595544] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.597542] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.603539] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.605538] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.612534] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.614532] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.621529] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.622528] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.622528] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.624527] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #910
DEBUG [2024-Jan-31 23:27:33.625522] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.626527] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.631524] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.632523] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.634521] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.640518] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.642506] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.649513] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.651512] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.657508] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.658508] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.659508] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.661506] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #911
NOTICE [2024-Jan-31 23:27:33.662505] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 911 out of 1231 steps (74%) completed
DEBUG [2024-Jan-31 23:27:33.663497] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.664496] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.669493] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.670493] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.672492] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.679486] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.684482] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.691491] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.694477] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.701472] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.702472] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.702472] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.705470] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #912
DEBUG [2024-Jan-31 23:27:33.705470] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.706469] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.711467] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.712466] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.714465] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.720461] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.722460] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.729457] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.731457] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.738452] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.739452] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.740451] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.742449] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #913
DEBUG [2024-Jan-31 23:27:33.743448] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.744448] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.748445] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.749445] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.751444] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.757440] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.760438] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.766435] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.768434] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.775191] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.776202] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.777200] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.779199] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #914
DEBUG [2024-Jan-31 23:27:33.780198] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.781198] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.786195] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.787194] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.788194] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.794190] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.797188] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.803185] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.806184] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.812180] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.813179] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.814179] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.816178] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #915
DEBUG [2024-Jan-31 23:27:33.817178] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.818177] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.822175] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.823174] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.825172] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.831169] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.833168] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.840156] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.842155] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.849150] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.850150] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.851150] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.853146] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #916
DEBUG [2024-Jan-31 23:27:33.854145] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.855144] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.860142] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.861141] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.863140] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.869138] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.871146] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.878142] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.880141] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.887137] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.888137] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.888137] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.890135] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #917
DEBUG [2024-Jan-31 23:27:33.891134] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.892134] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.897131] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.898131] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.900130] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.906126] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.908125] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.914122] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.917120] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.923117] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.924116] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.925115] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.927115] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #918
DEBUG [2024-Jan-31 23:27:33.928114] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.929113] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.933112] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.934112] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.936110] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.942108] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.944106] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.951103] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.953101] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.960096] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.961095] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.962094] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:33.964093] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #919
DEBUG [2024-Jan-31 23:27:33.965094] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:33.966092] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:33.970090] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:33.971089] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:33.973088] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:33.979084] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:33.981083] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.988079] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:33.990078] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:33.997074] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:33.998074] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:33.998074] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.001072] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #920
DEBUG [2024-Jan-31 23:27:34.002071] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.002071] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.007068] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.008068] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.010068] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.016063] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.018062] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.025058] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.027058] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.033816] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.034816] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.035815] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.037814] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #921
DEBUG [2024-Jan-31 23:27:34.038813] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.039812] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.043811] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.044810] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.046809] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.052805] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.054804] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.061800] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.063799] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.070795] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.070795] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.071794] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.073793] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #922
DEBUG [2024-Jan-31 23:27:34.074793] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.075793] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.080789] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.081789] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.083788] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.088785] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.091784] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.097779] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.099778] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.106763] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.107775] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.108773] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.111772] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #923
DEBUG [2024-Jan-31 23:27:34.112772] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.113770] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.118767] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.119767] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.121766] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.127762] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.129761] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.135758] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.139756] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.146752] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.147751] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.148750] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.151748] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #924
NOTICE [2024-Jan-31 23:27:34.152748] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 924 out of 1231 steps (75%) completed
DEBUG [2024-Jan-31 23:27:34.153749] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.154747] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.158745] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.159745] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.161743] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.167739] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.169728] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.176724] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.178723] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.185425] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.186427] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.187426] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.190424] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #925
DEBUG [2024-Jan-31 23:27:34.191424] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.192423] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.197420] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.198420] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.200419] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.206415] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.208414] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.214411] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.217420] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.224416] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.224416] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.225415] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.228414] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #926
DEBUG [2024-Jan-31 23:27:34.229413] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.230413] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.235409] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.236398] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.238397] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.243395] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.246392] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.252389] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.255388] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.261384] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.262383] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.263382] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.266381] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #927
DEBUG [2024-Jan-31 23:27:34.267381] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.268380] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.272378] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.273377] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.275376] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.282233] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.284232] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.291227] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.293227] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.300233] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.301232] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.302232] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.305230] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #928
DEBUG [2024-Jan-31 23:27:34.306229] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.307229] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.312227] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.313226] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.315224] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.320221] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.323220] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.329216] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.332215] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.338211] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:34.339210] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.340210] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.343209] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #929
DEBUG [2024-Jan-31 23:27:34.344209] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.345207] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.349205] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.350193] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.352203] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.358199] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.360200] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.367195] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.369193] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.376179] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:34.377190] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.377190] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.380187] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #930
DEBUG [2024-Jan-31 23:27:34.381187] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.382186] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.388173] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.389173] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.394173] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.402167] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.405163] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.415156] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.417156] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.427153] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:34.428154] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.429153] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.432149] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #931
DEBUG [2024-Jan-31 23:27:34.433150] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.434149] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.440159] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.441153] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.445141] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.451139] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.455134] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.464132] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.467129] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.475616] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.476616] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.478615] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.481612] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #932
DEBUG [2024-Jan-31 23:27:34.482612] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.483611] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.489617] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.490617] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.494607] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.500604] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.503604] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.512598] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.514596] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.523597] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.524590] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.525590] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.528591] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #933
DEBUG [2024-Jan-31 23:27:34.529587] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.530588] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.535581] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.537581] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.539584] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.547574] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.550574] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.558570] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.563567] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.574563] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.576564] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.578561] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.581557] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #934
DEBUG [2024-Jan-31 23:27:34.583556] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.585555] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.592552] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.596548] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.599545] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.606543] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.608542] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.618533] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.620533] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.628539] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.629539] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.629539] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.632536] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #935
DEBUG [2024-Jan-31 23:27:34.633536] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.633536] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.638533] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.639533] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.641532] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.647528] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.649527] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.656523] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.658522] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.665517] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.666517] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.667516] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.669515] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #936
NOTICE [2024-Jan-31 23:27:34.670515] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 936 out of 1231 steps (76%) completed
DEBUG [2024-Jan-31 23:27:34.671514] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.672513] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.677502] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.679501] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.681498] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.688504] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.690503] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.697499] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.699498] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.706494] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.707493] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.707493] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.710493] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #937
DEBUG [2024-Jan-31 23:27:34.711491] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.712490] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.716488] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.717488] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.719487] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.725475] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.727474] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.734470] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.736469] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.743465] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.744464] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.745464] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.747463] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #938
DEBUG [2024-Jan-31 23:27:34.748462] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.749462] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.754459] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.755458] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.757465] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.763462] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.765461] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.772224] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.774234] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.781230] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.782230] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.783228] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.785227] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #939
DEBUG [2024-Jan-31 23:27:34.786227] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.787227] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.791224] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.792224] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.794224] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.800219] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.802218] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.809214] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.811213] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.818208] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.818208] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.819208] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.821207] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #940
DEBUG [2024-Jan-31 23:27:34.822206] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.823206] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.828203] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.829202] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.831201] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.837198] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.839196] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.846194] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.848192] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.855189] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.856188] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.856188] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.859185] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #941
DEBUG [2024-Jan-31 23:27:34.860175] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.861184] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.865181] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.866182] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.868180] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.874177] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.876175] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.883162] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.885160] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.892155] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.893155] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.894154] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.896153] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #942
DEBUG [2024-Jan-31 23:27:34.897153] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.899163] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.904159] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.905159] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.907158] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.913146] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.916144] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.922141] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.925139] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.932135] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.933135] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.933135] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.936132] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #943
DEBUG [2024-Jan-31 23:27:34.937133] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.938132] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.942130] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.944127] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.945125] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.951122] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.954120] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.960117] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:34.963115] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.970111] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:34.971110] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:34.971110] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:34.974108] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #944
DEBUG [2024-Jan-31 23:27:34.974108] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:34.975108] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:34.980108] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:34.981107] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:34.983106] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:34.989103] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:34.991102] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:34.998096] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.000095] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.007091] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.008090] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.009089] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.011088] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #945
DEBUG [2024-Jan-31 23:27:35.012087] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.013086] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.017084] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.018083] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.020083] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.026845] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.028843] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.035851] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.037850] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.044845] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.044845] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.045845] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.047843] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #946
DEBUG [2024-Jan-31 23:27:35.049843] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.049843] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.054839] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.055840] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.057839] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.063835] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.065833] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.072818] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.074828] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.081824] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.081824] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.082824] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.085822] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #947
DEBUG [2024-Jan-31 23:27:35.086822] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.087821] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.092818] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.093818] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.095816] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.100815] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.103811] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.109810] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.112808] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.118805] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.119804] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.120804] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.123802] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #948
NOTICE [2024-Jan-31 23:27:35.124801] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 948 out of 1231 steps (77%) completed
DEBUG [2024-Jan-31 23:27:35.125799] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.126788] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.130796] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.131796] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.133795] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.139791] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.141790] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.148786] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.150785] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.157781] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.158781] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.159780] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.162778] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #949
DEBUG [2024-Jan-31 23:27:35.163778] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.164777] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.168765] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.169774] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.171773] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.177770] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.179768] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.186756] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.188755] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.195751] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.196750] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.197750] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.200757] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #950
DEBUG [2024-Jan-31 23:27:35.201756] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.202755] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.206753] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.207752] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.209751] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.215748] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.217747] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.224733] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.226742] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.233737] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.234734] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.235737] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.237735] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #951
DEBUG [2024-Jan-31 23:27:35.239734] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.239734] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.244732] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.245731] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.247730] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.253715] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.255714] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.262710] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.265710] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.271708] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.272707] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.273707] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.276705] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #952
DEBUG [2024-Jan-31 23:27:35.277704] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.279358] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.283479] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.284480] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.286478] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.292475] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.294475] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.301469] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.303468] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.310454] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:35.310454] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.311464] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.314462] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #953
DEBUG [2024-Jan-31 23:27:35.315461] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.316461] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.321458] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.322458] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.324457] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.330453] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.332452] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.339448] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.341446] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.348443] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:35.348443] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.349442] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.352440] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #954
DEBUG [2024-Jan-31 23:27:35.353440] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.354439] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.359437] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.360425] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.362435] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.368433] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.370430] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.377429] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.379427] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.386411] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:35.387422] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.387422] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.390420] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #955
DEBUG [2024-Jan-31 23:27:35.392409] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.392409] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.397406] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.398406] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.400405] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.406401] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.409399] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.415396] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.418394] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.425388] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.425388] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.426387] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.429386] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #956
DEBUG [2024-Jan-31 23:27:35.430385] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.431384] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.435382] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.436382] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.439391] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.445388] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.447386] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.454383] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.456381] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.463377] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.463377] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.464377] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.466375] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #957
DEBUG [2024-Jan-31 23:27:35.467375] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.468375] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.472597] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.473607] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.475604] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.481601] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.483599] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.491595] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.493593] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.500589] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.501584] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.502582] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.504587] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #958
DEBUG [2024-Jan-31 23:27:35.505587] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.506586] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.510573] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.511584] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.513582] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.519316] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.521315] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.528311] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.530310] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.537297] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.538297] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.539296] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.541295] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #959
DEBUG [2024-Jan-31 23:27:35.542295] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.543294] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.548291] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.549288] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.551297] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.557294] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.559293] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.566289] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.568288] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.575284] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.576276] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.576276] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.579281] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #960
DEBUG [2024-Jan-31 23:27:35.580281] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.580281] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.585278] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.586279] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.588277] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.594274] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.596272] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.603268] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.605266] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.612264] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.612264] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.613262] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.615261] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #961
NOTICE [2024-Jan-31 23:27:35.616260] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 961 out of 1231 steps (78%) completed
DEBUG [2024-Jan-31 23:27:35.617260] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.618259] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.623256] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.624256] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.625255] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.632243] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.634242] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.641238] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.643246] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.650241] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.651241] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.651241] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.654239] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #962
DEBUG [2024-Jan-31 23:27:35.655238] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.655238] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.660235] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.661235] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.663234] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.669231] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.671229] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.678225] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.680224] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.687209] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.687209] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.688219] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.692208] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #963
DEBUG [2024-Jan-31 23:27:35.694206] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.695206] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.700202] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.701201] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.703200] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.709208] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.711207] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.718203] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.720202] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.727189] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.728198] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.729196] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.731196] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #964
DEBUG [2024-Jan-31 23:27:35.732194] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.733194] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.737191] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.738191] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.740190] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.746175] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.748175] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.756174] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.758171] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.765167] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.766167] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.767166] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.769164] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #965
DEBUG [2024-Jan-31 23:27:35.770165] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.770930] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.775938] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.776937] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.778937] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.783933] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.786932] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.793917] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.795927] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.802915] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.803914] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.804913] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.806911] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #966
DEBUG [2024-Jan-31 23:27:35.807912] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.808911] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.812908] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.814908] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.816906] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.821901] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.824899] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.830896] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.833896] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.840893] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.840893] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.841892] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.844890] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #967
DEBUG [2024-Jan-31 23:27:35.844890] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.845890] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.850887] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.851886] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.853885] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.859882] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.861880] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.868884] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.870884] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.877880] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.878879] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.879879] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.881868] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #968
DEBUG [2024-Jan-31 23:27:35.882867] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.883866] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.887864] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.888863] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.891862] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.897859] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.899857] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.905853] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.908852] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.914848] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.915848] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.916847] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.918846] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #969
DEBUG [2024-Jan-31 23:27:35.919846] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.920846] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.925842] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.926842] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.928840] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.934837] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.936836] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.942832] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.945842] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.951837] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.952837] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.953836] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.956834] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #970
DEBUG [2024-Jan-31 23:27:35.957834] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.958833] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:35.963820] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:35.964819] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:35.966818] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:35.971815] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:35.974813] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.980820] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:35.983820] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:35.989817] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:35.990817] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:35.991816] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:35.994813] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #971
DEBUG [2024-Jan-31 23:27:35.995813] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:35.996812] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.000809] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.001809] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.003807] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.009793] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.011793] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.018788] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.020787] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.027569] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.028580] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.029578] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.032577] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #972
DEBUG [2024-Jan-31 23:27:36.033576] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.034576] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.038573] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.039572] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.041572] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.047568] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.050566] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.056563] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.058562] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.065558] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.066557] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.067557] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.070555] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #973
NOTICE [2024-Jan-31 23:27:36.071555] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 973 out of 1231 steps (79%) completed
DEBUG [2024-Jan-31 23:27:36.072555] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.073553] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.077540] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.078552] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.080550] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.086546] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.088535] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.095533] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.098531] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.105527] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.105527] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.106526] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.109524] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #974
DEBUG [2024-Jan-31 23:27:36.110525] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.111524] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.116520] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.117520] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.119519] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.125515] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.127514] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.134510] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.136517] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.143513] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.144514] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.145512] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.147511] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #975
DEBUG [2024-Jan-31 23:27:36.148510] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.149510] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.154507] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.155507] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.157505] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.163502] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.165500] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.172497] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.174495] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.180492] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:36.181492] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.182491] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.185489] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #976
DEBUG [2024-Jan-31 23:27:36.186489] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.187488] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.191486] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.192485] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.195484] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.201480] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.203479] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.209476] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.212474] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.218470] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:36.219470] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.220470] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.223468] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #977
DEBUG [2024-Jan-31 23:27:36.224467] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.225467] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.229465] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.231455] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.233462] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.238459] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.241459] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.248445] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.250444] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.257440] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:36.258439] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.258439] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.262447] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #978
DEBUG [2024-Jan-31 23:27:36.263446] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.264444] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.268442] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.269442] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.271440] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.277437] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.280358] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.286355] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.289353] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.296349] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.297348] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.298348] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.301346] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #979
DEBUG [2024-Jan-31 23:27:36.302345] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.303345] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.307343] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.308342] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.310339] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.316335] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.319333] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.325329] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.328331] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.334327] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.335326] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.336326] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.338325] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #980
DEBUG [2024-Jan-31 23:27:36.339325] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.340324] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.345321] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.346321] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.348319] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.354316] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.356314] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.363310] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.365310] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.372305] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.373305] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.373305] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.376300] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #981
DEBUG [2024-Jan-31 23:27:36.376300] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.378300] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.382297] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.383296] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.385296] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.391293] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.394290] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.400287] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.403286] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.409282] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.410282] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.411282] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.413280] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #982
DEBUG [2024-Jan-31 23:27:36.414280] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.415279] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.419277] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.420276] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.422275] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.428282] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.430280] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.437278] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.439275] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.446271] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.447271] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.448270] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.450270] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #983
DEBUG [2024-Jan-31 23:27:36.451269] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.452268] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.456255] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.457254] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.459253] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.465249] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.467249] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.474425] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.476424] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.483419] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.484420] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.485419] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.487417] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #984
DEBUG [2024-Jan-31 23:27:36.488417] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.489416] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.493414] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.494402] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.496412] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.502409] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.504408] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.511393] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.513403] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.520171] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.521170] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.522170] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.524169] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #985
NOTICE [2024-Jan-31 23:27:36.525168] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 985 out of 1231 steps (80%) completed
DEBUG [2024-Jan-31 23:27:36.526167] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.527167] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.532165] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.533164] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.534163] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.540160] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.542158] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.549154] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.551153] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.558151] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.559149] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.560148] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.562150] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #986
DEBUG [2024-Jan-31 23:27:36.563148] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.564149] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.568145] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.569145] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.571143] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.577138] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.579138] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.586133] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.588132] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.595129] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.596128] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.597127] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.600125] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #987
DEBUG [2024-Jan-31 23:27:36.601125] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.602124] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.606121] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.607121] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.609120] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.615116] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.617115] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.624112] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.626110] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.632107] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.633106] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.634106] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.636105] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #988
DEBUG [2024-Jan-31 23:27:36.637104] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.638103] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.643101] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.644100] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.646100] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.651096] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.654094] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.660091] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.663089] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.669086] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.670085] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.671084] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.673083] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #989
DEBUG [2024-Jan-31 23:27:36.674083] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.675073] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.680069] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.681068] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.683067] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.689063] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.693063] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.701068] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.704066] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.710062] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.711062] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.712062] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.714060] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #990
DEBUG [2024-Jan-31 23:27:36.715060] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.716059] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.721056] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.722055] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.724054] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.729052] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.732050] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.738046] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.740045] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.747041] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.748041] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.749041] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.751039] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #991
DEBUG [2024-Jan-31 23:27:36.752038] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.753038] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.757035] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.758035] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.760034] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.766030] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.768029] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.774984] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.777971] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.783979] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.784978] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.785971] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.788968] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #992
DEBUG [2024-Jan-31 23:27:36.789968] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.790967] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.795964] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.796963] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.798962] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.804956] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.806955] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.813951] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.815950] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.822946] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.823945] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.824944] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.827943] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #993
DEBUG [2024-Jan-31 23:27:36.828943] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.829942] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.833951] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.834949] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.836948] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.842945] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.845944] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.853931] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.855929] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.862925] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.863925] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.863925] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.867923] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #994
DEBUG [2024-Jan-31 23:27:36.868922] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.869922] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.873919] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.874919] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.876918] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.882914] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.885912] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.891909] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.894907] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.900913] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.901914] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.902912] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.905910] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #995
DEBUG [2024-Jan-31 23:27:36.906909] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.907908] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.911906] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.913894] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.915893] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.921889] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.923888] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.929884] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.932883] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.938879] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.939879] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.940878] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.943877] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #996
DEBUG [2024-Jan-31 23:27:36.944876] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.945876] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.949873] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.950872] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.952872] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.958868] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.961867] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.967863] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:36.970861] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:36.976858] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:36.977857] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:36.978857] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:36.981855] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #997
DEBUG [2024-Jan-31 23:27:36.982854] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:36.983854] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:36.987852] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:36.988851] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:36.990850] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:36.996846] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:36.998845] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.005841] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.007840] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.014847] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:37.015846] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.015846] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.018845] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #998
NOTICE [2024-Jan-31 23:27:37.019844] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 998 out of 1231 steps (81%) completed
DEBUG [2024-Jan-31 23:27:37.020844] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.021843] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.026646] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.027645] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.029644] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.035641] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.037640] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.044636] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.046635] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.053631] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:37.053631] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.054630] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.057628] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #999
DEBUG [2024-Jan-31 23:27:37.058628] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.059627] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.064624] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.065623] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.067623] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.072620] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.075618] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.081614] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.083613] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.090609] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:37.091609] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.092608] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.095607] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1000
DEBUG [2024-Jan-31 23:27:37.096606] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.097605] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.101603] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.102602] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.104603] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.110598] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.112597] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.119593] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.121592] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.128588] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.128588] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.129587] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.132585] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1001
DEBUG [2024-Jan-31 23:27:37.133585] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.134584] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.138582] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.139570] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.141580] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.147577] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.149576] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.156561] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.158560] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.165556] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.166555] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.167555] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.169554] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1002
DEBUG [2024-Jan-31 23:27:37.170553] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.171552] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.175550] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.176549] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.178549] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.184545] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.187543] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.193540] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.196538] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.202537] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.203534] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.204536] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.206535] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1003
DEBUG [2024-Jan-31 23:27:37.207534] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.208534] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.213531] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.214530] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.216530] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.222526] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.224525] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.231521] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.233520] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.240515] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.241515] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.241515] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.244512] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1004
DEBUG [2024-Jan-31 23:27:37.245513] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.246512] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.250518] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.251517] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.253516] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.259513] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.261512] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.268508] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.270506] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.278447] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.279447] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.280449] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.282447] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1005
DEBUG [2024-Jan-31 23:27:37.283447] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.284446] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.289443] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.290443] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.292441] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.298446] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.300445] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.307441] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.309439] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.316435] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.316435] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.317435] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.319434] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1006
DEBUG [2024-Jan-31 23:27:37.320433] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.321433] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.326430] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.327430] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.329430] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.335425] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.337424] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.344420] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.346419] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.353414] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.354414] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.354414] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.357413] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1007
DEBUG [2024-Jan-31 23:27:37.358412] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.358412] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.363409] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.364408] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.366407] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.372404] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.374403] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.381387] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.383398] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.389395] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.390393] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.391393] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.393392] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1008
DEBUG [2024-Jan-31 23:27:37.394391] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.395383] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.399388] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.400388] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.402387] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.408383] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.410382] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.417378] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.419377] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.426373] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.427372] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.428372] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.430371] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1009
DEBUG [2024-Jan-31 23:27:37.431370] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.432369] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.436368] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.437366] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.439365] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.445355] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.447361] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.454357] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.456356] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.464341] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.465340] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.466339] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.468350] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1010
NOTICE [2024-Jan-31 23:27:37.469349] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1010 out of 1231 steps (82%) completed
DEBUG [2024-Jan-31 23:27:37.470336] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.471347] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.475345] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.476344] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.478343] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.484329] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.487327] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.493324] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.496337] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.503330] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.503330] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.504329] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.506328] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1011
DEBUG [2024-Jan-31 23:27:37.507328] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.508327] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.513325] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.514324] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.517311] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.523307] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.525306] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.532098] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.534097] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.541093] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.542092] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.542092] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.544091] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1012
DEBUG [2024-Jan-31 23:27:37.546091] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.547090] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.551087] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.552086] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.554086] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.560082] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.562070] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.569077] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.571075] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.578073] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.579072] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.580070] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.583068] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1013
DEBUG [2024-Jan-31 23:27:37.584068] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.585068] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.589065] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.590055] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.592063] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.598060] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.600059] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.607055] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.609054] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.616050] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.616050] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.617049] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.620048] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1014
DEBUG [2024-Jan-31 23:27:37.621047] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.622046] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.627043] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.628043] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.630042] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.636039] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.638037] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.645033] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.647032] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.654029] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.654029] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.655028] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.658026] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1015
DEBUG [2024-Jan-31 23:27:37.659026] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.660025] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.665021] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.666021] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.668020] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.674017] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.676015] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.683012] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.685010] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.692998] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.694995] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.695994] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.699003] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1016
DEBUG [2024-Jan-31 23:27:37.700002] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.701002] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.705999] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.706998] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.707997] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.713994] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.715992] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.722988] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.724987] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.731984] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.732983] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.733982] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.736982] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1017
DEBUG [2024-Jan-31 23:27:37.737980] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.738980] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.742977] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.743977] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.745977] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.751972] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.753971] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.760969] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.762969] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.768586] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.768586] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.768586] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.768586] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1018
DEBUG [2024-Jan-31 23:27:37.768586] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.768586] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.768586] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.768586] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.768586] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.784222] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.784222] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.784222] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.799846] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.799846] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:37.799846] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.799846] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.799846] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1019
DEBUG [2024-Jan-31 23:27:37.799846] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.799846] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.815459] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.815459] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.815459] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.815459] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.815459] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.831082] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.831082] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.831082] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:37.846706] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.846706] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.846706] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1020
DEBUG [2024-Jan-31 23:27:37.846706] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.846706] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.846706] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.846706] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.846706] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.862330] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.862330] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.862330] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.862330] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.877954] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:37.877954] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.877954] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.877954] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1021
DEBUG [2024-Jan-31 23:27:37.877954] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.877954] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.893581] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.893581] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.893581] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.893581] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.893581] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.909204] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.909204] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.909204] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.909204] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.909204] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.924836] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1022
NOTICE [2024-Jan-31 23:27:37.924836] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1022 out of 1231 steps (83%) completed
DEBUG [2024-Jan-31 23:27:37.924836] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.924836] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.924836] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.924836] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.924836] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.940460] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.940460] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.940460] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.940460] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.956084] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.956084] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.956084] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.956084] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1023
DEBUG [2024-Jan-31 23:27:37.956084] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.956084] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:37.956084] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:37.956084] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:37.971709] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:37.971709] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:37.971709] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.987332] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:37.987332] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:37.987332] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:37.987332] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:37.987332] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:37.987332] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1024
DEBUG [2024-Jan-31 23:27:37.987332] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:37.987332] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.002956] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.002956] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.002956] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.002956] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.002956] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.018580] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.018580] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.018580] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.018580] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.034205] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.034205] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1025
DEBUG [2024-Jan-31 23:27:38.034205] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.034205] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.034205] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.034205] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.034205] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.049827] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.049827] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.049827] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.049827] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.065451] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.065451] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.065451] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.065451] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1026
DEBUG [2024-Jan-31 23:27:38.065451] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.065451] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.065451] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.065451] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.081076] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.081076] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.081076] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.096701] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.096701] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.096701] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.096701] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.096701] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.096701] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1027
DEBUG [2024-Jan-31 23:27:38.096701] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.096701] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.112312] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.112312] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.112312] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.112312] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.112312] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.127947] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.127947] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.127947] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.127947] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.143571] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.143571] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1028
DEBUG [2024-Jan-31 23:27:38.143571] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.143571] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.143571] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.143571] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.143571] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.159196] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.159196] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.159196] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.159196] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.174820] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.174820] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.174820] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.174820] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1029
DEBUG [2024-Jan-31 23:27:38.174820] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.174820] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.174820] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.174820] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.190444] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.190444] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.190444] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.206067] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.206067] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.206067] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.206067] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.206067] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.206067] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1030
DEBUG [2024-Jan-31 23:27:38.206067] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.206067] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.221692] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.221692] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.221692] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.221692] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.221692] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.237305] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.237305] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.237305] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.252939] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.252939] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.252939] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1031
DEBUG [2024-Jan-31 23:27:38.252939] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.252939] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.252939] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.252939] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.252939] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.268563] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.268563] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.268563] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.268563] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.284187] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.284187] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.284187] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.284187] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1032
DEBUG [2024-Jan-31 23:27:38.284187] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.284187] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.284187] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.299812] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.299812] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.299812] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.299812] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.315435] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.315435] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.315435] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.315435] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.315435] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.315435] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1033
DEBUG [2024-Jan-31 23:27:38.331060] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.331060] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.331060] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.331060] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.331060] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.331060] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.346683] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.346683] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.346683] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.362307] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.362307] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.362307] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.362307] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1034
DEBUG [2024-Jan-31 23:27:38.362307] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.362307] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.362307] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.362307] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.362307] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.377920] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.377920] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.377920] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.393544] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.393544] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.393544] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.393544] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.393544] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1035
NOTICE [2024-Jan-31 23:27:38.393544] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1035 out of 1231 steps (84%) completed
DEBUG [2024-Jan-31 23:27:38.393544] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.393544] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.409168] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.409168] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.409168] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.409168] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.409168] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.424792] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.424792] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.424792] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.440416] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.440416] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.440416] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1036
DEBUG [2024-Jan-31 23:27:38.440416] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.440416] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.440416] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.440416] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.440416] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.456040] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.456040] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.456040] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.456040] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.476943] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.477942] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.478941] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.481939] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1037
DEBUG [2024-Jan-31 23:27:38.482939] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.483939] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.488928] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.489927] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.491926] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.497922] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.499921] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.506917] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.508916] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.515912] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.516911] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.516911] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.520706] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1038
DEBUG [2024-Jan-31 23:27:38.521702] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.522702] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.526702] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.527700] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.529700] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.536686] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.538684] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.545680] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.547679] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.554675] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:38.555674] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.555674] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.559672] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1039
DEBUG [2024-Jan-31 23:27:38.560672] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.560672] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.565669] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.566668] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.568667] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.574664] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.576663] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.583658] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.585657] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.592653] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:38.593653] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.594652] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.597650] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1040
DEBUG [2024-Jan-31 23:27:38.598650] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.599648] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.603645] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.604645] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.606644] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.612640] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.615640] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.621637] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.623636] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.630632] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:38.631629] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.632628] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.635626] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1041
DEBUG [2024-Jan-31 23:27:38.636625] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.637625] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.641623] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.642622] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.644621] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.650618] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.653617] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.659624] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.661622] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.668610] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.669609] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.670609] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.673607] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1042
DEBUG [2024-Jan-31 23:27:38.674607] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.675606] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.682600] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.684601] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.686600] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.692596] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.694595] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.701591] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.703590] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.711584] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.713584] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.714582] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.716581] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1043
DEBUG [2024-Jan-31 23:27:38.717580] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.718580] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.723576] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.724576] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.726576] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.732571] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.735570] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.741566] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.743565] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.751560] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.752560] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.752560] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.755559] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1044
DEBUG [2024-Jan-31 23:27:38.756558] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.757558] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.761565] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.762564] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.764555] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.770552] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.773550] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.780546] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.782545] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.789541] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.790551] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.791548] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.793546] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1045
DEBUG [2024-Jan-31 23:27:38.794546] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.795545] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.799543] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.800543] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.802541] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.808538] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.810537] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.817533] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.819532] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.826527] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.827527] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.827527] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.830526] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1046
DEBUG [2024-Jan-31 23:27:38.831525] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.831525] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.836522] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.837523] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.839521] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.845517] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.847517] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.854501] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.856500] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.863496] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.864495] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.865495] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.867494] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1047
NOTICE [2024-Jan-31 23:27:38.868493] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1047 out of 1231 steps (85%) completed
DEBUG [2024-Jan-31 23:27:38.869504] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.870504] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.874502] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.875501] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.877500] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.883496] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.886483] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.892479] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.894478] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.901485] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.902484] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.903483] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.905482] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1048
DEBUG [2024-Jan-31 23:27:38.906482] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.907481] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.911479] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.912479] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.914477] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.920474] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.922473] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.929469] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.931468] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.938464] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.939463] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.940463] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.942461] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1049
DEBUG [2024-Jan-31 23:27:38.943461] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.944460] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.948458] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.949458] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.951456] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.957453] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.959452] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.966448] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:38.968447] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:38.975443] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:38.976443] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:38.976443] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:38.979440] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1050
DEBUG [2024-Jan-31 23:27:38.980440] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:38.981439] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:38.985437] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:38.986437] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:38.988435] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:38.994432] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:38.996420] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.003427] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.005425] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.012421] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.013422] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.014420] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.016419] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1051
DEBUG [2024-Jan-31 23:27:39.017419] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.018418] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.022416] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.023415] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.025414] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.031138] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.034136] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.040133] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.042132] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.049120] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.050119] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.051118] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.054117] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1052
DEBUG [2024-Jan-31 23:27:39.055117] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.056116] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.064111] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.065111] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.068106] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.078102] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.082098] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.091096] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.094094] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.103086] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.105085] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.106084] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.112081] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1053
DEBUG [2024-Jan-31 23:27:39.114083] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.115083] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.121076] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.123076] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.126074] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.136067] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.141065] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.152061] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.155058] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.165052] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.167051] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.169049] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.173046] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1054
DEBUG [2024-Jan-31 23:27:39.175045] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.176044] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.182042] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.183042] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.186040] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.198033] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.201032] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.210027] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.214024] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.223018] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.224017] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.225016] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.228015] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1055
DEBUG [2024-Jan-31 23:27:39.229014] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.230013] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.234011] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.235012] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.237009] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.243006] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.245005] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.252001] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.254000] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.260996] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.261995] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.262995] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.265994] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1056
DEBUG [2024-Jan-31 23:27:39.266992] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.267992] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.271990] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.272989] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.274988] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.280810] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.283807] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.289804] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.291803] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.298809] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.299809] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.300808] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.303806] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1057
DEBUG [2024-Jan-31 23:27:39.304806] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.305805] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.309803] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.311792] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.314792] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.323787] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.326785] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.337779] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.340775] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.351771] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:39.352771] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.353768] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.357766] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1058
DEBUG [2024-Jan-31 23:27:39.359763] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.360763] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.367762] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.368762] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.371763] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.381751] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.384750] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.394746] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.397742] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.408737] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:39.409736] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.411736] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.415734] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1059
NOTICE [2024-Jan-31 23:27:39.417733] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1059 out of 1231 steps (86%) completed
DEBUG [2024-Jan-31 23:27:39.418733] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.419732] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.428726] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.430726] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.433724] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.443717] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.447716] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.457708] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.460707] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.469703] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:39.471748] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.472991] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.475990] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1060
DEBUG [2024-Jan-31 23:27:39.476990] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.477989] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.481987] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.482986] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.484985] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.490981] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.492980] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.499976] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.501975] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.508971] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.509970] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.509970] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.512969] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1061
DEBUG [2024-Jan-31 23:27:39.513981] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.514979] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.519796] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.520795] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.522794] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.528790] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.531789] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.538793] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.540792] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.547789] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.547789] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.548787] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.551777] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1062
DEBUG [2024-Jan-31 23:27:39.552777] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.553777] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.557774] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.558774] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.560773] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.567766] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.570764] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.580761] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.584756] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.593753] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.594753] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.596749] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.599747] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1063
DEBUG [2024-Jan-31 23:27:39.600750] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.601747] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.608742] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.609744] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.612742] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.621735] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.624734] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.635727] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.641725] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.652719] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.653719] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.654718] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.657716] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1064
DEBUG [2024-Jan-31 23:27:39.659716] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.660714] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.666709] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.668709] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.671708] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.683700] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.688697] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.700692] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.703689] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.713682] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.714682] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.715682] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.718681] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1065
DEBUG [2024-Jan-31 23:27:39.720678] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.721677] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.726675] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.727674] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.729673] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.735669] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.737669] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.744664] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.746663] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.752671] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.753670] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.754669] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.756668] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1066
DEBUG [2024-Jan-31 23:27:39.757669] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.758668] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.763654] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.764665] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.766663] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.772659] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.774414] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.781411] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.783409] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.790405] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.791404] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.791404] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.794403] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1067
DEBUG [2024-Jan-31 23:27:39.795402] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.795402] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.800399] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.801399] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.803397] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.809383] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.811383] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.818378] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.821377] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.831373] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.833371] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.834369] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.839367] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1068
DEBUG [2024-Jan-31 23:27:39.841365] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.842366] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.851359] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.853358] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.857356] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.866351] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.870349] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.879343] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.882342] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.892337] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.893335] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.894336] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.898333] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1069
DEBUG [2024-Jan-31 23:27:39.899332] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.901332] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.911326] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.913325] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.916323] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.924318] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.927317] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.937310] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.941308] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.950305] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:39.952302] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:39.953301] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:39.957301] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1070
DEBUG [2024-Jan-31 23:27:39.958298] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:39.960297] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:39.966294] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:39.968294] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:39.971292] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:39.979288] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:39.983284] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:39.991281] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:39.993280] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.000274] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.001273] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.002273] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.005271] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1071
NOTICE [2024-Jan-31 23:27:40.005271] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1071 out of 1231 steps (87%) completed
DEBUG [2024-Jan-31 23:27:40.007270] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.007270] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.012267] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.013267] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.015266] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.021263] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.023262] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.030079] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.032078] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.039074] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.040073] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.041073] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.044071] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1072
DEBUG [2024-Jan-31 23:27:40.045071] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.046070] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.050068] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.051067] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.053066] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.059073] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.061072] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.068067] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.070066] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.079051] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.080050] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.081050] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.085047] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1073
DEBUG [2024-Jan-31 23:27:40.087046] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.088045] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.094042] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.096041] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.100040] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.112033] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.115032] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.125026] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.129022] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.139019] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.140018] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.141018] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.145013] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1074
DEBUG [2024-Jan-31 23:27:40.147014] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.148014] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.155009] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.156009] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.159007] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.168002] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.171000] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.181993] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.185991] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.195984] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.196986] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.197985] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.202979] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1075
DEBUG [2024-Jan-31 23:27:40.204980] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.205980] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.211977] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.213973] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.216972] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.224967] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.228965] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.238962] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.240960] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.247957] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:40.248956] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.249955] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.252954] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1076
DEBUG [2024-Jan-31 23:27:40.253954] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.254953] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.258950] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.259950] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.261949] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.268942] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.270941] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.276937] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.279936] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.287455] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:40.288454] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.288454] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.291453] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1077
DEBUG [2024-Jan-31 23:27:40.293451] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.293451] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.298450] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.299449] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.301447] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.307443] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.309442] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.316440] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.319438] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.325435] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:40.326434] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.327434] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.330432] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1078
DEBUG [2024-Jan-31 23:27:40.331432] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.332431] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.337428] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.338428] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.340426] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.346423] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.348422] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.355418] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.357417] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.364413] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.365412] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.366412] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.369410] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1079
DEBUG [2024-Jan-31 23:27:40.370409] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.371409] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.375406] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.376406] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.378405] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.384401] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.387399] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.393396] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.396394] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.403390] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.403390] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.404390] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.406389] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1080
DEBUG [2024-Jan-31 23:27:40.408385] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.409386] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.415381] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.417380] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.420378] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.428374] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.433371] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.446365] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.450363] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.460356] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.461355] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.462354] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.465354] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1081
DEBUG [2024-Jan-31 23:27:40.466354] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.468353] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.475766] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.477764] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.481763] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.490755] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.493754] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.503748] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.506747] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.516740] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.517740] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.519744] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.524743] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1082
DEBUG [2024-Jan-31 23:27:40.526741] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.527741] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.535735] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.537734] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.541731] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.552725] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.555724] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.565719] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.567717] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.574712] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.575711] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.576711] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.578710] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1083
DEBUG [2024-Jan-31 23:27:40.579709] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.580709] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.584706] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.585706] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.587705] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.593701] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.595700] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.602697] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.604695] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.611691] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.612690] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.613691] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.615691] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1084
NOTICE [2024-Jan-31 23:27:40.616690] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1084 out of 1231 steps (88%) completed
DEBUG [2024-Jan-31 23:27:40.617689] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.618689] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.623685] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.624685] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.626684] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.632679] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.634678] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.641674] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.643673] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.650679] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.650679] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.651679] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.653678] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1085
DEBUG [2024-Jan-31 23:27:40.654677] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.655677] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.660674] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.661666] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.664661] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.673656] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.680652] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.691649] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.694644] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.704638] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.705638] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.706637] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.709637] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1086
DEBUG [2024-Jan-31 23:27:40.711634] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.712634] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.718632] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.720631] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.723629] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.731623] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.734621] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.746615] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.749614] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.759606] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.760606] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.762605] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.766603] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1087
DEBUG [2024-Jan-31 23:27:40.767602] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.769601] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.778574] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.780573] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.783570] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.792565] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.795564] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.808557] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.812554] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.823547] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.824547] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.825546] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.830543] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1088
DEBUG [2024-Jan-31 23:27:40.832543] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.833541] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.837539] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.838539] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.840538] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.846534] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.848534] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.855529] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.858527] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.865523] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.865523] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.866523] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.869521] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1089
DEBUG [2024-Jan-31 23:27:40.870520] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.871520] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.876517] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.877516] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.879515] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.885512] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.887511] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.894507] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.896506] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.903501] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.904501] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.905500] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.908499] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1090
DEBUG [2024-Jan-31 23:27:40.909498] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.910497] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.915506] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.916505] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.918504] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.924500] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.926499] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.936484] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:40.940481] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.950476] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:40.952475] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:40.953475] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:40.957471] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1091
DEBUG [2024-Jan-31 23:27:40.958470] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:40.960470] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:40.966467] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:40.968466] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:40.971464] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:40.979458] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:40.984457] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:40.998448] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.002447] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.013440] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.015440] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.016440] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.020436] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1092
DEBUG [2024-Jan-31 23:27:41.022435] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.023434] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.032437] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.033436] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.036435] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.045429] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.054426] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.068421] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.075417] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.090408] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:41.091408] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.093402] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.098401] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1093
DEBUG [2024-Jan-31 23:27:41.100402] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.101397] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.109393] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.110392] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.112391] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.121386] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.124384] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.133382] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.137382] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.144373] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:41.145372] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.146371] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.151370] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1094
DEBUG [2024-Jan-31 23:27:41.153374] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.154370] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.159365] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.160364] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.162363] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.171360] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.173358] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.180353] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.186360] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.193346] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:41.194346] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.195345] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.200344] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1095
DEBUG [2024-Jan-31 23:27:41.202345] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.203343] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.208336] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.210336] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.212334] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.222329] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.226326] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.241317] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.244316] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.255311] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.255311] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.256310] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.259308] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1096
NOTICE [2024-Jan-31 23:27:41.260308] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1096 out of 1231 steps (89%) completed
DEBUG [2024-Jan-31 23:27:41.261307] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.262307] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.274300] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.276298] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.280272] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.293265] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.297262] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.307258] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.311255] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.323249] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.325247] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.327245] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.330244] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1097
DEBUG [2024-Jan-31 23:27:41.331243] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.333242] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.339239] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.340238] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.345236] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.353231] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.356229] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.366223] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.370221] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.380218] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.381216] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.382214] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.385212] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1098
DEBUG [2024-Jan-31 23:27:41.387212] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.388212] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.398205] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.399204] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.402203] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.412197] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.415196] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.426189] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.428188] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.435183] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.436183] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.437182] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.439181] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1099
DEBUG [2024-Jan-31 23:27:41.440181] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.441180] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.445178] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.446177] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.448176] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.454173] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.457171] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.463167] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.466167] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.472408] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.473407] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.474406] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.476405] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1100
DEBUG [2024-Jan-31 23:27:41.477404] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.478404] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.483401] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.484401] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.486402] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.492397] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.494397] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.501392] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.504390] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.510387] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.511386] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.512386] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.514385] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1101
DEBUG [2024-Jan-31 23:27:41.515383] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.517159] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.521157] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.522156] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.524155] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.530151] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.532151] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.539146] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.541145] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.549141] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.550140] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.551139] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.553139] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1102
DEBUG [2024-Jan-31 23:27:41.554138] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.555138] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.560135] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.561134] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.563133] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.569131] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.571130] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.578126] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.580125] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.587118] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.588118] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.589117] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.592115] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1103
DEBUG [2024-Jan-31 23:27:41.593115] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.594114] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.599112] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.600111] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.602110] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.608106] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.610105] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.617101] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.619100] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.626096] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.627095] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.628095] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.631093] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1104
DEBUG [2024-Jan-31 23:27:41.632094] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.633092] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.638089] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.639089] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.641087] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.647084] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.649084] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.656079] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.658078] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.665075] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.666074] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.667072] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.670071] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1105
DEBUG [2024-Jan-31 23:27:41.671070] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.672070] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.677068] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.679067] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.682065] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.690059] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.694059] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.709050] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.714050] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.724040] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.725039] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.726039] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.730036] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1106
DEBUG [2024-Jan-31 23:27:41.732036] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.733035] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.740032] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.741030] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.744029] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.755023] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.758021] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.768016] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.771885] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.782880] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.783880] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.784879] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.789874] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1107
DEBUG [2024-Jan-31 23:27:41.790875] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.792873] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.800868] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.801868] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.806868] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.814863] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.818859] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.827853] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.831851] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.838847] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:41.839846] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.840845] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.843844] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1108
NOTICE [2024-Jan-31 23:27:41.844843] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1108 out of 1231 steps (90%) completed
DEBUG [2024-Jan-31 23:27:41.845843] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.846843] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.851840] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.852839] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.854838] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.860834] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.862833] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.869829] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.871828] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.878824] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:41.878824] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.879823] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.882822] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1109
DEBUG [2024-Jan-31 23:27:41.884832] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.885831] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.889828] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.890828] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.892827] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.898816] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.900814] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.907810] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.909806] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.916805] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:41.917804] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.918804] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.921802] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1110
DEBUG [2024-Jan-31 23:27:41.922802] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.923801] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.928798] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.929797] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.933794] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:41.945786] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:41.949786] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.959777] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:41.964775] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:41.974769] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:41.975769] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:41.976768] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:41.980768] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1111
DEBUG [2024-Jan-31 23:27:41.982767] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:41.984765] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:41.990761] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:41.992760] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:41.996757] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.007750] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.011750] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.021742] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.025810] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.037805] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.038804] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.039804] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.043799] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1112
DEBUG [2024-Jan-31 23:27:42.044801] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.046798] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.055793] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.057792] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.061790] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.071783] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.074782] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.084776] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.088774] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.099768] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.100767] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.101766] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.103765] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1113
DEBUG [2024-Jan-31 23:27:42.104765] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.105764] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.110761] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.111761] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.112760] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.119756] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.121755] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.127751] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.130750] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.136746] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.137745] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.138745] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.140744] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1114
DEBUG [2024-Jan-31 23:27:42.141743] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.142743] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.147740] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.148740] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.150739] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.156735] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.158733] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.165730] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.167732] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.174724] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.175724] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.176723] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.178722] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1115
DEBUG [2024-Jan-31 23:27:42.179722] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.180721] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.185718] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.186718] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.188716] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.193724] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.196723] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.203711] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.205710] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.212705] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.213705] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.213705] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.216712] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1116
DEBUG [2024-Jan-31 23:27:42.217711] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.218711] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.222708] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.223707] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.225706] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.231704] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.234692] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.240689] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.243685] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.250684] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.250684] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.251683] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.254681] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1117
DEBUG [2024-Jan-31 23:27:42.255681] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.256680] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.260678] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.261678] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.264673] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.272669] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.276666] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.286659] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.290657] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.302650] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.303651] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.305650] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.309646] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1118
DEBUG [2024-Jan-31 23:27:42.311647] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.313655] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.320640] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.321639] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.324638] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.334631] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.338630] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.349623] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.353621] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.364614] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.366614] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.367615] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.371612] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1119
DEBUG [2024-Jan-31 23:27:42.373610] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.374609] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.383604] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.385603] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.387602] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.398597] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.402594] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.412589] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.416586] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.425580] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.426581] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.427580] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.430578] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1120
DEBUG [2024-Jan-31 23:27:42.431578] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.432576] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.437574] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.438574] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.440573] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.446570] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.448569] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.455566] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.458563] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.464560] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.465559] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.466556] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.469556] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1121
NOTICE [2024-Jan-31 23:27:42.470555] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1121 out of 1231 steps (91%) completed
DEBUG [2024-Jan-31 23:27:42.471577] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.471577] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.471577] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.471577] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.471577] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.471577] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.487204] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.487204] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.487204] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.502828] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.502828] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.502828] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.502828] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1122
DEBUG [2024-Jan-31 23:27:42.502828] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.502828] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.502828] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.502828] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.518451] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.518451] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.518451] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.534085] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.534085] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.534085] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.534085] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.534085] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.534085] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1123
DEBUG [2024-Jan-31 23:27:42.534085] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.534085] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.549708] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.549708] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.549708] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.549708] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.549708] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.565332] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.565332] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.565332] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:42.580958] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.580958] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.580958] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1124
DEBUG [2024-Jan-31 23:27:42.580958] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.580958] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.580958] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.580958] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.580958] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.596582] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.596582] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.596582] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.596582] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.612204] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:42.612204] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.612204] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.612204] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1125
DEBUG [2024-Jan-31 23:27:42.612204] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.612204] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.627819] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.627819] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.627819] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.627819] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.627819] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.643452] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.643452] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.643452] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:42.643452] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.643452] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.659076] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1126
DEBUG [2024-Jan-31 23:27:42.659076] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.659076] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.659076] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.659076] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.659076] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.674700] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.674700] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.690313] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.690313] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.705939] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.705939] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.705939] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.705939] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1127
DEBUG [2024-Jan-31 23:27:42.721564] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.721564] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.721564] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.721564] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.721564] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.737185] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.737185] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.752809] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.752809] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.768435] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.768435] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.768435] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.768435] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1128
DEBUG [2024-Jan-31 23:27:42.784060] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.784060] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.784060] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.784060] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.784060] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.799682] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.799682] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.815307] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.815307] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.830929] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.830929] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.830929] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.830929] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1129
DEBUG [2024-Jan-31 23:27:42.830929] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.830929] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.846554] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.846554] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.846554] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.846554] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.846554] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.862180] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.862180] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.862180] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.862180] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.877802] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.877802] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1130
DEBUG [2024-Jan-31 23:27:42.877802] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.877802] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.877802] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.877802] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.877802] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.893426] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.893426] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.893426] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.893426] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.909050] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.909050] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.909050] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.909050] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1131
DEBUG [2024-Jan-31 23:27:42.909050] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.909050] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.909050] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.924672] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.924672] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.924672] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.924672] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.940296] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:42.940296] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:42.955920] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:42.955920] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:42.955920] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:42.955920] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1132
DEBUG [2024-Jan-31 23:27:42.955920] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:42.955920] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:42.971545] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:42.971545] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:42.971545] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:42.987168] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:42.987168] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.002792] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.002792] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.018417] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.018417] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.018417] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.034041] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1133
NOTICE [2024-Jan-31 23:27:43.034041] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1133 out of 1231 steps (92%) completed
DEBUG [2024-Jan-31 23:27:43.034041] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.034041] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.049665] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.049665] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.049665] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.049665] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.065288] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.065288] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.065288] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.080912] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.080912] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.080912] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.080912] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1134
DEBUG [2024-Jan-31 23:27:43.096536] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.096536] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.096536] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.096536] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.096536] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.112161] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.112161] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.112161] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.112161] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.127785] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.127785] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.127785] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.127785] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1135
DEBUG [2024-Jan-31 23:27:43.127785] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.127785] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.143411] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.143411] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.143411] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.143411] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.143411] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.159034] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.159034] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.159034] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.159034] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.159034] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.174658] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1136
DEBUG [2024-Jan-31 23:27:43.174658] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.174658] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.174658] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.174658] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.174658] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.190282] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.190282] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.190282] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.190282] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.205904] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.205904] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.205904] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.205904] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1137
DEBUG [2024-Jan-31 23:27:43.205904] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.205904] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.205904] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.221529] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.221529] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.221529] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.221529] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.237152] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.237152] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.237152] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:43.237152] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.237152] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.237152] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1138
DEBUG [2024-Jan-31 23:27:43.252785] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.252785] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.252785] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.252785] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.252785] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.252785] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.268402] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.268402] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.268402] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.284025] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:43.284025] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.284025] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.284025] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1139
DEBUG [2024-Jan-31 23:27:43.299647] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.299647] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.299647] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.299647] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.315272] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.315272] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.315272] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.330894] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.330894] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.346519] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:43.346519] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.346519] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.346519] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1140
DEBUG [2024-Jan-31 23:27:43.346519] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.362145] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.362145] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.362145] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.362145] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.377770] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.377770] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.393390] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.393390] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.393390] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.409014] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.409014] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.409014] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1141
DEBUG [2024-Jan-31 23:27:43.409014] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.409014] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.424640] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.424640] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.424640] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.440263] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.440263] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.440263] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.455888] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.455888] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.455888] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.455888] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.455888] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1142
DEBUG [2024-Jan-31 23:27:43.455888] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.455888] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.472809] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.473808] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.475806] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.481803] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.483804] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.490798] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.492797] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.499793] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.500794] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.501792] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.503793] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1143
DEBUG [2024-Jan-31 23:27:43.504791] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.505790] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.509788] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.510787] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.512786] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.518793] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.521575] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.527572] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.529571] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.536567] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.537566] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.538566] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.540564] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1144
DEBUG [2024-Jan-31 23:27:43.541564] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.542564] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.546561] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.547561] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.549559] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.555548] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.558546] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.564543] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.567550] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.574545] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.574545] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.575545] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.578543] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1145
NOTICE [2024-Jan-31 23:27:43.579542] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1145 out of 1231 steps (93%) completed
DEBUG [2024-Jan-31 23:27:43.580542] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.581541] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.586538] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.587538] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.589536] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.594534] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.597532] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.603529] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.606527] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.612524] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.613523] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.614522] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.617522] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1146
DEBUG [2024-Jan-31 23:27:43.618521] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.619519] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.623517] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.624517] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.626515] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.632512] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.634511] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.641509] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.643507] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.650505] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.651503] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.652502] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.655499] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1147
DEBUG [2024-Jan-31 23:27:43.656498] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.657498] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.661495] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.662496] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.664494] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.670490] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.672489] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.681474] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.684472] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.691478] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.692478] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.693477] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.696475] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1148
DEBUG [2024-Jan-31 23:27:43.697475] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.698474] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.702472] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.703471] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.705470] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.713456] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.718454] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.729446] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.733444] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.744438] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.745438] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.747437] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.752435] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1149
DEBUG [2024-Jan-31 23:27:43.754432] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.755435] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.761429] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.763429] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.766427] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.775490] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.780485] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.791478] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.794478] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.804474] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.806472] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.807472] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.811467] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1150
DEBUG [2024-Jan-31 23:27:43.812467] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.814466] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.820463] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.821462] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.824460] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.833455] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.836456] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.845448] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.849445] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.863438] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:43.864437] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.866437] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.870435] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1151
DEBUG [2024-Jan-31 23:27:43.872434] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.873434] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.879430] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.880429] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.882427] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.888423] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.891421] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.897418] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.900417] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.906413] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:43.907412] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.908411] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.911410] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1152
DEBUG [2024-Jan-31 23:27:43.912409] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.913409] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.917408] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.918406] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.920405] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.926401] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.928400] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.935396] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.937395] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.944391] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:43.945390] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.946390] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.949388] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1153
DEBUG [2024-Jan-31 23:27:43.950389] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:43.951387] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:43.955385] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:43.956384] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:43.958394] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:43.965381] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:43.969379] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.978375] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:43.983370] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:43.992367] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:43.994365] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:43.995366] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:43.999363] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1154
DEBUG [2024-Jan-31 23:27:44.001359] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.002359] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.012356] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.013355] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.016352] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.028922] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.043574] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.054569] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.059565] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.067561] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.068561] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.069559] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.071558] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1155
DEBUG [2024-Jan-31 23:27:44.072557] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.073557] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.077555] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.079557] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.080553] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.086549] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.089548] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.095545] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.097543] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.104539] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.105538] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.106538] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.108537] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1156
DEBUG [2024-Jan-31 23:27:44.109537] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.110537] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.114534] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.115534] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.117533] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.123529] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.125528] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.132524] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.134524] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.141519] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.142518] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.143517] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.146518] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1157
DEBUG [2024-Jan-31 23:27:44.147517] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.148517] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.153514] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.154513] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.156512] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.162509] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.164508] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.171503] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.173503] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.180496] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.181495] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.181495] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.184494] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1158
NOTICE [2024-Jan-31 23:27:44.185493] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1158 out of 1231 steps (94%) completed
DEBUG [2024-Jan-31 23:27:44.187492] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.188491] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.192490] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.193489] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.195488] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.201485] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.203483] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.210479] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.212478] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.219474] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.220473] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.221473] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.224471] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1159
DEBUG [2024-Jan-31 23:27:44.225471] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.226471] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.230468] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.231467] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.233466] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.239473] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.241472] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.248468] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.250456] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.257452] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.258451] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.258451] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.262449] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1160
DEBUG [2024-Jan-31 23:27:44.263448] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.264448] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.268445] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.270237] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.272246] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.278243] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.280241] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.287230] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.289228] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.296225] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.297224] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.298223] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.301222] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1161
DEBUG [2024-Jan-31 23:27:44.302230] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.303228] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.307226] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.308226] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.310224] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.316221] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.319211] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.326207] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.328206] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.335200] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.336199] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.337199] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.340198] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1162
DEBUG [2024-Jan-31 23:27:44.341197] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.342197] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.346194] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.347194] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.349193] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.355189] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.357188] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.364183] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.366182] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.373178] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:44.374178] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.374178] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.377176] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1163
DEBUG [2024-Jan-31 23:27:44.378176] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.379176] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.384173] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.385172] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.387171] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.393177] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.395176] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.402172] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.404171] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.411167] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:44.411167] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.412167] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.415154] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1164
DEBUG [2024-Jan-31 23:27:44.417153] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.418152] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.422150] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.423149] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.425148] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.431144] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.433144] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.440139] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.442139] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.449134] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:44.450134] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.451133] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.454132] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1165
DEBUG [2024-Jan-31 23:27:44.455131] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.456130] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.460128] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.461140] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.463137] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.469134] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.471133] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.479360] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.481358] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.488353] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.489354] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.489354] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.493352] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1166
DEBUG [2024-Jan-31 23:27:44.494351] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.495350] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.499348] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.500348] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.502346] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.508353] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.511349] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.517335] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.520344] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.527109] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.527109] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.528109] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.530107] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1167
DEBUG [2024-Jan-31 23:27:44.532107] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.532107] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.537104] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.538103] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.540093] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.546088] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.548088] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.555082] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.558081] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.564077] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.565077] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.566076] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.569075] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1168
DEBUG [2024-Jan-31 23:27:44.570074] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.571073] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.576073] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.577073] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.579072] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.585068] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.588066] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.594063] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.597061] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.603058] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.604057] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.605057] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.608055] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1169
DEBUG [2024-Jan-31 23:27:44.609055] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.610054] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.615051] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.616051] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.618050] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.624046] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.626045] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.633041] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.636038] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.642034] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.643033] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.644032] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.647030] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1170
NOTICE [2024-Jan-31 23:27:44.648031] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1170 out of 1231 steps (95%) completed
DEBUG [2024-Jan-31 23:27:44.649030] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.650029] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.654027] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.655027] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.657025] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.665020] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.668019] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.674015] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.677013] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.686009] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.687008] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.687008] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.691005] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1171
DEBUG [2024-Jan-31 23:27:44.692016] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.693015] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.698012] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.699011] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.700999] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.706008] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.709005] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.714993] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.718003] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.723999] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.724997] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.725997] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.728995] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1172
DEBUG [2024-Jan-31 23:27:44.729995] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.730994] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.734992] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.735990] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.737989] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.743985] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.746974] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.752969] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.755968] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.761964] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.762964] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.763963] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.766962] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1173
DEBUG [2024-Jan-31 23:27:44.767961] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.768960] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.772958] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.773958] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.775957] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.782766] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.784766] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.791760] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.793758] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.800754] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:44.801754] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.801754] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.804752] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1174
DEBUG [2024-Jan-31 23:27:44.806750] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.806750] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.811747] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.812747] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.814745] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.820742] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.822741] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.829737] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.831736] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.838732] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:44.838732] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.839731] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.842730] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1175
DEBUG [2024-Jan-31 23:27:44.844729] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.845729] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.849726] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.851725] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.853724] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.859720] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.861719] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.868716] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.870713] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.877709] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:44.878709] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.878709] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.881707] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1176
DEBUG [2024-Jan-31 23:27:44.882707] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.883706] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.888703] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.889704] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.891701] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.896698] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.899697] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.905705] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.908703] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.914699] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.915699] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.916698] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.919696] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1177
DEBUG [2024-Jan-31 23:27:44.920697] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.921695] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.925693] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.926692] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.928691] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.934689] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.937678] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.943674] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.945673] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.952679] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.953677] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.954677] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.957674] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1178
DEBUG [2024-Jan-31 23:27:44.958674] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.959674] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:44.963671] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:44.964671] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:44.966670] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:44.972666] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:44.974665] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.981661] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:44.983660] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:44.990657] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:44.991655] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:44.992655] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:44.994656] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1179
DEBUG [2024-Jan-31 23:27:44.996654] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:44.997653] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.001651] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.002650] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.004649] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.010645] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.012643] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.019514] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.022512] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.029508] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.029508] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.030508] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.033506] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1180
DEBUG [2024-Jan-31 23:27:45.035505] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.035505] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.040502] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.041502] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.043500] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.049497] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.051496] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.058491] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.061489] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.067486] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.068486] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.069485] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.072483] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1181
DEBUG [2024-Jan-31 23:27:45.073483] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.074482] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.080487] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.081487] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.083485] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.088483] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.091481] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.099029] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.101020] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.108024] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.109023] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.110011] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.113010] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1182
NOTICE [2024-Jan-31 23:27:45.113010] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1182 out of 1231 steps (96%) completed
DEBUG [2024-Jan-31 23:27:45.115009] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.115009] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.120006] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.121005] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.123004] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.129001] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.131000] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.137995] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.139994] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.146990] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.146990] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.147990] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.150988] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1183
DEBUG [2024-Jan-31 23:27:45.151987] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.152987] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.157984] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.158983] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.160983] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.165979] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.168978] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.175974] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.177973] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.183969] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:45.184969] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.185968] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.188966] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1184
DEBUG [2024-Jan-31 23:27:45.189968] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.190967] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.195964] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.196963] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.198962] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.204958] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.206958] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.213953] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.215952] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.222948] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:45.223948] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.223948] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.227946] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1185
DEBUG [2024-Jan-31 23:27:45.228945] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.229944] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.233942] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.236941] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.239939] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.245934] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.248933] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.256928] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.258927] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.266921] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:45.269922] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.270925] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.273921] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1186
DEBUG [2024-Jan-31 23:27:45.274922] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.275921] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.281919] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.282913] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.286913] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.295906] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.304905] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.312895] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.315895] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.328891] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.329888] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.330886] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.336885] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1187
DEBUG [2024-Jan-31 23:27:45.337887] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.339893] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.344878] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.345877] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.348875] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.357871] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.359870] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.366864] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.371869] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.379859] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.380857] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.381856] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.386858] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1188
DEBUG [2024-Jan-31 23:27:45.387858] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.389864] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.394850] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.395849] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.397847] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.408841] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.411840] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.422842] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.425831] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.438832] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.439831] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.440825] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.444821] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1189
DEBUG [2024-Jan-31 23:27:45.446819] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.447820] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.455821] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.456818] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.459814] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.465810] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.469811] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.471878] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.471878] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.485298] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.485298] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.485298] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.485298] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1190
DEBUG [2024-Jan-31 23:27:45.485298] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.485298] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.485298] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.485298] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.502436] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.508431] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.510431] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.517429] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.520581] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.526578] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.527577] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.528576] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.531575] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1191
DEBUG [2024-Jan-31 23:27:45.532575] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.533574] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.536615] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.536615] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.536615] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.536615] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.536615] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.552241] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.552241] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.552241] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.552241] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.552241] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.567864] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1192
DEBUG [2024-Jan-31 23:27:45.567864] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.567864] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.567864] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.567864] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.567864] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.583488] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.583488] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.583488] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.583488] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.599111] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:45.599111] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.599111] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.599111] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1193
DEBUG [2024-Jan-31 23:27:45.599111] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.599111] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.599111] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.614735] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.614735] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.614735] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.614735] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.630359] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.630359] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.630359] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:45.630359] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.630359] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.630359] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1194
DEBUG [2024-Jan-31 23:27:45.645983] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.645983] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.645983] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.645983] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.645983] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.661607] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.661607] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.661607] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.661607] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.677232] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:45.677232] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.677232] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.677232] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1195
NOTICE [2024-Jan-31 23:27:45.677232] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1195 out of 1231 steps (97%) completed
DEBUG [2024-Jan-31 23:27:45.677232] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.677232] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.692858] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.692858] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.692858] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.692858] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.692858] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.708481] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.708481] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.708481] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.708481] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.724105] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.724105] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1196
DEBUG [2024-Jan-31 23:27:45.724105] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.724105] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.724105] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.724105] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.724105] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.742931] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.745451] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.752976] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.754974] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.761970] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.761970] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.762969] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.765968] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1197
DEBUG [2024-Jan-31 23:27:45.766968] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.768430] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.773428] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.774427] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.775426] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.781423] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.784422] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.785002] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.785002] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.785002] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.800637] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.800637] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.800637] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1198
DEBUG [2024-Jan-31 23:27:45.800637] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.800637] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.800637] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.800637] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.800637] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.816251] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.816251] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.816251] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.816251] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.831874] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.831874] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.831874] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.831874] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1199
DEBUG [2024-Jan-31 23:27:45.831874] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.831874] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.847499] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.847499] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.847499] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.847499] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.847499] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.863123] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.863123] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.863123] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:45.878746] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.878746] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.878746] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1200
DEBUG [2024-Jan-31 23:27:45.878746] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.878746] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.878746] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.878746] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.878746] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.894370] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.894370] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.894370] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.894370] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.909993] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:45.909993] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.909993] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.909993] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1201
DEBUG [2024-Jan-31 23:27:45.909993] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.909993] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.925618] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.925618] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.925618] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.925618] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.925618] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.941242] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.941242] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.941242] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:45.941242] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.941242] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.956866] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1202
DEBUG [2024-Jan-31 23:27:45.956866] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.956866] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.956866] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:45.956866] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:45.956866] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:45.972489] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:45.972489] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.972489] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:45.972489] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:45.988113] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:45.988113] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:45.988113] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:45.988113] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1203
DEBUG [2024-Jan-31 23:27:45.988113] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:45.988113] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:45.988113] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.003738] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.003738] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.003738] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.003738] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.019361] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.019361] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.019361] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:46.019361] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.019361] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.019361] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1204
DEBUG [2024-Jan-31 23:27:46.034985] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.034985] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.034985] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.034985] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.034985] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.034985] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.050610] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.050610] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.050610] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.066235] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:46.066235] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.066235] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.066235] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1205
DEBUG [2024-Jan-31 23:27:46.066235] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.066235] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.079149] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.080148] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.082147] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.088331] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.090330] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.097325] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.099324] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.101925] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:46.101925] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.101925] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.101925] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1206
DEBUG [2024-Jan-31 23:27:46.101925] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.101925] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.117555] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.117555] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.117555] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.117555] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.117555] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.133176] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.133176] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.133176] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:46.133176] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.133176] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.148801] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1207
NOTICE [2024-Jan-31 23:27:46.148801] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1207 out of 1231 steps (98%) completed
DEBUG [2024-Jan-31 23:27:46.148801] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.148801] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.148801] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.148801] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.148801] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.164425] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.164425] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.164425] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.164425] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.180048] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:46.180048] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.180048] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.180048] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1208
DEBUG [2024-Jan-31 23:27:46.180048] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.180048] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.180048] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.180048] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.195672] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.195672] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.195672] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.211296] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.211296] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.211296] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:46.211296] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.211296] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.211296] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1209
DEBUG [2024-Jan-31 23:27:46.211296] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.226920] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.226920] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.226920] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.226920] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.226920] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.242543] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.242543] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.242543] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.258165] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:46.258165] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.258165] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.258165] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1210
DEBUG [2024-Jan-31 23:27:46.258165] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.258165] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.258165] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.258165] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.258165] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.273789] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.273789] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.273789] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.289414] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.289414] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:46.289414] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.289414] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.289414] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1211
DEBUG [2024-Jan-31 23:27:46.289414] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.305038] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.305038] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.305038] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.305038] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.305038] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.320662] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.320662] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.320662] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.336285] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:46.336285] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.336285] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.336285] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1212
DEBUG [2024-Jan-31 23:27:46.336285] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.336285] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.336285] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.336285] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.336285] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.351913] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.351913] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.351913] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.367537] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.367537] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:46.367537] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.367537] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.367537] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1213
DEBUG [2024-Jan-31 23:27:46.367537] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.367537] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.383161] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.383161] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.383161] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.383161] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.383161] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.398783] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.398783] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.398783] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:46.398783] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.398783] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.414407] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1214
DEBUG [2024-Jan-31 23:27:46.414407] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.414407] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.414407] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.414407] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.414407] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.430031] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.430031] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.430031] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.430031] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.445655] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:46.445655] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.445655] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.445655] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1215
DEBUG [2024-Jan-31 23:27:46.445655] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.445655] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.445655] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.461279] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.461279] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.461279] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.461279] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.481170] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.484168] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.490163] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:46.491165] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.492164] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.495162] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1216
DEBUG [2024-Jan-31 23:27:46.496162] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.497161] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.502161] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.503159] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.505156] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.511155] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.513153] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.520150] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.522148] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.528933] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:46.529933] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.530932] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.533930] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1217
DEBUG [2024-Jan-31 23:27:46.534930] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.535930] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.540924] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.541923] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.542923] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.548919] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.551917] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.557914] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.560912] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.566912] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:46.567911] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.568910] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.571909] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1218
DEBUG [2024-Jan-31 23:27:46.573906] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.574905] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.578903] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.579902] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.581901] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.587898] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.589896] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.596892] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.598891] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.605898] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:46.606897] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.606897] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.609895] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1219
NOTICE [2024-Jan-31 23:27:46.610895] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1219 out of 1231 steps (99%) completed
DEBUG [2024-Jan-31 23:27:46.611894] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.612893] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.617890] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.618882] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.620881] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.626877] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.628876] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.635872] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.637871] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.644867] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:46.645866] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.645866] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.648864] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1220
DEBUG [2024-Jan-31 23:27:46.650863] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.650863] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.655858] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.656857] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.658857] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.664853] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.666852] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.673848] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.675847] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.682842] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:46.683842] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.686842] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.690840] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1221
DEBUG [2024-Jan-31 23:27:46.691838] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.692837] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.696835] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.697834] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.700844] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.706840] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.708839] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.716823] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.718822] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.725818] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:46.725818] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.726817] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.729816] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1222
DEBUG [2024-Jan-31 23:27:46.730815] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.731818] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.736813] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.737813] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.739812] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.745808] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.747807] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.754803] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.756802] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.763798] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:46.764797] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.765796] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.768795] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1223
DEBUG [2024-Jan-31 23:27:46.769795] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.770794] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.774791] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.775791] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.777790] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.784571] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.786572] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.793568] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.795564] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.802560] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:46.803559] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.803559] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.806557] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1224
DEBUG [2024-Jan-31 23:27:46.807557] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.808556] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.813553] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.814553] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.817552] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.823548] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.826546] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.832542] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.835541] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.841537] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:46.842537] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.843536] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.846535] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1225
DEBUG [2024-Jan-31 23:27:46.847534] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.848534] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.853531] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.854530] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.856529] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.862527] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.864526] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.871522] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.874523] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.882515] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.43734e-14
DEBUG [2024-Jan-31 23:27:46.883515] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.883515] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.886513] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1226
DEBUG [2024-Jan-31 23:27:46.888512] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.889511] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.893509] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.894509] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.896508] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.902504] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.905502] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.911498] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.913497] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.920492] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.45666e-14
DEBUG [2024-Jan-31 23:27:46.921492] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.922491] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.925489] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1227
DEBUG [2024-Jan-31 23:27:46.926489] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.927488] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.931486] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.932485] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.934485] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.940481] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.942481] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.949476] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.951475] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.958470] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42273e-14
DEBUG [2024-Jan-31 23:27:46.959470] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.959470] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:46.962468] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1228
DEBUG [2024-Jan-31 23:27:46.964468] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:46.965466] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:46.970465] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:46.971465] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:46.973463] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:46.978460] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:46.981458] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.988453] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:46.990452] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:46.996449] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.44976e-14
DEBUG [2024-Jan-31 23:27:46.997448] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:46.998448] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:47.001446] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1229
DEBUG [2024-Jan-31 23:27:47.002445] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:47.003445] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:47.008442] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:47.009441] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:47.011441] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:47.017214] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:47.019214] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:47.026208] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:47.028207] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:47.035203] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.50199e-14
DEBUG [2024-Jan-31 23:27:47.036204] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:47.037202] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:47.040200] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #1230
DEBUG [2024-Jan-31 23:27:47.041200] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:47.042199] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:47.046197] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:47.047196] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:47.049196] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:47.055192] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:47.057190] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:47.064186] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:47.066186] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:47.073181] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42353e-14
DEBUG [2024-Jan-31 23:27:47.074181] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:47.075180] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
NOTICE [2024-Jan-31 23:27:47.078179] OREData/ored/utilities/progressbar.cpp:107 : sensitivities 1231 out of 1231 steps (100%) completed
NOTICE [2024-Jan-31 23:27:47.079178] OREAnalytics/orea/engine/valuationengine.cpp:286 : ValuationEngine completed: loop 29.66 sec, pricing 1.5 sec, update 27 sec fixing 0.0014
NOTICE [2024-Jan-31 23:27:47.080178] OREAnalytics/orea/engine/sensitivityanalysis.cpp:205 : Sensitivity analysis completed
NOTICE [2024-Jan-31 23:27:47.081177] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:213 : Sensi analysis - write sensitivity report in memory
NOTICE [2024-Jan-31 23:27:47.083654] OREAnalytics/orea/app/reportwriter.cpp:1110 : Writing Sensitivity report
DATA [2024-Jan-31 23:27:47.084656] OREAnalytics/orea/engine/sensitivitycubestream.cpp:88 : Next record is: [BERMUDAN_SWAPTION, false, DiscountCurve/EUR/0, 6M, 0.000100, , , 0.000000, EUR, -3125432.29, 0.00, 0.00]
...
NOTICE [2024-Jan-31 23:27:48.537339] OREAnalytics/orea/app/reportwriter.cpp:1148 : Sensitivity report finished
NOTICE [2024-Jan-31 23:27:48.538338] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:220 : Sensi analysis - write sensitivity scenario report in memory
NOTICE [2024-Jan-31 23:27:48.539337] OREAnalytics/orea/app/reportwriter.cpp:1068 : Writing Scenario report
NOTICE [2024-Jan-31 23:27:48.563323] OREAnalytics/orea/app/reportwriter.cpp:1104 : Scenario report finished
NOTICE [2024-Jan-31 23:27:48.564323] OREAnalytics/orea/app/reportwriter.cpp:1155 : Writing Sensitivity Config report
NOTICE [2024-Jan-31 23:27:48.565323] OREAnalytics/orea/app/reportwriter.cpp:1175 : Sensitivity Config report finished.
NOTICE [2024-Jan-31 23:27:48.566322] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:261 : Sensi Analysis - skip par conversion
NOTICE [2024-Jan-31 23:27:48.567321] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:264 : Sensi Analysis - Completed
NOTICE [2024-Jan-31 23:27:48.572321] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:143 : Stress Test Analysis called
NOTICE [2024-Jan-31 23:27:48.573319] OREAnalytics/orea/engine/stresstest.cpp:49 : Run Stress Test
DEBUG [2024-Jan-31 23:27:48.574303] OREAnalytics/orea/engine/stresstest.cpp:50 : Build Simulation Market
NOTICE [2024-Jan-31 23:27:48.575316] OREAnalytics/orea/scenario/scenariosimmarket.cpp:323 : building ScenarioSimMarket...
DEBUG [2024-Jan-31 23:27:48.576314] OREAnalytics/orea/scenario/scenariosimmarket.cpp:325 : AsOf 2016-02-05
DEBUG [2024-Jan-31 23:27:48.577314] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building CHF yield curve..
DEBUG [2024-Jan-31 23:27:48.577314] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.578314] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.579313] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve CHF discount[0]=1.0047
...
DEBUG [2024-Jan-31 23:27:48.588298] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building CHF yield curve done
DEBUG [2024-Jan-31 23:27:48.588298] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building EUR yield curve..
DEBUG [2024-Jan-31 23:27:48.590296] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.590296] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.591295] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve EUR discount[0]=1.0013
...
DEBUG [2024-Jan-31 23:27:48.599291] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building EUR yield curve done
DEBUG [2024-Jan-31 23:27:48.600290] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building GBP yield curve..
DEBUG [2024-Jan-31 23:27:48.600290] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.601290] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.602289] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve GBP discount[0]=0.996469
...
DEBUG [2024-Jan-31 23:27:48.610284] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building GBP yield curve done
DEBUG [2024-Jan-31 23:27:48.611284] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building JPY yield curve..
DEBUG [2024-Jan-31 23:27:48.612283] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.612283] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.613283] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve JPY discount[0]=1.00015
...
DEBUG [2024-Jan-31 23:27:48.621280] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building JPY yield curve done
DEBUG [2024-Jan-31 23:27:48.622278] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building USD yield curve..
DEBUG [2024-Jan-31 23:27:48.623277] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.624276] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.625276] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve USD discount[0]=0.995439
...
DEBUG [2024-Jan-31 23:27:48.632272] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building USD yield curve done
NOTICE [2024-Jan-31 23:27:48.633271] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built DiscountCurve 5 56.4 ms
DEBUG [2024-Jan-31 23:27:48.634271] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building BENCHMARK_EUR yield curve..
DEBUG [2024-Jan-31 23:27:48.635272] 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 23:27:48.636270] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:48.637270] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BENCHMARK_EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.638269] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.638269] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve YieldCurve BENCHMARK_EUR discount[0]=1.0038
...
DEBUG [2024-Jan-31 23:27:48.646264] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building BENCHMARK_EUR yield curve done
NOTICE [2024-Jan-31 23:27:48.647263] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built YieldCurve 1 12.8 ms
DEBUG [2024-Jan-31 23:27:48.648263] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.648263] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:48.669251] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building USD-FedFunds index curve
...
DEBUG [2024-Jan-31 23:27:48.672249] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve USD-FedFunds discount[0]=0.997372
...
DEBUG [2024-Jan-31 23:27:48.679245] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building USD-FedFunds index curve done
DEBUG [2024-Jan-31 23:27:48.680244] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building JPY-TONAR index curve
DEBUG [2024-Jan-31 23:27:48.683244] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(JPY-TONAR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.685243] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.686242] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve JPY-TONAR discount[0]=1.0002
...
DEBUG [2024-Jan-31 23:27:48.695239] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building JPY-TONAR index curve done
DEBUG [2024-Jan-31 23:27:48.696238] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building GBP-SONIA index curve
DEBUG [2024-Jan-31 23:27:48.697237] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.698247] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.699244] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve GBP-SONIA discount[0]=0.997289
...
DEBUG [2024-Jan-31 23:27:48.707240] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building GBP-SONIA index curve done
DEBUG [2024-Jan-31 23:27:48.707240] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EONIA index curve
DEBUG [2024-Jan-31 23:27:48.708239] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.709240] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.710240] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EONIA discount[0]=1.0013
...
DEBUG [2024-Jan-31 23:27:48.717236] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EONIA index curve done
DEBUG [2024-Jan-31 23:27:48.718233] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building CHF-TOIS index curve
DEBUG [2024-Jan-31 23:27:48.719234] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.720234] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.721236] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve CHF-TOIS discount[0]=1.00454
...
DEBUG [2024-Jan-31 23:27:48.728228] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building CHF-TOIS index curve done
DEBUG [2024-Jan-31 23:27:48.729229] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building CHF-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:27:48.730228] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.731227] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.732226] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve CHF-LIBOR-6M discount[0]=1.0042
...
DEBUG [2024-Jan-31 23:27:48.740221] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building CHF-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:27:48.740221] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EURIBOR-3M index curve
DEBUG [2024-Jan-31 23:27:48.741221] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.742220] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.743219] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EURIBOR-3M discount[0]=1.00048
...
DEBUG [2024-Jan-31 23:27:48.751204] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EURIBOR-3M index curve done
DEBUG [2024-Jan-31 23:27:48.752203] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EURIBOR-6M index curve
DEBUG [2024-Jan-31 23:27:48.752203] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.753203] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.754202] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EURIBOR-6M discount[0]=0.999876
...
DEBUG [2024-Jan-31 23:27:48.762198] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EURIBOR-6M index curve done
DEBUG [2024-Jan-31 23:27:48.763197] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building GBP-LIBOR-3M index curve
DEBUG [2024-Jan-31 23:27:48.764196] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-3M) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.764196] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.765196] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve GBP-LIBOR-3M discount[0]=0.996407
...
DEBUG [2024-Jan-31 23:27:48.773191] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building GBP-LIBOR-3M index curve done
DEBUG [2024-Jan-31 23:27:48.774191] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building GBP-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:27:48.775190] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-6M) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.775190] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.776190] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve GBP-LIBOR-6M discount[0]=0.995559
...
DEBUG [2024-Jan-31 23:27:48.783933] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building GBP-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:27:48.784933] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building JPY-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:27:48.785932] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(JPY-LIBOR-6M) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.786932] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.787932] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve JPY-LIBOR-6M discount[0]=1.00015
...
DEBUG [2024-Jan-31 23:27:48.794917] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building JPY-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:27:48.795916] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building USD-LIBOR-3M index curve
DEBUG [2024-Jan-31 23:27:48.796915] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.797914] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.798914] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve USD-LIBOR-3M discount[0]=0.99597
...
DEBUG [2024-Jan-31 23:27:48.805910] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building USD-LIBOR-3M index curve done
DEBUG [2024-Jan-31 23:27:48.806909] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building USD-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:27:48.807909] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-6M) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.808908] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:48.809909] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve USD-LIBOR-6M discount[0]=0.995974
...
DEBUG [2024-Jan-31 23:27:48.816904] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building USD-LIBOR-6M index curve done
NOTICE [2024-Jan-31 23:27:48.817903] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built IndexCurve 13 170 ms
DEBUG [2024-Jan-31 23:27:48.818902] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building CHF swaption volatility curve...
DEBUG [2024-Jan-31 23:27:48.819902] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.819902] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:48.824899] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market CHF yield volatility type = Normal
NOTICE [2024-Jan-31 23:27:48.824899] OREAnalytics/orea/scenario/scenariosimmarket.cpp:656 : Simulating yield vols for ccy CHF
DEBUG [2024-Jan-31 23:27:48.825899] OREAnalytics/orea/scenario/scenariosimmarket.cpp:657 : YieldVol T0 source is atm : True
DEBUG [2024-Jan-31 23:27:48.826898] OREAnalytics/orea/scenario/scenariosimmarket.cpp:658 : YieldVol ssm target is cube : False
DEBUG [2024-Jan-31 23:27:48.827897] OREAnalytics/orea/scenario/scenariosimmarket.cpp:659 : YieldVol simulate atm only : False
DEBUG [2024-Jan-31 23:27:48.828897] OREAnalytics/orea/scenario/scenariosimmarket.cpp:695 : T0 ts is normal : True
DEBUG [2024-Jan-31 23:27:48.829896] OREAnalytics/orea/scenario/scenariosimmarket.cpp:697 : Have swaption vol : True
DEBUG [2024-Jan-31 23:27:48.829896] OREAnalytics/orea/scenario/scenariosimmarket.cpp:698 : Will convert to normal vol : False
DEBUG [2024-Jan-31 23:27:48.830896] OREAnalytics/orea/scenario/scenariosimmarket.cpp:752 : AtmVol at 6M/1Y is 0.007208, shift is 0, (name,index) = (CHF,0)
...
DEBUG [2024-Jan-31 23:27:48.910853] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market CHF yield volatility type = Normal
DEBUG [2024-Jan-31 23:27:48.910853] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building EUR swaption volatility curve...
DEBUG [2024-Jan-31 23:27:48.911852] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:48.912851] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:48.916849] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market EUR yield volatility type = Normal
NOTICE [2024-Jan-31 23:27:48.917849] OREAnalytics/orea/scenario/scenariosimmarket.cpp:656 : Simulating yield vols for ccy EUR
DEBUG [2024-Jan-31 23:27:48.918848] OREAnalytics/orea/scenario/scenariosimmarket.cpp:657 : YieldVol T0 source is atm : True
DEBUG [2024-Jan-31 23:27:48.919847] OREAnalytics/orea/scenario/scenariosimmarket.cpp:658 : YieldVol ssm target is cube : False
DEBUG [2024-Jan-31 23:27:48.920847] OREAnalytics/orea/scenario/scenariosimmarket.cpp:659 : YieldVol simulate atm only : False
DEBUG [2024-Jan-31 23:27:48.921844] OREAnalytics/orea/scenario/scenariosimmarket.cpp:695 : T0 ts is normal : True
DEBUG [2024-Jan-31 23:27:48.921844] OREAnalytics/orea/scenario/scenariosimmarket.cpp:697 : Have swaption vol : True
DEBUG [2024-Jan-31 23:27:48.922844] OREAnalytics/orea/scenario/scenariosimmarket.cpp:698 : Will convert to normal vol : False
DEBUG [2024-Jan-31 23:27:48.923843] OREAnalytics/orea/scenario/scenariosimmarket.cpp:752 : AtmVol at 6M/1Y is 0.003343, shift is 0, (name,index) = (EUR,0)
...
DEBUG [2024-Jan-31 23:27:49.001801] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market EUR yield volatility type = Normal
DEBUG [2024-Jan-31 23:27:49.001801] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building GBP swaption volatility curve...
DEBUG [2024-Jan-31 23:27:49.002800] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.003800] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:49.007797] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market GBP yield volatility type = ShiftedLognormal
NOTICE [2024-Jan-31 23:27:49.008797] OREAnalytics/orea/scenario/scenariosimmarket.cpp:656 : Simulating yield vols for ccy GBP
DEBUG [2024-Jan-31 23:27:49.009796] OREAnalytics/orea/scenario/scenariosimmarket.cpp:657 : YieldVol T0 source is atm : True
DEBUG [2024-Jan-31 23:27:49.010795] OREAnalytics/orea/scenario/scenariosimmarket.cpp:658 : YieldVol ssm target is cube : False
DEBUG [2024-Jan-31 23:27:49.011795] OREAnalytics/orea/scenario/scenariosimmarket.cpp:659 : YieldVol simulate atm only : False
DEBUG [2024-Jan-31 23:27:49.012795] OREAnalytics/orea/scenario/scenariosimmarket.cpp:695 : T0 ts is normal : False
DEBUG [2024-Jan-31 23:27:49.012795] OREAnalytics/orea/scenario/scenariosimmarket.cpp:697 : Have swaption vol : True
DEBUG [2024-Jan-31 23:27:49.013794] OREAnalytics/orea/scenario/scenariosimmarket.cpp:698 : Will convert to normal vol : True
DEBUG [2024-Jan-31 23:27:49.014793] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwapIndexCurve(GBP-CMS-30Y) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.015801] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:49.018799] OREAnalytics/orea/scenario/scenariosimmarket.cpp:752 : AtmVol at 6M/1Y is 0.0060648, shift is 0, (name,index) = (GBP,0)
...
DEBUG [2024-Jan-31 23:27:49.146533] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market GBP yield volatility type = Normal
DEBUG [2024-Jan-31 23:27:49.147533] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building JPY swaption volatility curve...
DEBUG [2024-Jan-31 23:27:49.148533] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.149532] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:49.153530] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market JPY yield volatility type = Normal
NOTICE [2024-Jan-31 23:27:49.154530] OREAnalytics/orea/scenario/scenariosimmarket.cpp:656 : Simulating yield vols for ccy JPY
DEBUG [2024-Jan-31 23:27:49.155528] OREAnalytics/orea/scenario/scenariosimmarket.cpp:657 : YieldVol T0 source is atm : True
DEBUG [2024-Jan-31 23:27:49.155528] OREAnalytics/orea/scenario/scenariosimmarket.cpp:658 : YieldVol ssm target is cube : False
DEBUG [2024-Jan-31 23:27:49.156528] OREAnalytics/orea/scenario/scenariosimmarket.cpp:659 : YieldVol simulate atm only : False
DEBUG [2024-Jan-31 23:27:49.157527] OREAnalytics/orea/scenario/scenariosimmarket.cpp:695 : T0 ts is normal : True
DEBUG [2024-Jan-31 23:27:49.158527] OREAnalytics/orea/scenario/scenariosimmarket.cpp:697 : Have swaption vol : True
DEBUG [2024-Jan-31 23:27:49.159526] OREAnalytics/orea/scenario/scenariosimmarket.cpp:698 : Will convert to normal vol : False
DEBUG [2024-Jan-31 23:27:49.160525] OREAnalytics/orea/scenario/scenariosimmarket.cpp:752 : AtmVol at 6M/1Y is 0.007208, shift is 0, (name,index) = (JPY,0)
...
DEBUG [2024-Jan-31 23:27:49.238017] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market JPY yield volatility type = Normal
DEBUG [2024-Jan-31 23:27:49.239015] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building USD swaption volatility curve...
DEBUG [2024-Jan-31 23:27:49.240015] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.240015] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:49.245012] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market USD yield volatility type = ShiftedLognormal
NOTICE [2024-Jan-31 23:27:49.245012] OREAnalytics/orea/scenario/scenariosimmarket.cpp:656 : Simulating yield vols for ccy USD
DEBUG [2024-Jan-31 23:27:49.246011] OREAnalytics/orea/scenario/scenariosimmarket.cpp:657 : YieldVol T0 source is atm : True
DEBUG [2024-Jan-31 23:27:49.247011] OREAnalytics/orea/scenario/scenariosimmarket.cpp:658 : YieldVol ssm target is cube : False
DEBUG [2024-Jan-31 23:27:49.248010] OREAnalytics/orea/scenario/scenariosimmarket.cpp:659 : YieldVol simulate atm only : False
DEBUG [2024-Jan-31 23:27:49.249009] OREAnalytics/orea/scenario/scenariosimmarket.cpp:695 : T0 ts is normal : False
DEBUG [2024-Jan-31 23:27:49.250009] OREAnalytics/orea/scenario/scenariosimmarket.cpp:697 : Have swaption vol : True
DEBUG [2024-Jan-31 23:27:49.250009] OREAnalytics/orea/scenario/scenariosimmarket.cpp:698 : Will convert to normal vol : True
DEBUG [2024-Jan-31 23:27:49.251008] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwapIndexCurve(USD-CMS-30Y) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.252008] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:49.254995] OREAnalytics/orea/scenario/scenariosimmarket.cpp:752 : AtmVol at 6M/1Y is 0.00622809, shift is 0, (name,index) = (USD,0)
...
DEBUG [2024-Jan-31 23:27:49.421664] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market USD yield volatility type = Normal
NOTICE [2024-Jan-31 23:27:49.422663] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built SwaptionVolatility 5 604 ms
NOTICE [2024-Jan-31 23:27:49.423662] OREAnalytics/orea/scenario/scenariosimmarket.cpp:876 : building EUR cap/floor volatility curve...
DEBUG [2024-Jan-31 23:27:49.423662] OREData/ored/marketdata/todaysmarket.cpp:823 : market object CapFloorVol(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.424662] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:49.427660] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
NOTICE [2024-Jan-31 23:27:49.428660] OREAnalytics/orea/scenario/scenariosimmarket.cpp:883 : Initial market cap/floor volatility type = Normal
NOTICE [2024-Jan-31 23:27:49.429659] OREAnalytics/orea/scenario/scenariosimmarket.cpp:889 : Simulating Cap/Floor Optionlet vols for key EUR
DEBUG [2024-Jan-31 23:27:49.429659] OREAnalytics/orea/scenario/scenariosimmarket.cpp:939 : cap floor use adjusted option pillars = false
DEBUG [2024-Jan-31 23:27:49.430658] OREAnalytics/orea/scenario/scenariosimmarket.cpp:940 : have ibor index = true
DEBUG [2024-Jan-31 23:27:49.431657] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [6M, 2016-08-05]
DEBUG [2024-Jan-31 23:27:49.432659] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1042 : Vol at [date, strike] pair [August 5th, 2016, 0.0000] is 0.002667060000
...
DEBUG [2024-Jan-31 23:27:49.439655] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [1Y, 2017-02-06]
...
DEBUG [2024-Jan-31 23:27:49.446651] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [2Y, 2018-02-05]
...
DEBUG [2024-Jan-31 23:27:49.453646] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [3Y, 2019-02-05]
...
DEBUG [2024-Jan-31 23:27:49.461642] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [5Y, 2021-02-05]
...
DEBUG [2024-Jan-31 23:27:49.468638] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [7Y, 2023-02-06]
...
DEBUG [2024-Jan-31 23:27:49.476883] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [10Y, 2026-02-05]
...
DEBUG [2024-Jan-31 23:27:49.483879] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [15Y, 2031-02-05]
...
DEBUG [2024-Jan-31 23:27:49.490875] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [20Y, 2036-02-05]
...
NOTICE [2024-Jan-31 23:27:49.498871] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1100 : Simulation market cap/floor volatility type = Normal
NOTICE [2024-Jan-31 23:27:49.499870] OREAnalytics/orea/scenario/scenariosimmarket.cpp:876 : building USD cap/floor volatility curve...
DEBUG [2024-Jan-31 23:27:49.499870] OREData/ored/marketdata/todaysmarket.cpp:823 : market object CapFloorVol(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.500869] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:49.503868] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
NOTICE [2024-Jan-31 23:27:49.504867] OREAnalytics/orea/scenario/scenariosimmarket.cpp:883 : Initial market cap/floor volatility type = Normal
NOTICE [2024-Jan-31 23:27:49.505867] OREAnalytics/orea/scenario/scenariosimmarket.cpp:889 : Simulating Cap/Floor Optionlet vols for key USD
DEBUG [2024-Jan-31 23:27:49.505867] OREAnalytics/orea/scenario/scenariosimmarket.cpp:939 : cap floor use adjusted option pillars = false
DEBUG [2024-Jan-31 23:27:49.506866] OREAnalytics/orea/scenario/scenariosimmarket.cpp:940 : have ibor index = true
DEBUG [2024-Jan-31 23:27:49.507865] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [6M, 2016-08-05]
DEBUG [2024-Jan-31 23:27:49.508865] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1042 : Vol at [date, strike] pair [August 5th, 2016, 0.0000] is 0.002887205148
...
DEBUG [2024-Jan-31 23:27:49.515861] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [1Y, 2017-02-06]
...
DEBUG [2024-Jan-31 23:27:49.523525] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [2Y, 2018-02-05]
...
DEBUG [2024-Jan-31 23:27:49.530640] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [3Y, 2019-02-05]
...
DEBUG [2024-Jan-31 23:27:49.537636] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [5Y, 2021-02-05]
...
DEBUG [2024-Jan-31 23:27:49.545631] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [7Y, 2023-02-06]
...
DEBUG [2024-Jan-31 23:27:49.552627] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [10Y, 2026-02-05]
...
DEBUG [2024-Jan-31 23:27:49.560622] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [15Y, 2031-02-05]
...
DEBUG [2024-Jan-31 23:27:49.567618] OREAnalytics/orea/scenario/scenariosimmarket.cpp:994 : Option [tenor, date] pair is [20Y, 2036-02-05]
...
NOTICE [2024-Jan-31 23:27:49.575614] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1100 : Simulation market cap/floor volatility type = Normal
NOTICE [2024-Jan-31 23:27:49.576613] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built OptionletVolatility 2 153 ms
DEBUG [2024-Jan-31 23:27:49.576613] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding CHFEUR FX rates
...
NOTICE [2024-Jan-31 23:27:49.580611] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:27:49.581610] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFEUR
...
NOTICE [2024-Jan-31 23:27:49.584609] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 4 quotes, 5 currencies.
NOTICE [2024-Jan-31 23:27:49.585619] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built FXSpot 4 8.32 ms
DEBUG [2024-Jan-31 23:27:49.586618] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(GBPEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.587607] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DATA [2024-Jan-31 23:27:49.588606] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(GBPEUR): 0 / JoinHolidays(TARGET, UK settlement) from convention.
DATA [2024-Jan-31 23:27:49.588606] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'GBP' to 'EUR': GBP-EUR
NOTICE [2024-Jan-31 23:27:49.589605] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1333 : Simulating FX Vols for GBPEUR
DATA [2024-Jan-31 23:27:49.590605] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1349 : Foreign term structure '' from t_0 market is empty
DATA [2024-Jan-31 23:27:49.591604] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1353 : Domestic term structure '' from t_0 market is empty
DATA [2024-Jan-31 23:27:49.592603] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1358 : Falling back on the discount curves for GBP and EUR from t_0 market
DEBUG [2024-Jan-31 23:27:49.593603] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.593603] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:49.596601] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1367 : Foreign term structure '' from sim market is empty
DATA [2024-Jan-31 23:27:49.597600] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1371 : Domestic term structure '' from sim market is empty
DATA [2024-Jan-31 23:27:49.598600] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1376 : Falling back on the discount curves for GBP and EUR from sim market
NOTICE [2024-Jan-31 23:27:49.598600] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1539 : ATM FX Vols (BlackVarianceCurve3) for GBPEUR
DEBUG [2024-Jan-31 23:27:49.599599] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(JPYEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.600599] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DATA [2024-Jan-31 23:27:49.601598] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(JPYEUR): 0 / JoinHolidays(TARGET, Japan) from convention.
DATA [2024-Jan-31 23:27:49.602598] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'JPY' to 'EUR': JPY-EUR
NOTICE [2024-Jan-31 23:27:49.603609] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1333 : Simulating FX Vols for JPYEUR
DATA [2024-Jan-31 23:27:49.604597] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1349 : Foreign term structure '' from t_0 market is empty
DATA [2024-Jan-31 23:27:49.605609] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1353 : Domestic term structure '' from t_0 market is empty
DATA [2024-Jan-31 23:27:49.605609] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1358 : Falling back on the discount curves for JPY and EUR from t_0 market
DEBUG [2024-Jan-31 23:27:49.606607] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.607606] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:49.610604] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1367 : Foreign term structure '' from sim market is empty
DATA [2024-Jan-31 23:27:49.611603] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1371 : Domestic term structure '' from sim market is empty
DATA [2024-Jan-31 23:27:49.611603] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1376 : Falling back on the discount curves for JPY and EUR from sim market
NOTICE [2024-Jan-31 23:27:49.612603] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1539 : ATM FX Vols (BlackVarianceCurve3) for JPYEUR
DEBUG [2024-Jan-31 23:27:49.613602] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.614602] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DATA [2024-Jan-31 23:27:49.615602] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DATA [2024-Jan-31 23:27:49.616602] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
NOTICE [2024-Jan-31 23:27:49.617600] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1333 : Simulating FX Vols for USDEUR
DATA [2024-Jan-31 23:27:49.618599] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1349 : Foreign term structure '' from t_0 market is empty
DATA [2024-Jan-31 23:27:49.619591] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1353 : Domestic term structure '' from t_0 market is empty
DATA [2024-Jan-31 23:27:49.619591] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1358 : Falling back on the discount curves for USD and EUR from t_0 market
DEBUG [2024-Jan-31 23:27:49.620590] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.621590] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:27:49.624588] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1367 : Foreign term structure '' from sim market is empty
DATA [2024-Jan-31 23:27:49.625588] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1371 : Domestic term structure '' from sim market is empty
DATA [2024-Jan-31 23:27:49.625588] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1376 : Falling back on the discount curves for USD and EUR from sim market
NOTICE [2024-Jan-31 23:27:49.626587] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1539 : ATM FX Vols (BlackVarianceCurve3) for USDEUR
NOTICE [2024-Jan-31 23:27:49.627586] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built FXVolatility 3 41.7 ms
DEBUG [2024-Jan-31 23:27:49.628586] OREAnalytics/orea/scenario/scenariosimmarket.cpp:514 : adding Lufthansa equity spot...
DEBUG [2024-Jan-31 23:27:49.629585] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.630585] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.631584] OREAnalytics/orea/scenario/scenariosimmarket.cpp:524 : adding Lufthansa equity spot done
...
NOTICE [2024-Jan-31 23:27:49.635582] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built EquitySpot 2 6.72 ms
DEBUG [2024-Jan-31 23:27:49.636581] OREAnalytics/orea/scenario/scenariosimmarket.cpp:535 : building Lufthansa equity dividend yield curve..
DEBUG [2024-Jan-31 23:27:49.636581] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(Lufthansa) failed: Two or three tokens required in Lufthansa: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:27:49.637581] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'Lufthansa' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:49.638580] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.639579] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.640579] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DividendYield Lufthansa discount[0]=1.0013
...
DEBUG [2024-Jan-31 23:27:49.642578] OREAnalytics/orea/scenario/scenariosimmarket.cpp:539 : building Lufthansa equity dividend yield curve done
DATA [2024-Jan-31 23:27:49.643577] OREAnalytics/orea/scenario/scenariosimmarket.cpp:552 : Got forecast curve 'Yield/EUR/EUR1D' from equity curve config for Lufthansa
DEBUG [2024-Jan-31 23:27:49.644577] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.645576] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.646575] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(Lufthansa) failed: Two or three tokens required in Lufthansa: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:27:49.647575] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'Lufthansa' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:49.647575] OREAnalytics/orea/scenario/scenariosimmarket.cpp:535 : building SP5 equity dividend yield curve..
...
DEBUG [2024-Jan-31 23:27:49.650573] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(SP5) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.651572] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.652572] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DividendYield SP5 discount[0]=0.993312
...
DEBUG [2024-Jan-31 23:27:49.654571] OREAnalytics/orea/scenario/scenariosimmarket.cpp:539 : building SP5 equity dividend yield curve done
DATA [2024-Jan-31 23:27:49.655570] OREAnalytics/orea/scenario/scenariosimmarket.cpp:552 : Got forecast curve 'Yield/USD/USD1D' from equity curve config for SP5
DEBUG [2024-Jan-31 23:27:49.656570] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(SP5) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.657569] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.658568] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(SP5) failed: Two or three tokens required in SP5: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:27:49.659568] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'SP5' - look for a genuine yield curve
NOTICE [2024-Jan-31 23:27:49.659568] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built DividendYield 2 23.9 ms
DEBUG [2024-Jan-31 23:27:49.660567] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityVols(Lufthansa) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.661567] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:27:49.662566] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1778 : ATM EQ Vols (BlackVarianceCurve3) for Lufthansa
DEBUG [2024-Jan-31 23:27:49.663566] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1816 : EQ volatility curve built for Lufthansa
...
NOTICE [2024-Jan-31 23:27:49.667564] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built EquityVolatility 2 6.8 ms
NOTICE [2024-Jan-31 23:27:49.668563] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1111 : building BANK default curve..
DEBUG [2024-Jan-31 23:27:49.669562] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BANK) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.670562] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.671561] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1139 : ScenarioSimMarket default curve BANK survival[0]=0.991593
...
NOTICE [2024-Jan-31 23:27:49.675559] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1111 : building CPTY_C default curve..
DEBUG [2024-Jan-31 23:27:49.676558] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_C) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.677558] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:27:49.683552] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built SurvivalProbability 2 14.9 ms
DEBUG [2024-Jan-31 23:27:49.684552] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1185 : Adding security recovery rate BANK from configuration default
DEBUG [2024-Jan-31 23:27:49.686552] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BANK) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.688550] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:49.690551] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:27:49.690551] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1185 : Adding security recovery rate CPTY_C from configuration default
...
DEBUG [2024-Jan-31 23:27:49.692549] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:27:49.694548] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
NOTICE [2024-Jan-31 23:27:49.695547] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built RecoveryRate 2 10.3 ms
NOTICE [2024-Jan-31 23:27:49.695547] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1944 : building EUHICP zero inflation curve
...
DEBUG [2024-Jan-31 23:27:49.697546] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.698546] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1987 : ScenarioSimMarket zero inflation curve EUHICP zeroRate[1]=0.00992313
...
DATA [2024-Jan-31 23:27:49.706541] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
NOTICE [2024-Jan-31 23:27:49.707541] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2014 : building EUHICP zero inflation curve done
NOTICE [2024-Jan-31 23:27:49.707541] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1944 : building EUHICPXT zero inflation curve
DEBUG [2024-Jan-31 23:27:49.708540] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(EUHICPXT) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.709539] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.710539] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1987 : ScenarioSimMarket zero inflation curve EUHICPXT zeroRate[1]=0.0108058
...
DATA [2024-Jan-31 23:27:49.718531] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
NOTICE [2024-Jan-31 23:27:49.719531] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2014 : building EUHICPXT zero inflation curve done
NOTICE [2024-Jan-31 23:27:49.719531] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1944 : building FRHICP zero inflation curve
DEBUG [2024-Jan-31 23:27:49.720531] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(FRHICP) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.721530] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.722529] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1987 : ScenarioSimMarket zero inflation curve FRHICP zeroRate[1]=0.00733733
...
DATA [2024-Jan-31 23:27:49.730525] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
NOTICE [2024-Jan-31 23:27:49.731524] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2014 : building FRHICP zero inflation curve done
NOTICE [2024-Jan-31 23:27:49.732523] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1944 : building UKRPI zero inflation curve
DEBUG [2024-Jan-31 23:27:49.732523] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(UKRPI) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.733523] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.734522] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1987 : ScenarioSimMarket zero inflation curve UKRPI zeroRate[1]=0.0191238
...
DATA [2024-Jan-31 23:27:49.742518] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
NOTICE [2024-Jan-31 23:27:49.743517] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2014 : building UKRPI zero inflation curve done
NOTICE [2024-Jan-31 23:27:49.743517] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1944 : building USCPI zero inflation curve
DEBUG [2024-Jan-31 23:27:49.744517] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(USCPI) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.745516] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.746515] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1987 : ScenarioSimMarket zero inflation curve USCPI zeroRate[1]=0.013951
...
DATA [2024-Jan-31 23:27:49.754511] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
NOTICE [2024-Jan-31 23:27:49.755510] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2014 : building USCPI zero inflation curve done
NOTICE [2024-Jan-31 23:27:49.756510] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built ZeroInflationCurve 5 60.3 ms
DEBUG [2024-Jan-31 23:27:49.757510] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YoYInflationCurve(EUHICPXT) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.757510] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.758509] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2156 : ScenarioSimMarket yoy inflation curve EUHICPXT yoyRate[1]=0.01165
...
NOTICE [2024-Jan-31 23:27:49.765505] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built YoYInflationCurve 1 8.5 ms
DEBUG [2024-Jan-31 23:27:49.766504] OREAnalytics/orea/scenario/scenariosimmarket.cpp:584 : Adding security spread SECURITY_1 from configuration default
DEBUG [2024-Jan-31 23:27:49.767503] OREData/ored/marketdata/todaysmarket.cpp:823 : market object Securities(SECURITY_1) required for configuration 'default'
DEBUG [2024-Jan-31 23:27:49.768503] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:27:49.768503] OREAnalytics/orea/scenario/scenariosimmarket.cpp:599 : Adding security recovery rate SECURITY_1 from configuration default
...
DEBUG [2024-Jan-31 23:27:49.770502] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:27:49.772501] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:27:49.773500] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built SecuritySpread 1 6.7 ms
DEBUG [2024-Jan-31 23:27:49.773500] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2707 : building swap indices...
DEBUG [2024-Jan-31 23:27:49.774499] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2737 : Adding swap index EUR-CMS-1Y with discounting index EUR-EONIA
DATA [2024-Jan-31 23:27:49.776296] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:27:49.779294] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2740 : Adding swap index EUR-CMS-1Y done.
DEBUG [2024-Jan-31 23:27:49.780294] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2737 : Adding swap index EUR-CMS-30Y with discounting index EUR-EONIA
...
DEBUG [2024-Jan-31 23:27:49.785291] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2740 : Adding swap index EUR-CMS-30Y done.
NOTICE [2024-Jan-31 23:27:49.785291] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2712 : building base scenario
NOTICE [2024-Jan-31 23:27:49.788290] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2729 : building base scenario done
DEBUG [2024-Jan-31 23:27:49.789289] OREAnalytics/orea/engine/stresstest.cpp:55 : Build Stress Scenario Generator
DEBUG [2024-Jan-31 23:27:49.790288] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:47 : Generate stress scenario #0 'parallel_rates'
DATA [2024-Jan-31 23:27:49.791288] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:99 : Apply stress scenario to fx CHFEUR
...
DEBUG [2024-Jan-31 23:27:49.794895] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:112 : FX scenarios done
DEBUG [2024-Jan-31 23:27:49.795894] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:131 : Equity scenarios done
DATA [2024-Jan-31 23:27:49.796894] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:140 : Apply stress scenario to discount curve EUR
...
DEBUG [2024-Jan-31 23:27:49.799892] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:185 : Discount curve stress scenarios done
DATA [2024-Jan-31 23:27:49.800891] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:249 : Apply stress scenario to index curve CHF-LIBOR-6M
...
DEBUG [2024-Jan-31 23:27:49.808879] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:295 : Index curve scenarios done
DATA [2024-Jan-31 23:27:49.809878] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:304 : Apply stress scenario to yield curve BENCHMARK_EUR
DEBUG [2024-Jan-31 23:27:49.810878] 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 23:27:49.810878] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:49.811877] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:356 : Yield curve scenarios done
DATA [2024-Jan-31 23:27:49.812877] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:365 : Apply stress scenario to fx vol structure GBPEUR
...
DEBUG [2024-Jan-31 23:27:49.815875] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:412 : FX vol scenarios done
DATA [2024-Jan-31 23:27:49.815875] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:421 : Apply stress scenario to equity vol structure Lufthansa
...
DEBUG [2024-Jan-31 23:27:49.817874] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:467 : Equity vol scenarios done
DATA [2024-Jan-31 23:27:49.818873] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:476 : Apply stress scenario to swaption vol structure 'EUR'
DEBUG [2024-Jan-31 23:27:49.819872] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:553 : Swaption vol scenarios done
DATA [2024-Jan-31 23:27:49.820872] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:562 : Apply stress scenario to cap/floor vol structure EUR
...
DEBUG [2024-Jan-31 23:27:49.822871] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:623 : Optionlet vol scenarios done
DEBUG [2024-Jan-31 23:27:49.823871] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:642 : Security spread scenarios done
DEBUG [2024-Jan-31 23:27:49.824870] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:240 : Default Curve stress scenarios done
DEBUG [2024-Jan-31 23:27:49.825869] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:47 : Generate stress scenario #1 'twist'
DEBUG [2024-Jan-31 23:27:49.826869] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:112 : FX scenarios done
DEBUG [2024-Jan-31 23:27:49.826869] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:131 : Equity scenarios done
DEBUG [2024-Jan-31 23:27:49.827868] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:185 : Discount curve stress scenarios done
DEBUG [2024-Jan-31 23:27:49.828868] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:295 : Index curve scenarios done
DATA [2024-Jan-31 23:27:49.829867] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:304 : Apply stress scenario to yield curve BENCHMARK_EUR
DEBUG [2024-Jan-31 23:27:49.830866] 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 23:27:49.831866] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:49.832865] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:356 : Yield curve scenarios done
DEBUG [2024-Jan-31 23:27:49.832865] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:412 : FX vol scenarios done
DEBUG [2024-Jan-31 23:27:49.833865] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:467 : Equity vol scenarios done
DATA [2024-Jan-31 23:27:49.834864] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:476 : Apply stress scenario to swaption vol structure 'EUR'
DEBUG [2024-Jan-31 23:27:49.835863] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:553 : Swaption vol scenarios done
DEBUG [2024-Jan-31 23:27:49.836863] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:623 : Optionlet vol scenarios done
DEBUG [2024-Jan-31 23:27:49.837860] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:642 : Security spread scenarios done
DEBUG [2024-Jan-31 23:27:49.838862] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:240 : Default Curve stress scenarios done
DEBUG [2024-Jan-31 23:27:49.839862] OREAnalytics/orea/scenario/stressscenariogenerator.cpp:74 : stress scenario generator: all scenarios generated.
DEBUG [2024-Jan-31 23:27:49.839862] OREAnalytics/orea/engine/stresstest.cpp:63 : Build Engine Factory
NOTICE [2024-Jan-31 23:27:49.840861] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
DEBUG [2024-Jan-31 23:27:49.842860] OREAnalytics/orea/engine/stresstest.cpp:71 : Reset and Build Portfolio
NOTICE [2024-Jan-31 23:27:49.842860] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 23
NOTICE [2024-Jan-31 23:27:49.846714] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 23 for context = 'stress analysis'
DEBUG [2024-Jan-31 23:27:49.846714] OREData/ored/portfolio/swaption.cpp:65 : Swaption::build() for BERMUDAN_SWAPTION: build underlying swap
DEBUG [2024-Jan-31 23:27:49.847716] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade
DEBUG [2024-Jan-31 23:27:49.848715] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:49.849715] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:49.852713] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:27:49.857713] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:49.858712] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:27:49.858712] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:27:49.859712] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:27:49.860711] OREData/ored/portfolio/swaption.cpp:73 : Swaption::build() for BERMUDAN_SWAPTION: build exercise
DEBUG [2024-Jan-31 23:27:49.861711] OREData/ored/portfolio/optiondata.cpp:165 : Got notice date 2028-10-01 using notice period 0D, convention Unadjusted, calendar Null from exercise date October 1st, 2028
...
DEBUG [2024-Jan-31 23:27:49.867707] OREData/ored/portfolio/swaption.cpp:156 : Swaption::build() for BERMUDAN_SWAPTION: type: isCrossCcy = false, isOis = false, isBma = false, isStandard = true
DEBUG [2024-Jan-31 23:27:49.868707] OREData/ored/portfolio/swaption.cpp:381 : found ibor / ois index 'Euribor3M Actual/360'
DEBUG [2024-Jan-31 23:27:49.868707] OREData/ored/portfolio/swaption.cpp:405 : calibration strike for ex date 2028-10-01 is 0.050000 (fixed rate 0.050000, spread 0.000000)
...
DEBUG [2024-Jan-31 23:27:49.874711] OREData/ored/portfolio/builders/swaption.cpp:209 : Building Bermudan Swaption engine for trade BERMUDAN_SWAPTION
DATA [2024-Jan-31 23:27:49.875710] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:27:49.876710] OREData/ored/portfolio/builders/swaption.cpp:87 : Get model data
DEBUG [2024-Jan-31 23:27:49.877710] OREData/ored/portfolio/builders/swaption.cpp:140 : Build LgmData for co-terminal specification
DEBUG [2024-Jan-31 23:27:49.878709] OREData/ored/portfolio/builders/swaption.cpp:156 : Calibrate piecewise alpha
DEBUG [2024-Jan-31 23:27:49.879708] OREData/ored/portfolio/builders/swaption.cpp:184 : Build LGM model
DATA [2024-Jan-31 23:27:49.880708] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
NOTICE [2024-Jan-31 23:27:49.881707] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier EUR-EURIBOR-3M (ccy=EUR), configuration is default
...
DEBUG [2024-Jan-31 23:27:49.884706] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
DEBUG [2024-Jan-31 23:27:49.885705] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:27:49.888694] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry October 1st, 2028 and term October 1st, 2038: vol=0.002, index=Euribor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:27:49.898691] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 12.663; 13.663; 14.663; 15.663; 16.6658 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:27:49.898691] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:27:49.899686] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for EUR-EURIBOR-3M: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:27:49.900686] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 5
DEBUG [2024-Jan-31 23:27:49.901685] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:27:49.902684] OREData/ored/portfolio/builders/swaption.cpp:192 : Calibrate model (configuration default)
DEBUG [2024-Jan-31 23:27:49.904683] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:49.905686] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:49.911682] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:49.913681] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:49.915679] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:49.921677] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:49.923675] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:49.930671] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:49.932670] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:49.939666] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.42172e-14
DEBUG [2024-Jan-31 23:27:49.940665] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:49.941665] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DEBUG [2024-Jan-31 23:27:49.942664] OREData/ored/portfolio/builders/swaption.cpp:213 : Get engine data
DEBUG [2024-Jan-31 23:27:49.943664] OREData/ored/portfolio/builders/swaption.cpp:220 : Build engine (configuration collateral_eur)
DATA [2024-Jan-31 23:27:49.944663] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:27:49.944663] OREData/ored/portfolio/swaption.cpp:426 : Swaption model calibration time: 0.070051 s
DEBUG [2024-Jan-31 23:27:49.945663] OREData/ored/portfolio/swaption.cpp:563 : Added leg with start date 2028-10-02 for exercise 2028-10-01
...
DEBUG [2024-Jan-31 23:27:49.957656] OREData/ored/portfolio/swaption.cpp:449 : Building Bermudan Swaption done
DATA [2024-Jan-31 23:27:49.958655] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade BERMUDAN_SWAPTION:
DATA [2024-Jan-31 23:27:49.962652] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:49.996634] OREData/ored/portfolio/bond.cpp:229 : Bond::build() called for trade BOND
DEBUG [2024-Jan-31 23:27:49.997633] OREData/ored/portfolio/bond.cpp:190 : could not get BondReferenceDatum for name SECURITY_1 leave data in trade unchanged
DEBUG [2024-Jan-31 23:27:49.998633] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:49.999632] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:50.002630] 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 23:27:50.003630] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:50.003630] OREData/ored/utilities/marketdata.cpp:94 : Could not link SECURITY_1 to security specific credit curve __SECCRCRV_SECURITY_1_&_CPTY_C_&_ so just using CPTY_C default curve.
DEBUG [2024-Jan-31 23:27:50.004629] OREData/ored/portfolio/bond.cpp:292 : Bond::build() finished for trade BOND
DATA [2024-Jan-31 23:27:50.005629] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade BOND:
DATA [2024-Jan-31 23:27:50.006628] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:27:50.007627] OREData/ored/portfolio/bond.cpp:229 : Bond::build() called for trade Bond_Floating
DEBUG [2024-Jan-31 23:27:50.008627] OREData/ored/portfolio/bond.cpp:190 : could not get BondReferenceDatum for name SECURITY_1 leave data in trade unchanged
DEBUG [2024-Jan-31 23:27:50.009626] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:50.010625] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:50.012624] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:27:50.015623] OREData/ored/utilities/marketdata.cpp:94 : Could not link SECURITY_1 to security specific credit curve __SECCRCRV_SECURITY_1_&_CPTY_C_&_ so just using CPTY_C default curve.
DEBUG [2024-Jan-31 23:27:50.016622] OREData/ored/portfolio/bond.cpp:292 : Bond::build() finished for trade Bond_Floating
DATA [2024-Jan-31 23:27:50.017621] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Bond_Floating:
DATA [2024-Jan-31 23:27:50.019620] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:50.028615] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade CAP_EUR, leg type is Floating
DEBUG [2024-Jan-31 23:27:50.029615] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:50.030424] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:50.033423] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CAP_EUR:
DATA [2024-Jan-31 23:27:50.036421] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:50.053411] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade CAP_USD, leg type is Floating
DEBUG [2024-Jan-31 23:27:50.054411] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:50.055411] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:50.058408] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:27:50.060407] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CAP_USD:
DATA [2024-Jan-31 23:27:50.064405] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:50.099384] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CC_SWAP_EUR_USD
DEBUG [2024-Jan-31 23:27:50.100383] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:50.101383] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:50.103382] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DEBUG [2024-Jan-31 23:27:50.111377] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
...
DEBUG [2024-Jan-31 23:27:50.115375] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+08 USD
DEBUG [2024-Jan-31 23:27:50.116374] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:27:50.117374] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:27:50.118373] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:50.119373] OREData/ored/utilities/marketdata.cpp:57 : Could not link USD termstructure to cross currency yield curve __XCCY__-USD so just using USD discount curve.
...
DATA [2024-Jan-31 23:27:50.123371] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(EURUSD): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DATA [2024-Jan-31 23:27:50.123371] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
DEBUG [2024-Jan-31 23:27:50.124370] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:27:50.125381] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:50.126380] OREData/ored/utilities/marketdata.cpp:57 : Could not link USD termstructure to cross currency yield curve __XCCY__-USD so just using USD discount curve.
...
DEBUG [2024-Jan-31 23:27:50.130378] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:50.131377] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CC_SWAP_EUR_USD:
DATA [2024-Jan-31 23:27:50.135364] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:50.169344] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CC_SWAP_EUR_USD_RESET
DEBUG [2024-Jan-31 23:27:50.170343] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:50.171343] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:50.174342] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DATA [2024-Jan-31 23:27:50.181337] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
DATA [2024-Jan-31 23:27:50.184336] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(FX-ECB-USD-EUR): 2 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DATA [2024-Jan-31 23:27:50.185335] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
DEBUG [2024-Jan-31 23:27:50.186334] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:27:50.187334] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:50.188335] OREData/ored/utilities/marketdata.cpp:57 : Could not link EUR termstructure to cross currency yield curve __XCCY__-EUR so just using EUR discount curve.
...
NOTICE [2024-Jan-31 23:27:50.191333] OREData/ored/portfolio/legbuilders.cpp:98 : Building FX Resettable with first domestic notional specified explicitly
DEBUG [2024-Jan-31 23:27:50.192333] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:50.193332] OREData/ored/portfolio/legdata.cpp:2723 : Building Resetting XCCY Notional leg
DATA [2024-Jan-31 23:27:50.194331] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
DEBUG [2024-Jan-31 23:27:50.195331] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:27:50.196330] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:27:50.196330] OREData/ored/utilities/marketdata.cpp:57 : Could not link EUR termstructure to cross currency yield curve __XCCY__-EUR so just using EUR discount curve.
...
DEBUG [2024-Jan-31 23:27:50.200328] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+08 USD
DEBUG [2024-Jan-31 23:27:50.201328] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:27:50.202327] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:50.203326] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CC_SWAP_EUR_USD_RESET:
DATA [2024-Jan-31 23:27:50.210321] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:50.277025] OREData/ored/portfolio/creditdefaultswap.cpp:35 : CreditDefaultSwap::build() called for trade CDS
DEBUG [2024-Jan-31 23:27:50.278024] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:50.279023] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
ALERT [2024-Jan-31 23:27:50.281022] OREData/ored/portfolio/creditdefaultswap.cpp:152 : Credit reference data missing for entity BANK, isdaSubProduct left blank
DATA [2024-Jan-31 23:27:50.282022] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CDS:
DATA [2024-Jan-31 23:27:50.283021] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:27:50.284020] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CPI_Swap
DEBUG [2024-Jan-31 23:27:50.285019] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:50.286019] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:50.288017] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = GBP
...
DEBUG [2024-Jan-31 23:27:50.290016] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 GBP
DEBUG [2024-Jan-31 23:27:50.291016] OREData/ored/portfolio/swap.cpp:146 : npv currency is GBP
DEBUG [2024-Jan-31 23:27:50.292016] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:50.293015] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CPI_Swap:
DATA [2024-Jan-31 23:27:50.295014] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:27:50.313004] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade EQ_CALL_LUFT
NOTICE [2024-Jan-31 23:27:50.314003] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade EQ_CALL_LUFT
DATA [2024-Jan-31 23:27:50.315003] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_CALL_LUFT:
...
WARNING [2024-Jan-31 23:27:50.320010] OREData/ored/portfolio/equityforward.cpp:57 : No Strike Currency provide for trade EQ_FWD_LUFT, assuming trade currency EUR
...
NOTICE [2024-Jan-31 23:27:50.325008] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade EQ_PUT_LUFT
NOTICE [2024-Jan-31 23:27:50.326007] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade EQ_PUT_LUFT
...
DEBUG [2024-Jan-31 23:27:50.331996] OREData/ored/portfolio/swaption.cpp:65 : Swaption::build() for EUROPEAN_SWAPTION: build underlying swap
DEBUG [2024-Jan-31 23:27:50.332995] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade
DEBUG [2024-Jan-31 23:27:50.333994] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:50.334994] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:50.337992] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:27:50.341989] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:50.342989] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:27:50.343988] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:27:50.344988] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:27:50.345987] OREData/ored/portfolio/swaption.cpp:73 : Swaption::build() for EUROPEAN_SWAPTION: build exercise
DEBUG [2024-Jan-31 23:27:50.346987] OREData/ored/portfolio/optiondata.cpp:165 : Got notice date 2028-10-01 using notice period 0D, convention Unadjusted, calendar Null from exercise date October 1st, 2028
DEBUG [2024-Jan-31 23:27:50.347986] OREData/ored/portfolio/swaption.cpp:156 : Swaption::build() for EUROPEAN_SWAPTION: type: isCrossCcy = false, isOis = false, isBma = false, isStandard = true
DEBUG [2024-Jan-31 23:27:50.347986] OREData/ored/portfolio/swaption.cpp:304 : Building European Swaption EUROPEAN_SWAPTION
DATA [2024-Jan-31 23:27:50.349985] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
NOTICE [2024-Jan-31 23:27:50.351984] OREData/ored/portfolio/builders/swaption.cpp:71 : Build BachelierSwaptionEngine for currency EUR
DEBUG [2024-Jan-31 23:27:50.351984] OREData/ored/portfolio/swaption.cpp:343 : Building European Swaption done
DATA [2024-Jan-31 23:27:50.352984] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EUROPEAN_SWAPTION:
DATA [2024-Jan-31 23:27:50.357980] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:50.391961] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade FLOOR_EUR, leg type is Floating
DEBUG [2024-Jan-31 23:27:50.392960] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:50.393960] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:50.396958] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FLOOR_EUR:
DATA [2024-Jan-31 23:27:50.399956] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:50.416944] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade FLOOR_USD, leg type is Floating
DEBUG [2024-Jan-31 23:27:50.417943] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:50.418943] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:27:50.422941] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FLOOR_USD:
DATA [2024-Jan-31 23:27:50.426938] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:50.460919] OREData/ored/portfolio/fxforward.cpp:104 : Build FxForward with maturity date 2026-03-01 and pay date 2026-03-01
DATA [2024-Jan-31 23:27:50.461918] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FXFWD_EURUSD_10Y:
...
NOTICE [2024-Jan-31 23:27:50.463917] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade FX_CALL_OPTION
NOTICE [2024-Jan-31 23:27:50.464916] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to FxOption for trade FX_CALL_OPTION
...
DEBUG [2024-Jan-31 23:27:50.470913] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade SWAP_EUR
DEBUG [2024-Jan-31 23:27:50.471953] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:50.472123] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:50.476120] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:27:50.480118] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:27:50.481118] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:27:50.482117] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:27:50.483116] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:50.483116] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade SWAP_EUR:
DATA [2024-Jan-31 23:27:50.488113] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:27:50.521895] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade YearOnYear_Swap
DEBUG [2024-Jan-31 23:27:50.522895] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:27:50.523904] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:27:50.526902] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:27:50.528902] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:27:50.528902] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:27:50.529901] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:27:50.530900] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade YearOnYear_Swap:
DATA [2024-Jan-31 23:27:50.532899] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:27:50.552307] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 23, size now 23, built 0 failed trades, context is stress analysis
DEBUG [2024-Jan-31 23:27:50.553306] OREAnalytics/orea/engine/stresstest.cpp:75 : Build the cube object to store sensitivities
DEBUG [2024-Jan-31 23:27:50.556303] OREAnalytics/orea/engine/stresstest.cpp:79 : Run Stress Scenarios
DEBUG [2024-Jan-31 23:27:50.557310] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 1
DEBUG [2024-Jan-31 23:27:50.559308] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:0W, Date:2016-02-05, Valuation:1, CloseOut:0
NOTICE [2024-Jan-31 23:27:50.560302] OREAnalytics/orea/engine/valuationengine.cpp:83 : Build cube with mporStickyDate=1, dryRun=false
NOTICE [2024-Jan-31 23:27:50.560302] OREAnalytics/orea/engine/valuationengine.cpp:109 : Starting ValuationEngine for 23 trades, 3 samples and 1 dates.
NOTICE [2024-Jan-31 23:27:50.561301] OREAnalytics/orea/engine/valuationengine.cpp:116 : Initialise 1 valuation calculators
DEBUG [2024-Jan-31 23:27:50.562299] OREAnalytics/orea/engine/valuationcalculator.cpp:32 : init NPVCalculator
NOTICE [2024-Jan-31 23:27:50.563299] OREAnalytics/orea/engine/valuationengine.cpp:127 : Initialise state objects...
DEBUG [2024-Jan-31 23:27:50.564299] OREAnalytics/orea/engine/valuationengine.cpp:133 : Initialise wrapper for trade BERMUDAN_SWAPTION
...
NOTICE [2024-Jan-31 23:27:50.595279] OREAnalytics/orea/engine/valuationengine.cpp:166 : Total number of trades = 23
DATA [2024-Jan-31 23:27:50.595279] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #0
NOTICE [2024-Jan-31 23:27:50.596278] OREData/ored/utilities/progressbar.cpp:107 : stress scenarios 0 out of 3 steps (0%) completed
...
DEBUG [2024-Jan-31 23:27:50.603280] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:50.604275] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:50.610272] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:50.611272] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:50.613271] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:50.621275] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:50.625262] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:50.637256] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:50.642255] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:50.650248] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 7.95847e-16
DEBUG [2024-Jan-31 23:27:50.652248] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:50.653251] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
DATA [2024-Jan-31 23:27:50.659243] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #2
NOTICE [2024-Jan-31 23:27:50.660244] OREData/ored/utilities/progressbar.cpp:107 : stress scenarios 2 out of 3 steps (66%) completed
DEBUG [2024-Jan-31 23:27:50.663242] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:27:50.664241] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:27:50.670236] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:27:50.671235] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DATA [2024-Jan-31 23:27:50.675233] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:27:50.695227] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:27:50.700219] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:50.712221] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:27:50.714212] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:27:50.723208] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 6.98806e-16
DEBUG [2024-Jan-31 23:27:50.724211] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:27:50.725208] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 11.3262 (C=-9.60255) to the EUR-EURIBOR-3M LGM model
NOTICE [2024-Jan-31 23:27:50.730204] OREData/ored/utilities/progressbar.cpp:107 : stress scenarios 3 out of 3 steps (100%) completed
NOTICE [2024-Jan-31 23:27:50.731203] OREAnalytics/orea/engine/valuationengine.cpp:286 : ValuationEngine completed: loop 0.14 sec, pricing 0.0079 sec, update 0.12 sec fixing 3.8e-06
DATA [2024-Jan-31 23:27:50.733200] OREAnalytics/orea/engine/stresstest.cpp:107 : Adding stress test result for trade 'BERMUDAN_SWAPTION' and scenario #0 'BASE'
...
NOTICE [2024-Jan-31 23:27:50.801100] OREAnalytics/orea/engine/stresstest.cpp:115 : Stress testing done
DATA [2024-Jan-31 23:27:50.803100] OREAnalytics/orea/engine/stresstest.cpp:132 : Adding stress report result for tradeId 'BERMUDAN_SWAPTION' and scenario 'BASE: sensi = 0, threshold = 1e-06
...
WARNING [2024-Jan-31 23:27:50.863063] OREAnalytics/orea/app/analytic.cpp:86 : 222326784|54853632
NOTICE [2024-Jan-31 23:27:50.864064] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'PRICING' finished.
DEBUG [2024-Jan-31 23:27:50.867062] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve EUR1D for label as it has already been added
...
NOTICE [2024-Jan-31 23:27:50.897044] OREAnalytics/orea/app/reportwriter.cpp:1399 : Writing Pricing stats report
NOTICE [2024-Jan-31 23:27:50.898043] OREAnalytics/orea/app/reportwriter.cpp:1415 : Pricing stats report written
NOTICE [2024-Jan-31 23:27:50.899044] OREAnalytics/orea/app/analyticsmanager.cpp:239 : report name cashflow occurs 1 times
...
NOTICE [2024-Jan-31 23:27:50.911039] OREData/ored/report/csvreport.cpp:107 : Opening CSV file report 'Output/flows.csv'
NOTICE [2024-Jan-31 23:27:50.920032] OREData/ored/report/csvreport.cpp:190 : CSV file report 'Output/flows.csv' closed.
NOTICE [2024-Jan-31 23:27:50.921030] OREAnalytics/orea/app/analyticsmanager.cpp:282 : report cashflow written to Output/flows.csv
...
WARNING [2024-Jan-31 23:27:51.080940] OREAnalytics/orea/app/oreapp.cpp:290 : 222326784|61685760
NOTICE [2024-Jan-31 23:27:51.082938] OREAnalytics/orea/app/oreapp.cpp:291 : ORE analytics done
NOTICE [2024-Jan-31 23:27:51.084937] OREAnalytics/orea/app/oreapp.cpp:397 : ORE done.