NOTICE [2024-Jan-31 23:27:51.210601] OREAnalytics/orea/app/parameters.cpp:133 : Parameters:
NOTICE [2024-Jan-31 23:27:51.213600] OREAnalytics/orea/app/parameters.cpp:136 : group = cashflow : active = N
...
NOTICE [2024-Jan-31 23:27:51.295299] OREAnalytics/orea/app/oreapp.cpp:462 : buildInputParameters called
WARNING [2024-Jan-31 23:27:51.296299] OREAnalytics/orea/app/oreapp.cpp:484 : Calendar adjustments not found, using defaults
WARNING [2024-Jan-31 23:27:51.297297] OREAnalytics/orea/app/oreapp.cpp:495 : Currency configurations not found, using defaults
NOTICE [2024-Jan-31 23:27:51.298297] OREAnalytics/orea/app/oreapp.cpp:555 : Observation Mode is None
WARNING [2024-Jan-31 23:27:51.299298] OREAnalytics/orea/app/oreapp.cpp:568 : Reference data not found
WARNING [2024-Jan-31 23:27:51.300297] OREAnalytics/orea/app/oreapp.cpp:578 : Script library not loaded
NOTICE [2024-Jan-31 23:27:51.301296] OREAnalytics/orea/app/oreapp.cpp:583 : Loading conventions from file: Input/../../Input/conventions.xml
DEBUG [2024-Jan-31 23:27:51.302295] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-ZERO-CONVENTIONS
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DEBUG [2024-Jan-31 23:27:51.463205] OREData/ored/configuration/conventions.cpp:2449 : Building Convention GBP-USD-FX-CONVENTIONS
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DEBUG [2024-Jan-31 23:27:51.485427] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-USD-XCCY-BASIS-CONVENTIONS
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WARNING [2024-Jan-31 23:27:51.529391] OREAnalytics/orea/app/oreapp.cpp:594 : Using default Ibor fallback config
NOTICE [2024-Jan-31 23:27:51.530390] OREAnalytics/orea/app/oreapp.cpp:599 : Load curve configurations from file:
NOTICE [2024-Jan-31 23:27:51.533389] OREAnalytics/orea/app/oreapp.cpp:608 : Load pricing engine data from file: Input/../../Input/pricingengine.xml
DEBUG [2024-Jan-31 23:27:51.534388] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:27:51.535388] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:27:51.536387] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
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DEBUG [2024-Jan-31 23:27:51.543383] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
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DEBUG [2024-Jan-31 23:27:51.548380] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:27:51.548380] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
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DEBUG [2024-Jan-31 23:27:51.550379] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
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DEBUG [2024-Jan-31 23:27:51.557375] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:27:51.558374] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
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DEBUG [2024-Jan-31 23:27:51.561373] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:27:51.562372] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
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DEBUG [2024-Jan-31 23:27:51.573367] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
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DEBUG [2024-Jan-31 23:27:51.580362] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:27:51.583360] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:27:51.584360] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
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DEBUG [2024-Jan-31 23:27:51.594354] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=IndexCreditDefaultSwap paramName=Curve paramValue=Underlying
...
DEBUG [2024-Jan-31 23:27:51.598352] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=SyntheticCDO paramName=correlation paramValue=0.0
...
DEBUG [2024-Jan-31 23:27:51.601352] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=SyntheticCDO engine=Bucketing
DEBUG [2024-Jan-31 23:27:51.602351] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=SyntheticCDO paramName=buckets paramValue=124
...
DEBUG [2024-Jan-31 23:27:51.604350] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS model=LinearTSR
...
DEBUG [2024-Jan-31 23:27:51.613354] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:27:51.614353] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:27:51.623349] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:27:51.624348] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:27:51.632343] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
...
DEBUG [2024-Jan-31 23:27:51.635341] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:27:51.636341] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
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DEBUG [2024-Jan-31 23:27:51.642328] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BondOption paramName=TimestepPeriod paramValue=6M
...
NOTICE [2024-Jan-31 23:27:51.645335] OREAnalytics/orea/app/oreapp.cpp:617 : Loading today's market parameters from fileInput/../../Input/todaysmarket.xml
DEBUG [2024-Jan-31 23:27:51.647335] 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 23:27:51.727278] 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 23:27:51.732286] 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 23:27:51.767268] OREAnalytics/orea/app/inputparameters.cpp:143 : Loading portfolio from file: Input/portfolio.xml
DEBUG [2024-Jan-31 23:27:51.768267] OREData/ored/portfolio/portfolio.cpp:58 : Parsing trade id:SWAP_EUR
DEBUG [2024-Jan-31 23:27:51.769267] OREData/ored/portfolio/portfolio.cpp:68 : Added Trade SWAP_EUR (SWAP_EUR) type:Swap
...
DEBUG [2024-Jan-31 23:27:51.808243] OREData/ored/portfolio/creditdefaultswapdata.cpp:451 : tryParseCdsInformation: attempting to parse BANK
DATA [2024-Jan-31 23:27:51.809242] 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 23:27:51.811241] OREData/ored/portfolio/portfolio.cpp:95 : Finished Parsing XML doc
NOTICE [2024-Jan-31 23:27:51.812240] OREAnalytics/orea/app/oreapp.cpp:636 : MarketContext::fxcalibration = collateral_eur
...
NOTICE [2024-Jan-31 23:27:51.816238] OREAnalytics/orea/app/oreapp.cpp:823 : Load Covariance Data from file Input/covariance.csv
NOTICE [2024-Jan-31 23:27:51.832584] OREAnalytics/orea/app/inputparameters.cpp:305 : Read 114 valid covariance data lines from Input/covariance.csv
NOTICE [2024-Jan-31 23:27:51.833596] OREAnalytics/orea/app/oreapp.cpp:829 : Get sensitivity data from file Input/../Output/sensitivity.csv
NOTICE [2024-Jan-31 23:27:51.833596] OREAnalytics/orea/engine/sensitivityfilestream.cpp:106 : The file Input/../Output/sensitivity.csv has been opened for streaming
NOTICE [2024-Jan-31 23:27:51.835230] OREAnalytics/orea/app/oreapp.cpp:1398 : buildInputParameters done
NOTICE [2024-Jan-31 23:27:51.836242] OREAnalytics/orea/app/inputparameters.cpp:463 : OutputFileNameMap called
NOTICE [2024-Jan-31 23:27:51.837242] OREAnalytics/orea/app/inputparameters.cpp:527 : OutputFileNameMap complete
NOTICE [2024-Jan-31 23:27:51.838242] OREAnalytics/orea/app/oreapp.cpp:221 : ORE analytics starting
WARNING [2024-Jan-31 23:27:51.839232] OREAnalytics/orea/app/oreapp.cpp:222 : 8527872|8499200
DEBUG [2024-Jan-31 23:27:51.840232] OREData/ored/marketdata/market.cpp:98 : Building default PseudoCurrencyMarketParameters
DEBUG [2024-Jan-31 23:27:51.841232] OREData/ored/marketdata/market.cpp:100 : PseudoCurrencyMarketParameters { TreatAsFX:True, BaseCurrency:}
...
WARNING [2024-Jan-31 23:27:51.844230] OREAnalytics/orea/app/oreapp.cpp:210 : dividend data file not found
NOTICE [2024-Jan-31 23:27:51.844230] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/market_20160205.txt
DATA [2024-Jan-31 23:27:51.845229] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum BMA_SWAP/RATIO/USD/3M/3M
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WARNING [2024-Jan-31 23:27:52.105821] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum FRA/RATE/EUR/1M/6M - this is already present.
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DATA [2024-Jan-31 23:27:52.111818] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum IR_SWAP/RATE/EUR/2D/6M/2Y
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WARNING [2024-Jan-31 23:27:53.011790] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum FX_OPTION/RATE_LNVOL/EUR/USD/2M/25RR - this is already present.
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DATA [2024-Jan-31 23:27:53.093741] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum SWAPTION/RATE_LNVOL/CHF/25Y/10Y/ATM
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WARNING [2024-Jan-31 23:27:58.396185] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/1Y/3M/0/0/0.015 - this is already present.
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WARNING [2024-Jan-31 23:27:58.435163] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/2Y/3M/0/0/0.015 - this is already present.
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WARNING [2024-Jan-31 23:27:58.470141] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/3Y/3M/0/0/0.015 - this is already present.
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WARNING [2024-Jan-31 23:27:58.504284] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/4Y/3M/0/0/0.015 - this is already present.
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WARNING [2024-Jan-31 23:27:58.538134] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/5Y/3M/0/0/0.015 - this is already present.
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WARNING [2024-Jan-31 23:27:58.572114] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/6Y/3M/0/0/0.015 - this is already present.
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WARNING [2024-Jan-31 23:27:58.607083] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/7Y/3M/0/0/0.015 - this is already present.
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WARNING [2024-Jan-31 23:27:58.641064] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/8Y/3M/0/0/0.015 - this is already present.
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WARNING [2024-Jan-31 23:27:58.675044] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/9Y/3M/0/0/0.015 - this is already present.
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WARNING [2024-Jan-31 23:27:58.717031] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/10Y/3M/0/0/0.015 - this is already present.
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WARNING [2024-Jan-31 23:27:58.752003] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/15Y/3M/0/0/0.015 - this is already present.
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WARNING [2024-Jan-31 23:27:58.786747] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/20Y/3M/0/0/0.015 - this is already present.
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WARNING [2024-Jan-31 23:28:00.015562] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum RECOVERY_RATE/RATE/BANK/SR/USD - this is already present.
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DATA [2024-Jan-31 23:28:00.039182] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum RECOVERY_RATE/RATE/CPTY_A/SR/EUR
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WARNING [2024-Jan-31 23:28:00.051176] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum BOND/YIELD_SPREAD/SECURITY_1 - this is already present.
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NOTICE [2024-Jan-31 23:28:00.135130] OREData/ored/marketdata/csvloader.cpp:166 : CSVLoader completed processing Input/../../Input/market_20160205.txt
NOTICE [2024-Jan-31 23:28:00.137129] OREData/ored/marketdata/csvloader.cpp:78 : CSVLoader loaded 7968 market data points for February 5th, 2016
NOTICE [2024-Jan-31 23:28:00.139128] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/fixings_20160205.txt
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NOTICE [2024-Jan-31 23:28:00.169108] OREData/ored/marketdata/csvloader.cpp:83 : CSVLoader loaded 5452 fixings
NOTICE [2024-Jan-31 23:28:00.170107] OREData/ored/marketdata/csvloader.cpp:88 : CSVLoader loaded 0 dividends
NOTICE [2024-Jan-31 23:28:00.171107] OREData/ored/marketdata/csvloader.cpp:90 : CSVLoader complete.
NOTICE [2024-Jan-31 23:28:00.172106] OREAnalytics/orea/app/analyticsmanager.cpp:77 : register analytic with label 'MARKETDATA' and sub-analytics MARKETDATA
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NOTICE [2024-Jan-31 23:28:00.174105] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:48 : XvaAnalytic::setUpConfigurations() called
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NOTICE [2024-Jan-31 23:28:00.178102] OREAnalytics/orea/app/analytics/scenariostatisticsanalytic.cpp:42 : ScenarioStatisticsAnalytic::setUpConfigurations() called
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NOTICE [2024-Jan-31 23:28:00.180103] 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 23:28:00.182105] OREAnalytics/orea/app/oreapp.cpp:242 : Requested analytics: VAR
NOTICE [2024-Jan-31 23:28:00.184105] OREAnalytics/orea/app/analyticsmanager.cpp:142 : AnalyticsManager::runAnalytics: requireMarketData Y
NOTICE [2024-Jan-31 23:28:00.185101] OREAnalytics/orea/app/analyticsmanager.cpp:147 : AnalyticsManager::runAnalytics: populate loader
NOTICE [2024-Jan-31 23:28:00.186099] OREAnalytics/orea/app/marketdatacsvloader.cpp:78 : MarketDataCsvLoader::retrieveFixings called: all fixings ? Y
NOTICE [2024-Jan-31 23:28:00.191096] OREAnalytics/orea/app/marketdataloader.cpp:264 : Adding the loaded fixings to the IndexManager
DATA [2024-Jan-31 23:28:00.192097] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:28:00.193096] 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 23:28:00.202099] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:00.203090] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
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WARNING [2024-Jan-31 23:28:00.210085] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:00.211085] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
WARNING [2024-Jan-31 23:28:00.229084] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:00.232075] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
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WARNING [2024-Jan-31 23:28:00.499942] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:00.500941] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
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WARNING [2024-Jan-31 23:28:00.754546] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:00.755545] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
WARNING [2024-Jan-31 23:28:01.004125] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:01.005124] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
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WARNING [2024-Jan-31 23:28:01.264783] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:01.266781] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
WARNING [2024-Jan-31 23:28:01.561393] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:01.562392] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
WARNING [2024-Jan-31 23:28:01.814099] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:01.815097] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
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DATA [2024-Jan-31 23:28:01.822094] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
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WARNING [2024-Jan-31 23:28:01.824092] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date (no more warnings of this type will be emitted)
...
DATA [2024-Jan-31 23:28:02.099871] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
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DATA [2024-Jan-31 23:28:02.346732] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:28:02.590629] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:28:02.842228] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DATA [2024-Jan-31 23:28:03.097963] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
...
DATA [2024-Jan-31 23:28:03.342704] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
...
DATA [2024-Jan-31 23:28:03.586579] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DATA [2024-Jan-31 23:28:03.834206] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
...
DATA [2024-Jan-31 23:28:04.080881] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
...
DATA [2024-Jan-31 23:28:04.326477] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DATA [2024-Jan-31 23:28:04.342468] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
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DATA [2024-Jan-31 23:28:04.348464] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
...
DATA [2024-Jan-31 23:28:04.592275] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
...
DATA [2024-Jan-31 23:28:04.844916] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DATA [2024-Jan-31 23:28:05.096646] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:28:05.343276] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
...
DATA [2024-Jan-31 23:28:05.588160] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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NOTICE [2024-Jan-31 23:28:05.596167] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 5.404246 seconds
NOTICE [2024-Jan-31 23:28:05.597167] OREAnalytics/orea/app/marketdataloader.cpp:268 : Generating market datum set
DEBUG [2024-Jan-31 23:28:05.598165] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
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WARNING [2024-Jan-31 23:28:05.953961] OREData/ored/configuration/capfloorvolcurveconfig.cpp:142 : CapFloorVolatilityCurveConfig (EUR_CF_N): The IborIndex node is deprecated, use Index instead.
DATA [2024-Jan-31 23:28:05.954961] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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WARNING [2024-Jan-31 23:28:05.962956] 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 23:28:05.964955] OREData/ored/configuration/inflationcapfloorvolcurveconfig.cpp:179 : ZC Inflation Cap/Floor Strike 0 = -0.02
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DEBUG [2024-Jan-31 23:28:05.993938] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
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NOTICE [2024-Jan-31 23:28:10.493550] OREAnalytics/orea/app/marketdataloader.cpp:286 : CurveConfigs require 2489 quotes
DATA [2024-Jan-31 23:28:10.495549] OREData/ored/marketdata/inmemoryloader.cpp:113 : Added MarketDatum BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/10Y
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NOTICE [2024-Jan-31 23:28:16.400275] OREAnalytics/orea/app/marketdataloader.cpp:293 : Got market data
NOTICE [2024-Jan-31 23:28:16.401275] OREAnalytics/orea/app/reportwriter.cpp:1324 : Writing MarketData report
NOTICE [2024-Jan-31 23:28:16.407266] OREAnalytics/orea/app/reportwriter.cpp:1363 : MarketData report written
NOTICE [2024-Jan-31 23:28:16.408256] OREAnalytics/orea/app/reportwriter.cpp:1368 : Writing Fixings report
NOTICE [2024-Jan-31 23:28:16.411268] OREAnalytics/orea/app/reportwriter.cpp:1377 : Fixings report written
NOTICE [2024-Jan-31 23:28:16.412268] OREAnalytics/orea/app/reportwriter.cpp:1382 : Writing Dividends report
NOTICE [2024-Jan-31 23:28:16.413267] OREAnalytics/orea/app/reportwriter.cpp:1394 : Dividends report written
NOTICE [2024-Jan-31 23:28:16.413267] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'VAR'
WARNING [2024-Jan-31 23:28:16.414267] OREAnalytics/orea/app/analytic.cpp:83 : 32632832|32628736
MEMORY [2024-Jan-31 23:28:16.415845] OREAnalytics/orea/app/analytics/varanalytic.cpp:40 : 32636928|32632832
NOTICE [2024-Jan-31 23:28:16.416559] OREAnalytics/orea/app/analytics/varanalytic.cpp:41 : Running parametric VaR
NOTICE [2024-Jan-31 23:28:16.417561] OREAnalytics/orea/app/analytics/varanalytic.cpp:46 : VAR: Build Market
NOTICE [2024-Jan-31 23:28:16.418406] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:28:16.418406] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
DATA [2024-Jan-31 23:28:16.420409] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:28:16.420409] 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 23:28:16.425406] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
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DATA [2024-Jan-31 23:28:16.431403] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
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DATA [2024-Jan-31 23:28:16.444395] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
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DATA [2024-Jan-31 23:28:16.654182] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
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DATA [2024-Jan-31 23:28:16.868737] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
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DATA [2024-Jan-31 23:28:17.075322] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
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DATA [2024-Jan-31 23:28:17.282917] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
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DATA [2024-Jan-31 23:28:17.493018] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:28:17.705690] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
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DATA [2024-Jan-31 23:28:17.711686] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
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DATA [2024-Jan-31 23:28:17.922027] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:28:18.128613] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:28:18.334255] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:28:18.538970] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
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DATA [2024-Jan-31 23:28:18.746837] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
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DATA [2024-Jan-31 23:28:18.954424] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
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DATA [2024-Jan-31 23:28:19.166301] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
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DATA [2024-Jan-31 23:28:19.377088] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:28:19.590904] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
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DATA [2024-Jan-31 23:28:19.800533] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
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DATA [2024-Jan-31 23:28:19.813526] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
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DATA [2024-Jan-31 23:28:19.819523] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
...
DATA [2024-Jan-31 23:28:20.027106] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
...
DATA [2024-Jan-31 23:28:20.229991] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DATA [2024-Jan-31 23:28:20.436561] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:28:20.642601] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
...
DATA [2024-Jan-31 23:28:20.881455] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
...
NOTICE [2024-Jan-31 23:28:20.888448] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 4.468767 seconds
NOTICE [2024-Jan-31 23:28:20.889448] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:28:20.890447] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:28:20.891447] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:28:20.892446] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:28:20.892446] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFUSD
...
NOTICE [2024-Jan-31 23:28:20.901441] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 10 quotes, 7 currencies.
NOTICE [2024-Jan-31 23:28:20.902440] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
DATA [2024-Jan-31 23:28:20.903440] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:28:20.985405] 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)
...
DEBUG [2024-Jan-31 23:28:21.030066] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-CMS-1Y
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DATA [2024-Jan-31 23:28:21.031066] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DATA [2024-Jan-31 23:28:21.032065] 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 23:28:21.033065] 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 23:28:21.035063] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DATA [2024-Jan-31 23:28:21.035063] 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 23:28:21.036063] 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 23:28:21.038062] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:28:21.040061] 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 23:28:21.042059] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DATA [2024-Jan-31 23:28:21.042059] 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 23:28:21.043059] 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)
...
DATA [2024-Jan-31 23:28:21.051056] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:28:21.052054] 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 23:28:21.054053] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DATA [2024-Jan-31 23:28:21.055052] 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 23:28:21.056051] 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)
...
DATA [2024-Jan-31 23:28:21.058050] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DATA [2024-Jan-31 23:28:21.058050] 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 23:28:21.059050] 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 23:28:21.064063] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:28:21.065061] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #36 SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) to #23 IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M)
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DATA [2024-Jan-31 23:28:21.068060] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:28:21.076054] OREData/ored/marketdata/dependencygraph.cpp:198 : add edge from vertex #49 SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) to #26 SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS)
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DATA [2024-Jan-31 23:28:21.083038] 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 23:28:21.085037] 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 23:28:21.086036] 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 23:28:21.092033] 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 23:28:21.093032] 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 23:28:21.095029] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:28:21.096045] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:28:21.097043] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:28:21.161992] 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 23:28:21.193987] 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 23:28:21.193987] 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 23:28:21.209978] 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 23:28:21.217973] 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 23:28:21.224969] 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 23:28:21.226969] 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 23:28:21.227968] 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 23:28:21.233965] 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 23:28:21.234964] 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 23:28:21.236962] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
NOTICE [2024-Jan-31 23:28:21.236962] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
DATA [2024-Jan-31 23:28:21.238949] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:28:21.306923] 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 23:28:21.344888] 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 23:28:21.345888] 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 23:28:21.361876] 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 23:28:21.369872] 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 23:28:21.376868] 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 23:28:21.378876] 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 23:28:21.379866] 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 23:28:21.385863] 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 23:28:21.386862] 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 23:28:21.388861] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:28:21.388861] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
DATA [2024-Jan-31 23:28:21.389861] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:28:21.454838] 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 23:28:21.486478] 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 23:28:21.486478] 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 23:28:21.502099] 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 23:28:21.517737] 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 23:28:21.517737] 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 23:28:21.517737] 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 23:28:21.533349] 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 23:28:21.533349] 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 23:28:21.533349] 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 23:28:21.533349] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:28:21.533349] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:28:21.533349] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:28:21.595857] 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 23:28:21.642729] 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 23:28:21.642729] 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 23:28:21.658340] 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 23:28:21.658340] 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 23:28:21.673976] 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 23:28:21.673976] 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 23:28:21.673976] 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 23:28:21.673976] 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 23:28:21.673976] 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 23:28:21.673976] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
NOTICE [2024-Jan-31 23:28:21.673976] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:28:21.673976] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:28:21.689600] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 4.47e+03 ms 1 4.47e+03 ms
...
NOTICE [2024-Jan-31 23:28:21.689600] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 5266.56 ms
NOTICE [2024-Jan-31 23:28:21.689600] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 5.276699 sec
NOTICE [2024-Jan-31 23:28:21.689600] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 23
NOTICE [2024-Jan-31 23:28:21.689600] OREAnalytics/orea/app/analytic.cpp:209 : Build the portfolio
NOTICE [2024-Jan-31 23:28:21.689600] OREAnalytics/orea/app/analytic.cpp:138 : Analytic::engineFactory() called
NOTICE [2024-Jan-31 23:28:21.689600] OREAnalytics/orea/app/analytic.cpp:148 : MarketContext::pricing = collateral_eur
NOTICE [2024-Jan-31 23:28:21.689600] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:28:21.689600] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 23 for context = 'analytic/VAR'
DEBUG [2024-Jan-31 23:28:21.689600] OREData/ored/portfolio/swaption.cpp:65 : Swaption::build() for BERMUDAN_SWAPTION: build underlying swap
DEBUG [2024-Jan-31 23:28:21.689600] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade
DEBUG [2024-Jan-31 23:28:21.689600] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:21.705210] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:21.705210] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:21.705210] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:28:21.705210] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:21.705210] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:28:21.705210] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:21.705210] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EONIA-CONVENTIONS
DATA [2024-Jan-31 23:28:21.705210] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:28:21.705210] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:28:21.705210] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
DEBUG [2024-Jan-31 23:28:21.720835] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
DEBUG [2024-Jan-31 23:28:21.720835] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:28:21.720835] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:28:21.720835] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:28:21.720835] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:21.720835] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR3M
DEBUG [2024-Jan-31 23:28:21.720835] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:21.720835] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EURIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:28:21.720835] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:28:21.720835] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:28:21.736473] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:21.736473] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:28:21.736473] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:28:21.752096] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:28:21.767720] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR3M built
DEBUG [2024-Jan-31 23:28:21.767720] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:28:21.767720] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration default
DATA [2024-Jan-31 23:28:21.767720] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:28:21.767720] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration default
DEBUG [2024-Jan-31 23:28:21.767720] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:28:21.767720] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:21.767720] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:28:21.767720] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:28:21.783332] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:28:21.783332] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:28:21.783332] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:28:21.783332] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:21.783332] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:21.783332] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:21.783332] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:28:21.783332] OREData/ored/portfolio/swaption.cpp:73 : Swaption::build() for BERMUDAN_SWAPTION: build exercise
DEBUG [2024-Jan-31 23:28:21.783332] 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 23:28:21.783332] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:21.783332] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:21.798968] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:21.798968] OREData/ored/portfolio/swaption.cpp:156 : Swaption::build() for BERMUDAN_SWAPTION: type: isCrossCcy = false, isOis = false, isBma = false, isStandard = true
DEBUG [2024-Jan-31 23:28:21.798968] OREData/ored/portfolio/swaption.cpp:381 : found ibor / ois index 'Euribor3M Actual/360'
DEBUG [2024-Jan-31 23:28:21.798968] 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 23:28:21.798968] OREData/ored/portfolio/builders/swaption.cpp:209 : Building Bermudan Swaption engine for trade BERMUDAN_SWAPTION
DATA [2024-Jan-31 23:28:21.798968] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:28:21.798968] OREData/ored/portfolio/builders/swaption.cpp:87 : Get model data
DEBUG [2024-Jan-31 23:28:21.798968] OREData/ored/portfolio/builders/swaption.cpp:140 : Build LgmData for co-terminal specification
DEBUG [2024-Jan-31 23:28:21.798968] OREData/ored/portfolio/builders/swaption.cpp:156 : Calibrate piecewise alpha
DEBUG [2024-Jan-31 23:28:21.798968] OREData/ored/portfolio/builders/swaption.cpp:184 : Build LGM model
DATA [2024-Jan-31 23:28:21.798968] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
NOTICE [2024-Jan-31 23:28:21.798968] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier EUR-EURIBOR-3M (ccy=EUR), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:28:21.798968] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:28:21.798968] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:21.798968] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:28:21.798968] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:28:21.814592] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:28:21.814592] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:21.814592] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR-EURIBOR-3M) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:28:21.814592] OREData/ored/marketdata/todaysmarket.cpp:866 : not found, retry with default configuration
...
DEBUG [2024-Jan-31 23:28:21.814592] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:28:21.814592] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DATA [2024-Jan-31 23:28:21.814592] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:21.814592] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:28:21.814592] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DATA [2024-Jan-31 23:28:21.814592] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:28:21.814592] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:28:21.830216] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:28:21.830216] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:21.830216] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:28:21.830216] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:28:21.830216] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:28:21.830216] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:21.830216] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:28:21.830216] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:21.830216] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:28:21.830216] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:28:21.830216] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:21.830216] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:28:21.830216] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:28:21.845825] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:28:21.861464] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:28:21.861464] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:28:21.861464] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration collateral_inccy
DATA [2024-Jan-31 23:28:21.861464] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:28:21.861464] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:28:21.861464] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:28:21.861464] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:21.861464] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:28:21.861464] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:28:21.861464] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:28:21.861464] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (EUR) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:28:21.861464] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:28:21.877088] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:28:21.877088] 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 23:28:21.877088] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config EUR_SW_N
DEBUG [2024-Jan-31 23:28:21.877088] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:28:21.877088] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:28:21.877088] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:28:21.877088] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(EUR,SwaptionVolatility/EUR/EUR_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:28:21.877088] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:28:21.877088] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR-EURIBOR-3M) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:28:21.892711] OREData/ored/marketdata/todaysmarket.cpp:866 : not found, retry with default configuration
...
DEBUG [2024-Jan-31 23:28:21.892711] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:28:21.892711] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:28:21.892711] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:21.892711] OREData/ored/marketdata/todaysmarket.cpp:866 : not found, retry with default configuration
...
DEBUG [2024-Jan-31 23:28:21.892711] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:28:21.892711] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:28:21.892711] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:21.892711] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:28:21.908336] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:28:21.908336] 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 23:28:21.908336] 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 23:28:21.908336] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:28:21.908336] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for EUR-EURIBOR-3M: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:28:21.908336] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 5
DEBUG [2024-Jan-31 23:28:21.908336] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:28:21.908336] OREData/ored/portfolio/builders/swaption.cpp:192 : Calibrate model (configuration collateral_inccy)
DEBUG [2024-Jan-31 23:28:21.908336] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-3M currency EUR
DEBUG [2024-Jan-31 23:28:21.908336] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:28:21.923960] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-3M calibration errors:
DATA [2024-Jan-31 23:28:21.923960] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:28:21.923960] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:28:21.923960] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:28:21.923960] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:28:21.923960] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:28:21.923960] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:28:21.939584] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:28:21.939584] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:28:21.939584] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.60491e-14
DEBUG [2024-Jan-31 23:28:21.939584] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:28:21.939584] 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 23:28:21.939584] OREData/ored/portfolio/builders/swaption.cpp:213 : Get engine data
DEBUG [2024-Jan-31 23:28:21.939584] OREData/ored/portfolio/builders/swaption.cpp:220 : Build engine (configuration collateral_eur)
DATA [2024-Jan-31 23:28:21.939584] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:28:21.939584] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:21.939584] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:21.955207] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:21.955207] OREData/ored/portfolio/swaption.cpp:426 : Swaption model calibration time: 0.149963 s
DEBUG [2024-Jan-31 23:28:21.955207] OREData/ored/portfolio/swaption.cpp:563 : Added leg with start date 2028-10-02 for exercise 2028-10-01
...
DEBUG [2024-Jan-31 23:28:21.955207] OREData/ored/portfolio/swaption.cpp:449 : Building Bermudan Swaption done
DATA [2024-Jan-31 23:28:21.955207] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade BERMUDAN_SWAPTION:
DATA [2024-Jan-31 23:28:21.955207] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:28:21.986455] OREData/ored/portfolio/bond.cpp:229 : Bond::build() called for trade BOND
DEBUG [2024-Jan-31 23:28:21.986455] OREData/ored/portfolio/bond.cpp:190 : could not get BondReferenceDatum for name SECURITY_1 leave data in trade unchanged
DEBUG [2024-Jan-31 23:28:21.986455] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:21.986455] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:28:21.986455] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BENCHMARK_EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:22.002079] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.002079] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:22.002079] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:28:22.002079] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:22.002079] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BENCHMARK_EUR
DEBUG [2024-Jan-31 23:28:22.002079] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-ZERO-CONVENTIONS-TENOR-BASED
DEBUG [2024-Jan-31 23:28:22.002079] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BENCHMARK_EUR built
DEBUG [2024-Jan-31 23:28:22.002079] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BENCHMARK_EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:28:22.002079] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BENCHMARK_EUR) with spec Yield/EUR/BENCHMARK_EUR to configuration default
DEBUG [2024-Jan-31 23:28:22.002079] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BENCHMARK_EUR,Yield/EUR/BENCHMARK_EUR) in configuration default
DEBUG [2024-Jan-31 23:28:22.002079] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:22.002079] 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 23:28:22.002079] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:28:22.002079] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BENCHMARK_EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:22.002079] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.002079] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:22.017703] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:22.017703] 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 23:28:22.017703] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.017703] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:22.017703] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #58: DefaultCurve(CPTY_C,Default/EUR/CPTY_C_SR_EUR) (not yet built)
DEBUG [2024-Jan-31 23:28:22.017703] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:28:22.017703] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_C_SR_EUR
DEBUG [2024-Jan-31 23:28:22.017703] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CDS-STANDARD-CONVENTIONS
NOTICE [2024-Jan-31 23:28:22.017703] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_C_SR_EUR
DATA [2024-Jan-31 23:28:22.017703] 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 23:28:22.017703] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_C_SR_EUR using 1 default quotes of 1 requested quotes.
NOTICE [2024-Jan-31 23:28:22.017703] OREData/ored/marketdata/defaultcurve.cpp:576 : DefaultCurve: add asof (February 5th, 2016), hazard rate 0, as not given
NOTICE [2024-Jan-31 23:28:22.017703] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:28:22.017703] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:28:22.017703] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_C_SR_EUR
DEBUG [2024-Jan-31 23:28:22.017703] 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 23:28:22.017703] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_C,Default/EUR/CPTY_C_SR_EUR) in configuration default
DEBUG [2024-Jan-31 23:28:22.017703] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:22.017703] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(SECURITY_1) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:22.017703] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #89: Securities(SECURITY_1,Security/SECURITY_1) (not yet built)
DEBUG [2024-Jan-31 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:711 : Building Securities for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:717 : Adding Security (SECURITY_1) with spec Security/SECURITY_1 to configuration default
DEBUG [2024-Jan-31 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:914 : built node Securities(SECURITY_1,Security/SECURITY_1) in configuration default
DEBUG [2024-Jan-31 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:823 : market object Securities(SECURITY_1) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:22.033326] OREData/ored/portfolio/bond.cpp:292 : Bond::build() finished for trade BOND
DATA [2024-Jan-31 23:28:22.033326] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade BOND:
DATA [2024-Jan-31 23:28:22.033326] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:28:22.033326] OREData/ored/portfolio/bond.cpp:229 : Bond::build() called for trade Bond_Floating
DEBUG [2024-Jan-31 23:28:22.033326] OREData/ored/portfolio/bond.cpp:190 : could not get BondReferenceDatum for name SECURITY_1 leave data in trade unchanged
DEBUG [2024-Jan-31 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.033326] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:22.048950] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:28:22.048950] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DATA [2024-Jan-31 23:28:22.048950] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:28:22.048950] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:28:22.048950] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:22.048950] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:22.048950] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:28:22.048950] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:28:22.048950] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:22.048950] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.048950] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:22.048950] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:28:22.048950] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:28:22.064575] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.064575] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:22.064575] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:28:22.064575] OREData/ored/marketdata/todaysmarket.cpp:453 : Building cap/floor volatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:22.064575] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'default'
DEBUG [2024-Jan-31 23:28:22.064575] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:28:22.064575] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:28:22.064575] OREData/ored/marketdata/capfloorvolcurve.cpp:1095 : Found 144 quotes for capfloor surface EUR_CF_N
DEBUG [2024-Jan-31 23:28:22.567757] OREData/ored/marketdata/capfloorvolcurve.cpp:1306 : Building calibration info for cap floor vols
DEBUG [2024-Jan-31 23:28:22.568761] OREData/ored/marketdata/capfloorvolcurve.cpp:1515 : Building calibration info cap floor vols completed.
DEBUG [2024-Jan-31 23:28:22.569761] OREData/ored/marketdata/todaysmarket.cpp:495 : Adding CapFloorVol (EUR) with spec CapFloorVolatility/EUR/EUR_CF_N to configuration default
DEBUG [2024-Jan-31 23:28:22.570760] OREData/ored/marketdata/todaysmarket.cpp:914 : built node CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) in configuration default
DEBUG [2024-Jan-31 23:28:22.570760] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:22.571760] OREData/ored/marketdata/todaysmarket.cpp:823 : market object CapFloorVol(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:22.572759] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.573758] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:22.576757] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DATA [2024-Jan-31 23:28:22.577756] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
ALERT [2024-Jan-31 23:28:22.578755] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.580742] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:22.583740] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:22.583740] 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 23:28:22.585739] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.586738] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:22.589737] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:28:22.592735] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:22.595733] OREData/ored/portfolio/bond.cpp:292 : Bond::build() finished for trade Bond_Floating
DATA [2024-Jan-31 23:28:22.596733] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Bond_Floating:
DATA [2024-Jan-31 23:28:22.598732] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:28:22.605728] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade CAP_EUR, leg type is Floating
DEBUG [2024-Jan-31 23:28:22.606727] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:22.607726] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.608726] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:22.612724] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:22.612724] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:28:22.615722] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CAP_EUR:
DATA [2024-Jan-31 23:28:22.617721] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:28:22.632710] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade CAP_USD, leg type is Floating
DEBUG [2024-Jan-31 23:28:22.632710] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:22.633709] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.634709] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:22.635708] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (not yet built)
...
DEBUG [2024-Jan-31 23:28:22.637707] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:22.637707] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD1D
DEBUG [2024-Jan-31 23:28:22.638706] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-FED-FUNDS-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:22.639706] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-FED-FUNDS-CONVENTIONS
DATA [2024-Jan-31 23:28:22.639706] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:28:22.641705] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:28:22.646703] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:28:22.649701] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD1D built
DEBUG [2024-Jan-31 23:28:22.650701] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:28:22.651700] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration default
DATA [2024-Jan-31 23:28:22.652699] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:28:22.652699] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration default
DEBUG [2024-Jan-31 23:28:22.653699] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:22.654698] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD3M
DEBUG [2024-Jan-31 23:28:22.655698] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:22.655698] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:28:22.656697] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:28:22.657697] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:28:22.662693] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:22.663694] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:28:22.667691] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:28:22.682682] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 22 instruments
DEBUG [2024-Jan-31 23:28:22.695674] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD3M built
DEBUG [2024-Jan-31 23:28:22.696674] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:28:22.697673] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD3M to configuration default
DATA [2024-Jan-31 23:28:22.698673] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:28:22.699672] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration default
DEBUG [2024-Jan-31 23:28:22.699672] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:28:22.700671] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:22.701671] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.702670] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:22.703669] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:22.704669] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:28:22.706668] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:28:22.707671] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:22.708669] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.709668] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:22.710668] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:28:22.714665] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:22.714665] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-IN-EUR
DEBUG [2024-Jan-31 23:28:22.715665] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:22.716664] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:28:22.717664] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:28:22.717664] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:22.718663] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-USD-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:28:22.719663] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:28:22.734666] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:28:22.843364] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-IN-EUR built
DEBUG [2024-Jan-31 23:28:22.844363] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:28:22.844363] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:28:22.845363] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:28:22.846351] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:22.847363] OREData/ored/marketdata/todaysmarket.cpp:823 : market object CapFloorVol(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:22.847363] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.849361] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:28:22.851359] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
ALERT [2024-Jan-31 23:28:22.852359] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:22.854357] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:22.854357] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:28:22.856356] OREData/ored/marketdata/todaysmarket.cpp:453 : Building cap/floor volatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:22.857356] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'default'
DEBUG [2024-Jan-31 23:28:22.858356] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:28:22.858356] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:28:22.861354] OREData/ored/marketdata/capfloorvolcurve.cpp:1095 : Found 228 quotes for capfloor surface USD_CF_N
DEBUG [2024-Jan-31 23:28:27.374063] OREData/ored/marketdata/capfloorvolcurve.cpp:1306 : Building calibration info for cap floor vols
DEBUG [2024-Jan-31 23:28:27.375063] OREData/ored/marketdata/capfloorvolcurve.cpp:1515 : Building calibration info cap floor vols completed.
DEBUG [2024-Jan-31 23:28:27.376062] OREData/ored/marketdata/todaysmarket.cpp:495 : Adding CapFloorVol (USD) with spec CapFloorVolatility/USD/USD_CF_N to configuration default
DEBUG [2024-Jan-31 23:28:27.377061] OREData/ored/marketdata/todaysmarket.cpp:914 : built node CapFloorVol(USD,CapFloorVolatility/USD/USD_CF_N) in configuration default
DEBUG [2024-Jan-31 23:28:27.377061] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:27.378061] OREData/ored/marketdata/todaysmarket.cpp:823 : market object CapFloorVol(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.379060] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.380060] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:27.384059] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CAP_USD:
DATA [2024-Jan-31 23:28:27.388055] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:28:27.415040] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CC_SWAP_EUR_USD
DEBUG [2024-Jan-31 23:28:27.416039] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.417040] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.418038] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:27.419037] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:28:27.421036] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:27.422036] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD6M
DEBUG [2024-Jan-31 23:28:27.423035] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:27.423035] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:28:27.424035] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:28:27.431032] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:27.432030] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:28:27.435029] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "USD-LIBOR-3M-6M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:27.435029] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-3M-6M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:28:27.443024] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 21 instruments
DEBUG [2024-Jan-31 23:28:27.460014] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD6M built
DEBUG [2024-Jan-31 23:28:27.461014] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:28:27.462013] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-6M) with spec Yield/USD/USD6M to configuration default
DATA [2024-Jan-31 23:28:27.463013] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
DEBUG [2024-Jan-31 23:28:27.463013] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-6M,Yield/USD/USD6M) in configuration default
DEBUG [2024-Jan-31 23:28:27.464012] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:27.465011] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:27.465011] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:28:27.468009] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DEBUG [2024-Jan-31 23:28:27.471008] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.472207] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.473221] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:27.474220] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:27.475220] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:28:27.477218] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
...
DEBUG [2024-Jan-31 23:28:27.480216] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+08 USD
DEBUG [2024-Jan-31 23:28:27.481216] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:28:27.482216] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(__XCCY__-USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.483215] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.484216] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.485214] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:28:27.485214] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:28:27.487213] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.488212] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.489212] 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 23:28:27.490211] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.492210] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:27.494210] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.495209] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:28:27.496208] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:28:27.497208] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.499206] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.499206] 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 23:28:27.501206] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.502205] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:28:27.503204] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(EURUSD): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
...
DATA [2024-Jan-31 23:28:27.506202] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
...
ALERT [2024-Jan-31 23:28:27.508201] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.509201] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.511199] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:28:27.511199] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:28:27.513194] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.514198] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.515197] 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 23:28:27.516196] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.518195] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:27.520194] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.521193] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:28:27.522193] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:28:27.523192] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.525192] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.525884] 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 23:28:27.526899] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.527898] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:27.528898] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:28:27.529898] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CC_SWAP_EUR_USD:
DATA [2024-Jan-31 23:28:27.532896] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:28:27.560879] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CC_SWAP_EUR_USD_RESET
DEBUG [2024-Jan-31 23:28:27.561878] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.562877] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.563877] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:27.564877] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:27.564877] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:28:27.567876] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DEBUG [2024-Jan-31 23:28:27.570873] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.571872] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.572872] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:27.573871] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:27.574870] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:28:27.576870] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
DATA [2024-Jan-31 23:28:27.578868] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(FX-ECB-USD-EUR): 2 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DEBUG [2024-Jan-31 23:28:27.579868] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:28:27.579868] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:27.581867] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
...
ALERT [2024-Jan-31 23:28:27.583866] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.584865] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.585864] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:28:27.586864] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:28:27.587863] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.588863] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.589863] 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 23:28:27.591861] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.592860] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:27.595858] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.595858] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:28:27.596858] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:28:27.597857] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.599856] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.600857] 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 23:28:27.601856] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.602855] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:28:27.603854] OREData/ored/portfolio/legbuilders.cpp:98 : Building FX Resettable with first domestic notional specified explicitly
DEBUG [2024-Jan-31 23:28:27.604854] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:28:27.605854] OREData/ored/portfolio/legdata.cpp:2723 : Building Resetting XCCY Notional leg
DATA [2024-Jan-31 23:28:27.605854] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
DEBUG [2024-Jan-31 23:28:27.606852] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(__XCCY__-EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.607852] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.608852] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.609851] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:28:27.609851] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:28:27.611850] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.612849] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.613849] 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 23:28:27.614848] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.616832] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:27.618846] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.619845] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:28:27.620844] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:28:27.621845] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.623843] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:28:27.623843] 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 23:28:27.625841] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.626826] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:27.627841] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+08 USD
DEBUG [2024-Jan-31 23:28:27.627841] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:28:27.628840] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:28:27.629839] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CC_SWAP_EUR_USD_RESET:
DATA [2024-Jan-31 23:28:27.635836] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:28:27.693790] OREData/ored/portfolio/creditdefaultswap.cpp:35 : CreditDefaultSwap::build() called for trade CDS
DEBUG [2024-Jan-31 23:28:27.694790] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:27.695789] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:28:27.697788] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.698788] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.699787] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:27.702797] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:27.703797] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:28:27.705796] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:28:27.706795] OREData/ored/marketdata/defaultcurve.cpp:309 : Start building default curve of type SpreadCDS for curve BANK_SR_USD
NOTICE [2024-Jan-31 23:28:27.706795] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve BANK_SR_USD
DATA [2024-Jan-31 23:28:27.707794] 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 23:28:27.712792] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve BANK_SR_USD using 7 default quotes of 7 requested quotes.
DATA [2024-Jan-31 23:28:27.714791] OREData/ored/marketdata/defaultcurve.cpp:526 : 2016-12-20,0.985311623
...
DEBUG [2024-Jan-31 23:28:27.720787] OREData/ored/marketdata/defaultcurve.cpp:541 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:28:27.720787] OREData/ored/marketdata/defaultcurve.cpp:548 : Finished building default curve of type SpreadCDS for curve BANK_SR_USD
DEBUG [2024-Jan-31 23:28:27.721787] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (BANK) with spec Default/USD/BANK_SR_USD to configuration default
DEBUG [2024-Jan-31 23:28:27.722786] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(BANK,Default/USD/BANK_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:28:27.723786] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:27.723786] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BANK) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.724785] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.725784] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:27.728783] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
ALERT [2024-Jan-31 23:28:27.729782] OREData/ored/portfolio/creditdefaultswap.cpp:152 : Credit reference data missing for entity BANK, isdaSubProduct left blank
DATA [2024-Jan-31 23:28:27.729782] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CDS:
DATA [2024-Jan-31 23:28:27.730782] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:28:27.731781] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CPI_Swap
DEBUG [2024-Jan-31 23:28:27.732781] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.732781] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.734767] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:27.734767] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #19: IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) (not yet built)
...
DEBUG [2024-Jan-31 23:28:27.736766] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:27.737766] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP1D
DEBUG [2024-Jan-31 23:28:27.737766] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "GBP-OIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:27.738765] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-OIS-CONVENTIONS
DATA [2024-Jan-31 23:28:27.739764] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
...
DEBUG [2024-Jan-31 23:28:27.744761] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:28:27.752754] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP1D built
DEBUG [2024-Jan-31 23:28:27.753754] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:28:27.753754] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-SONIA) with spec Yield/GBP/GBP1D to configuration default
DATA [2024-Jan-31 23:28:27.754753] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:28:27.755753] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) in configuration default
DEBUG [2024-Jan-31 23:28:27.756752] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:27.756752] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP6M
DEBUG [2024-Jan-31 23:28:27.757751] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:28:27.758751] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-DEPOSIT
DEBUG [2024-Jan-31 23:28:27.759750] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:28:27.759750] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:28:27.767750] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "GBP-6M-FRA"
DEBUG [2024-Jan-31 23:28:27.768745] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-6M-FRA
...
DEBUG [2024-Jan-31 23:28:27.775755] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "GBP-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:28:27.788540] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 26 instruments
DEBUG [2024-Jan-31 23:28:27.794537] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP6M built
DEBUG [2024-Jan-31 23:28:27.795535] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:28:27.796536] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration default
DATA [2024-Jan-31 23:28:27.796536] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DEBUG [2024-Jan-31 23:28:27.797535] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration default
DEBUG [2024-Jan-31 23:28:27.798534] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:28:27.798534] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:27.799534] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:28:27.801533] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = GBP
DEBUG [2024-Jan-31 23:28:27.802532] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(UKRPI) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.803531] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.804531] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:27.805530] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #19: IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) (already built)
...
DEBUG [2024-Jan-31 23:28:27.806530] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/UKRPI/UKRPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:27.807528] OREData/ored/configuration/conventions.cpp:2587 : Building Convention UKRPI_INFLATIONSWAP
DATA [2024-Jan-31 23:28:27.808530] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DEBUG [2024-Jan-31 23:28:27.815524] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (UKRPI) with spec Inflation/UKRPI/UKRPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:28:27.817524] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(UKRPI,Inflation/UKRPI/UKRPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:28:27.817524] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:27.818522] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.819521] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.820521] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:27.821520] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:28:27.825519] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:27.826518] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP3M
DEBUG [2024-Jan-31 23:28:27.826518] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:28:27.827517] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:28:27.828518] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:28:27.833499] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "GBP-LIBOR-3M-6M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:27.834514] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-LIBOR-3M-6M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:28:27.846506] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 19 instruments
DEBUG [2024-Jan-31 23:28:27.878488] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP3M built
DEBUG [2024-Jan-31 23:28:27.879488] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:28:27.880487] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-3M) with spec Yield/GBP/GBP3M to configuration default
DATA [2024-Jan-31 23:28:27.882486] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
DEBUG [2024-Jan-31 23:28:27.883486] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) in configuration default
DEBUG [2024-Jan-31 23:28:27.884472] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:27.885484] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP-IN-EUR
DEBUG [2024-Jan-31 23:28:27.886484] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-GBP-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:27.887483] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:28:27.888482] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:28:27.889482] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-GBP-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:28:27.890481] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-GBP-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:28:27.891481] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:28:27.902460] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:28:27.921464] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP-IN-EUR built
DEBUG [2024-Jan-31 23:28:27.922463] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:28:27.923462] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:28:27.923462] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:28:27.924462] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:28:27.925461] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = GBP
DEBUG [2024-Jan-31 23:28:27.926460] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 GBP
DEBUG [2024-Jan-31 23:28:27.926460] OREData/ored/portfolio/swap.cpp:146 : npv currency is GBP
DEBUG [2024-Jan-31 23:28:27.927460] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.928460] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.929459] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:27.930458] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:28:27.930458] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CPI_Swap:
DATA [2024-Jan-31 23:28:27.933457] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:28:27.947436] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.948436] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.949435] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:27.950435] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:28:27.952434] OREData/ored/marketdata/todaysmarket.cpp:644 : Building EquityCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:27.952434] OREData/ored/marketdata/equitycurve.cpp:223 : EquityCurve: read 4 quotes of type ForwardPrice
DEBUG [2024-Jan-31 23:28:27.953433] OREData/ored/marketdata/equitycurve.cpp:224 : EquityCurve: ignored 0 expired quotes.
DEBUG [2024-Jan-31 23:28:27.954432] OREData/ored/marketdata/todaysmarket.cpp:652 : Adding EquityCurve (Lufthansa) with spec Equity/EUR/Lufthansa to configuration default
DATA [2024-Jan-31 23:28:27.955432] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Lufthansa' <-> 'EQ-Lufthansa'
DEBUG [2024-Jan-31 23:28:27.955432] OREData/ored/marketdata/todaysmarket.cpp:914 : built node EquityCurves(Lufthansa,Equity/EUR/Lufthansa) in configuration default
DEBUG [2024-Jan-31 23:28:27.956431] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:27.957431] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.957431] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.959429] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:28:27.959429] OREData/ored/portfolio/equityoption.cpp:59 : Setting strike currency to payoff currency EUR for trade EQ_CALL_LUFT.
NOTICE [2024-Jan-31 23:28:27.960429] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade EQ_CALL_LUFT
NOTICE [2024-Jan-31 23:28:27.961428] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade EQ_CALL_LUFT
DEBUG [2024-Jan-31 23:28:27.962428] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityVols(Lufthansa) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:27.962428] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.964427] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:27.964427] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
NOTICE [2024-Jan-31 23:28:27.967425] OREData/ored/marketdata/todaysmarket.cpp:671 : Building EquityVol for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:27.967425] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'default'
DEBUG [2024-Jan-31 23:28:27.968424] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:28:27.969424] OREData/ored/marketdata/equityvolcurve.cpp:66 : EquityVolCurve: start building equity volatility structure with ID Lufthansa
DEBUG [2024-Jan-31 23:28:27.969424] OREData/ored/marketdata/equityvolcurve.cpp:79 : EquityVolCurve: Attempting to build equity vol curve from volatilityConfig, 1 volatility configs provided.
DEBUG [2024-Jan-31 23:28:27.970423] OREData/ored/marketdata/equityvolcurve.cpp:169 : EquityVolCurve: start building 1-D volatility curve
DEBUG [2024-Jan-31 23:28:27.971435] OREData/ored/marketdata/equityvolcurve.cpp:221 : Have 1 explicit quotes
DATA [2024-Jan-31 23:28:27.972434] OREData/ored/marketdata/equityvolcurve.cpp:241 : Found the configured quote EQUITY_OPTION/RATE_LNVOL/Lufthansa/EUR/2016-06-15/ATMF
DATA [2024-Jan-31 23:28:27.972434] 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 23:28:27.973434] OREData/ored/marketdata/equityvolcurve.cpp:276 : Added data point (2016-06-15,0.300000000)
DEBUG [2024-Jan-31 23:28:27.974433] OREData/ored/marketdata/equityvolcurve.cpp:279 : Creating BlackVarianceCurve object.
DEBUG [2024-Jan-31 23:28:27.974433] OREData/ored/marketdata/equityvolcurve.cpp:296 : Interpolation Flat not recognised so leaving it Linear.
DEBUG [2024-Jan-31 23:28:27.975433] OREData/ored/marketdata/equityvolcurve.cpp:304 : Enabling BlackVarianceCurve flat volatility extrapolation.
DEBUG [2024-Jan-31 23:28:27.976432] OREData/ored/marketdata/equityvolcurve.cpp:318 : EquityVolCurve: finished building 1-D volatility curve
NOTICE [2024-Jan-31 23:28:27.977431] OREData/ored/marketdata/equityvolcurve.cpp:126 : EquityVolCurve: finished building equity volatility structure with ID Lufthansa
DEBUG [2024-Jan-31 23:28:27.977431] OREData/ored/marketdata/equityvolcurve.cpp:1083 : EquityVolCurve: Building calibration info for eq vol surface
DEBUG [2024-Jan-31 23:28:27.978430] OREData/ored/marketdata/equityvolcurve.cpp:1285 : EquityVolCurve: Building calibration info for eq vol surface completed.
DEBUG [2024-Jan-31 23:28:27.979430] OREData/ored/marketdata/todaysmarket.cpp:688 : Adding EquityVol (Lufthansa) with spec EquityVolatility/EUR/Lufthansa to configuration default
DEBUG [2024-Jan-31 23:28:27.979430] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(Lufthansa) required for configuration 'default'
DEBUG [2024-Jan-31 23:28:27.980429] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:27.983428] OREData/ored/marketdata/todaysmarket.cpp:914 : built node EquityVols(Lufthansa,EquityVolatility/EUR/Lufthansa) in configuration default
DEBUG [2024-Jan-31 23:28:27.984428] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
...
ALERT [2024-Jan-31 23:28:27.985427] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:27.987426] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:27.998420] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_CALL_LUFT:
DATA [2024-Jan-31 23:28:27.999419] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
ALERT [2024-Jan-31 23:28:28.001419] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.002417] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:28.003417] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:28:28.004416] OREData/ored/marketdata/todaysmarket.cpp:644 : Building EquityCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:28.005415] OREData/ored/marketdata/equitycurve.cpp:210 : EquityCurve Dividend Yield found for quote: EQUITY_DIVIDEND/RATE/SP5/USD/20160915
...
DEBUG [2024-Jan-31 23:28:28.008414] OREData/ored/marketdata/equitycurve.cpp:223 : EquityCurve: read 4 quotes of type DividendYield
DEBUG [2024-Jan-31 23:28:28.008414] OREData/ored/marketdata/equitycurve.cpp:224 : EquityCurve: ignored 0 expired quotes.
DEBUG [2024-Jan-31 23:28:28.009413] OREData/ored/marketdata/equitycurve.cpp:391 : Building Equity Dividend Yield curve from Dividend Yield rates
DEBUG [2024-Jan-31 23:28:28.010413] OREData/ored/marketdata/todaysmarket.cpp:652 : Adding EquityCurve (SP5) with spec Equity/USD/SP5 to configuration default
DATA [2024-Jan-31 23:28:28.010413] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DEBUG [2024-Jan-31 23:28:28.011412] OREData/ored/marketdata/todaysmarket.cpp:914 : built node EquityCurves(SP5,Equity/USD/SP5) in configuration default
DEBUG [2024-Jan-31 23:28:28.012412] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:28.012412] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(SP5) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.013411] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.014411] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:28:28.015410] OREData/ored/portfolio/equityoption.cpp:59 : Setting strike currency to payoff currency USD for trade EQ_CALL_SP5.
NOTICE [2024-Jan-31 23:28:28.016409] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade EQ_CALL_SP5
NOTICE [2024-Jan-31 23:28:28.017409] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade EQ_CALL_SP5
DEBUG [2024-Jan-31 23:28:28.017409] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityVols(SP5) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.019140] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.020155] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:28.021154] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
NOTICE [2024-Jan-31 23:28:28.025151] OREData/ored/marketdata/todaysmarket.cpp:671 : Building EquityVol for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:28.026150] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(SP5) required for configuration 'default'
DEBUG [2024-Jan-31 23:28:28.027150] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:28:28.027150] OREData/ored/marketdata/equityvolcurve.cpp:66 : EquityVolCurve: start building equity volatility structure with ID SP5
DEBUG [2024-Jan-31 23:28:28.028149] OREData/ored/marketdata/equityvolcurve.cpp:79 : EquityVolCurve: Attempting to build equity vol curve from volatilityConfig, 1 volatility configs provided.
DEBUG [2024-Jan-31 23:28:28.029148] OREData/ored/marketdata/equityvolcurve.cpp:169 : EquityVolCurve: start building 1-D volatility curve
DEBUG [2024-Jan-31 23:28:28.029148] OREData/ored/marketdata/equityvolcurve.cpp:221 : Have 1 explicit quotes
DATA [2024-Jan-31 23:28:28.030148] OREData/ored/marketdata/equityvolcurve.cpp:241 : Found the configured quote EQUITY_OPTION/RATE_LNVOL/SP5/USD/6M/ATMF
DATA [2024-Jan-31 23:28:28.031148] 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 23:28:28.032147] OREData/ored/marketdata/equityvolcurve.cpp:276 : Added data point (2016-08-05,0.250000000)
DEBUG [2024-Jan-31 23:28:28.032147] OREData/ored/marketdata/equityvolcurve.cpp:279 : Creating BlackVarianceCurve object.
DEBUG [2024-Jan-31 23:28:28.033146] OREData/ored/marketdata/equityvolcurve.cpp:296 : Interpolation Flat not recognised so leaving it Linear.
DEBUG [2024-Jan-31 23:28:28.034147] OREData/ored/marketdata/equityvolcurve.cpp:304 : Enabling BlackVarianceCurve flat volatility extrapolation.
DEBUG [2024-Jan-31 23:28:28.034147] OREData/ored/marketdata/equityvolcurve.cpp:318 : EquityVolCurve: finished building 1-D volatility curve
NOTICE [2024-Jan-31 23:28:28.035146] OREData/ored/marketdata/equityvolcurve.cpp:126 : EquityVolCurve: finished building equity volatility structure with ID SP5
DEBUG [2024-Jan-31 23:28:28.036145] OREData/ored/marketdata/equityvolcurve.cpp:1083 : EquityVolCurve: Building calibration info for eq vol surface
DEBUG [2024-Jan-31 23:28:28.037144] OREData/ored/marketdata/equityvolcurve.cpp:1285 : EquityVolCurve: Building calibration info for eq vol surface completed.
DEBUG [2024-Jan-31 23:28:28.037144] OREData/ored/marketdata/todaysmarket.cpp:688 : Adding EquityVol (SP5) with spec EquityVolatility/USD/SP5 to configuration default
DEBUG [2024-Jan-31 23:28:28.038143] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(SP5) required for configuration 'default'
DEBUG [2024-Jan-31 23:28:28.039143] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:28.042141] OREData/ored/marketdata/todaysmarket.cpp:914 : built node EquityVols(SP5,EquityVolatility/USD/SP5) in configuration default
DEBUG [2024-Jan-31 23:28:28.043141] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
...
ALERT [2024-Jan-31 23:28:28.044140] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.045139] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:28.057134] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_CALL_SP5:
DATA [2024-Jan-31 23:28:28.058133] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
WARNING [2024-Jan-31 23:28:28.060132] OREData/ored/portfolio/equityforward.cpp:57 : No Strike Currency provide for trade EQ_FWD_LUFT, assuming trade currency EUR
...
ALERT [2024-Jan-31 23:28:28.061130] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.063130] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:28.075110] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_FWD_LUFT:
DATA [2024-Jan-31 23:28:28.076109] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
ALERT [2024-Jan-31 23:28:28.079108] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.092098] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_FWD_SP5:
DATA [2024-Jan-31 23:28:28.093097] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
ALERT [2024-Jan-31 23:28:28.094097] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.095096] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:28.099109] OREData/ored/portfolio/equityoption.cpp:59 : Setting strike currency to payoff currency EUR for trade EQ_PUT_LUFT.
NOTICE [2024-Jan-31 23:28:28.100108] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade EQ_PUT_LUFT
NOTICE [2024-Jan-31 23:28:28.100108] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade EQ_PUT_LUFT
DATA [2024-Jan-31 23:28:28.101109] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_PUT_LUFT:
DATA [2024-Jan-31 23:28:28.102107] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:28:28.102107] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(SP5) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.103106] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.105105] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:28.108104] OREData/ored/portfolio/equityoption.cpp:59 : Setting strike currency to payoff currency USD for trade EQ_PUT_SP5.
NOTICE [2024-Jan-31 23:28:28.109103] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade EQ_PUT_SP5
NOTICE [2024-Jan-31 23:28:28.109103] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade EQ_PUT_SP5
DATA [2024-Jan-31 23:28:28.110102] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EQ_PUT_SP5:
DATA [2024-Jan-31 23:28:28.111102] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:28:28.111102] OREData/ored/portfolio/swaption.cpp:65 : Swaption::build() for EUROPEAN_SWAPTION: build underlying swap
DEBUG [2024-Jan-31 23:28:28.112101] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade
DEBUG [2024-Jan-31 23:28:28.113101] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.114087] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.115088] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:28.116087] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:28.117086] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:28:28.119085] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:28:28.123082] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:28:28.123082] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:28:28.124082] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:28:28.125081] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:28:28.125081] OREData/ored/portfolio/swaption.cpp:73 : Swaption::build() for EUROPEAN_SWAPTION: build exercise
DEBUG [2024-Jan-31 23:28:28.126081] 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 23:28:28.127080] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.128080] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.129079] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:28.130089] OREData/ored/portfolio/swaption.cpp:156 : Swaption::build() for EUROPEAN_SWAPTION: type: isCrossCcy = false, isOis = false, isBma = false, isStandard = true
DEBUG [2024-Jan-31 23:28:28.131090] OREData/ored/portfolio/swaption.cpp:304 : Building European Swaption EUROPEAN_SWAPTION
...
ALERT [2024-Jan-31 23:28:28.132090] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.134076] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:28:28.135088] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
ALERT [2024-Jan-31 23:28:28.136088] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.137087] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:28.140086] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:28:28.142084] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
ALERT [2024-Jan-31 23:28:28.144083] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.145082] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:28.146083] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:28:28.151080] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration default
DATA [2024-Jan-31 23:28:28.151080] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:28:28.152079] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration default
...
DEBUG [2024-Jan-31 23:28:28.153078] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:28:28.154077] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:28.156076] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:28:28.158075] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:28:28.159075] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration default
...
DEBUG [2024-Jan-31 23:28:28.160074] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:28:28.161073] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:28.163072] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:28:28.165071] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:28:28.166071] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration default
DEBUG [2024-Jan-31 23:28:28.167070] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration default
...
DEBUG [2024-Jan-31 23:28:28.168070] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 4, error: 0
DEBUG [2024-Jan-31 23:28:28.169069] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.170068] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.171067] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:28:28.172067] OREData/ored/portfolio/builders/swaption.cpp:71 : Build BachelierSwaptionEngine for currency EUR
DEBUG [2024-Jan-31 23:28:28.172067] OREData/ored/portfolio/swaption.cpp:343 : Building European Swaption done
DATA [2024-Jan-31 23:28:28.173066] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade EUROPEAN_SWAPTION:
DATA [2024-Jan-31 23:28:28.177064] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:28:28.204049] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade FLOOR_EUR, leg type is Floating
DEBUG [2024-Jan-31 23:28:28.205048] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.206048] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.207047] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:28.211045] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:28.211045] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:28:28.214043] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FLOOR_EUR:
DATA [2024-Jan-31 23:28:28.216042] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:28:28.230034] OREData/ored/portfolio/capfloor.cpp:51 : CapFloor::build() called for trade FLOOR_USD, leg type is Floating
DEBUG [2024-Jan-31 23:28:28.231033] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.232032] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.233032] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:28:28.237030] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:28.237030] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DATA [2024-Jan-31 23:28:28.240028] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FLOOR_USD:
DATA [2024-Jan-31 23:28:28.244026] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:28:28.272010] OREData/ored/portfolio/fxforward.cpp:104 : Build FxForward with maturity date 2026-03-01 and pay date 2026-03-01
DEBUG [2024-Jan-31 23:28:28.272686] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.272686] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.274700] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:28:28.277698] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FXFWD_EURUSD_10Y:
DATA [2024-Jan-31 23:28:28.278697] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
NOTICE [2024-Jan-31 23:28:28.279697] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade FX_CALL_OPTION
NOTICE [2024-Jan-31 23:28:28.279697] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to FxOption for trade FX_CALL_OPTION
DEBUG [2024-Jan-31 23:28:28.280696] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(EURUSD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.281696] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.282695] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:28.283695] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:28:28.285695] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:28.286693] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:28:28.286693] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:28:28.291677] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:28:28.292677] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:28:28.297674] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURUSD, assuming defaults
DATA [2024-Jan-31 23:28:28.298674] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
NOTICE [2024-Jan-31 23:28:28.298674] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:28:28.299673] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:28:28.300672] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/USD/EURUSD 1M 0.121699 0.00125789
...
DEBUG [2024-Jan-31 23:28:28.309667] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
DEBUG [2024-Jan-31 23:28:28.310667] OREData/ored/marketdata/fxvolcurve.cpp:1142 : Building calibration info for fx vol surface completed.
DEBUG [2024-Jan-31 23:28:28.310667] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURUSD) with spec FXVolatility/EUR/USD/EURUSD to configuration default
DEBUG [2024-Jan-31 23:28:28.311666] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURUSD,FXVolatility/EUR/USD/EURUSD) in configuration default
DEBUG [2024-Jan-31 23:28:28.312665] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:28.312665] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.313665] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.315664] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:28:28.316663] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:28:28.317663] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.325671] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FX_CALL_OPTION:
DATA [2024-Jan-31 23:28:28.326670] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
NOTICE [2024-Jan-31 23:28:28.327669] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade FX_PUT_OPTION
NOTICE [2024-Jan-31 23:28:28.327669] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to FxOption for trade FX_PUT_OPTION
...
DEBUG [2024-Jan-31 23:28:28.329668] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade SWAP_EUR
DEBUG [2024-Jan-31 23:28:28.330668] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:28.331667] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:28:28.333666] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
DEBUG [2024-Jan-31 23:28:28.334666] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.334666] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.336664] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:28.337663] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:28.337663] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:28:28.340662] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:28:28.340662] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:28:28.341662] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:28:28.342661] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:28:28.342661] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade SWAP_EUR:
DATA [2024-Jan-31 23:28:28.346659] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:28:28.374628] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade YearOnYear_Swap
DEBUG [2024-Jan-31 23:28:28.375627] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.376627] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.377626] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:28.378626] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:28:28.378626] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:28:28.381624] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
DEBUG [2024-Jan-31 23:28:28.381624] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YoYInflationCurve(EUHICPXT) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.382623] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.384634] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:28:28.384634] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:28:28.386635] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/EUHICPXT/EUHICPXT_YY_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:28:28.386635] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUHICPXT_INFLATIONSWAP
DATA [2024-Jan-31 23:28:28.387635] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
DEBUG [2024-Jan-31 23:28:28.394631] OREData/ored/marketdata/todaysmarket.cpp:593 : Adding YoYInflationIndex (EUHICPXT) with spec Inflation/EUHICPXT/EUHICPXT_YY_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:28:28.395631] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YoYInflationCurve(EUHICPXT,Inflation/EUHICPXT/EUHICPXT_YY_Swaps) in configuration default
DEBUG [2024-Jan-31 23:28:28.396631] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:28:28.397629] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:28:28.398629] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:28:28.399628] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:28:28.400613] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:28:28.400613] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:28:28.401629] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:28:28.402626] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:28:28.403627] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade YearOnYear_Swap:
DATA [2024-Jan-31 23:28:28.404626] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:28:28.415619] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 23, size now 23, built 0 failed trades, context is analytic/VAR
NOTICE [2024-Jan-31 23:28:28.416619] OREAnalytics/orea/app/analytic.cpp:218 : Filter trades that expire before February 5th, 2016
NOTICE [2024-Jan-31 23:28:28.418603] OREAnalytics/orea/app/analytics/varanalytic.cpp:55 : Build trade to portfolio id mapping
NOTICE [2024-Jan-31 23:28:28.418603] OREAnalytics/orea/app/analytics/varanalytic.cpp:65 : Build VaR calculator
NOTICE [2024-Jan-31 23:28:28.419605] OREAnalytics/orea/app/analytics/varanalytic.cpp:73 : Call VaR calculation
NOTICE [2024-Jan-31 23:28:28.420604] OREAnalytics/orea/engine/parametricvar.cpp:177 : Portfolio filter: PF1|PF2
DEBUG [2024-Jan-31 23:28:28.423151] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
DEBUG [2024-Jan-31 23:28:28.424153] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/6, 10Y, 0.000100, , , 0.000000, EUR, -3125432.29, 88.54, -0.01]
...
DEBUG [2024-Jan-31 23:28:28.561681] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/1, 1Y, 0.000100, , , 0.000000, EUR, -7157.67, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:29.747148] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 0 do not match a portfolio sensitivity and will not be used.
WARNING [2024-Jan-31 23:28:29.748148] OREAnalytics/orea/engine/parametricvar.cpp:254 : Zero variance assigned to sensitivity key IndexCurve/EUR-EONIA/2
...
DEBUG [2024-Jan-31 23:28:29.750134] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 117 x 117
NOTICE [2024-Jan-31 23:28:29.751134] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:29.752133] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 0
DEBUG [2024-Jan-31 23:28:29.752133] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:29.785897] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 41 do not match a portfolio sensitivity and will not be used.
WARNING [2024-Jan-31 23:28:29.786897] OREAnalytics/orea/engine/parametricvar.cpp:254 : Zero variance assigned to sensitivity key IndexCurve/EUR-EONIA/2
...
DEBUG [2024-Jan-31 23:28:29.788896] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 76 x 76
NOTICE [2024-Jan-31 23:28:29.789895] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:29.789895] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 0
DEBUG [2024-Jan-31 23:28:29.790894] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:29.801886] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 44 do not match a portfolio sensitivity and will not be used.
WARNING [2024-Jan-31 23:28:29.802901] OREAnalytics/orea/engine/parametricvar.cpp:254 : Zero variance assigned to sensitivity key IndexCurve/EUR-EONIA/2
...
DEBUG [2024-Jan-31 23:28:29.803899] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 72 x 72
NOTICE [2024-Jan-31 23:28:29.804899] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:29.805898] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 0
DEBUG [2024-Jan-31 23:28:29.805898] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:29.815878] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
DEBUG [2024-Jan-31 23:28:29.815878] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/6, 10Y, 0.000100, , , 0.000000, EUR, -3125432.29, 88.54, -0.01]
...
DEBUG [2024-Jan-31 23:28:29.947802] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/1, 1Y, 0.000100, , , 0.000000, EUR, -7157.67, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:29.982782] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/1, 1Y, 0.000100, IndexCurve/EUR-EURIBOR-6M/2, 2Y, 0.000100, EUR, -7157.67, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:30.100470] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, -12662.16, -126.62, 0.00]
...
DEBUG [2024-Jan-31 23:28:30.633841] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/0, 6M, 0.000100, IndexCurve/EUR-EURIBOR-6M/0, 6M, 0.000100, EUR, 78572.27, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:30.771762] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 29788.04, 297.88, 0.00]
...
DEBUG [2024-Jan-31 23:28:31.072117] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 30 do not match a portfolio sensitivity and will not be used.
WARNING [2024-Jan-31 23:28:31.073117] OREAnalytics/orea/engine/parametricvar.cpp:254 : Zero variance assigned to sensitivity key IndexCurve/EUR-EONIA/2
...
DEBUG [2024-Jan-31 23:28:31.075116] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 87 x 87
NOTICE [2024-Jan-31 23:28:31.076115] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:31.077115] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 0
DEBUG [2024-Jan-31 23:28:31.077115] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:31.093105] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 41 do not match a portfolio sensitivity and will not be used.
WARNING [2024-Jan-31 23:28:31.093105] OREAnalytics/orea/engine/parametricvar.cpp:254 : Zero variance assigned to sensitivity key IndexCurve/EUR-EONIA/2
...
DEBUG [2024-Jan-31 23:28:31.095103] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 76 x 76
NOTICE [2024-Jan-31 23:28:31.096103] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:31.097102] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 0
DEBUG [2024-Jan-31 23:28:31.098102] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:31.108096] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 74 do not match a portfolio sensitivity and will not be used.
WARNING [2024-Jan-31 23:28:31.109096] OREAnalytics/orea/engine/parametricvar.cpp:254 : Zero variance assigned to sensitivity key IndexCurve/EUR-EONIA/2
...
DEBUG [2024-Jan-31 23:28:31.110095] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 42 x 42
NOTICE [2024-Jan-31 23:28:31.111094] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:31.112094] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 0
DEBUG [2024-Jan-31 23:28:31.113095] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:31.116106] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:31.123087] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, SwaptionVolatility/EUR/10, 10Y/5Y/ATM, 0.000000, , , 0.000000, EUR, -3125432.29, -1529.61, -17.95]
...
DEBUG [2024-Jan-31 23:28:31.185054] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, OptionletVolatility/EUR/3, 1Y/0.04, 0.000000, , , 0.000000, EUR, -7157.67, -0.22, -0.01]
...
DEBUG [2024-Jan-31 23:28:31.235026] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, OptionletVolatility/USD/3, 1Y/0.04, 0.000000, , , 0.000000, EUR, -12662.16, -0.53, -0.02]
...
DEBUG [2024-Jan-31 23:28:31.372714] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquityVolatility/Lufthansa/2, 2Y/ATM, 0.000000, , , 0.000000, EUR, 1872.93, 14.77, 0.01]
...
DEBUG [2024-Jan-31 23:28:31.382709] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquityVolatility/SP5/2, 2Y/ATM, 0.000000, , , 0.000000, EUR, 179760.02, 1956.29, -0.50]
...
DEBUG [2024-Jan-31 23:28:31.397700] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquityVolatility/Lufthansa/2, 2Y/ATM, 0.000000, , , 0.000000, EUR, 1473.82, 14.77, 0.01]
...
DEBUG [2024-Jan-31 23:28:31.408694] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquityVolatility/SP5/2, 2Y/ATM, 0.000000, , , 0.000000, EUR, -218000.15, -1956.29, 0.50]
...
DEBUG [2024-Jan-31 23:28:31.414690] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, SwaptionVolatility/EUR/11, 10Y/10Y/ATM, 0.000000, , , 0.000000, EUR, -3076613.10, -3735.20, -65.36]
...
DEBUG [2024-Jan-31 23:28:31.438677] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, OptionletVolatility/EUR/0, 1Y/0.01, 0.000000, , , 0.000000, EUR, 78572.27, 6.48, 0.32]
...
DEBUG [2024-Jan-31 23:28:31.494883] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, OptionletVolatility/USD/0, 1Y/0.01, 0.000000, , , 0.000000, EUR, 29788.04, 40.47, 0.10]
...
DEBUG [2024-Jan-31 23:28:31.515870] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXVolatility/USDEUR/3, 5Y/ATM, 0.000000, , , 0.000000, EUR, 255066.80, 1302.79, 2.37]
...
DEBUG [2024-Jan-31 23:28:31.521867] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXVolatility/USDEUR/3, 5Y/ATM, 0.000000, , , 0.000000, EUR, 75724.96, 1302.79, 2.37]
...
DEBUG [2024-Jan-31 23:28:31.610564] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 84 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:31.611563] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 30 x 30
NOTICE [2024-Jan-31 23:28:31.611563] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:31.612562] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:31.613562] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:31.614561] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 84 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:31.615561] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 30 x 30
NOTICE [2024-Jan-31 23:28:31.615561] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:31.616560] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:31.617560] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:31.618559] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:32.063829] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/6, 10Y, 0.000100, , , 0.000000, EUR, -3125432.29, 88.54, -0.01]
...
DEBUG [2024-Jan-31 23:28:32.184759] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, SecuritySpread/SECURITY_1/0, spread, 0.000100, , , 0.000000, EUR, 12902111.76, -5940.87, 2.87]
...
DEBUG [2024-Jan-31 23:28:32.203748] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/1, 1Y, 0.000100, , , 0.000000, EUR, -7157.67, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:32.693368] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/GBP/0, 6M, 0.000100, , , 0.000000, EUR, 1016258.46, 0.25, 0.00]
...
DEBUG [2024-Jan-31 23:28:32.722351] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/2, 2Y, 0.000100, , , 0.000000, EUR, 1872.93, -0.35, 0.00]
...
DEBUG [2024-Jan-31 23:28:32.733346] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/2, 2Y, 0.000100, DiscountCurve/EUR/3, 3Y, 0.000100, EUR, 1872.93, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:32.750350] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/2, 2Y, 0.000100, , , 0.000000, EUR, 399.11, -0.07, 0.00]
...
DEBUG [2024-Jan-31 23:28:32.786082] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/2, 2Y, 0.000100, DiscountCurve/EUR/3, 3Y, 0.000100, EUR, 1473.82, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:32.804059] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/6, 10Y, 0.000100, , , 0.000000, EUR, -3076613.10, 84.32, -0.01]
...
DEBUG [2024-Jan-31 23:28:33.262522] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/0, 6M, 0.000100, DiscountCurve/EUR/1, 1Y, 0.000100, EUR, 590124.24, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:33.334222] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 27 do not match a portfolio sensitivity and will not be used.
WARNING [2024-Jan-31 23:28:33.335221] OREAnalytics/orea/engine/parametricvar.cpp:254 : Zero variance assigned to sensitivity key IndexCurve/EUR-EONIA/2
...
DEBUG [2024-Jan-31 23:28:33.337220] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 90 x 90
NOTICE [2024-Jan-31 23:28:33.338219] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:33.339218] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 0
DEBUG [2024-Jan-31 23:28:33.339218] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:33.357221] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 64 do not match a portfolio sensitivity and will not be used.
WARNING [2024-Jan-31 23:28:33.358220] OREAnalytics/orea/engine/parametricvar.cpp:254 : Zero variance assigned to sensitivity key IndexCurve/EUR-EONIA/2
...
DEBUG [2024-Jan-31 23:28:33.360219] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 53 x 53
NOTICE [2024-Jan-31 23:28:33.361219] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:33.361219] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 0
DEBUG [2024-Jan-31 23:28:33.362218] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:33.367200] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 51 do not match a portfolio sensitivity and will not be used.
WARNING [2024-Jan-31 23:28:33.368200] OREAnalytics/orea/engine/parametricvar.cpp:254 : Zero variance assigned to sensitivity key IndexCurve/EUR-EONIA/2
...
DEBUG [2024-Jan-31 23:28:33.369199] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 65 x 65
NOTICE [2024-Jan-31 23:28:33.370199] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:33.371198] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 0
DEBUG [2024-Jan-31 23:28:33.371198] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:33.378194] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
DEBUG [2024-Jan-31 23:28:33.379193] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/6, 10Y, 0.000100, , , 0.000000, EUR, -3125432.29, 88.54, -0.01]
...
DEBUG [2024-Jan-31 23:28:33.489365] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, SecuritySpread/SECURITY_1/0, spread, 0.000100, , , 0.000000, EUR, 12902111.76, -5940.87, 2.87]
...
DEBUG [2024-Jan-31 23:28:33.505356] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/1, 1Y, 0.000100, , , 0.000000, EUR, -7157.67, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:33.542025] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/1, 1Y, 0.000100, IndexCurve/EUR-EURIBOR-6M/2, 2Y, 0.000100, EUR, -7157.67, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:33.657961] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/0, 6M, 0.000100, , , 0.000000, EUR, -20857165.79, 33.61, 0.00]
...
DEBUG [2024-Jan-31 23:28:33.967486] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/GBP/0, 6M, 0.000100, , , 0.000000, EUR, 1016258.46, 0.25, 0.00]
...
DEBUG [2024-Jan-31 23:28:33.996470] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/2, 2Y, 0.000100, , , 0.000000, EUR, 1872.93, -0.35, 0.00]
...
DEBUG [2024-Jan-31 23:28:34.007465] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/2, 2Y, 0.000100, DiscountCurve/EUR/3, 3Y, 0.000100, EUR, 1872.93, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:34.025188] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/2, 2Y, 0.000100, , , 0.000000, EUR, 399.11, -0.07, 0.00]
...
DEBUG [2024-Jan-31 23:28:34.062182] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/2, 2Y, 0.000100, DiscountCurve/EUR/3, 3Y, 0.000100, EUR, 1473.82, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:34.078173] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/6, 10Y, 0.000100, , , 0.000000, EUR, -3076613.10, 84.32, -0.01]
...
DEBUG [2024-Jan-31 23:28:34.162124] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/0, 6M, 0.000100, IndexCurve/EUR-EURIBOR-6M/0, 6M, 0.000100, EUR, 78572.27, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:34.299785] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/6, 10Y, 0.000100, , , 0.000000, EUR, 179341.84, -947.64, 0.94]
...
DEBUG [2024-Jan-31 23:28:34.514907] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, DiscountCurve/EUR/0, 6M, 0.000100, DiscountCurve/EUR/1, 1Y, 0.000100, EUR, 590124.24, 0.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:34.586561] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 53 do not match a portfolio sensitivity and will not be used.
WARNING [2024-Jan-31 23:28:34.587560] OREAnalytics/orea/engine/parametricvar.cpp:254 : Zero variance assigned to sensitivity key IndexCurve/EUR-EONIA/2
...
DEBUG [2024-Jan-31 23:28:34.589559] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 64 x 64
NOTICE [2024-Jan-31 23:28:34.589559] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:34.590558] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 0
DEBUG [2024-Jan-31 23:28:34.591558] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:34.598554] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 64 do not match a portfolio sensitivity and will not be used.
WARNING [2024-Jan-31 23:28:34.599553] OREAnalytics/orea/engine/parametricvar.cpp:254 : Zero variance assigned to sensitivity key IndexCurve/EUR-EONIA/2
...
DEBUG [2024-Jan-31 23:28:34.601552] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 53 x 53
NOTICE [2024-Jan-31 23:28:34.601552] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:34.602551] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 0
DEBUG [2024-Jan-31 23:28:34.603551] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:34.607548] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 77 do not match a portfolio sensitivity and will not be used.
WARNING [2024-Jan-31 23:28:34.608548] OREAnalytics/orea/engine/parametricvar.cpp:254 : Zero variance assigned to sensitivity key IndexCurve/EUR-EONIA/2
...
DEBUG [2024-Jan-31 23:28:34.610547] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 39 x 39
NOTICE [2024-Jan-31 23:28:34.610547] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:34.611546] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 0
DEBUG [2024-Jan-31 23:28:34.612546] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:34.614545] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:34.621541] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, SwaptionVolatility/EUR/10, 10Y/5Y/ATM, 0.000000, , , 0.000000, EUR, -3125432.29, -1529.61, -17.95]
...
DEBUG [2024-Jan-31 23:28:34.681508] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, OptionletVolatility/EUR/3, 1Y/0.04, 0.000000, , , 0.000000, EUR, -7157.67, -0.22, -0.01]
...
DEBUG [2024-Jan-31 23:28:34.735476] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, OptionletVolatility/USD/3, 1Y/0.04, 0.000000, , , 0.000000, EUR, -12662.16, -0.53, -0.02]
...
DEBUG [2024-Jan-31 23:28:34.904058] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, SwaptionVolatility/EUR/11, 10Y/10Y/ATM, 0.000000, , , 0.000000, EUR, -3076613.10, -3735.20, -65.36]
...
DEBUG [2024-Jan-31 23:28:34.928045] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, OptionletVolatility/EUR/0, 1Y/0.01, 0.000000, , , 0.000000, EUR, 78572.27, 6.48, 0.32]
...
DEBUG [2024-Jan-31 23:28:34.983013] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, OptionletVolatility/USD/0, 1Y/0.01, 0.000000, , , 0.000000, EUR, 29788.04, 40.47, 0.10]
...
DEBUG [2024-Jan-31 23:28:35.095781] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 88 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:35.095781] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 26 x 26
NOTICE [2024-Jan-31 23:28:35.096780] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:35.097780] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:35.097780] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:35.099779] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 88 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:35.099779] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 26 x 26
NOTICE [2024-Jan-31 23:28:35.100778] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:35.101777] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:35.101777] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:35.103776] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:35.769153] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, ZeroInflationCurve/UKRPI/1, 1Y, 0.000100, , , 0.000000, EUR, 1016258.46, 25.47, 0.00]
...
DEBUG [2024-Jan-31 23:28:35.966794] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, YoYInflationCurve/EUHICPXT/1, 1Y, 0.000000, , , 0.000000, EUR, 590124.24, 505.95, 0.00]
...
DEBUG [2024-Jan-31 23:28:35.999775] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 104 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:36.000774] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 10 x 10
NOTICE [2024-Jan-31 23:28:36.001774] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:36.001774] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 2500
DEBUG [2024-Jan-31 23:28:36.002773] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:36.003773] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 104 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:36.003773] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 10 x 10
NOTICE [2024-Jan-31 23:28:36.004772] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:36.005771] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 2500
DEBUG [2024-Jan-31 23:28:36.006771] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:36.006771] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:36.231495] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, ZeroInflationCurve/UKRPI/1, 1Y, 0.000100, , , 0.000000, EUR, 1016258.46, 25.47, 0.00]
...
DEBUG [2024-Jan-31 23:28:36.428062] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, YoYInflationCurve/EUHICPXT/1, 1Y, 0.000000, , , 0.000000, EUR, 590124.24, 505.95, 0.00]
...
DEBUG [2024-Jan-31 23:28:36.463042] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 104 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:36.463042] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 10 x 10
NOTICE [2024-Jan-31 23:28:36.464041] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:36.465041] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 2500
DEBUG [2024-Jan-31 23:28:36.465041] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:36.466040] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 104 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:36.467040] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 10 x 10
NOTICE [2024-Jan-31 23:28:36.467040] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:36.468039] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 2500
DEBUG [2024-Jan-31 23:28:36.469038] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:36.470038] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:37.388683] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, SurvivalProbability/CPTY_C/0, 6M, 0.000100, , , 0.000000, EUR, 12902111.76, -0.30, 0.00]
...
DEBUG [2024-Jan-31 23:28:37.572500] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, SurvivalProbability/BANK/0, 6M, 0.000100, , , 0.000000, EUR, 707.57, 1.94, 0.00]
...
DEBUG [2024-Jan-31 23:28:37.809105] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 105 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:37.809105] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 9 x 9
NOTICE [2024-Jan-31 23:28:37.810105] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:37.811104] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 2500
DEBUG [2024-Jan-31 23:28:37.811104] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:37.812104] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 105 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:37.813103] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 9 x 9
NOTICE [2024-Jan-31 23:28:37.813103] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:37.814103] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 2500
DEBUG [2024-Jan-31 23:28:37.815102] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:37.816102] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:37.853078] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, SurvivalProbability/CPTY_C/0, 6M, 0.000100, , , 0.000000, EUR, 12902111.76, -0.30, 0.00]
...
DEBUG [2024-Jan-31 23:28:38.030734] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, SurvivalProbability/BANK/0, 6M, 0.000100, , , 0.000000, EUR, 707.57, 1.94, 0.00]
...
DEBUG [2024-Jan-31 23:28:38.265094] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 105 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:38.265094] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 9 x 9
NOTICE [2024-Jan-31 23:28:38.265094] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:38.265094] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 2500
DEBUG [2024-Jan-31 23:28:38.265094] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:38.265094] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 105 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:38.265094] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 9 x 9
NOTICE [2024-Jan-31 23:28:38.265094] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:38.265094] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 2500
DEBUG [2024-Jan-31 23:28:38.265094] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:38.265094] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:39.375253] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquitySpot/Lufthansa/0, spot, 0.127500, , , 0.000000, EUR, 1872.93, 62.34, 0.88]
...
DEBUG [2024-Jan-31 23:28:39.387247] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquitySpot/SP5/0, spot, 21.475600, , , 0.000000, EUR, 179760.02, 7600.70, 156.30]
...
DEBUG [2024-Jan-31 23:28:39.394243] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquitySpot/Lufthansa/0, spot, 0.127500, , , 0.000000, EUR, 399.11, 99.53, 0.00]
...
DEBUG [2024-Jan-31 23:28:39.401239] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquitySpot/SP5/0, spot, 21.475600, , , 0.000000, EUR, 38240.13, -13932.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:39.406236] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquitySpot/Lufthansa/0, spot, 0.127500, , , 0.000000, EUR, 1473.82, -37.19, 0.88]
...
DEBUG [2024-Jan-31 23:28:39.418229] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquitySpot/SP5/0, spot, 21.475600, , , 0.000000, EUR, -218000.15, 6331.30, -156.30]
...
DEBUG [2024-Jan-31 23:28:39.604161] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 109 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:39.605160] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 5 x 5
NOTICE [2024-Jan-31 23:28:39.606160] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:39.607159] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:39.607159] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:39.608159] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 112 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:39.609145] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 2 x 2
NOTICE [2024-Jan-31 23:28:39.609145] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:39.610158] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:39.611157] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:39.611157] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 109 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:39.612156] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 5 x 5
NOTICE [2024-Jan-31 23:28:39.613155] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:39.613155] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:39.614154] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:39.615155] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:39.851775] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquitySpot/Lufthansa/0, spot, 0.127500, , , 0.000000, EUR, 1872.93, 62.34, 0.88]
...
DEBUG [2024-Jan-31 23:28:39.860770] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquitySpot/SP5/0, spot, 21.475600, , , 0.000000, EUR, 179760.02, 7600.70, 156.30]
...
DEBUG [2024-Jan-31 23:28:39.866754] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquitySpot/Lufthansa/0, spot, 0.127500, , , 0.000000, EUR, 399.11, 99.53, 0.00]
...
DEBUG [2024-Jan-31 23:28:39.874763] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquitySpot/SP5/0, spot, 21.475600, , , 0.000000, EUR, 38240.13, -13932.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:39.879759] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquitySpot/Lufthansa/0, spot, 0.127500, , , 0.000000, EUR, 1473.82, -37.19, 0.88]
...
DEBUG [2024-Jan-31 23:28:39.888754] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquitySpot/SP5/0, spot, 21.475600, , , 0.000000, EUR, -218000.15, 6331.30, -156.30]
...
DEBUG [2024-Jan-31 23:28:40.070600] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 112 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:40.071600] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 2 x 2
NOTICE [2024-Jan-31 23:28:40.071600] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:40.072599] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:40.073598] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:40.074598] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 112 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:40.074598] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 2 x 2
NOTICE [2024-Jan-31 23:28:40.075597] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:40.076597] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:40.076597] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:40.077596] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 112 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:40.078596] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 2 x 2
NOTICE [2024-Jan-31 23:28:40.078596] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:40.079595] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:40.080595] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:40.080595] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:40.313213] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquityVolatility/Lufthansa/2, 2Y/ATM, 0.000000, , , 0.000000, EUR, 1872.93, 14.77, 0.01]
...
DEBUG [2024-Jan-31 23:28:40.323207] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquityVolatility/SP5/2, 2Y/ATM, 0.000000, , , 0.000000, EUR, 179760.02, 1956.29, -0.50]
...
DEBUG [2024-Jan-31 23:28:40.338199] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquityVolatility/Lufthansa/2, 2Y/ATM, 0.000000, , , 0.000000, EUR, 1473.82, 14.77, 0.01]
...
DEBUG [2024-Jan-31 23:28:40.349193] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, EquityVolatility/SP5/2, 2Y/ATM, 0.000000, , , 0.000000, EUR, -218000.15, -1956.29, 0.50]
...
DEBUG [2024-Jan-31 23:28:40.530066] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 111 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:40.530066] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 3 x 3
NOTICE [2024-Jan-31 23:28:40.531065] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:40.532064] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:40.532064] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:40.533064] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 111 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:40.534063] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 3 x 3
NOTICE [2024-Jan-31 23:28:40.534063] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:40.535063] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:40.536062] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:40.536062] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:41.092289] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, -12662.16, -126.62, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.113277] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, -20857165.79, 834809.17, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.157250] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, -19563936.20, 695376.68, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.197227] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 707.57, 7.08, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.211220] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/GBPEUR/0, spot, 0.012316, , , 0.000000, EUR, 1016258.46, 10162.58, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.226210] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 179760.02, 1797.60, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.239203] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 38240.13, 382.40, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.251211] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, -218000.15, -2180.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.335881] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 29788.04, 297.88, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.340878] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 179341.84, -7806.03, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.346862] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 255066.80, -4674.49, 69.57]
...
DEBUG [2024-Jan-31 23:28:41.353858] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 75724.96, 3131.54, 69.57]
...
DEBUG [2024-Jan-31 23:28:41.443805] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 111 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:41.444804] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 3 x 3
NOTICE [2024-Jan-31 23:28:41.445804] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:41.446803] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:41.446803] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:41.447802] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 112 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:41.448802] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 2 x 2
NOTICE [2024-Jan-31 23:28:41.448802] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:41.449801] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:41.450801] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:41.450801] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 112 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:41.451800] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 2 x 2
NOTICE [2024-Jan-31 23:28:41.452800] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:41.453799] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:41.453799] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:41.454798] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:41.566729] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, -12662.16, -126.62, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.587717] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, -20857165.79, 834809.17, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.631692] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, -19563936.20, 695376.68, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.671669] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 707.57, 7.08, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.685659] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/GBPEUR/0, spot, 0.012316, , , 0.000000, EUR, 1016258.46, 10162.58, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.704648] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 179760.02, 1797.60, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.716641] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 38240.13, 382.40, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.729649] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, -218000.15, -2180.00, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.812408] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 29788.04, 297.88, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.817406] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 179341.84, -7806.03, 0.00]
...
DEBUG [2024-Jan-31 23:28:41.822402] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 255066.80, -4674.49, 69.57]
...
DEBUG [2024-Jan-31 23:28:41.828400] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXSpot/USDEUR/0, spot, 0.008831, , , 0.000000, EUR, 75724.96, 3131.54, 69.57]
...
DEBUG [2024-Jan-31 23:28:41.918335] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 112 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:41.918335] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 2 x 2
NOTICE [2024-Jan-31 23:28:41.919334] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:41.920333] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:41.920333] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:41.921333] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 112 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:41.922332] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 2 x 2
NOTICE [2024-Jan-31 23:28:41.922332] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:41.923332] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:41.924331] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:41.924331] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 113 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:41.925331] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 1 x 1
NOTICE [2024-Jan-31 23:28:41.926330] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:41.926330] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:41.927330] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:41.928329] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
DEBUG [2024-Jan-31 23:28:42.278619] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXVolatility/USDEUR/3, 5Y/ATM, 0.000000, , , 0.000000, EUR, 255066.80, 1302.79, 2.37]
...
DEBUG [2024-Jan-31 23:28:42.284615] OREAnalytics/orea/engine/sensitivityaggregator.cpp:72 : Updating aggregated sensitivities for category (all) with record: [, false, FXVolatility/USDEUR/3, 5Y/ATM, 0.000000, , , 0.000000, EUR, 75724.96, 1302.79, 2.37]
...
DEBUG [2024-Jan-31 23:28:42.371563] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 113 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:42.372563] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 1 x 1
NOTICE [2024-Jan-31 23:28:42.373562] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:42.374561] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:42.374561] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:42.375561] OREAnalytics/orea/engine/parametricvar.cpp:251 : Found 114 covariance matrix entries, 113 do not match a portfolio sensitivity and will not be used.
DEBUG [2024-Jan-31 23:28:42.376560] OREAnalytics/orea/engine/parametricvar.cpp:274 : Covariance matrix has dimension 1 x 1
NOTICE [2024-Jan-31 23:28:42.376560] OREAnalytics/orea/engine/parametricvar.cpp:276 : Covariance matrix is no salvaged, check for positive semi-definiteness
DEBUG [2024-Jan-31 23:28:42.377559] OREAnalytics/orea/engine/parametricvar.cpp:283 : Smallest eigenvalue is 100
DEBUG [2024-Jan-31 23:28:42.378559] OREAnalytics/orea/engine/parametricvar.cpp:286 : Covariance matrix salvage complete.
DEBUG [2024-Jan-31 23:28:42.378559] OREAnalytics/orea/engine/sensitivityfilestream.cpp:56 : Processing line number 2: BERMUDAN_SWAPTION,false,DiscountCurve/EUR/6/10Y,0.000100,,0.000000,EUR,-3125432.29,88.54,-0.01
...
NOTICE [2024-Jan-31 23:28:42.858123] OREAnalytics/orea/app/analytics/varanalytic.cpp:78 : Parametric VaR completed
MEMORY [2024-Jan-31 23:28:42.859123] OREAnalytics/orea/app/analytics/varanalytic.cpp:79 : 222031872|48394240
WARNING [2024-Jan-31 23:28:42.860123] OREAnalytics/orea/app/analytic.cpp:86 : 222031872|48394240
NOTICE [2024-Jan-31 23:28:42.861122] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'VAR' finished.
DEBUG [2024-Jan-31 23:28:42.863122] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve EUR1D for label as it has already been added
NOTICE [2024-Jan-31 23:28:42.870118] OREAnalytics/orea/app/reportwriter.cpp:1399 : Writing Pricing stats report
NOTICE [2024-Jan-31 23:28:42.870118] OREAnalytics/orea/app/reportwriter.cpp:1415 : Pricing stats report written
NOTICE [2024-Jan-31 23:28:42.871118] OREAnalytics/orea/app/analyticsmanager.cpp:239 : report name dividends occurs 1 times
...
NOTICE [2024-Jan-31 23:28:42.875114] OREData/ored/report/csvreport.cpp:107 : Opening CSV file report 'Output/dividends.csv'
NOTICE [2024-Jan-31 23:28:42.876114] OREData/ored/report/csvreport.cpp:190 : CSV file report 'Output/dividends.csv' closed.
NOTICE [2024-Jan-31 23:28:42.877116] OREAnalytics/orea/app/analyticsmanager.cpp:282 : report dividends written to Output/dividends.csv
...
WARNING [2024-Jan-31 23:28:42.924087] OREAnalytics/orea/app/oreapp.cpp:290 : 222031872|48549888
NOTICE [2024-Jan-31 23:28:42.925087] OREAnalytics/orea/app/oreapp.cpp:291 : ORE analytics done
NOTICE [2024-Jan-31 23:28:42.927088] OREAnalytics/orea/app/oreapp.cpp:397 : ORE done.