NOTICE [2024-Jan-31 23:14:33.582227] OREAnalytics/orea/app/parameters.cpp:133 : Parameters:
NOTICE [2024-Jan-31 23:14:33.582227] OREAnalytics/orea/app/parameters.cpp:136 : group = cashflow : active = Y
...
NOTICE [2024-Jan-31 23:14:33.629097] OREAnalytics/orea/app/oreapp.cpp:462 : buildInputParameters called
WARNING [2024-Jan-31 23:14:33.629097] OREAnalytics/orea/app/oreapp.cpp:484 : Calendar adjustments not found, using defaults
WARNING [2024-Jan-31 23:14:33.629097] OREAnalytics/orea/app/oreapp.cpp:495 : Currency configurations not found, using defaults
NOTICE [2024-Jan-31 23:14:33.629097] OREAnalytics/orea/app/oreapp.cpp:555 : Observation Mode is Disable
WARNING [2024-Jan-31 23:14:33.629097] OREAnalytics/orea/app/oreapp.cpp:568 : Reference data not found
WARNING [2024-Jan-31 23:14:33.629097] OREAnalytics/orea/app/oreapp.cpp:578 : Script library not loaded
NOTICE [2024-Jan-31 23:14:33.629097] OREAnalytics/orea/app/oreapp.cpp:583 : Loading conventions from file: Input/../../Input/conventions.xml
DEBUG [2024-Jan-31 23:14:33.644721] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-ZERO-CONVENTIONS
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DEBUG [2024-Jan-31 23:14:33.769848] OREData/ored/configuration/conventions.cpp:2449 : Building Convention GBP-USD-FX-CONVENTIONS
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DEBUG [2024-Jan-31 23:14:33.801095] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-USD-XCCY-BASIS-CONVENTIONS
...
WARNING [2024-Jan-31 23:14:33.832342] OREAnalytics/orea/app/oreapp.cpp:594 : Using default Ibor fallback config
NOTICE [2024-Jan-31 23:14:33.832342] OREAnalytics/orea/app/oreapp.cpp:599 : Load curve configurations from file:
NOTICE [2024-Jan-31 23:14:33.847965] OREAnalytics/orea/app/oreapp.cpp:608 : Load pricing engine data from file: Input/../../Input/pricingengine.xml
DEBUG [2024-Jan-31 23:14:33.847965] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:14:33.847965] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:14:33.863590] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
...
DEBUG [2024-Jan-31 23:14:33.863590] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
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DEBUG [2024-Jan-31 23:14:33.863590] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:14:33.863590] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
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DEBUG [2024-Jan-31 23:14:33.863590] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
...
DEBUG [2024-Jan-31 23:14:33.879216] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:14:33.879216] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
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DEBUG [2024-Jan-31 23:14:33.879216] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:14:33.879216] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
...
DEBUG [2024-Jan-31 23:14:33.879216] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
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DEBUG [2024-Jan-31 23:14:33.894852] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:14:33.894852] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:14:33.894852] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
...
DEBUG [2024-Jan-31 23:14:33.910476] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=IndexCreditDefaultSwap paramName=Curve paramValue=Underlying
...
DEBUG [2024-Jan-31 23:14:33.910476] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=SyntheticCDO paramName=correlation paramValue=0.0
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DEBUG [2024-Jan-31 23:14:33.910476] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=SyntheticCDO engine=Bucketing
DEBUG [2024-Jan-31 23:14:33.910476] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=SyntheticCDO paramName=buckets paramValue=124
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DEBUG [2024-Jan-31 23:14:33.910476] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS model=LinearTSR
...
DEBUG [2024-Jan-31 23:14:33.926100] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:14:33.926100] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:14:33.926100] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:14:33.926100] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:14:33.941723] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
...
DEBUG [2024-Jan-31 23:14:33.941723] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:14:33.941723] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
...
DEBUG [2024-Jan-31 23:14:33.941723] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BondOption paramName=TimestepPeriod paramValue=6M
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NOTICE [2024-Jan-31 23:14:33.941723] OREAnalytics/orea/app/oreapp.cpp:617 : Loading today's market parameters from fileInput/../../Input/todaysmarket.xml
DEBUG [2024-Jan-31 23:14:33.957334] OREData/ored/marketdata/todaysmarketparameters.cpp:322 : TodaysMarketParameters, add market objects of type YieldCurve: default BANK_EUR_BORROW Yield/EUR/BANK_EUR_BORROW
...
WARNING [2024-Jan-31 23:14:34.019843] OREData/ored/marketdata/todaysmarketparameters.cpp:190 : TodaysMarketParameters: the attribute 'currency' is deprecated for 'SwaptionVolatilities', use 'key' instead.
...
WARNING [2024-Jan-31 23:14:34.019843] OREData/ored/marketdata/todaysmarketparameters.cpp:190 : TodaysMarketParameters: the attribute 'currency' is deprecated for 'CapFloorVolatilities', use 'key' instead.
...
NOTICE [2024-Jan-31 23:14:34.051091] OREAnalytics/orea/app/inputparameters.cpp:143 : Loading portfolio from file: Input/portfolio_swap.xml
DEBUG [2024-Jan-31 23:14:34.051091] OREData/ored/portfolio/portfolio.cpp:58 : Parsing trade id:Swap_20
DEBUG [2024-Jan-31 23:14:34.066712] OREData/ored/portfolio/portfolio.cpp:68 : Added Trade Swap_20 (Swap_20) type:Swap
NOTICE [2024-Jan-31 23:14:34.066712] OREData/ored/portfolio/portfolio.cpp:95 : Finished Parsing XML doc
NOTICE [2024-Jan-31 23:14:34.066712] OREAnalytics/orea/app/oreapp.cpp:636 : MarketContext::fxcalibration = collateral_eur
...
NOTICE [2024-Jan-31 23:14:34.066712] OREAnalytics/orea/app/oreapp.cpp:914 : Loading simulation config from fileInput/simulation.xml
DEBUG [2024-Jan-31 23:14:34.066712] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:699 : ScenarioSimMarketParameters::fromXML()
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:706 : Loading Currencies
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:710 : Loading BenchmarkCurve
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:723 : Loading YieldCurves
DEBUG [2024-Jan-31 23:14:34.082325] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse Y
WARNING [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:744 : ScenarioSimMarket parameter Extrapolation should be FlatFwd or FlatZero, mapping deprecated boolean 'Y' to FlatFwd. Please change this in your configuration.
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:761 : Loading Libor indices
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:764 : Loading swap indices
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:775 : Loading FX Rates
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:804 : Loading SwaptionVolatilities
ALERT [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:816 : ScenarioSimMarketParameters: SwaptionVolatilities/Currencies is deprecated, use Keys instead.
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:922 : Loading YieldVolatilities
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:941 : Loading Correlations
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:970 : Loading CapFloorVolatilities
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1076 : Loading YYCapFloorVolatilities
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1138 : Loading CPICapFloorVolatilities
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1201 : Loading DefaultCurves Rates
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1229 : Loading Equities Rates
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1242 : Loading CDSVolatilities Rates
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1270 : Loading FXVolatilities
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1339 : Loading EquityVolatilities
DEBUG [2024-Jan-31 23:14:34.082325] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1405 : Loading CpiInflationIndexCurves
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1408 : Loading ZeroInflationIndexCurves
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1415 : Loading YYInflationIndexCurves
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1423 : Loading AggregationScenarioDataIndices
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1428 : Loading AggregationScenarioDataCurrencies
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1434 : Loading Securities
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1444 : Loading CPRs
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1451 : Loading BaseCorrelations
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1461 : Loading commodities data
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1503 : Loading commodity volatility data
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1533 : Loading credit states data
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1540 : Loading AggregationScenarioDataCreditStates
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1547 : Loading AggregationScenarioDataSurvivalWeights
DEBUG [2024-Jan-31 23:14:34.097963] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1551 : Loaded ScenarioSimMarketParameters
WARNING [2024-Jan-31 23:14:34.097963] OREData/ored/model/crossassetmodeldata.cpp:274 : Simulation/Parameters/Discretization is deprecated, use Simulation/CrossAssetModel/Discretization instead.
NOTICE [2024-Jan-31 23:14:34.097963] OREData/ored/model/crossassetmodeldata.cpp:288 : CrossAssetModelData: domesticCcy EUR
NOTICE [2024-Jan-31 23:14:34.097963] OREData/ored/model/crossassetmodeldata.cpp:292 : CrossAssetModelData: ccy EUR
...
NOTICE [2024-Jan-31 23:14:34.113587] OREData/ored/model/crossassetmodeldata.cpp:316 : CrossAssetModelData: bootstrap tolerance = 0.0001
NOTICE [2024-Jan-31 23:14:34.113587] OREData/ored/model/crossassetmodeldata.cpp:319 : CrossAssetModelData: measure = ''
WARNING [2024-Jan-31 23:14:34.113587] OREData/ored/model/irlgmdata.cpp:33 : IrLgmData: attribute ccy is deprecated, use key instead.
NOTICE [2024-Jan-31 23:14:34.113587] OREData/ored/model/irlgmdata.cpp:36 : LGM with attribute (key) = default
NOTICE [2024-Jan-31 23:14:34.113587] OREData/ored/model/irlgmdata.cpp:54 : LGM calibration swaption 1Y x 19Y ATM
...
NOTICE [2024-Jan-31 23:14:34.113587] OREData/ored/model/lgmdata.cpp:126 : LGM Volatility calibrate = 1
NOTICE [2024-Jan-31 23:14:34.113587] OREData/ored/model/lgmdata.cpp:130 : LGM Volatility type = Hagan
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/lgmdata.cpp:134 : LGM Volatility param type = Piecewise
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/lgmdata.cpp:137 : LGM Volatility time grid size = 7
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/lgmdata.cpp:140 : LGM Volatility initial values size = 8
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/lgmdata.cpp:147 : LGM Reversion calibrate = 0
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/lgmdata.cpp:151 : LGM Reversion type = HullWhite
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/lgmdata.cpp:155 : LGM Reversion parameter type = Constant
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/lgmdata.cpp:158 : LGM Reversion time grid size = 0
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/lgmdata.cpp:161 : LGM Reversion initial values size = 1
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/lgmdata.cpp:167 : LGM shift horizon = 0
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/lgmdata.cpp:170 : LGM scaling = 1
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/irmodeldata.cpp:113 : LGM with calibrationType_ = default
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/lgmdata.cpp:178 : LgmData done
NOTICE [2024-Jan-31 23:14:34.129207] OREData/ored/model/crossassetmodeldata.cpp:340 : LGM calibration swaption 1Y x 19Y ATM
...
NOTICE [2024-Jan-31 23:14:34.144834] OREData/ored/model/crossassetmodeldata.cpp:345 : CrossAssetModelData: IR config built for key default
WARNING [2024-Jan-31 23:14:34.144834] OREData/ored/model/irlgmdata.cpp:33 : IrLgmData: attribute ccy is deprecated, use key instead.
NOTICE [2024-Jan-31 23:14:34.144834] OREData/ored/model/irlgmdata.cpp:36 : LGM with attribute (key) = EUR
NOTICE [2024-Jan-31 23:14:34.144834] OREData/ored/model/irlgmdata.cpp:54 : LGM calibration swaption 1Y x 19Y ATM
...
NOTICE [2024-Jan-31 23:14:34.144834] OREData/ored/model/lgmdata.cpp:126 : LGM Volatility calibrate = 1
NOTICE [2024-Jan-31 23:14:34.144834] OREData/ored/model/lgmdata.cpp:130 : LGM Volatility type = Hagan
NOTICE [2024-Jan-31 23:14:34.144834] OREData/ored/model/lgmdata.cpp:134 : LGM Volatility param type = Piecewise
NOTICE [2024-Jan-31 23:14:34.144834] OREData/ored/model/lgmdata.cpp:137 : LGM Volatility time grid size = 7
NOTICE [2024-Jan-31 23:14:34.144834] OREData/ored/model/lgmdata.cpp:140 : LGM Volatility initial values size = 8
NOTICE [2024-Jan-31 23:14:34.144834] OREData/ored/model/lgmdata.cpp:147 : LGM Reversion calibrate = 0
NOTICE [2024-Jan-31 23:14:34.144834] OREData/ored/model/lgmdata.cpp:151 : LGM Reversion type = HullWhite
NOTICE [2024-Jan-31 23:14:34.160458] OREData/ored/model/lgmdata.cpp:155 : LGM Reversion parameter type = Constant
NOTICE [2024-Jan-31 23:14:34.160458] OREData/ored/model/lgmdata.cpp:158 : LGM Reversion time grid size = 0
NOTICE [2024-Jan-31 23:14:34.160458] OREData/ored/model/lgmdata.cpp:161 : LGM Reversion initial values size = 1
NOTICE [2024-Jan-31 23:14:34.160458] OREData/ored/model/lgmdata.cpp:167 : LGM shift horizon = 0
NOTICE [2024-Jan-31 23:14:34.160458] OREData/ored/model/lgmdata.cpp:170 : LGM scaling = 1
NOTICE [2024-Jan-31 23:14:34.160458] OREData/ored/model/irmodeldata.cpp:113 : LGM with calibrationType_ = EUR
NOTICE [2024-Jan-31 23:14:34.160458] OREData/ored/model/lgmdata.cpp:178 : LgmData done
NOTICE [2024-Jan-31 23:14:34.160458] OREData/ored/model/crossassetmodeldata.cpp:340 : LGM calibration swaption 1Y x 19Y ATM
...
NOTICE [2024-Jan-31 23:14:34.160458] OREData/ored/model/crossassetmodeldata.cpp:345 : CrossAssetModelData: IR config built for key EUR
WARNING [2024-Jan-31 23:14:34.160458] OREData/ored/model/irlgmdata.cpp:33 : IrLgmData: attribute ccy is deprecated, use key instead.
NOTICE [2024-Jan-31 23:14:34.160458] OREData/ored/model/irlgmdata.cpp:36 : LGM with attribute (key) = CHF
NOTICE [2024-Jan-31 23:14:34.160458] OREData/ored/model/irlgmdata.cpp:54 : LGM calibration swaption 1Y x 19Y ATM
...
NOTICE [2024-Jan-31 23:14:34.176070] OREData/ored/model/lgmdata.cpp:126 : LGM Volatility calibrate = 1
NOTICE [2024-Jan-31 23:14:34.176070] OREData/ored/model/lgmdata.cpp:130 : LGM Volatility type = Hagan
NOTICE [2024-Jan-31 23:14:34.176070] OREData/ored/model/lgmdata.cpp:134 : LGM Volatility param type = Piecewise
NOTICE [2024-Jan-31 23:14:34.176070] OREData/ored/model/lgmdata.cpp:137 : LGM Volatility time grid size = 7
NOTICE [2024-Jan-31 23:14:34.176070] OREData/ored/model/lgmdata.cpp:140 : LGM Volatility initial values size = 8
NOTICE [2024-Jan-31 23:14:34.176070] OREData/ored/model/lgmdata.cpp:147 : LGM Reversion calibrate = 0
NOTICE [2024-Jan-31 23:14:34.176070] OREData/ored/model/lgmdata.cpp:151 : LGM Reversion type = HullWhite
NOTICE [2024-Jan-31 23:14:34.176070] OREData/ored/model/lgmdata.cpp:155 : LGM Reversion parameter type = Constant
NOTICE [2024-Jan-31 23:14:34.176070] OREData/ored/model/lgmdata.cpp:158 : LGM Reversion time grid size = 0
NOTICE [2024-Jan-31 23:14:34.176070] OREData/ored/model/lgmdata.cpp:161 : LGM Reversion initial values size = 1
NOTICE [2024-Jan-31 23:14:34.176070] OREData/ored/model/lgmdata.cpp:167 : LGM shift horizon = 0
NOTICE [2024-Jan-31 23:14:34.176070] OREData/ored/model/lgmdata.cpp:170 : LGM scaling = 1
NOTICE [2024-Jan-31 23:14:34.191706] OREData/ored/model/irmodeldata.cpp:113 : LGM with calibrationType_ = CHF
NOTICE [2024-Jan-31 23:14:34.191706] OREData/ored/model/lgmdata.cpp:178 : LgmData done
NOTICE [2024-Jan-31 23:14:34.191706] OREData/ored/model/crossassetmodeldata.cpp:340 : LGM calibration swaption 1Y x 19Y ATM
...
NOTICE [2024-Jan-31 23:14:34.191706] OREData/ored/model/crossassetmodeldata.cpp:345 : CrossAssetModelData: IR config built for key CHF
DEBUG [2024-Jan-31 23:14:34.191706] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF) failed: Two or three tokens required in CHF: CCY-INDEX or CCY-INDEX-TERM
...
NOTICE [2024-Jan-31 23:14:34.191706] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy EUR EUR
...
NOTICE [2024-Jan-31 23:14:34.207330] OREData/ored/model/crossassetmodeldata.cpp:593 : IR configuration missing for currency USD, using default
...
NOTICE [2024-Jan-31 23:14:34.207330] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy USD USD
...
NOTICE [2024-Jan-31 23:14:34.207330] OREData/ored/model/crossassetmodeldata.cpp:593 : IR configuration missing for currency GBP, using default
...
NOTICE [2024-Jan-31 23:14:34.207330] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy GBP GBP
...
NOTICE [2024-Jan-31 23:14:34.207330] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy CHF CHF
...
NOTICE [2024-Jan-31 23:14:34.207330] OREData/ored/model/crossassetmodeldata.cpp:593 : IR configuration missing for currency JPY, using default
...
NOTICE [2024-Jan-31 23:14:34.207330] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy JPY JPY
...
NOTICE [2024-Jan-31 23:14:34.222954] OREData/ored/model/crossassetmodeldata.cpp:375 : CrossAssetModelData: IR config currency 0 = EUR
...
NOTICE [2024-Jan-31 23:14:34.222954] OREData/ored/model/fxbsdata.cpp:41 : CC-LGM foreignCcy = default
NOTICE [2024-Jan-31 23:14:34.222954] OREData/ored/model/fxbsdata.cpp:44 : CC-LGM domesticCcy = EUR
NOTICE [2024-Jan-31 23:14:34.222954] OREData/ored/model/fxbsdata.cpp:48 : CC-LGM calibration type = Bootstrap
NOTICE [2024-Jan-31 23:14:34.222954] OREData/ored/model/fxbsdata.cpp:52 : CC-LGM Sigma calibrate = 1
NOTICE [2024-Jan-31 23:14:34.222954] OREData/ored/model/fxbsdata.cpp:56 : CC-LGM Sigma parameter type = Piecewise
NOTICE [2024-Jan-31 23:14:34.222954] OREData/ored/model/fxbsdata.cpp:59 : CC-LGM Sigma time grid size = 7
NOTICE [2024-Jan-31 23:14:34.222954] OREData/ored/model/fxbsdata.cpp:62 : CC-LGM Sigma initial values size = 8
NOTICE [2024-Jan-31 23:14:34.222954] OREData/ored/model/crossassetmodeldata.cpp:389 : CC-LGM calibration option 1Y ATMF
...
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/crossassetmodeldata.cpp:394 : CrossAssetModelData: FX config built with key (foreign ccy) default
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:41 : CC-LGM foreignCcy = USD
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:44 : CC-LGM domesticCcy = EUR
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:48 : CC-LGM calibration type = Bootstrap
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:52 : CC-LGM Sigma calibrate = 1
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:56 : CC-LGM Sigma parameter type = Piecewise
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:59 : CC-LGM Sigma time grid size = 7
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:62 : CC-LGM Sigma initial values size = 8
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/crossassetmodeldata.cpp:389 : CC-LGM calibration option 1Y ATMF
...
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/crossassetmodeldata.cpp:394 : CrossAssetModelData: FX config built with key (foreign ccy) USD
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:41 : CC-LGM foreignCcy = GBP
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:44 : CC-LGM domesticCcy = EUR
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:48 : CC-LGM calibration type = Bootstrap
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:52 : CC-LGM Sigma calibrate = 1
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:56 : CC-LGM Sigma parameter type = Piecewise
NOTICE [2024-Jan-31 23:14:34.238578] OREData/ored/model/fxbsdata.cpp:59 : CC-LGM Sigma time grid size = 7
NOTICE [2024-Jan-31 23:14:34.254202] OREData/ored/model/fxbsdata.cpp:62 : CC-LGM Sigma initial values size = 8
NOTICE [2024-Jan-31 23:14:34.254202] OREData/ored/model/crossassetmodeldata.cpp:389 : CC-LGM calibration option 1Y ATMF
...
NOTICE [2024-Jan-31 23:14:34.254202] OREData/ored/model/crossassetmodeldata.cpp:394 : CrossAssetModelData: FX config built with key (foreign ccy) GBP
NOTICE [2024-Jan-31 23:14:34.254202] OREData/ored/model/crossassetmodeldata.cpp:646 : CrossAssetModelData: FX config added for foreign ccy USD
...
NOTICE [2024-Jan-31 23:14:34.254202] OREData/ored/model/crossassetmodeldata.cpp:634 : FX configuration missing for foreign currency CHF, using default
...
NOTICE [2024-Jan-31 23:14:34.254202] OREData/ored/model/crossassetmodeldata.cpp:403 : CrossAssetModelData: FX config currency 0 = USD
...
NOTICE [2024-Jan-31 23:14:34.254202] OREData/ored/model/crossassetmodeldata.cpp:426 : No Equity Models section found
NOTICE [2024-Jan-31 23:14:34.254202] OREData/ored/model/crossassetmodeldata.cpp:470 : No InflationIndexModels node found so no inflation models configured.
NOTICE [2024-Jan-31 23:14:34.254202] OREData/ored/model/crossassetmodeldata.cpp:513 : No CR model section found
NOTICE [2024-Jan-31 23:14:34.254202] OREData/ored/model/crossassetmodeldata.cpp:544 : No Commodity Models section found
NOTICE [2024-Jan-31 23:14:34.254202] OREData/ored/model/crossassetmodeldata.cpp:561 : No credit states section found
NOTICE [2024-Jan-31 23:14:34.269825] OREData/ored/model/crossassetmodeldata.cpp:565 : CrossAssetModelData: adding correlations.
NOTICE [2024-Jan-31 23:14:34.269825] OREData/ored/model/crossassetmodeldata.cpp:74 : CrossAssetModelData: adding correlations.
DEBUG [2024-Jan-31 23:14:34.269825] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,USD,0}) = 0.3.
...
DEBUG [2024-Jan-31 23:14:34.269825] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD) failed: Two or three tokens required in USD: CCY-INDEX or CCY-INDEX-TERM
...
NOTICE [2024-Jan-31 23:14:34.269825] OREData/ored/model/crossassetmodeldata.cpp:571 : CrossAssetModelData loading from XML done
DEBUG [2024-Jan-31 23:14:34.269825] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 241
DEBUG [2024-Jan-31 23:14:34.285446] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:1M, Date:2016-03-07, Valuation:1, CloseOut:0
...
NOTICE [2024-Jan-31 23:14:34.457302] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:80 : ScenarioGeneratorData grid points size = 241
NOTICE [2024-Jan-31 23:14:34.457302] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:84 : ScenarioGeneratorData sequence type = SobolBrownianBridge
NOTICE [2024-Jan-31 23:14:34.457302] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:87 : ScenarioGeneratorData seed = 42
NOTICE [2024-Jan-31 23:14:34.472933] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:90 : ScenarioGeneratorData samples = 1000
NOTICE [2024-Jan-31 23:14:34.472933] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:145 : ScenarioGeneratorData done.
DEBUG [2024-Jan-31 23:14:34.472933] OREAnalytics/orea/app/oreapp.cpp:921 : grid size=241, dates=241, valuationDates=241, closeOutDates=0
NOTICE [2024-Jan-31 23:14:34.472933] OREAnalytics/orea/app/oreapp.cpp:929 : Load simulation pricing engine data from file: Input/../../Input/pricingengine.xml
DEBUG [2024-Jan-31 23:14:34.472933] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:14:34.472933] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:14:34.472933] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
...
DEBUG [2024-Jan-31 23:14:34.472933] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:14:34.472933] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:14:34.472933] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
...
DEBUG [2024-Jan-31 23:14:34.488562] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
...
DEBUG [2024-Jan-31 23:14:34.488562] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:14:34.488562] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
...
DEBUG [2024-Jan-31 23:14:34.488562] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:14:34.488562] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
...
DEBUG [2024-Jan-31 23:14:34.504185] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
...
DEBUG [2024-Jan-31 23:14:34.504185] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:14:34.504185] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:14:34.504185] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
...
DEBUG [2024-Jan-31 23:14:34.519809] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=IndexCreditDefaultSwap paramName=Curve paramValue=Underlying
...
DEBUG [2024-Jan-31 23:14:34.519809] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=SyntheticCDO paramName=correlation paramValue=0.0
...
DEBUG [2024-Jan-31 23:14:34.519809] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=SyntheticCDO engine=Bucketing
DEBUG [2024-Jan-31 23:14:34.519809] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=SyntheticCDO paramName=buckets paramValue=124
...
DEBUG [2024-Jan-31 23:14:34.519809] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS model=LinearTSR
...
DEBUG [2024-Jan-31 23:14:34.535432] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:14:34.535432] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:14:34.535432] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:14:34.535432] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:14:34.551059] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
...
DEBUG [2024-Jan-31 23:14:34.551059] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:14:34.551059] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
...
DEBUG [2024-Jan-31 23:14:34.551059] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BondOption paramName=TimestepPeriod paramValue=6M
...
WARNING [2024-Jan-31 23:14:34.551059] OREAnalytics/orea/app/oreapp.cpp:941 : AMC pricing engine data not found, using standard pricing engines
NOTICE [2024-Jan-31 23:14:34.551059] OREAnalytics/orea/app/oreapp.cpp:1013 : Loading netting and csa data from fileInput/netting.xml
NOTICE [2024-Jan-31 23:14:34.566667] OREData/ored/portfolio/nettingsetdefinition.cpp:270 : NettingSetId='CPTY_A': Validating netting set definition
DEBUG [2024-Jan-31 23:14:34.566667] OREData/ored/portfolio/nettingsetdefinition.cpp:111 : NettingSetId='CPTY_A': NettingSetDefinition built from XML...
...
NOTICE [2024-Jan-31 23:14:34.566667] OREData/ored/portfolio/nettingsetdefinition.cpp:277 : NettingSetId='CPTY_B': Validating netting set definition's CSA details
...
NOTICE [2024-Jan-31 23:14:34.566667] OREAnalytics/orea/app/oreapp.cpp:1398 : buildInputParameters done
NOTICE [2024-Jan-31 23:14:34.566667] OREAnalytics/orea/app/inputparameters.cpp:463 : OutputFileNameMap called
NOTICE [2024-Jan-31 23:14:34.566667] OREAnalytics/orea/app/inputparameters.cpp:527 : OutputFileNameMap complete
NOTICE [2024-Jan-31 23:14:34.566667] OREAnalytics/orea/app/oreapp.cpp:221 : ORE analytics starting
WARNING [2024-Jan-31 23:14:34.566667] OREAnalytics/orea/app/oreapp.cpp:222 : 8921088|8916992
DEBUG [2024-Jan-31 23:14:34.566667] OREData/ored/marketdata/market.cpp:98 : Building default PseudoCurrencyMarketParameters
DEBUG [2024-Jan-31 23:14:34.566667] OREData/ored/marketdata/market.cpp:100 : PseudoCurrencyMarketParameters { TreatAsFX:True, BaseCurrency:}
...
WARNING [2024-Jan-31 23:14:34.582301] OREAnalytics/orea/app/oreapp.cpp:210 : dividend data file not found
NOTICE [2024-Jan-31 23:14:34.582301] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/market_20160205.txt
DATA [2024-Jan-31 23:14:34.597914] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum BMA_SWAP/RATIO/USD/3M/3M
...
WARNING [2024-Jan-31 23:14:34.801167] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum FRA/RATE/EUR/1M/6M - this is already present.
...
DATA [2024-Jan-31 23:14:34.801167] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum IR_SWAP/RATE/EUR/2D/6M/2Y
...
WARNING [2024-Jan-31 23:14:35.379239] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum FX_OPTION/RATE_LNVOL/EUR/USD/2M/25RR - this is already present.
...
DATA [2024-Jan-31 23:14:35.410500] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum SWAPTION/RATE_LNVOL/CHF/25Y/10Y/ATM
...
WARNING [2024-Jan-31 23:14:38.801352] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/1Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:14:38.832600] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/2Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:14:38.863846] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/3Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:14:38.879469] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/4Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:14:38.910734] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/5Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:14:38.941981] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/6Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:14:38.973228] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/7Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:14:38.988852] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/8Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:14:39.020100] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/9Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:14:39.051348] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/10Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:14:39.082584] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/15Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:14:39.098207] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/20Y/3M/0/0/0.015 - this is already present.
...
WARNING [2024-Jan-31 23:14:40.082626] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum RECOVERY_RATE/RATE/BANK/SR/USD - this is already present.
...
DATA [2024-Jan-31 23:14:40.098253] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum RECOVERY_RATE/RATE/CPTY_A/SR/EUR
...
WARNING [2024-Jan-31 23:14:40.113876] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum BOND/YIELD_SPREAD/SECURITY_1 - this is already present.
...
NOTICE [2024-Jan-31 23:14:40.160746] OREData/ored/marketdata/csvloader.cpp:166 : CSVLoader completed processing Input/../../Input/market_20160205.txt
NOTICE [2024-Jan-31 23:14:40.160746] OREData/ored/marketdata/csvloader.cpp:78 : CSVLoader loaded 7968 market data points for February 5th, 2016
NOTICE [2024-Jan-31 23:14:40.160746] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/fixings_20160205.txt
...
NOTICE [2024-Jan-31 23:14:40.192010] OREData/ored/marketdata/csvloader.cpp:83 : CSVLoader loaded 5452 fixings
NOTICE [2024-Jan-31 23:14:40.192010] OREData/ored/marketdata/csvloader.cpp:88 : CSVLoader loaded 0 dividends
NOTICE [2024-Jan-31 23:14:40.192010] OREData/ored/marketdata/csvloader.cpp:90 : CSVLoader complete.
NOTICE [2024-Jan-31 23:14:40.192010] OREAnalytics/orea/app/analyticsmanager.cpp:77 : register analytic with label 'MARKETDATA' and sub-analytics MARKETDATA
...
NOTICE [2024-Jan-31 23:14:40.207634] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:48 : XvaAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:14:40.207634] OREAnalytics/orea/app/analytics/scenariostatisticsanalytic.cpp:42 : ScenarioStatisticsAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:14:40.207634] 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 23:14:40.207634] OREAnalytics/orea/app/oreapp.cpp:242 : Requested analytics: CASHFLOW,EXPOSURE,NPV,XVA
NOTICE [2024-Jan-31 23:14:40.207634] OREAnalytics/orea/app/analyticsmanager.cpp:142 : AnalyticsManager::runAnalytics: requireMarketData Y
NOTICE [2024-Jan-31 23:14:40.207634] OREAnalytics/orea/app/analyticsmanager.cpp:147 : AnalyticsManager::runAnalytics: populate loader
NOTICE [2024-Jan-31 23:14:40.207634] OREAnalytics/orea/app/marketdatacsvloader.cpp:78 : MarketDataCsvLoader::retrieveFixings called: all fixings ? Y
NOTICE [2024-Jan-31 23:14:40.207634] OREAnalytics/orea/app/marketdataloader.cpp:264 : Adding the loaded fixings to the IndexManager
DATA [2024-Jan-31 23:14:40.207634] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:14:40.223259] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
...
WARNING [2024-Jan-31 23:14:40.223259] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:14:40.223259] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
WARNING [2024-Jan-31 23:14:40.223259] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:14:40.223259] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
WARNING [2024-Jan-31 23:14:40.238882] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:14:40.238882] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
WARNING [2024-Jan-31 23:14:40.441992] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:14:40.441992] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
WARNING [2024-Jan-31 23:14:40.645088] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:14:40.645088] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
WARNING [2024-Jan-31 23:14:40.848331] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:14:40.848331] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
...
WARNING [2024-Jan-31 23:14:41.051443] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:14:41.051443] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
WARNING [2024-Jan-31 23:14:41.238930] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:14:41.238930] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
WARNING [2024-Jan-31 23:14:41.442042] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:14:41.442042] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DATA [2024-Jan-31 23:14:41.457650] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
WARNING [2024-Jan-31 23:14:41.457650] 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 23:14:41.645153] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:14:41.848378] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:14:42.035865] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:14:42.238976] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
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DATA [2024-Jan-31 23:14:42.426451] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
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DATA [2024-Jan-31 23:14:42.629575] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
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DATA [2024-Jan-31 23:14:42.832800] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
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DATA [2024-Jan-31 23:14:43.020286] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:14:43.223385] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
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DATA [2024-Jan-31 23:14:43.426494] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
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DATA [2024-Jan-31 23:14:43.426494] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
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DATA [2024-Jan-31 23:14:43.442134] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
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DATA [2024-Jan-31 23:14:43.645244] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
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DATA [2024-Jan-31 23:14:43.832849] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
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DATA [2024-Jan-31 23:14:44.035948] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:14:44.239071] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
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DATA [2024-Jan-31 23:14:44.426559] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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NOTICE [2024-Jan-31 23:14:44.442179] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 4.229020 seconds
NOTICE [2024-Jan-31 23:14:44.442179] OREAnalytics/orea/app/marketdataloader.cpp:268 : Generating market datum set
DEBUG [2024-Jan-31 23:14:44.442179] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
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WARNING [2024-Jan-31 23:14:44.739145] OREData/ored/configuration/capfloorvolcurveconfig.cpp:142 : CapFloorVolatilityCurveConfig (EUR_CF_N): The IborIndex node is deprecated, use Index instead.
DATA [2024-Jan-31 23:14:44.739145] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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WARNING [2024-Jan-31 23:14:44.754783] 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 23:14:44.754783] OREData/ored/configuration/inflationcapfloorvolcurveconfig.cpp:179 : ZC Inflation Cap/Floor Strike 0 = -0.02
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DEBUG [2024-Jan-31 23:14:44.770392] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
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NOTICE [2024-Jan-31 23:14:48.844204] OREAnalytics/orea/app/marketdataloader.cpp:286 : CurveConfigs require 2489 quotes
DATA [2024-Jan-31 23:14:48.844755] OREData/ored/marketdata/inmemoryloader.cpp:113 : Added MarketDatum BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/10Y
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NOTICE [2024-Jan-31 23:14:55.398208] OREAnalytics/orea/app/marketdataloader.cpp:293 : Got market data
NOTICE [2024-Jan-31 23:14:55.398208] OREAnalytics/orea/app/reportwriter.cpp:1324 : Writing MarketData report
NOTICE [2024-Jan-31 23:14:55.398208] OREAnalytics/orea/app/reportwriter.cpp:1363 : MarketData report written
NOTICE [2024-Jan-31 23:14:55.398208] OREAnalytics/orea/app/reportwriter.cpp:1368 : Writing Fixings report
NOTICE [2024-Jan-31 23:14:55.398208] OREAnalytics/orea/app/reportwriter.cpp:1377 : Fixings report written
NOTICE [2024-Jan-31 23:14:55.398208] OREAnalytics/orea/app/reportwriter.cpp:1382 : Writing Dividends report
NOTICE [2024-Jan-31 23:14:55.398208] OREAnalytics/orea/app/reportwriter.cpp:1394 : Dividends report written
NOTICE [2024-Jan-31 23:14:55.413834] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'PRICING'
WARNING [2024-Jan-31 23:14:55.413834] OREAnalytics/orea/app/analytic.cpp:83 : 32739328|32735232
NOTICE [2024-Jan-31 23:14:55.416252] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:14:55.419310] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
DATA [2024-Jan-31 23:14:55.420136] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:14:55.421138] 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 23:14:55.426134] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
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DATA [2024-Jan-31 23:14:55.431752] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
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DATA [2024-Jan-31 23:14:55.445758] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
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DATA [2024-Jan-31 23:14:55.665080] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
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DATA [2024-Jan-31 23:14:55.886417] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
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DATA [2024-Jan-31 23:14:56.099941] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
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DATA [2024-Jan-31 23:14:56.360543] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
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DATA [2024-Jan-31 23:14:56.653376] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:14:56.894693] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
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DATA [2024-Jan-31 23:14:56.900576] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
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DATA [2024-Jan-31 23:14:57.116099] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
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DATA [2024-Jan-31 23:14:57.363674] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
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DATA [2024-Jan-31 23:14:57.788981] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:14:58.100875] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
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DATA [2024-Jan-31 23:14:58.350695] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
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DATA [2024-Jan-31 23:14:58.618851] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
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DATA [2024-Jan-31 23:14:59.153028] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
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DATA [2024-Jan-31 23:14:59.610895] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:14:59.940227] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
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DATA [2024-Jan-31 23:15:00.452081] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
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DATA [2024-Jan-31 23:15:00.467705] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
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DATA [2024-Jan-31 23:15:00.467705] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
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DATA [2024-Jan-31 23:15:00.774374] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
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DATA [2024-Jan-31 23:15:00.993357] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
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DATA [2024-Jan-31 23:15:01.206630] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:15:01.420448] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
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DATA [2024-Jan-31 23:15:01.633542] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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NOTICE [2024-Jan-31 23:15:01.640648] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 6.220238 seconds
NOTICE [2024-Jan-31 23:15:01.641648] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:15:01.642647] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:15:01.643647] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:15:01.645966] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:15:01.646723] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFUSD
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NOTICE [2024-Jan-31 23:15:01.653760] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 10 quotes, 7 currencies.
NOTICE [2024-Jan-31 23:15:01.653760] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
DATA [2024-Jan-31 23:15:01.653760] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:15:01.716258] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
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DEBUG [2024-Jan-31 23:15:01.747506] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-CMS-1Y
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DATA [2024-Jan-31 23:15:01.763128] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DATA [2024-Jan-31 23:15:01.763128] 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 23:15:01.763128] 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 23:15:01.763128] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DATA [2024-Jan-31 23:15:01.763128] 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 23:15:01.763128] 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 23:15:01.763128] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:15:01.763128] 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 23:15:01.763128] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DATA [2024-Jan-31 23:15:01.763128] 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 23:15:01.763128] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #29 SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) to #15 IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M)
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DATA [2024-Jan-31 23:15:01.778752] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:15:01.778752] 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 23:15:01.778752] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DATA [2024-Jan-31 23:15:01.778752] 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 23:15:01.778752] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #33 SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) to #19 IndexCurve(GBP-SONIA,Yield/GBP/GBP1D)
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DATA [2024-Jan-31 23:15:01.778752] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DATA [2024-Jan-31 23:15:01.778752] 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 23:15:01.778752] 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 23:15:01.794376] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:15:01.794376] 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 23:15:01.794376] 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 23:15:01.794376] 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 23:15:01.810016] 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 23:15:01.810016] 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 23:15:01.810016] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
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DATA [2024-Jan-31 23:15:01.810016] 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 23:15:01.810016] 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 23:15:01.825624] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:15:01.825624] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:15:01.825624] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:15:01.888122] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #5 YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) to #1 DiscountCurve(EUR,Yield/EUR/EUR1D)
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DATA [2024-Jan-31 23:15:01.919381] 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 23:15:01.919381] 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 23:15:01.935007] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF1D)
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DATA [2024-Jan-31 23:15:01.935007] 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 23:15:01.950631] 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 23:15:01.950631] 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 23:15:01.950631] 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 23:15:01.950631] 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 23:15:01.950631] 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 23:15:01.966255] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
NOTICE [2024-Jan-31 23:15:01.966255] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
DATA [2024-Jan-31 23:15:01.966255] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:15:02.028738] 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 23:15:02.059986] 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 23:15:02.059986] 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 23:15:02.075609] 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 23:15:02.091232] 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 23:15:02.091232] 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 23:15:02.091232] 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 23:15:02.091232] 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 23:15:02.113292] 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 23:15:02.114352] 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 23:15:02.116353] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:15:02.116353] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
DATA [2024-Jan-31 23:15:02.117353] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:15:02.193690] 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 23:15:02.239280] 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 23:15:02.240278] 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 23:15:02.257427] 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 23:15:02.266422] 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 23:15:02.274261] 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 23:15:02.276260] 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 23:15:02.277259] 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 23:15:02.283153] 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 23:15:02.284152] 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 23:15:02.286151] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:15:02.287840] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:15:02.289053] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:15:02.351360] 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 23:15:02.382605] 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 23:15:02.382605] 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 23:15:02.398229] 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 23:15:02.413853] 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 23:15:02.413853] 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 23:15:02.413853] 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 23:15:02.413853] 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 23:15:02.429478] 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 23:15:02.429478] 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 23:15:02.429478] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
NOTICE [2024-Jan-31 23:15:02.429478] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:15:02.429478] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:15:02.429478] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 6.22e+03 ms 1 6.22e+03 ms
...
NOTICE [2024-Jan-31 23:15:02.429478] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 7013.28 ms
NOTICE [2024-Jan-31 23:15:02.429478] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 7.024004 sec
NOTICE [2024-Jan-31 23:15:02.429478] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 1
NOTICE [2024-Jan-31 23:15:02.429478] OREAnalytics/orea/app/analytic.cpp:209 : Build the portfolio
NOTICE [2024-Jan-31 23:15:02.429478] OREAnalytics/orea/app/analytic.cpp:138 : Analytic::engineFactory() called
NOTICE [2024-Jan-31 23:15:02.445101] OREAnalytics/orea/app/analytic.cpp:148 : MarketContext::pricing = collateral_eur
NOTICE [2024-Jan-31 23:15:02.445101] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:15:02.445101] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 1 for context = 'analytic/PRICING'
DEBUG [2024-Jan-31 23:15:02.445101] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_20
DEBUG [2024-Jan-31 23:15:02.445101] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:15:02.445101] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:15:02.460726] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
DEBUG [2024-Jan-31 23:15:02.460726] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:02.460726] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:02.460726] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:02.476349] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:15:02.476349] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:02.476349] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:15:02.476349] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:02.476349] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EONIA-CONVENTIONS
DATA [2024-Jan-31 23:15:02.476349] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:15:02.476349] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:02.491982] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
DEBUG [2024-Jan-31 23:15:02.507615] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
DEBUG [2024-Jan-31 23:15:02.507615] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:02.507615] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:15:02.507615] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:15:02.507615] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:02.507615] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:15:02.523221] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:02.523221] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EURIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:15:02.523221] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:15:02.523221] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:15:02.523221] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:02.523221] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:02.538861] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:15:02.538861] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:15:02.538861] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:02.554469] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DATA [2024-Jan-31 23:15:02.554469] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:15:02.554469] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:15:02.554469] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:15:02.554469] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:15:02.554469] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:15:02.554469] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:15:02.554469] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:15:02.554469] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:15:02.554469] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:02.554469] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:02.554469] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:02.554469] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:15:02.554469] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Swap_20:
DATA [2024-Jan-31 23:15:02.570092] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:15:02.585716] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 1, size now 1, built 0 failed trades, context is analytic/PRICING
NOTICE [2024-Jan-31 23:15:02.585716] OREAnalytics/orea/app/analytic.cpp:218 : Filter trades that expire before February 5th, 2016
DEBUG [2024-Jan-31 23:15:02.601340] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:72 : requested analytic EXPOSURE not covered by the PricingAnalytic
...
NOTICE [2024-Jan-31 23:15:02.601340] OREAnalytics/orea/app/reportwriter.cpp:154 : Writing cashflow report for February 5th, 2016
DEBUG [2024-Jan-31 23:15:02.601340] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:02.601340] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:02.601340] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:15:02.601340] OREAnalytics/orea/app/reportwriter.cpp:596 : Cashflow report written
NOTICE [2024-Jan-31 23:15:02.601340] OREAnalytics/orea/app/reportwriter.cpp:81 : portfolio valuation
WARNING [2024-Jan-31 23:15:02.616965] OREData/ored/portfolio/swap.cpp:239 : swap engine does not provide current notional: currentNotional not provided, using fallback
...
NOTICE [2024-Jan-31 23:15:02.616965] OREAnalytics/orea/app/reportwriter.cpp:144 : NPV file written
NOTICE [2024-Jan-31 23:15:02.616965] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:107 : Write curves report
DEBUG [2024-Jan-31 23:15:02.616965] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 240
DEBUG [2024-Jan-31 23:15:02.616965] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:1M, Date:2016-03-07, Valuation:1, CloseOut:0
...
NOTICE [2024-Jan-31 23:15:02.806857] OREAnalytics/orea/app/reportwriter.cpp:662 : Write curves...
DEBUG [2024-Jan-31 23:15:02.807856] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - CHF
DEBUG [2024-Jan-31 23:15:02.808856] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'default'
DATA [2024-Jan-31 23:15:02.809855] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:02.810854] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (not yet built)
...
DEBUG [2024-Jan-31 23:15:02.813036] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:02.813036] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF1D
DEBUG [2024-Jan-31 23:15:02.813036] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-TOIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:02.813036] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-TOIS-CONVENTIONS
DATA [2024-Jan-31 23:15:02.813036] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
...
DEBUG [2024-Jan-31 23:15:02.813036] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "CHF-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:02.813036] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:15:02.813036] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF1D built
DEBUG [2024-Jan-31 23:15:02.828663] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:02.828663] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-TOIS) with spec Yield/CHF/CHF1D to configuration default
DATA [2024-Jan-31 23:15:02.828663] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:15:02.828663] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) in configuration default
DEBUG [2024-Jan-31 23:15:02.828663] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:02.828663] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF3M
DEBUG [2024-Jan-31 23:15:02.828663] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:02.828663] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:15:02.828663] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:15:02.828663] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:02.828663] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:02.828663] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:15:02.828663] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:02.844284] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:15:02.859910] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF3M built
DEBUG [2024-Jan-31 23:15:02.859910] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:02.859910] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-3M) with spec Yield/CHF/CHF3M to configuration default
DATA [2024-Jan-31 23:15:02.859910] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:15:02.859910] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) in configuration default
DEBUG [2024-Jan-31 23:15:02.859910] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:02.859910] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR3M
DEBUG [2024-Jan-31 23:15:02.859910] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:02.859910] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:15:02.859910] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:02.859910] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:02.859910] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:15:02.875533] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:02.891157] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:15:02.906782] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR3M built
DEBUG [2024-Jan-31 23:15:02.906782] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:02.906782] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration default
DATA [2024-Jan-31 23:15:02.906782] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:15:02.906782] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration default
DEBUG [2024-Jan-31 23:15:02.906782] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:02.906782] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF-IN-EUR
DEBUG [2024-Jan-31 23:15:02.906782] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-CHF-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:02.906782] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:15:02.906782] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:15:02.906782] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-CHF-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:02.906782] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-CHF-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:15:02.906782] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:02.922404] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 10 instruments
DEBUG [2024-Jan-31 23:15:02.922404] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF-IN-EUR built
DEBUG [2024-Jan-31 23:15:02.922404] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:02.938028] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:15:02.938028] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:15:02.938028] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 4, error: 0
DEBUG [2024-Jan-31 23:15:02.938028] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - EUR
DEBUG [2024-Jan-31 23:15:02.938028] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:02.938028] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:02.938028] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:02.938028] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:02.938028] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:02.938028] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP1D
DEBUG [2024-Jan-31 23:15:02.938028] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "GBP-OIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:02.938028] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-OIS-CONVENTIONS
DATA [2024-Jan-31 23:15:02.938028] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
...
DEBUG [2024-Jan-31 23:15:02.953652] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:15:02.953652] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP1D built
DEBUG [2024-Jan-31 23:15:02.953652] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:02.953652] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-SONIA) with spec Yield/GBP/GBP1D to configuration default
DATA [2024-Jan-31 23:15:02.953652] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:15:02.953652] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) in configuration default
DEBUG [2024-Jan-31 23:15:02.953652] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:02.953652] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP6M
DEBUG [2024-Jan-31 23:15:02.953652] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:15:02.953652] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-DEPOSIT
DEBUG [2024-Jan-31 23:15:02.953652] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:15:02.969278] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:02.969278] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "GBP-6M-FRA"
DEBUG [2024-Jan-31 23:15:02.969278] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-6M-FRA
...
DEBUG [2024-Jan-31 23:15:02.969278] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "GBP-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:02.984899] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 26 instruments
DEBUG [2024-Jan-31 23:15:03.000525] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP6M built
DEBUG [2024-Jan-31 23:15:03.000525] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.000525] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration default
DATA [2024-Jan-31 23:15:03.000525] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DEBUG [2024-Jan-31 23:15:03.000525] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration default
DEBUG [2024-Jan-31 23:15:03.000525] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.000525] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP3M
DEBUG [2024-Jan-31 23:15:03.000525] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:15:03.000525] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:15:03.000525] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:03.000525] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "GBP-LIBOR-3M-6M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.000525] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-LIBOR-3M-6M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:15:03.016164] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 19 instruments
DEBUG [2024-Jan-31 23:15:03.047410] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP3M built
DEBUG [2024-Jan-31 23:15:03.047410] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.047410] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-3M) with spec Yield/GBP/GBP3M to configuration default
DATA [2024-Jan-31 23:15:03.047410] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
DEBUG [2024-Jan-31 23:15:03.047410] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) in configuration default
DEBUG [2024-Jan-31 23:15:03.047410] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.047410] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP-IN-EUR
DEBUG [2024-Jan-31 23:15:03.047410] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-GBP-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.047410] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:15:03.047410] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:15:03.047410] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-GBP-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.047410] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-GBP-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:15:03.047410] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:03.063019] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:15:03.078644] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP-IN-EUR built
DEBUG [2024-Jan-31 23:15:03.078644] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.078644] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:15:03.078644] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:15:03.078644] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 4, error: 0
DEBUG [2024-Jan-31 23:15:03.078644] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - JPY
DEBUG [2024-Jan-31 23:15:03.094268] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.094268] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.094268] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (not yet built)
...
DEBUG [2024-Jan-31 23:15:03.094268] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.094268] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY1D
DEBUG [2024-Jan-31 23:15:03.094268] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "JPY-OIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.094268] OREData/ored/configuration/conventions.cpp:2587 : Building Convention JPY-OIS-CONVENTIONS
DATA [2024-Jan-31 23:15:03.094268] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
...
DEBUG [2024-Jan-31 23:15:03.094268] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:15:03.094268] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY1D built
DEBUG [2024-Jan-31 23:15:03.094268] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.094268] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-TONAR) with spec Yield/JPY/JPY1D to configuration default
DATA [2024-Jan-31 23:15:03.109891] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
DEBUG [2024-Jan-31 23:15:03.109891] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) in configuration default
DEBUG [2024-Jan-31 23:15:03.109891] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.109891] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY6M
DEBUG [2024-Jan-31 23:15:03.109891] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "JPY-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.109891] OREData/ored/configuration/conventions.cpp:2587 : Building Convention JPY-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:15:03.109891] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY-LIBOR) failed: parseIborIndex "JPY-LIBOR" not recognized
DATA [2024-Jan-31 23:15:03.109891] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:03.109891] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "JPY-LIBOR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:03.125515] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 18 instruments
DEBUG [2024-Jan-31 23:15:03.125515] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY6M built
DEBUG [2024-Jan-31 23:15:03.125515] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.141139] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY6M to configuration default
DEBUG [2024-Jan-31 23:15:03.141139] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:15:03.141139] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:15:03.141139] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - USD
DEBUG [2024-Jan-31 23:15:03.141139] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.141139] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.141139] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.141139] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.141139] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD1D
DEBUG [2024-Jan-31 23:15:03.141139] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-FED-FUNDS-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.141139] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-FED-FUNDS-CONVENTIONS
DATA [2024-Jan-31 23:15:03.141139] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:15:03.141139] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:03.156765] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:15:03.156765] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD1D built
DEBUG [2024-Jan-31 23:15:03.156765] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.156765] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration default
DATA [2024-Jan-31 23:15:03.156765] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:15:03.156765] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration default
DEBUG [2024-Jan-31 23:15:03.156765] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.156765] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD3M
DEBUG [2024-Jan-31 23:15:03.156765] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.156765] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:15:03.156765] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:15:03.156765] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:03.172388] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.172388] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:15:03.172388] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:03.188012] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 22 instruments
DEBUG [2024-Jan-31 23:15:03.188012] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD3M built
DEBUG [2024-Jan-31 23:15:03.203638] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.203638] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD3M to configuration default
DATA [2024-Jan-31 23:15:03.203638] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:15:03.203638] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration default
DEBUG [2024-Jan-31 23:15:03.203638] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.203638] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-IN-EUR
DEBUG [2024-Jan-31 23:15:03.203638] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.203638] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:15:03.203638] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:15:03.203638] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.203638] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-USD-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:15:03.203638] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:03.219259] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:15:03.328626] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-IN-EUR built
DEBUG [2024-Jan-31 23:15:03.328626] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.328626] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:15:03.328626] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:15:03.328626] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:15:03.328626] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BANK_EUR_BORROW
DEBUG [2024-Jan-31 23:15:03.328626] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_BORROW) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_BORROW
DEBUG [2024-Jan-31 23:15:03.344250] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-ZERO-CONVENTIONS-TENOR-BASED
DEBUG [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_BORROW built
DEBUG [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_BORROW" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BANK_EUR_BORROW) with spec Yield/EUR/BANK_EUR_BORROW to configuration default
DEBUG [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) in configuration default
DEBUG [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.344250] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_BORROW) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:03.344250] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BANK_EUR_LEND
...
DATA [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.344250] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_LEND
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_LEND built
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_LEND" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BANK_EUR_LEND) with spec Yield/EUR/BANK_EUR_LEND to configuration default
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_LEND,Yield/EUR/BANK_EUR_LEND) in configuration default
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_LEND) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:03.359874] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BENCHMARK_EUR
...
DATA [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BENCHMARK_EUR
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BENCHMARK_EUR built
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BENCHMARK_EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BENCHMARK_EUR) with spec Yield/EUR/BENCHMARK_EUR to configuration default
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BENCHMARK_EUR,Yield/EUR/BENCHMARK_EUR) in configuration default
DEBUG [2024-Jan-31 23:15:03.359874] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.375498] 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 23:15:03.375498] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BENCHMARK_EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:03.375498] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BOND_YIELD_EUR
...
DATA [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #8: YieldCurve(BOND_YIELD_EUR,Yield/EUR/BOND_YIELD_EUR) (not yet built)
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/yieldcurve.cpp:255 : Building ZeroCurve Yield/EUR/BOND_YIELD_EUR
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/yieldcurve.cpp:697 : Insert zero curve point at time zero for Yield/EUR/BOND_YIELD_EUR: date 2016-02-05, zero 0.0300
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/yieldcurve.cpp:725 : Add zero curve point for Yield/EUR/BOND_YIELD_EUR: 2021-02-09 0.0300 / 0.8603
...
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BOND_YIELD_EUR built
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BOND_YIELD_EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BOND_YIELD_EUR) with spec Yield/EUR/BOND_YIELD_EUR to configuration default
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BOND_YIELD_EUR,Yield/EUR/BOND_YIELD_EUR) in configuration default
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BOND_YIELD_EUR) failed: Two or three tokens required in BOND_YIELD_EUR: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BOND_YIELD_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:15:03.375498] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BOND_YIELD_EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:03.391121] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:03.391121] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - CHF-LIBOR-3M
...
DATA [2024-Jan-31 23:15:03.391121] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.391121] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.391121] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.391121] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF6M
DEBUG [2024-Jan-31 23:15:03.391121] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.391121] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:15:03.391121] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:03.406746] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.406746] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:15:03.406746] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:03.422370] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:15:03.422370] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF6M built
DEBUG [2024-Jan-31 23:15:03.422370] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.437995] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-6M) with spec Yield/CHF/CHF6M to configuration default
DATA [2024-Jan-31 23:15:03.437995] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DEBUG [2024-Jan-31 23:15:03.437995] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M) in configuration default
DEBUG [2024-Jan-31 23:15:03.437995] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.437995] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - CHF-TOIS
DEBUG [2024-Jan-31 23:15:03.437995] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:03.437995] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:03.437995] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.437995] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:15:03.437995] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration default
DATA [2024-Jan-31 23:15:03.437995] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:15:03.437995] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:15:03.437995] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.437995] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-EURIBOR-12M
DEBUG [2024-Jan-31 23:15:03.437995] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-12M) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.450506] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.450506] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.458634] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.460559] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR12M
DEBUG [2024-Jan-31 23:15:03.460841] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-DEPOSIT"
DEBUG [2024-Jan-31 23:15:03.461843] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-DEPOSIT
DEBUG [2024-Jan-31 23:15:03.462843] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:15:03.463842] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:03.483232] OREData/ored/marketdata/yieldcurve.cpp:1961 : Adding Segment Tenor Basis Two Swaps with conventions "EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.484231] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:15:03.490257] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:15:03.499246] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR12M built
DEBUG [2024-Jan-31 23:15:03.500246] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR12M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.501245] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-12M) with spec Yield/EUR/EUR12M to configuration default
DATA [2024-Jan-31 23:15:03.502244] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1Y Actual/360' <-> 'EUR-EURIBOR-12M'
DEBUG [2024-Jan-31 23:15:03.502244] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-12M,Yield/EUR/EUR12M) in configuration default
DEBUG [2024-Jan-31 23:15:03.503244] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.504685] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-EURIBOR-1M
DEBUG [2024-Jan-31 23:15:03.506163] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-1M) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.506435] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.507436] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.508434] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.509433] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1M
DEBUG [2024-Jan-31 23:15:03.510433] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-DEPOSIT"
DEBUG [2024-Jan-31 23:15:03.511432] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:15:03.511432] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:03.514229] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-1M-SWAP-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.515230] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-1M-SWAP-CONVENTIONS
...
DEBUG [2024-Jan-31 23:15:03.546239] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:15:03.575138] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1M built
DEBUG [2024-Jan-31 23:15:03.575138] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.576138] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-1M) with spec Yield/EUR/EUR1M to configuration default
DATA [2024-Jan-31 23:15:03.577137] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
DEBUG [2024-Jan-31 23:15:03.578137] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-1M,Yield/EUR/EUR1M) in configuration default
DEBUG [2024-Jan-31 23:15:03.578137] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.579137] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-EURIBOR-3M
DEBUG [2024-Jan-31 23:15:03.580135] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:03.580135] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:03.590826] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.591825] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.592825] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-LIBOR-6M) with spec Yield/JPY/JPY6M to configuration default
DATA [2024-Jan-31 23:15:03.593824] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DEBUG [2024-Jan-31 23:15:03.594824] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-LIBOR-6M,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:15:03.594824] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.595823] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - JPY-TONAR
DEBUG [2024-Jan-31 23:15:03.596837] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(JPY-TONAR) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:03.596837] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:03.603820] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.604572] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.604572] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.604572] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD6M
DEBUG [2024-Jan-31 23:15:03.604572] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.604572] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:15:03.604572] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:03.604572] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.604572] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:15:03.604572] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "USD-LIBOR-3M-6M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.620194] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-3M-6M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:15:03.620194] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 21 instruments
DEBUG [2024-Jan-31 23:15:03.635819] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD6M built
DEBUG [2024-Jan-31 23:15:03.635819] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.635819] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-6M) with spec Yield/USD/USD6M to configuration default
DATA [2024-Jan-31 23:15:03.635819] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
DEBUG [2024-Jan-31 23:15:03.635819] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-6M,Yield/USD/USD6M) in configuration default
DEBUG [2024-Jan-31 23:15:03.635819] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.635819] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - USD-SIFMA
DEBUG [2024-Jan-31 23:15:03.651459] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-SIFMA) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.651459] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.651459] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.651459] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.651459] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USDBMA
DEBUG [2024-Jan-31 23:15:03.651459] OREData/ored/marketdata/yieldcurve.cpp:2044 : Adding Segment BMA Basis Swap with conventions "USD-LIBOR-SIFMA-3M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:03.651459] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-SIFMA-3M-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:15:03.651459] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:03.667067] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 16 instruments
DEBUG [2024-Jan-31 23:15:03.760824] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USDBMA built
DEBUG [2024-Jan-31 23:15:03.760824] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USDBMA" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:03.760824] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-SIFMA) with spec Yield/USD/USDBMA to configuration default
DATA [2024-Jan-31 23:15:03.760824] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
DEBUG [2024-Jan-31 23:15:03.776434] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-SIFMA,Yield/USD/USDBMA) in configuration default
DEBUG [2024-Jan-31 23:15:03.776434] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.776434] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - EUHICP
DEBUG [2024-Jan-31 23:15:03.776434] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(EUHICP) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.776434] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.776434] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.776434] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/EUHICP/EUHICP_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.776434] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUHICP_INFLATIONSWAP
DATA [2024-Jan-31 23:15:03.776434] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
DEBUG [2024-Jan-31 23:15:03.792070] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (EUHICP) with spec Inflation/EUHICP/EUHICP_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:15:03.792070] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(EUHICP,Inflation/EUHICP/EUHICP_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:15:03.792070] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.792070] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - EUHICPXT
DEBUG [2024-Jan-31 23:15:03.792070] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(EUHICPXT) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.792070] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.792070] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.792070] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/EUHICPXT/EUHICPXT_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.792070] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUHICPXT_INFLATIONSWAP
DATA [2024-Jan-31 23:15:03.792070] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
DEBUG [2024-Jan-31 23:15:03.807682] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (EUHICPXT) with spec Inflation/EUHICPXT/EUHICPXT_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:15:03.807682] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(EUHICPXT,Inflation/EUHICPXT/EUHICPXT_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:15:03.807682] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.807682] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - FRHICP
DEBUG [2024-Jan-31 23:15:03.807682] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(FRHICP) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.807682] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.807682] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.807682] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/FRHICP/FRHICP_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.807682] OREData/ored/configuration/conventions.cpp:2587 : Building Convention FRHICP_INFLATIONSWAP
DATA [2024-Jan-31 23:15:03.807682] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DEBUG [2024-Jan-31 23:15:03.823306] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (FRHICP) with spec Inflation/FRHICP/FRHICP_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:15:03.823306] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(FRHICP,Inflation/FRHICP/FRHICP_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:15:03.823306] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.823306] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - UKRPI
DEBUG [2024-Jan-31 23:15:03.823306] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(UKRPI) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.823306] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.823306] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #19: IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.823306] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/UKRPI/UKRPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.823306] OREData/ored/configuration/conventions.cpp:2587 : Building Convention UKRPI_INFLATIONSWAP
DATA [2024-Jan-31 23:15:03.823306] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DEBUG [2024-Jan-31 23:15:03.823306] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (UKRPI) with spec Inflation/UKRPI/UKRPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:15:03.838946] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(UKRPI,Inflation/UKRPI/UKRPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:15:03.838946] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.838946] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - USCPI
DEBUG [2024-Jan-31 23:15:03.838946] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(USCPI) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.838946] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.838946] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.838946] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/USCPI/USCPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.838946] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USCPI_INFLATIONSWAP
DATA [2024-Jan-31 23:15:03.838946] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
...
DEBUG [2024-Jan-31 23:15:03.838946] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (USCPI) with spec Inflation/USCPI/USCPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:15:03.854556] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(USCPI,Inflation/USCPI/USCPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:15:03.854556] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.854556] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - ZACPI
DEBUG [2024-Jan-31 23:15:03.854556] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(ZACPI) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.854556] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.854556] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.854556] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/ZACPI/ZACPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:03.854556] OREData/ored/configuration/conventions.cpp:2587 : Building Convention ZACPI_INFLATIONSWAP
DATA [2024-Jan-31 23:15:03.854556] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'South Africa CPI' <-> 'ZACPI'
...
DEBUG [2024-Jan-31 23:15:03.854556] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (ZACPI) with spec Inflation/ZACPI/ZACPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:15:03.854556] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(ZACPI,Inflation/ZACPI/ZACPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:15:03.854556] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.854556] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - BANK
DEBUG [2024-Jan-31 23:15:03.854556] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BANK) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.870177] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.870177] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:15:03.870177] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:15:03.870177] OREData/ored/marketdata/defaultcurve.cpp:309 : Start building default curve of type SpreadCDS for curve BANK_SR_USD
DEBUG [2024-Jan-31 23:15:03.870177] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CDS-STANDARD-CONVENTIONS
NOTICE [2024-Jan-31 23:15:03.870177] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve BANK_SR_USD
DATA [2024-Jan-31 23:15:03.870177] 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 23:15:03.870177] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve BANK_SR_USD using 7 default quotes of 7 requested quotes.
DATA [2024-Jan-31 23:15:03.885802] OREData/ored/marketdata/defaultcurve.cpp:526 : 2016-12-20,0.985311623
...
DEBUG [2024-Jan-31 23:15:03.885802] OREData/ored/marketdata/defaultcurve.cpp:541 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:15:03.885802] OREData/ored/marketdata/defaultcurve.cpp:548 : Finished building default curve of type SpreadCDS for curve BANK_SR_USD
DEBUG [2024-Jan-31 23:15:03.885802] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (BANK) with spec Default/USD/BANK_SR_USD to configuration default
DEBUG [2024-Jan-31 23:15:03.885802] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(BANK,Default/USD/BANK_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:15:03.885802] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.885802] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - BOND_YIELD_EUR_OVER_OIS
DEBUG [2024-Jan-31 23:15:03.885802] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BOND_YIELD_EUR_OVER_OIS) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.885802] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.885802] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #8: YieldCurve(BOND_YIELD_EUR,Yield/EUR/BOND_YIELD_EUR) (already built)
...
DEBUG [2024-Jan-31 23:15:03.885802] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/defaultcurve.cpp:611 : Start building default curve of type Benchmark for curve BOND_YIELD_EUR_OVER_OIS
NOTICE [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/defaultcurve.cpp:659 : DefaultCurve: set up interpolated surv prob curve as yield over benchmark
DEBUG [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/defaultcurve.cpp:667 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/defaultcurve.cpp:673 : Finished building default curve of type Benchmark for curve BOND_YIELD_EUR_OVER_OIS
DEBUG [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (BOND_YIELD_EUR_OVER_OIS) with spec Default/EUR/BOND_YIELD_EUR_OVER_OIS to configuration default
DEBUG [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(BOND_YIELD_EUR_OVER_OIS,Default/EUR/BOND_YIELD_EUR_OVER_OIS) in configuration default
DEBUG [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.901425] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - CPTY_A
DEBUG [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_A) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #56: DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) (not yet built)
DEBUG [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_A_SR_USD
NOTICE [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_A_SR_USD
DATA [2024-Jan-31 23:15:03.901425] OREData/ored/marketdata/defaultcurve.cpp:80 : Loaded quote HAZARD_RATE/RATE/CPTY_A/SR/USD/0Y for default curve CPTY_A_SR_USD
...
NOTICE [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_A_SR_USD using 11 default quotes of 11 requested quotes.
NOTICE [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_A_SR_USD
DEBUG [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (CPTY_A) with spec Default/USD/CPTY_A_SR_USD to configuration default
DEBUG [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.917050] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - CPTY_B
DEBUG [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_B) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #57: DefaultCurve(CPTY_B,Default/USD/CPTY_A_SR_USD) (not yet built)
DEBUG [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (CPTY_B) with spec Default/USD/CPTY_A_SR_USD to configuration default
DEBUG [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_B,Default/USD/CPTY_A_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:15:03.917050] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:03.917050] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - CPTY_C
DEBUG [2024-Jan-31 23:15:03.932673] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_C) required for configuration 'default'
DATA [2024-Jan-31 23:15:03.932673] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:03.932673] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #58: DefaultCurve(CPTY_C,Default/EUR/CPTY_C_SR_EUR) (not yet built)
DEBUG [2024-Jan-31 23:15:03.932673] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:15:03.932673] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_C_SR_EUR
NOTICE [2024-Jan-31 23:15:03.932673] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_C_SR_EUR
DATA [2024-Jan-31 23:15:03.932673] 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 23:15:03.932673] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_C_SR_EUR using 1 default quotes of 1 requested quotes.
NOTICE [2024-Jan-31 23:15:03.932673] OREData/ored/marketdata/defaultcurve.cpp:576 : DefaultCurve: add asof (February 5th, 2016), hazard rate 0, as not given
NOTICE [2024-Jan-31 23:15:03.932673] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:15:03.932673] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:15:03.932673] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_C_SR_EUR
DEBUG [2024-Jan-31 23:15:03.932673] 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 23:15:03.932673] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_C,Default/EUR/CPTY_C_SR_EUR) in configuration default
DEBUG [2024-Jan-31 23:15:03.932673] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
WARNING [2024-Jan-31 23:15:03.948300] OREAnalytics/orea/app/analytic.cpp:86 : 38309888|38305792
NOTICE [2024-Jan-31 23:15:03.948300] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'PRICING' finished.
DEBUG [2024-Jan-31 23:15:03.948300] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve EUR1D for label as it has already been added
...
NOTICE [2024-Jan-31 23:15:03.963924] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'XVA'
WARNING [2024-Jan-31 23:15:03.963924] OREAnalytics/orea/app/analytic.cpp:83 : 42786816|42782720
NOTICE [2024-Jan-31 23:15:03.963924] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:588 : XVA analytic called with asof 2016-02-05
NOTICE [2024-Jan-31 23:15:03.963924] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:601 : XVA: Build Today's Market
NOTICE [2024-Jan-31 23:15:03.979546] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:15:03.979546] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
DATA [2024-Jan-31 23:15:03.979546] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:15:03.979546] 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 23:15:03.979546] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
DATA [2024-Jan-31 23:15:03.995171] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
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DATA [2024-Jan-31 23:15:03.995171] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
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DATA [2024-Jan-31 23:15:04.215471] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
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DATA [2024-Jan-31 23:15:04.418583] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
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DATA [2024-Jan-31 23:15:04.621693] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
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DATA [2024-Jan-31 23:15:04.824804] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
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DATA [2024-Jan-31 23:15:05.043540] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:15:05.246652] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
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DATA [2024-Jan-31 23:15:05.246652] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
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DATA [2024-Jan-31 23:15:05.465387] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
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DATA [2024-Jan-31 23:15:05.668498] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
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DATA [2024-Jan-31 23:15:05.871782] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:15:06.104287] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
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DATA [2024-Jan-31 23:15:06.303649] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
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DATA [2024-Jan-31 23:15:06.522397] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
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DATA [2024-Jan-31 23:15:06.732607] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
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DATA [2024-Jan-31 23:15:06.935720] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:15:07.162130] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
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DATA [2024-Jan-31 23:15:07.367641] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
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DATA [2024-Jan-31 23:15:07.383265] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
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DATA [2024-Jan-31 23:15:07.383265] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
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DATA [2024-Jan-31 23:15:07.609915] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
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DATA [2024-Jan-31 23:15:07.812941] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
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DATA [2024-Jan-31 23:15:08.016038] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:15:08.219163] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
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DATA [2024-Jan-31 23:15:08.422260] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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NOTICE [2024-Jan-31 23:15:08.437885] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 4.460867 seconds
NOTICE [2024-Jan-31 23:15:08.437885] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:15:08.437885] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:15:08.437885] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:15:08.437885] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:15:08.437885] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFUSD
...
NOTICE [2024-Jan-31 23:15:08.453509] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 10 quotes, 7 currencies.
NOTICE [2024-Jan-31 23:15:08.453509] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
DATA [2024-Jan-31 23:15:08.453509] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:15:08.516003] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) to #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
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DATA [2024-Jan-31 23:15:08.547252] 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 23:15:08.547252] 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 23:15:08.562875] 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 23:15:08.578500] 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 23:15:08.578500] 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 23:15:08.578500] 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 23:15:08.578500] 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 23:15:08.594124] 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 23:15:08.594124] 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 23:15:08.594124] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:15:08.594124] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:15:08.594124] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:15:08.656619] 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 23:15:08.687866] 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 23:15:08.687866] 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 23:15:08.703504] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF1D)
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DATA [2024-Jan-31 23:15:08.719128] 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 23:15:08.719128] 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 23:15:08.719128] 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 23:15:08.734752] 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 23:15:08.734752] 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 23:15:08.734752] 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 23:15:08.734752] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
NOTICE [2024-Jan-31 23:15:08.734752] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
DATA [2024-Jan-31 23:15:08.734752] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:15:08.797235] 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 23:15:08.844104] 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 23:15:08.844104] 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 23:15:08.859910] 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 23:15:08.859910] 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 23:15:08.875534] 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 23:15:08.875534] 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 23:15:08.875534] 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 23:15:08.875534] 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 23:15:08.875534] 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 23:15:08.875534] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:15:08.875534] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
DATA [2024-Jan-31 23:15:08.891158] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:15:08.953670] 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 23:15:08.984917] 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 23:15:08.984917] 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 23:15:09.000541] 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 23:15:09.016165] 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 23:15:09.016165] 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 23:15:09.016165] 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 23:15:09.016165] 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 23:15:09.031789] 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 23:15:09.031789] 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 23:15:09.031789] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:15:09.031789] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:15:09.031789] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:15:09.094271] 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 23:15:09.125517] 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 23:15:09.125517] 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 23:15:09.141141] 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 23:15:09.156767] 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 23:15:09.156767] 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 23:15:09.156767] 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 23:15:09.156767] 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 23:15:09.172404] 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 23:15:09.172404] 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 23:15:09.172404] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
NOTICE [2024-Jan-31 23:15:09.172404] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:15:09.172404] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:15:09.172404] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 4.46e+03 ms 1 4.46e+03 ms
...
NOTICE [2024-Jan-31 23:15:09.172404] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 5195.74 ms
NOTICE [2024-Jan-31 23:15:09.172404] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 5.203373 sec
NOTICE [2024-Jan-31 23:15:09.172404] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:615 : XVA: Build simulation market
NOTICE [2024-Jan-31 23:15:09.188030] OREAnalytics/orea/scenario/scenariosimmarket.cpp:323 : building ScenarioSimMarket...
DEBUG [2024-Jan-31 23:15:09.188030] OREAnalytics/orea/scenario/scenariosimmarket.cpp:325 : AsOf 2016-02-05
DEBUG [2024-Jan-31 23:15:09.188030] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building CHF yield curve..
DEBUG [2024-Jan-31 23:15:09.188030] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.188030] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:15:09.188030] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:09.188030] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (not yet built)
...
DEBUG [2024-Jan-31 23:15:09.188030] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.188030] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF1D
DEBUG [2024-Jan-31 23:15:09.188030] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-TOIS-CONVENTIONS"
DATA [2024-Jan-31 23:15:09.188030] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
...
DEBUG [2024-Jan-31 23:15:09.188030] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "CHF-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.203638] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:15:09.203638] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF1D built
DEBUG [2024-Jan-31 23:15:09.203638] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.203638] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-TOIS) with spec Yield/CHF/CHF1D to configuration default
DATA [2024-Jan-31 23:15:09.203638] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:15:09.203638] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) in configuration default
DEBUG [2024-Jan-31 23:15:09.203638] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.203638] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF3M
DEBUG [2024-Jan-31 23:15:09.203638] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:09.203638] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:15:09.203638] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:09.219264] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:09.219264] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.219264] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:15:09.234902] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF3M built
DEBUG [2024-Jan-31 23:15:09.234902] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.234902] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-3M) with spec Yield/CHF/CHF3M to configuration default
DATA [2024-Jan-31 23:15:09.234902] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:15:09.234902] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) in configuration default
DEBUG [2024-Jan-31 23:15:09.234902] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.234902] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:15:09.234902] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
DATA [2024-Jan-31 23:15:09.234902] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:15:09.234902] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.234902] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
DEBUG [2024-Jan-31 23:15:09.250525] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
DEBUG [2024-Jan-31 23:15:09.250525] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.250525] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:15:09.250525] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:15:09.250525] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.250525] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR3M
DEBUG [2024-Jan-31 23:15:09.250525] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:09.250525] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:15:09.250525] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:09.250525] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-3M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.266133] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.281757] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:15:09.297382] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR3M built
DEBUG [2024-Jan-31 23:15:09.297382] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.297382] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration default
DATA [2024-Jan-31 23:15:09.297382] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:15:09.297382] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration default
DEBUG [2024-Jan-31 23:15:09.297382] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.297382] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF-IN-EUR
DEBUG [2024-Jan-31 23:15:09.297382] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-CHF-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:09.297382] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:15:09.297382] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:15:09.297382] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-CHF-XCCY-BASIS-CONVENTIONS"
DATA [2024-Jan-31 23:15:09.297382] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:09.297382] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 10 instruments
DEBUG [2024-Jan-31 23:15:09.313005] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF-IN-EUR built
DEBUG [2024-Jan-31 23:15:09.313005] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.313005] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:15:09.313005] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:15:09.313005] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 5, error: 0
DEBUG [2024-Jan-31 23:15:09.313005] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve CHF discount[0]=1.00215
...
DEBUG [2024-Jan-31 23:15:09.328629] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building CHF yield curve done
DEBUG [2024-Jan-31 23:15:09.328629] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building EUR yield curve..
DEBUG [2024-Jan-31 23:15:09.328629] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.328629] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:09.328629] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:09.328629] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve EUR discount[0]=1.00057
...
DEBUG [2024-Jan-31 23:15:09.328629] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building EUR yield curve done
DEBUG [2024-Jan-31 23:15:09.344252] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building GBP yield curve..
DEBUG [2024-Jan-31 23:15:09.344252] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.344252] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:09.344252] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:09.344252] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:09.344252] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.344252] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP1D
DEBUG [2024-Jan-31 23:15:09.344252] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "GBP-OIS-CONVENTIONS"
DATA [2024-Jan-31 23:15:09.344252] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:15:09.344252] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:15:09.359878] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP1D built
DEBUG [2024-Jan-31 23:15:09.359878] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.359878] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-SONIA) with spec Yield/GBP/GBP1D to configuration default
DATA [2024-Jan-31 23:15:09.359878] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:15:09.359878] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) in configuration default
DEBUG [2024-Jan-31 23:15:09.359878] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.359878] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP6M
DEBUG [2024-Jan-31 23:15:09.359878] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:15:09.359878] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:15:09.359878] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:09.375502] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "GBP-6M-FRA"
...
DEBUG [2024-Jan-31 23:15:09.375502] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "GBP-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.391125] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 26 instruments
DEBUG [2024-Jan-31 23:15:09.391125] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP6M built
DEBUG [2024-Jan-31 23:15:09.391125] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.391125] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration default
DATA [2024-Jan-31 23:15:09.406751] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DEBUG [2024-Jan-31 23:15:09.406751] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration default
DEBUG [2024-Jan-31 23:15:09.406751] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.406751] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP3M
DEBUG [2024-Jan-31 23:15:09.406751] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:15:09.406751] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:15:09.406751] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:09.406751] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "GBP-LIBOR-3M-6M-BASIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.422377] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 19 instruments
DEBUG [2024-Jan-31 23:15:09.437998] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP3M built
DEBUG [2024-Jan-31 23:15:09.437998] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.437998] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-3M) with spec Yield/GBP/GBP3M to configuration default
DATA [2024-Jan-31 23:15:09.437998] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
DEBUG [2024-Jan-31 23:15:09.437998] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) in configuration default
DEBUG [2024-Jan-31 23:15:09.453625] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.453625] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP-IN-EUR
DEBUG [2024-Jan-31 23:15:09.453625] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-GBP-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:09.453625] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:15:09.453625] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:15:09.453625] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-GBP-XCCY-BASIS-CONVENTIONS"
DATA [2024-Jan-31 23:15:09.453625] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:09.453625] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:15:09.484870] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP-IN-EUR built
DEBUG [2024-Jan-31 23:15:09.484870] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.484870] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:15:09.484870] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:15:09.484870] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 4, error: 0
DEBUG [2024-Jan-31 23:15:09.484870] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve GBP discount[0]=0.998206
...
DEBUG [2024-Jan-31 23:15:09.484870] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building GBP yield curve done
DEBUG [2024-Jan-31 23:15:09.484870] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building JPY yield curve..
DEBUG [2024-Jan-31 23:15:09.500492] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.500492] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:15:09.500492] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:09.500492] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (not yet built)
...
DEBUG [2024-Jan-31 23:15:09.500492] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.500492] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY1D
DEBUG [2024-Jan-31 23:15:09.500492] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "JPY-OIS-CONVENTIONS"
DATA [2024-Jan-31 23:15:09.500492] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
DEBUG [2024-Jan-31 23:15:09.500492] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:15:09.500492] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY1D built
DEBUG [2024-Jan-31 23:15:09.500492] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.500492] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-TONAR) with spec Yield/JPY/JPY1D to configuration default
DATA [2024-Jan-31 23:15:09.500492] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
DEBUG [2024-Jan-31 23:15:09.500492] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) in configuration default
DEBUG [2024-Jan-31 23:15:09.516116] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.516116] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY6M
DEBUG [2024-Jan-31 23:15:09.516116] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "JPY-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:09.516116] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY-LIBOR) failed: parseIborIndex "JPY-LIBOR" not recognized
DATA [2024-Jan-31 23:15:09.516116] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:09.516116] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "JPY-LIBOR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.531740] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 18 instruments
DEBUG [2024-Jan-31 23:15:09.531740] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY6M built
DEBUG [2024-Jan-31 23:15:09.531740] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.531740] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY6M to configuration default
DEBUG [2024-Jan-31 23:15:09.531740] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:15:09.531740] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:15:09.531740] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve JPY discount[0]=0.999982
...
DEBUG [2024-Jan-31 23:15:09.547364] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building JPY yield curve done
DEBUG [2024-Jan-31 23:15:09.547364] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building USD yield curve..
DEBUG [2024-Jan-31 23:15:09.547364] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.547364] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:09.547364] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:09.547364] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:09.547364] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.562987] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD1D
DEBUG [2024-Jan-31 23:15:09.562987] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-FED-FUNDS-CONVENTIONS"
DATA [2024-Jan-31 23:15:09.562987] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:15:09.562987] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.562987] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:15:09.562987] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD1D built
DEBUG [2024-Jan-31 23:15:09.562987] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.562987] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration default
DATA [2024-Jan-31 23:15:09.562987] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:15:09.562987] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration default
DEBUG [2024-Jan-31 23:15:09.562987] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.562987] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD3M
DEBUG [2024-Jan-31 23:15:09.562987] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:09.578612] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:15:09.578612] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:09.578612] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.578612] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.594237] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 22 instruments
DEBUG [2024-Jan-31 23:15:09.609861] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD3M built
DEBUG [2024-Jan-31 23:15:09.609861] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.609861] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD3M to configuration default
DATA [2024-Jan-31 23:15:09.609861] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:15:09.609861] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration default
DEBUG [2024-Jan-31 23:15:09.609861] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.609861] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-IN-EUR
DEBUG [2024-Jan-31 23:15:09.609861] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:09.609861] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:15:09.609861] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:15:09.609861] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS-CONVENTIONS"
DATA [2024-Jan-31 23:15:09.609861] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:09.625494] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:15:09.734852] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-IN-EUR built
DEBUG [2024-Jan-31 23:15:09.734852] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.734852] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:15:09.734852] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:15:09.734852] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:15:09.750481] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve USD discount[0]=0.997912
...
DEBUG [2024-Jan-31 23:15:09.750481] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building USD yield curve done
NOTICE [2024-Jan-31 23:15:09.750481] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built DiscountCurve 5 570 ms
DEBUG [2024-Jan-31 23:15:09.750481] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.750481] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(CHF-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:15:09.750481] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:09.750481] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:15:09.750481] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.750481] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF6M
DEBUG [2024-Jan-31 23:15:09.750481] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:09.766099] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:15:09.766099] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:15:09.766099] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-6M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.781724] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.781724] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF6M built
DEBUG [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-6M) with spec Yield/CHF/CHF6M to configuration default
DATA [2024-Jan-31 23:15:09.797348] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DEBUG [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M) in configuration default
DEBUG [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EONIA)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration default
DATA [2024-Jan-31 23:15:09.797348] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:09.797348] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.812987] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:09.812987] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:09.812987] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:09.812987] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:09.812987] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:09.812987] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:15:09.812987] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:09.812987] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:15:09.812987] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:15:09.812987] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:15:09.812987] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:15:09.828610] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:15:09.828610] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:15:09.844221] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:15:09.844221] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DATA [2024-Jan-31 23:15:09.844221] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:15:09.844221] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:15:09.844221] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:09.844221] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.844221] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(GBP-LIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:09.844221] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:09.844221] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:09.844221] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (already built)
...
DEBUG [2024-Jan-31 23:15:09.844221] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-LIBOR-6M) with spec Yield/JPY/JPY6M to configuration default
DATA [2024-Jan-31 23:15:09.844221] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DEBUG [2024-Jan-31 23:15:09.844221] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-LIBOR-6M,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:15:09.859961] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:09.859961] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.859961] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:09.859961] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:09.859961] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EONIA index curve
...
ALERT [2024-Jan-31 23:15:09.859961] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EONIA)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:09.859961] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:09.859961] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EONIA discount[0]=1.00057
...
DEBUG [2024-Jan-31 23:15:09.859961] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EONIA index curve done
DEBUG [2024-Jan-31 23:15:09.875588] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building CHF-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:15:09.875588] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.875588] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(CHF-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:09.875588] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:09.875588] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve CHF-LIBOR-6M discount[0]=1.00217
...
DEBUG [2024-Jan-31 23:15:09.875588] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building CHF-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:15:09.875588] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EURIBOR-3M index curve
DEBUG [2024-Jan-31 23:15:09.875588] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.875588] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:09.891226] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:09.891226] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EURIBOR-3M discount[0]=1.00004
...
DEBUG [2024-Jan-31 23:15:09.891226] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EURIBOR-3M index curve done
DEBUG [2024-Jan-31 23:15:09.891226] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EURIBOR-6M index curve
DEBUG [2024-Jan-31 23:15:09.891226] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.891226] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:09.891226] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:09.891226] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EURIBOR-6M discount[0]=0.999939
...
DEBUG [2024-Jan-31 23:15:09.906836] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EURIBOR-6M index curve done
DEBUG [2024-Jan-31 23:15:09.906836] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building GBP-LIBOR-3M index curve
DEBUG [2024-Jan-31 23:15:09.906836] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.906836] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(GBP-LIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:09.906836] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:09.906836] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve GBP-LIBOR-3M discount[0]=0.998346
...
DEBUG [2024-Jan-31 23:15:09.922460] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building GBP-LIBOR-3M index curve done
DEBUG [2024-Jan-31 23:15:09.922460] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building GBP-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:15:09.922460] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.922460] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(GBP-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:09.922460] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:09.922460] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve GBP-LIBOR-6M discount[0]=0.998346
...
DEBUG [2024-Jan-31 23:15:09.922460] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building GBP-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:15:09.922460] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building JPY-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:15:09.922460] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(JPY-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.938084] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(JPY-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:09.938084] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:09.938084] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve JPY-LIBOR-6M discount[0]=0.999982
...
DEBUG [2024-Jan-31 23:15:09.938084] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building JPY-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:15:09.938084] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building USD-LIBOR-3M index curve
DEBUG [2024-Jan-31 23:15:09.938084] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.938084] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:09.938084] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:09.938084] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve USD-LIBOR-3M discount[0]=0.998002
...
DEBUG [2024-Jan-31 23:15:09.953708] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building USD-LIBOR-3M index curve done
NOTICE [2024-Jan-31 23:15:09.953708] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built IndexCurve 8 201 ms
DEBUG [2024-Jan-31 23:15:09.953708] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building CHF swaption volatility curve...
DEBUG [2024-Jan-31 23:15:09.953708] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:09.953708] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:15:09.953708] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:09.953708] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DATA [2024-Jan-31 23:15:09.969332] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:15:09.969332] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:09.969332] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:09.969332] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:09.969332] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-1Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:15:09.969332] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) in configuration default
...
DEBUG [2024-Jan-31 23:15:09.969332] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:09.969332] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:09.969332] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:15:09.969332] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-30Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:15:09.969332] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-30Y,CHF-TOIS) in configuration default
DEBUG [2024-Jan-31 23:15:09.969332] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (CHF) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:15:09.984953] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:15:09.984953] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:15:09.984953] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.007529 0.007587 0.007603 0.006725 0.005853 0.005456 0.006673 0.007006 0.007346 0.007336 0.007335 |
...
NOTICE [2024-Jan-31 23:15:09.984953] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config CHF_SW_N
DEBUG [2024-Jan-31 23:15:09.984953] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:15:10.000579] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:15:10.000579] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (CHF) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration default
DEBUG [2024-Jan-31 23:15:10.000579] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) in configuration default
DEBUG [2024-Jan-31 23:15:10.000579] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:15:10.000579] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.000579] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:15:10.000579] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:15:10.000579] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:10.000579] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market CHF yield volatility type = Normal
DEBUG [2024-Jan-31 23:15:10.000579] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (Normal) yield vols (ForwardVariance) for qualifier CHF
DEBUG [2024-Jan-31 23:15:10.000579] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market CHF yield volatility type = Normal
DEBUG [2024-Jan-31 23:15:10.016202] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building EUR swaption volatility curve...
DEBUG [2024-Jan-31 23:15:10.016202] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:10.016202] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:10.016202] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.016202] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (already built)
...
DATA [2024-Jan-31 23:15:10.016202] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:15:10.016202] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.016202] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.016202] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:10.016202] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:15:10.016202] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration default
...
DEBUG [2024-Jan-31 23:15:10.031825] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.031825] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.031825] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:15:10.031825] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:15:10.031825] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration default
DEBUG [2024-Jan-31 23:15:10.031825] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (EUR) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:15:10.031825] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:15:10.031825] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:15:10.031825] 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 23:15:10.047452] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config EUR_SW_N
DEBUG [2024-Jan-31 23:15:10.047452] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:15:10.047452] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:15:10.047452] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration default
DEBUG [2024-Jan-31 23:15:10.047452] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(EUR,SwaptionVolatility/EUR/EUR_SW_N) in configuration default
DEBUG [2024-Jan-31 23:15:10.047452] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:15:10.047452] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.047452] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:15:10.047452] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:15:10.047452] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:10.063075] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market EUR yield volatility type = Normal
DEBUG [2024-Jan-31 23:15:10.063075] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (Normal) yield vols (ForwardVariance) for qualifier EUR
DEBUG [2024-Jan-31 23:15:10.063075] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market EUR yield volatility type = Normal
DEBUG [2024-Jan-31 23:15:10.063075] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building GBP swaption volatility curve...
DEBUG [2024-Jan-31 23:15:10.063075] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:10.063075] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:15:10.063075] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.063075] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #19: IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) (already built)
...
DATA [2024-Jan-31 23:15:10.063075] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:15:10.063075] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.063075] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.063075] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:10.078699] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-1Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:15:10.078699] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-1Y,GBP-SONIA) in configuration default
...
DEBUG [2024-Jan-31 23:15:10.078699] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.078699] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.078699] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:15:10.078699] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-30Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:15:10.078699] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) in configuration default
DEBUG [2024-Jan-31 23:15:10.078699] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (GBP) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:15:10.078699] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:15:10.078699] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:15:10.078699] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.468006 0.642861 0.802119 0.878475 0.880872 0.756155 0.642449 0.545265 0.512265 0.519984 0.519112 |
...
NOTICE [2024-Jan-31 23:15:10.094324] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config GBP_SW_N
DEBUG [2024-Jan-31 23:15:10.094324] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:15:10.094324] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:15:10.094324] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (GBP) with spec SwaptionVolatility/GBP/GBP_SW_N to configuration default
DEBUG [2024-Jan-31 23:15:10.094324] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(GBP,SwaptionVolatility/GBP/GBP_SW_N) in configuration default
DEBUG [2024-Jan-31 23:15:10.094324] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:15:10.094324] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.094324] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:15:10.094324] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:15:10.109947] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:10.115916] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market GBP yield volatility type = ShiftedLognormal
DEBUG [2024-Jan-31 23:15:10.116915] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (ShiftedLognormal) yield vols (ForwardVariance) for qualifier GBP
DEBUG [2024-Jan-31 23:15:10.117355] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market GBP yield volatility type = ShiftedLognormal
DEBUG [2024-Jan-31 23:15:10.118357] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building JPY swaption volatility curve...
DEBUG [2024-Jan-31 23:15:10.118357] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:10.119356] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:15:10.120356] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.121355] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:15:10.126335] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (JPY) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration default
DEBUG [2024-Jan-31 23:15:10.126771] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(JPY,SwaptionVolatility/CHF/CHF_SW_N) in configuration default
DEBUG [2024-Jan-31 23:15:10.127773] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:10.127773] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.128772] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:15:10.130279] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:15:10.134279] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:10.138347] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market JPY yield volatility type = Normal
DEBUG [2024-Jan-31 23:15:10.138347] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (Normal) yield vols (ForwardVariance) for qualifier JPY
DEBUG [2024-Jan-31 23:15:10.139349] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market JPY yield volatility type = Normal
DEBUG [2024-Jan-31 23:15:10.140348] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building USD swaption volatility curve...
DEBUG [2024-Jan-31 23:15:10.140348] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:10.141347] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:15:10.143501] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.144501] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DATA [2024-Jan-31 23:15:10.148669] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:15:10.149668] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.150668] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.152666] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:10.154286] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-1Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:15:10.155287] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) in configuration default
...
DEBUG [2024-Jan-31 23:15:10.157285] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.157285] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.160010] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:10.162310] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-30Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:15:10.163312] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-30Y,USD-FedFunds) in configuration default
DEBUG [2024-Jan-31 23:15:10.164311] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (USD) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:15:10.165311] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:15:10.166310] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:15:10.167310] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.528012 0.722185 0.760853 0.766932 0.738673 0.629572 0.542948 0.471117 0.438879 0.427615 0.418857 |
...
NOTICE [2024-Jan-31 23:15:10.176908] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config USD_SW_N
DEBUG [2024-Jan-31 23:15:10.178287] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:15:10.178287] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:15:10.179289] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (USD) with spec SwaptionVolatility/USD/USD_SW_N to configuration default
DEBUG [2024-Jan-31 23:15:10.180288] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(USD,SwaptionVolatility/USD/USD_SW_N) in configuration default
DEBUG [2024-Jan-31 23:15:10.180288] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:15:10.181288] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.182287] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:15:10.183286] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:15:10.188162] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:10.191160] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market USD yield volatility type = ShiftedLognormal
DEBUG [2024-Jan-31 23:15:10.192159] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (ShiftedLognormal) yield vols (ForwardVariance) for qualifier USD
DEBUG [2024-Jan-31 23:15:10.192848] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market USD yield volatility type = ShiftedLognormal
NOTICE [2024-Jan-31 23:15:10.194292] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built SwaptionVolatility 5 232 ms
DEBUG [2024-Jan-31 23:15:10.195184] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding CHFEUR FX rates
DATA [2024-Jan-31 23:15:10.197184] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(CHFEUR): 0 / JoinHolidays(TARGET, Switzerland) from convention.
DEBUG [2024-Jan-31 23:15:10.199183] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.200183] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.203250] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'CHF' to 'EUR': CHF-EUR
DEBUG [2024-Jan-31 23:15:10.203250] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding GBPEUR FX rates
DATA [2024-Jan-31 23:15:10.204249] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(GBPEUR): 0 / JoinHolidays(TARGET, UK settlement) from convention.
DEBUG [2024-Jan-31 23:15:10.205249] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.205249] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.208247] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'GBP' to 'EUR': GBP-EUR
DEBUG [2024-Jan-31 23:15:10.208247] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding JPYEUR FX rates
DATA [2024-Jan-31 23:15:10.210247] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(JPYEUR): 0 / JoinHolidays(TARGET, Japan) from convention.
DEBUG [2024-Jan-31 23:15:10.212246] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.212246] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.214244] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'JPY' to 'EUR': JPY-EUR
DEBUG [2024-Jan-31 23:15:10.215243] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding USDEUR FX rates
DATA [2024-Jan-31 23:15:10.216242] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DEBUG [2024-Jan-31 23:15:10.217242] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.217242] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.220242] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
NOTICE [2024-Jan-31 23:15:10.220242] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:15:10.221241] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFEUR
...
NOTICE [2024-Jan-31 23:15:10.224239] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 4 quotes, 5 currencies.
NOTICE [2024-Jan-31 23:15:10.224239] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built FXSpot 4 29 ms
DEBUG [2024-Jan-31 23:15:10.225239] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(GBPEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:10.227238] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(GBPEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:10.229236] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:15:10.232233] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.232233] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #45: FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP) (not yet built)
DEBUG [2024-Jan-31 23:15:10.233233] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:10.236029] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:15:10.236029] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:15:10.241043] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:15:10.242028] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:15:10.247652] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURGBP, assuming defaults
DATA [2024-Jan-31 23:15:10.248651] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'GBP': EUR-GBP
NOTICE [2024-Jan-31 23:15:10.249593] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:15:10.250343] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:15:10.250343] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/GBP/EURGBP 1M 0.12336 0.00129246
...
DEBUG [2024-Jan-31 23:15:10.261386] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
WARNING [2024-Jan-31 23:15:10.261739] OREData/ored/marketdata/fxvolcurve.cpp:918 : no domestic / foreign yield curves given in fx vol curve config for EURGBP, skip building calibration info
DEBUG [2024-Jan-31 23:15:10.262739] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURGBP) with spec FXVolatility/EUR/GBP/EURGBP to configuration default
DEBUG [2024-Jan-31 23:15:10.263737] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP) in configuration default
DEBUG [2024-Jan-31 23:15:10.263737] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:10.264737] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(GBPEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.265736] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:15:10.267306] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:15:10.268304] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(GBPEUR): 0 / JoinHolidays(TARGET, UK settlement) from convention.
DATA [2024-Jan-31 23:15:10.268304] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'GBP' to 'EUR': GBP-EUR
NOTICE [2024-Jan-31 23:15:10.269304] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1558 : Deterministic FX Vols with decay mode ForwardVariance for GBPEUR
DEBUG [2024-Jan-31 23:15:10.270303] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(JPYEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:10.270303] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(JPYEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:10.272302] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:15:10.275300] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.276247] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #46: FXVol(EURJPY,FXVolatility/EUR/JPY/EURJPY) (not yet built)
DEBUG [2024-Jan-31 23:15:10.277261] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:10.278127] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:15:10.279142] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:15:10.284437] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:15:10.285437] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:15:10.291202] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURJPY, assuming defaults
DATA [2024-Jan-31 23:15:10.292934] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'JPY': EUR-JPY
NOTICE [2024-Jan-31 23:15:10.293934] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 9 ATM vols
DEBUG [2024-Jan-31 23:15:10.294521] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:15:10.295534] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/JPY/EURJPY 1M 0.137438 0.00160429
...
DEBUG [2024-Jan-31 23:15:10.307155] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
WARNING [2024-Jan-31 23:15:10.308155] OREData/ored/marketdata/fxvolcurve.cpp:918 : no domestic / foreign yield curves given in fx vol curve config for EURJPY, skip building calibration info
DEBUG [2024-Jan-31 23:15:10.308155] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURJPY) with spec FXVolatility/EUR/JPY/EURJPY to configuration default
DEBUG [2024-Jan-31 23:15:10.309619] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURJPY,FXVolatility/EUR/JPY/EURJPY) in configuration default
DEBUG [2024-Jan-31 23:15:10.309619] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:10.311145] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(JPYEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.312159] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:15:10.313158] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:15:10.314295] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(JPYEUR): 0 / JoinHolidays(TARGET, Japan) from convention.
DATA [2024-Jan-31 23:15:10.314295] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'JPY' to 'EUR': JPY-EUR
NOTICE [2024-Jan-31 23:15:10.315310] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1558 : Deterministic FX Vols with decay mode ForwardVariance for JPYEUR
DEBUG [2024-Jan-31 23:15:10.316309] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:10.317308] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:10.318308] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:15:10.321306] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.322215] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:15:10.324228] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:10.325228] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:15:10.325228] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:15:10.331304] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:15:10.332304] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:15:10.337301] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURUSD, assuming defaults
DATA [2024-Jan-31 23:15:10.338297] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
NOTICE [2024-Jan-31 23:15:10.338297] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:15:10.339312] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:15:10.340312] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/USD/EURUSD 1M 0.121699 0.00125789
...
DEBUG [2024-Jan-31 23:15:10.350319] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
DEBUG [2024-Jan-31 23:15:10.353591] OREData/ored/marketdata/fxvolcurve.cpp:1142 : Building calibration info for fx vol surface completed.
DEBUG [2024-Jan-31 23:15:10.354512] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURUSD) with spec FXVolatility/EUR/USD/EURUSD to configuration default
DEBUG [2024-Jan-31 23:15:10.356511] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURUSD,FXVolatility/EUR/USD/EURUSD) in configuration default
DEBUG [2024-Jan-31 23:15:10.356511] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:10.357526] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:10.358524] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:15:10.359676] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:15:10.361219] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DATA [2024-Jan-31 23:15:10.362295] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
NOTICE [2024-Jan-31 23:15:10.362295] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1558 : Deterministic FX Vols with decay mode ForwardVariance for USDEUR
NOTICE [2024-Jan-31 23:15:10.363309] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built FXVolatility 3 138 ms
DEBUG [2024-Jan-31 23:15:10.364893] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2707 : building swap indices...
DEBUG [2024-Jan-31 23:15:10.364893] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2737 : Adding swap index EUR-CMS-1Y with discounting index EUR-EONIA
DATA [2024-Jan-31 23:15:10.365894] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:15:10.368892] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2740 : Adding swap index EUR-CMS-1Y done.
DEBUG [2024-Jan-31 23:15:10.369892] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2737 : Adding swap index EUR-CMS-30Y with discounting index EUR-EONIA
...
DEBUG [2024-Jan-31 23:15:10.373320] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2740 : Adding swap index EUR-CMS-30Y done.
NOTICE [2024-Jan-31 23:15:10.374320] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2712 : building base scenario
NOTICE [2024-Jan-31 23:15:10.375319] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2729 : building base scenario done
NOTICE [2024-Jan-31 23:15:10.375319] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:618 : XVA: Build Scenario Generator
NOTICE [2024-Jan-31 23:15:10.377380] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:156 : XVA: Build Simulation Model (continueOnCalibrationError = true)
NOTICE [2024-Jan-31 23:15:10.379251] OREData/ored/model/crossassetmodelbuilder.cpp:167 : Start building CrossAssetModel
DEBUG [2024-Jan-31 23:15:10.379968] OREData/ored/model/crossassetmodelbuilder.cpp:172 : configurations: LgmCalibration collateral_inccy, FxCalibration collateral_eur, EqCalibration default, InfCalibration default, CrCalibrationdefault, ComCalibrationdefault, FinalModel collateral_eur
DEBUG [2024-Jan-31 23:15:10.380969] OREData/ored/model/crossassetmodelbuilder.cpp:212 : Defaulting to LGM measure
DEBUG [2024-Jan-31 23:15:10.380969] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 0 qualifier EUR
DEBUG [2024-Jan-31 23:15:10.383083] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR) failed: Two or three tokens required in EUR: CCY-INDEX or CCY-INDEX-TERM
NOTICE [2024-Jan-31 23:15:10.383083] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier EUR (ccy=EUR), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:15:10.384572] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:15:10.385573] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.386269] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:15:10.386269] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.387284] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.388283] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:10.389282] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:15:10.389282] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.390281] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:15:10.395939] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DATA [2024-Jan-31 23:15:10.396938] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:15:10.397937] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:15:10.400935] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.402308] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.404371] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:10.406370] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:15:10.406370] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.407369] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:15:10.411893] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.412893] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.414891] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:15:10.416890] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:15:10.417890] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.418345] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:15:10.419359] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:15:10.420357] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.421356] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:15:10.426333] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:15:10.429954] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:15:10.437204] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.002, index=Euribor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:15:10.456191] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:15:10.457594] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:15:10.458599] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:15:10.458599] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for EUR: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:15:10.461381] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:15:10.461477] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:15:10.465587] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR currency EUR
DEBUG [2024-Jan-31 23:15:10.467029] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:15:10.475336] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR calibration errors:
DATA [2024-Jan-31 23:15:10.477463] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:15:10.478575] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.479576] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:15:10.482326] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:15:10.490235] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:15:10.495660] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:15:10.504261] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:15:10.508259] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:15:10.517399] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 8.95547e-14
DEBUG [2024-Jan-31 23:15:10.518399] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:15:10.519399] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR) failed: Two or three tokens required in EUR: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:15:10.520724] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 1 qualifier USD
...
NOTICE [2024-Jan-31 23:15:10.521728] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier USD (ccy=USD), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:15:10.522727] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:15:10.522727] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.523726] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #4: DiscountCurve(USD,Yield/USD/USD1D) (not yet built)
DEBUG [2024-Jan-31 23:15:10.524725] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.524725] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.525725] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:10.526714] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:15:10.527716] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.528715] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (not yet built)
...
DEBUG [2024-Jan-31 23:15:10.532713] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration collateral_inccy
DATA [2024-Jan-31 23:15:10.532713] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:15:10.533712] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:15:10.537710] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.537710] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.539708] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:10.541707] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-1Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:15:10.543039] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:15:10.543039] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.543039] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.543039] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:10.543039] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-30Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:15:10.543039] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-30Y,USD-FedFunds) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.543039] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (USD) with spec SwaptionVolatility/USD/USD_SW_N to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:15:10.543039] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 5, error: 0
DEBUG [2024-Jan-31 23:15:10.543039] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.543039] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:15:10.558665] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:15:10.558665] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:15:10.558665] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.1, index=USDLibor3M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:15:10.580707] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:15:10.580707] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:15:10.580707] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:15:10.580707] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for USD: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:15:10.580707] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:15:10.580707] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:15:10.580707] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier USD currency USD
DEBUG [2024-Jan-31 23:15:10.580707] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:15:10.601927] OREData/ored/model/lgmbuilder.cpp:377 : LGM USD calibration errors:
DATA [2024-Jan-31 23:15:10.602926] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:15:10.603925] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.604924] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:15:10.607923] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:15:10.617267] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:15:10.621468] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:15:10.632878] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:15:10.637873] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:15:10.646882] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.03172e-14
DEBUG [2024-Jan-31 23:15:10.647881] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:15:10.648880] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD) failed: Two or three tokens required in USD: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:15:10.648880] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 2 qualifier GBP
...
NOTICE [2024-Jan-31 23:15:10.650879] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier GBP (ccy=GBP), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:15:10.650879] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:15:10.651878] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.652877] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: DiscountCurve(GBP,Yield/GBP/GBP1D) (not yet built)
DEBUG [2024-Jan-31 23:15:10.652877] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.653877] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.654877] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:10.655877] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:15:10.655877] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.656876] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: DiscountCurve(GBP,Yield/GBP/GBP1D) (already built)
...
DEBUG [2024-Jan-31 23:15:10.662857] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration collateral_inccy
DATA [2024-Jan-31 23:15:10.663085] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DEBUG [2024-Jan-31 23:15:10.664100] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:15:10.669097] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.670096] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.672096] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:10.674094] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-1Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:15:10.675094] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-1Y,GBP-SONIA) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:15:10.676424] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.676424] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.676424] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:15:10.676424] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-30Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:15:10.676424] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.676424] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (GBP) with spec SwaptionVolatility/GBP/GBP_SW_N to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:15:10.676424] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:15:10.676424] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.676424] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:15:10.676424] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:15:10.692051] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:15:10.695139] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.1, index=GBPLibor6M Actual/365 (Fixed), strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:15:10.708128] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:15:10.709128] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:15:10.710227] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:15:10.711242] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for GBP: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:15:10.711242] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:15:10.712241] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:15:10.713240] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier GBP currency GBP
DEBUG [2024-Jan-31 23:15:10.713240] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:15:10.720236] OREData/ored/model/lgmbuilder.cpp:377 : LGM GBP calibration errors:
DATA [2024-Jan-31 23:15:10.721236] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:15:10.722235] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.722235] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:15:10.725234] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:15:10.726448] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:15:10.726448] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:15:10.746461] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:15:10.749459] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:15:10.758455] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 4.60411e-14
DEBUG [2024-Jan-31 23:15:10.759918] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:15:10.760918] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP) failed: Two or three tokens required in GBP: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:15:10.761917] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 3 qualifier CHF
...
NOTICE [2024-Jan-31 23:15:10.762916] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier CHF (ccy=CHF), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:15:10.763916] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:15:10.764915] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.764915] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (not yet built)
DEBUG [2024-Jan-31 23:15:10.765918] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.766914] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.767914] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:10.767914] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:15:10.768916] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.769914] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:15:10.774912] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-3M) with spec Yield/CHF/CHF3M to configuration collateral_inccy
DATA [2024-Jan-31 23:15:10.775909] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:15:10.776642] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:15:10.776642] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.776642] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.776642] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:15:10.776642] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-1Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:15:10.776642] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.776642] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-6M) with spec Yield/CHF/CHF6M to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:15:10.776642] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.776642] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:15:10.792266] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:15:10.792266] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-30Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:15:10.792266] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-30Y,CHF-TOIS) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.792266] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (CHF) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:15:10.792266] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:15:10.792266] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.792266] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:15:10.792266] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:15:10.808234] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:15:10.811092] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:15:10.827721] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:15:10.828720] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:15:10.828720] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:15:10.829719] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for CHF: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:15:10.830718] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:15:10.830718] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:15:10.831718] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier CHF currency CHF
DEBUG [2024-Jan-31 23:15:10.832717] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:15:10.839699] OREData/ored/model/lgmbuilder.cpp:377 : LGM CHF calibration errors:
DATA [2024-Jan-31 23:15:10.840698] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:15:10.841697] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.842697] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:15:10.843287] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:15:10.843287] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:15:10.843287] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:15:10.858927] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:15:10.858927] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:15:10.874552] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 8.97311e-14
DEBUG [2024-Jan-31 23:15:10.874552] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:15:10.874552] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF) failed: Two or three tokens required in CHF: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:15:10.874552] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 4 qualifier JPY
...
NOTICE [2024-Jan-31 23:15:10.874552] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier JPY (ccy=JPY), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:15:10.874552] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:15:10.874552] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.874552] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #3: DiscountCurve(JPY,Yield/JPY/JPY1D) (not yet built)
DEBUG [2024-Jan-31 23:15:10.874552] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.874552] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.874552] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:10.874552] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:15:10.874552] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:10.874552] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:15:10.890175] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (JPY) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.890175] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(JPY,SwaptionVolatility/CHF/CHF_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:15:10.890175] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:10.890175] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.890175] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:15:10.890175] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:15:10.890175] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:15:10.890175] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:15:10.905787] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:15:10.905787] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:15:10.905787] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0.03 ]
DEBUG [2024-Jan-31 23:15:10.905787] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for JPY: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:15:10.905787] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:15:10.905787] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:15:10.905787] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier JPY currency JPY
DEBUG [2024-Jan-31 23:15:10.921411] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:15:10.921411] OREData/ored/model/lgmbuilder.cpp:377 : LGM JPY calibration errors:
DATA [2024-Jan-31 23:15:10.921411] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:15:10.921411] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:15:10.921411] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:15:10.921411] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:15:10.937034] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:15:10.937034] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:15:10.952655] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:15:10.958572] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:15:10.972331] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 4.62579e-14
DEBUG [2024-Jan-31 23:15:10.973329] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:15:10.975328] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY) failed: Two or three tokens required in JPY: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:15:10.985625] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 0
NOTICE [2024-Jan-31 23:15:10.987621] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for USDEUR
DEBUG [2024-Jan-31 23:15:10.989621] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:10.990621] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:10.991620] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:15:10.995078] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:10.995078] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:15:10.995078] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:15:10.995078] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:15:10.995078] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:15:11.010079] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper USDEUR 2017-02-05 0.871636 0.120828
...
DEBUG [2024-Jan-31 23:15:11.011589] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:15:11.011589] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:15:11.011589] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:15:11.011589] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 1
NOTICE [2024-Jan-31 23:15:11.011589] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for GBPEUR
DEBUG [2024-Jan-31 23:15:11.026724] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:11.028588] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:11.028588] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:15:11.028588] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(GBPEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:11.028588] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:15:11.028588] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:15:11.043399] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:15:11.044903] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:15:11.044903] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper GBPEUR 2017-02-05 1.21921 0.12979
...
DEBUG [2024-Jan-31 23:15:11.044903] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:15:11.044903] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:15:11.044903] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:15:11.066264] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 2
NOTICE [2024-Jan-31 23:15:11.068264] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for CHFEUR
DEBUG [2024-Jan-31 23:15:11.068264] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:11.069263] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:11.074409] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:15:11.092088] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(CHFEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:11.095597] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:15:11.108578] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:15:11.110090] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #44: FXVol(EURCHF,FXVolatility/EUR/CHF/EURCHF) (not yet built)
DEBUG [2024-Jan-31 23:15:11.110090] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:15:11.110090] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:15:11.110090] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:15:11.156964] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:15:11.162049] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:15:11.210154] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURCHF, assuming defaults
DATA [2024-Jan-31 23:15:11.210154] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'CHF': EUR-CHF
NOTICE [2024-Jan-31 23:15:11.210154] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 9 ATM vols
DEBUG [2024-Jan-31 23:15:11.225779] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:15:11.239508] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/CHF/EURCHF 1M 0.077042 0.000504108
...
DEBUG [2024-Jan-31 23:15:11.315554] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
WARNING [2024-Jan-31 23:15:11.316554] OREData/ored/marketdata/fxvolcurve.cpp:918 : no domestic / foreign yield curves given in fx vol curve config for EURCHF, skip building calibration info
DEBUG [2024-Jan-31 23:15:11.318553] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURCHF) with spec FXVolatility/EUR/CHF/EURCHF to configuration default
DEBUG [2024-Jan-31 23:15:11.319553] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURCHF,FXVolatility/EUR/CHF/EURCHF) in configuration default
DEBUG [2024-Jan-31 23:15:11.321552] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:15:11.322550] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(CHFEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:11.324555] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:15:11.328174] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:11.329174] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:15:11.331172] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper CHFEUR 2017-02-05 0.89377 0.0928951
...
DEBUG [2024-Jan-31 23:15:11.343832] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:15:11.345833] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:15:11.346831] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:15:11.357825] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 3
NOTICE [2024-Jan-31 23:15:11.358826] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for JPYEUR
DEBUG [2024-Jan-31 23:15:11.360543] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:11.362542] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:11.364541] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:15:11.380147] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(JPYEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:11.381390] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:15:11.381390] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:15:11.381390] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:15:11.381390] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:15:11.381390] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper JPYEUR 2017-02-05 0.0077825 0.137665
...
DEBUG [2024-Jan-31 23:15:11.403319] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:15:11.405319] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:15:11.408319] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:15:11.410299] OREData/ored/model/crossassetmodelbuilder.cpp:441 : CrossAssetModelBuilder: adding correlations.
DEBUG [2024-Jan-31 23:15:11.410299] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,GBP,0}) = 0.3.
...
DATA [2024-Jan-31 23:15:11.425925] OREData/ored/model/crossassetmodelbuilder.cpp:450 : CAM correlation matrix:
DATA [2024-Jan-31 23:15:11.425925] OREData/ored/model/crossassetmodelbuilder.cpp:451 : | 1 0.3 0.3 0 0 0 0 0 0 |
...
DEBUG [2024-Jan-31 23:15:11.457181] OREData/ored/model/crossassetmodelbuilder.cpp:465 : IR Calibration 0
...
DEBUG [2024-Jan-31 23:15:11.463801] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:11.464799] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:11.467799] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:11.469796] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for EUR for FX calibration
...
ALERT [2024-Jan-31 23:15:11.472795] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:11.474794] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:11.475792] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for USD for FX calibration
...
ALERT [2024-Jan-31 23:15:11.478297] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:11.480295] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:11.481295] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for GBP for FX calibration
...
ALERT [2024-Jan-31 23:15:11.483294] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:11.484295] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:11.485293] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for CHF for FX calibration
...
ALERT [2024-Jan-31 23:15:11.487291] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:11.492434] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:11.498898] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for JPY for FX calibration
DEBUG [2024-Jan-31 23:15:11.498898] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 0
DEBUG [2024-Jan-31 23:15:11.655110] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX USD calibration errors:
DATA [2024-Jan-31 23:15:11.683420] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:15:11.715891] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:15:11.728320] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 7.39851e-14
DEBUG [2024-Jan-31 23:15:11.731317] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 1
DEBUG [2024-Jan-31 23:15:11.985373] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX GBP calibration errors:
DATA [2024-Jan-31 23:15:12.030250] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:15:12.121480] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:15:12.150947] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 9.8355e-14
DEBUG [2024-Jan-31 23:15:12.153945] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 2
DEBUG [2024-Jan-31 23:15:12.220690] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX CHF calibration errors:
DATA [2024-Jan-31 23:15:12.230203] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:15:12.255422] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:15:12.264679] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 5.11845e-14
DEBUG [2024-Jan-31 23:15:12.266677] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 3
DEBUG [2024-Jan-31 23:15:12.318090] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX JPY calibration errors:
DATA [2024-Jan-31 23:15:12.331715] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:15:12.342887] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:15:12.349841] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 3.82287e-14
DEBUG [2024-Jan-31 23:15:12.350842] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:15:12.351840] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:12.352840] OREData/ored/model/crossassetmodelbuilder.cpp:548 : Relinked discounting curve for EUR for EQ calibration
...
DEBUG [2024-Jan-31 23:15:12.368260] OREData/ored/model/crossassetmodelbuilder.cpp:619 : Relinked discounting curve for EUR for INF calibration
...
ALERT [2024-Jan-31 23:15:12.379973] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:12.381972] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:12.382971] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for EUR as final model curves
...
ALERT [2024-Jan-31 23:15:12.383971] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:12.384970] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:12.385970] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for USD as final model curves
...
ALERT [2024-Jan-31 23:15:12.387967] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:15:12.400425] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:12.403423] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for GBP as final model curves
...
ALERT [2024-Jan-31 23:15:12.431337] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:12.452017] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:12.455015] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for CHF as final model curves
...
ALERT [2024-Jan-31 23:15:12.459014] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:12.475242] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:15:12.476588] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for JPY as final model curves
DEBUG [2024-Jan-31 23:15:12.479588] OREData/ored/model/crossassetmodelbuilder.cpp:656 : Building CrossAssetModel done
NOTICE [2024-Jan-31 23:15:12.495579] OREAnalytics/orea/scenario/scenariogeneratorbuilder.cpp:48 : ScenarioGeneratorBuilder::build() called
NOTICE [2024-Jan-31 23:15:12.506572] OREAnalytics/orea/scenario/crossassetmodelscenariogenerator.cpp:42 : CrossAssetModelScenarioGenerator ctor called
DEBUG [2024-Jan-31 23:15:12.509570] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:15:12.511572] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(CHF-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:15:12.515566] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:15:12.615845] OREAnalytics/orea/scenario/crossassetmodelscenariogenerator.cpp:313 : CrossAssetModelScenarioGenerator ctor done
NOTICE [2024-Jan-31 23:15:12.615845] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:141 : simulation grid size 241
NOTICE [2024-Jan-31 23:15:12.615845] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:142 : simulation grid valuation dates 241
NOTICE [2024-Jan-31 23:15:12.629793] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:143 : simulation grid close-out dates 0
NOTICE [2024-Jan-31 23:15:12.629793] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:144 : simulation grid front date 2016-03-07
NOTICE [2024-Jan-31 23:15:12.629793] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:145 : simulation grid back date 2036-03-05
NOTICE [2024-Jan-31 23:15:12.629793] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:624 : XVA: Attach Scenario Generator to ScenarioSimMarket
NOTICE [2024-Jan-31 23:15:12.645666] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:228 : XVA: classicRun
NOTICE [2024-Jan-31 23:15:12.647665] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:234 : XVA: Build classic portfolio of size 1 linked to the simulation market
NOTICE [2024-Jan-31 23:15:12.718445] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 1
NOTICE [2024-Jan-31 23:15:12.725440] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:90 : XvaAnalytic::engineFactory() called
NOTICE [2024-Jan-31 23:15:12.726439] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:15:12.729981] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 1 for context = 'analytic/XVA'
DEBUG [2024-Jan-31 23:15:12.730979] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_20
DEBUG [2024-Jan-31 23:15:12.731979] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:15:12.733979] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:15:12.736977] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:15:12.743975] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:15:12.744719] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:15:12.744719] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:15:12.744719] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:15:12.744719] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Swap_20:
DATA [2024-Jan-31 23:15:12.744719] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:15:12.832513] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 1, size now 1, built 0 failed trades, context is analytic/XVA
NOTICE [2024-Jan-31 23:15:12.833512] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:248 : Filter trades that expire before February 5th, 2016
NOTICE [2024-Jan-31 23:15:12.835511] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:193 : XVA: initClassicRun
NOTICE [2024-Jan-31 23:15:12.836511] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:169 : XVA: Set cube depth
NOTICE [2024-Jan-31 23:15:12.838508] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:171 : XVA: Cube depth set to: 1
NOTICE [2024-Jan-31 23:15:12.839508] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:199 : XVA: Create asd 241 x 1000
NOTICE [2024-Jan-31 23:15:12.841508] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:177 : Init cube with depth 1
DEBUG [2024-Jan-31 23:15:12.843506] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:180 : initCube: grid[0]=2016-03-07
...
NOTICE [2024-Jan-31 23:15:13.062976] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:223 : XVA: initClassicRun completed
NOTICE [2024-Jan-31 23:15:13.062976] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:267 : XVA::buildCube
NOTICE [2024-Jan-31 23:15:13.062976] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:306 : XVA: Build Cube 1 x 241 x 1000
NOTICE [2024-Jan-31 23:15:13.062976] OREAnalytics/orea/engine/valuationengine.cpp:83 : Build cube with mporStickyDate=0, dryRun=false
NOTICE [2024-Jan-31 23:15:13.062976] OREAnalytics/orea/engine/valuationengine.cpp:109 : Starting ValuationEngine for 1 trades, 1000 samples and 241 dates.
NOTICE [2024-Jan-31 23:15:13.062976] OREAnalytics/orea/engine/valuationengine.cpp:116 : Initialise 1 valuation calculators
DEBUG [2024-Jan-31 23:15:13.062976] OREAnalytics/orea/engine/valuationcalculator.cpp:32 : init NPVCalculator
NOTICE [2024-Jan-31 23:15:13.078351] OREAnalytics/orea/engine/valuationengine.cpp:127 : Initialise state objects...
DEBUG [2024-Jan-31 23:15:13.079351] OREAnalytics/orea/engine/valuationengine.cpp:133 : Initialise wrapper for trade Swap_20
NOTICE [2024-Jan-31 23:15:13.081148] OREAnalytics/orea/engine/valuationengine.cpp:166 : Total number of trades = 1
DATA [2024-Jan-31 23:15:13.082762] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DATA [2024-Jan-31 23:15:13.083764] OREAnalytics/orea/simulation/fixingmanager.cpp:105 : Added 40 fixing dates for 'EUR-EURIBOR-6M'
DATA [2024-Jan-31 23:15:13.084915] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #0
NOTICE [2024-Jan-31 23:15:13.085916] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 0 out of 1000 steps (0%) completed
...
NOTICE [2024-Jan-31 23:15:16.176204] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 10 out of 1000 steps (1%) completed
...
NOTICE [2024-Jan-31 23:15:17.114893] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 20 out of 1000 steps (2%) completed
...
NOTICE [2024-Jan-31 23:15:17.915296] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 30 out of 1000 steps (3%) completed
...
NOTICE [2024-Jan-31 23:15:18.733889] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 40 out of 1000 steps (4%) completed
...
NOTICE [2024-Jan-31 23:15:19.561918] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 50 out of 1000 steps (5%) completed
...
NOTICE [2024-Jan-31 23:15:20.357547] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 60 out of 1000 steps (6%) completed
...
NOTICE [2024-Jan-31 23:15:21.169070] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 70 out of 1000 steps (7%) completed
...
NOTICE [2024-Jan-31 23:15:22.015124] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 80 out of 1000 steps (8%) completed
...
NOTICE [2024-Jan-31 23:15:22.817687] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 90 out of 1000 steps (9%) completed
...
NOTICE [2024-Jan-31 23:15:23.619597] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 100 out of 1000 steps (10%) completed
...
NOTICE [2024-Jan-31 23:15:24.420230] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 110 out of 1000 steps (11%) completed
...
NOTICE [2024-Jan-31 23:15:25.238786] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 120 out of 1000 steps (12%) completed
...
NOTICE [2024-Jan-31 23:15:26.075826] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 130 out of 1000 steps (13%) completed
...
NOTICE [2024-Jan-31 23:15:26.928108] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 140 out of 1000 steps (14%) completed
...
NOTICE [2024-Jan-31 23:15:27.770326] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 150 out of 1000 steps (15%) completed
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NOTICE [2024-Jan-31 23:15:28.600171] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 160 out of 1000 steps (16%) completed
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NOTICE [2024-Jan-31 23:15:29.422782] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 170 out of 1000 steps (17%) completed
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NOTICE [2024-Jan-31 23:15:30.240281] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 180 out of 1000 steps (18%) completed
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NOTICE [2024-Jan-31 23:15:31.197037] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 190 out of 1000 steps (19%) completed
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NOTICE [2024-Jan-31 23:15:32.379538] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 200 out of 1000 steps (20%) completed
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NOTICE [2024-Jan-31 23:15:33.474487] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 210 out of 1000 steps (21%) completed
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NOTICE [2024-Jan-31 23:15:34.508284] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 220 out of 1000 steps (22%) completed
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NOTICE [2024-Jan-31 23:15:35.592072] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 230 out of 1000 steps (23%) completed
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NOTICE [2024-Jan-31 23:15:36.662882] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 240 out of 1000 steps (24%) completed
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NOTICE [2024-Jan-31 23:15:37.463811] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 250 out of 1000 steps (25%) completed
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NOTICE [2024-Jan-31 23:15:38.282211] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 260 out of 1000 steps (26%) completed
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NOTICE [2024-Jan-31 23:15:39.117135] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 270 out of 1000 steps (27%) completed
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NOTICE [2024-Jan-31 23:15:39.950209] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 280 out of 1000 steps (28%) completed
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NOTICE [2024-Jan-31 23:15:40.750250] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 290 out of 1000 steps (28%) completed
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NOTICE [2024-Jan-31 23:15:41.551339] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 300 out of 1000 steps (30%) completed
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NOTICE [2024-Jan-31 23:15:42.367219] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 310 out of 1000 steps (31%) completed
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NOTICE [2024-Jan-31 23:15:43.643100] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 320 out of 1000 steps (32%) completed
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NOTICE [2024-Jan-31 23:15:44.804508] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 330 out of 1000 steps (33%) completed
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NOTICE [2024-Jan-31 23:15:45.616211] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 340 out of 1000 steps (34%) completed
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NOTICE [2024-Jan-31 23:15:46.399767] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 350 out of 1000 steps (35%) completed
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NOTICE [2024-Jan-31 23:15:47.212394] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 360 out of 1000 steps (36%) completed
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NOTICE [2024-Jan-31 23:15:48.103090] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 370 out of 1000 steps (37%) completed
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NOTICE [2024-Jan-31 23:15:48.915549] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 380 out of 1000 steps (38%) completed
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NOTICE [2024-Jan-31 23:15:49.712483] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 390 out of 1000 steps (39%) completed
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NOTICE [2024-Jan-31 23:15:50.525041] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 400 out of 1000 steps (40%) completed
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NOTICE [2024-Jan-31 23:15:51.321976] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 410 out of 1000 steps (41%) completed
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NOTICE [2024-Jan-31 23:15:52.118925] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 420 out of 1000 steps (42%) completed
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NOTICE [2024-Jan-31 23:15:52.931368] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 430 out of 1000 steps (43%) completed
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NOTICE [2024-Jan-31 23:15:53.743932] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 440 out of 1000 steps (44%) completed
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NOTICE [2024-Jan-31 23:15:54.604237] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 450 out of 1000 steps (45%) completed
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NOTICE [2024-Jan-31 23:15:55.434457] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 460 out of 1000 steps (46%) completed
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NOTICE [2024-Jan-31 23:15:56.246901] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 470 out of 1000 steps (47%) completed
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NOTICE [2024-Jan-31 23:15:57.028270] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 480 out of 1000 steps (48%) completed
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NOTICE [2024-Jan-31 23:15:57.849373] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 490 out of 1000 steps (49%) completed
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NOTICE [2024-Jan-31 23:15:58.724312] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 500 out of 1000 steps (50%) completed
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NOTICE [2024-Jan-31 23:15:59.521331] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 510 out of 1000 steps (51%) completed
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NOTICE [2024-Jan-31 23:16:00.365125] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 520 out of 1000 steps (52%) completed
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NOTICE [2024-Jan-31 23:16:01.177695] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 530 out of 1000 steps (53%) completed
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NOTICE [2024-Jan-31 23:16:01.990139] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 540 out of 1000 steps (54%) completed
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NOTICE [2024-Jan-31 23:16:02.793866] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 550 out of 1000 steps (55%) completed
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NOTICE [2024-Jan-31 23:16:03.590684] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 560 out of 1000 steps (56%) completed
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NOTICE [2024-Jan-31 23:16:04.365293] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 570 out of 1000 steps (56%) completed
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NOTICE [2024-Jan-31 23:16:05.177738] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 580 out of 1000 steps (57%) completed
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NOTICE [2024-Jan-31 23:16:05.990183] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 590 out of 1000 steps (59%) completed
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NOTICE [2024-Jan-31 23:16:06.777260] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 600 out of 1000 steps (60%) completed
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NOTICE [2024-Jan-31 23:16:07.589705] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 610 out of 1000 steps (61%) completed
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NOTICE [2024-Jan-31 23:16:08.412249] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 620 out of 1000 steps (62%) completed
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NOTICE [2024-Jan-31 23:16:09.250238] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 630 out of 1000 steps (63%) completed
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NOTICE [2024-Jan-31 23:16:10.136578] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 640 out of 1000 steps (64%) completed
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NOTICE [2024-Jan-31 23:16:11.017199] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 650 out of 1000 steps (65%) completed
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NOTICE [2024-Jan-31 23:16:11.829645] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 660 out of 1000 steps (66%) completed
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NOTICE [2024-Jan-31 23:16:12.642272] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 670 out of 1000 steps (67%) completed
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NOTICE [2024-Jan-31 23:16:13.477364] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 680 out of 1000 steps (68%) completed
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NOTICE [2024-Jan-31 23:16:14.321277] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 690 out of 1000 steps (69%) completed
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NOTICE [2024-Jan-31 23:16:15.106594] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 700 out of 1000 steps (70%) completed
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NOTICE [2024-Jan-31 23:16:15.903412] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 710 out of 1000 steps (71%) completed
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NOTICE [2024-Jan-31 23:16:16.700403] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 720 out of 1000 steps (72%) completed
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NOTICE [2024-Jan-31 23:16:17.513697] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 730 out of 1000 steps (73%) completed
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NOTICE [2024-Jan-31 23:16:18.326157] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 740 out of 1000 steps (74%) completed
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NOTICE [2024-Jan-31 23:16:19.138754] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 750 out of 1000 steps (75%) completed
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NOTICE [2024-Jan-31 23:16:19.966824] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 760 out of 1000 steps (76%) completed
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NOTICE [2024-Jan-31 23:16:20.824195] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 770 out of 1000 steps (77%) completed
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NOTICE [2024-Jan-31 23:16:21.615751] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 780 out of 1000 steps (78%) completed
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NOTICE [2024-Jan-31 23:16:22.412557] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 790 out of 1000 steps (79%) completed
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NOTICE [2024-Jan-31 23:16:23.225168] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 800 out of 1000 steps (80%) completed
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NOTICE [2024-Jan-31 23:16:24.068860] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 810 out of 1000 steps (81%) completed
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NOTICE [2024-Jan-31 23:16:24.897043] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 820 out of 1000 steps (82%) completed
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NOTICE [2024-Jan-31 23:16:25.694001] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 830 out of 1000 steps (83%) completed
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NOTICE [2024-Jan-31 23:16:26.506431] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 840 out of 1000 steps (84%) completed
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NOTICE [2024-Jan-31 23:16:27.303536] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 850 out of 1000 steps (85%) completed
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NOTICE [2024-Jan-31 23:16:28.116110] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 860 out of 1000 steps (86%) completed
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NOTICE [2024-Jan-31 23:16:28.959816] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 870 out of 1000 steps (87%) completed
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NOTICE [2024-Jan-31 23:16:29.843982] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 880 out of 1000 steps (88%) completed
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NOTICE [2024-Jan-31 23:16:30.708896] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 890 out of 1000 steps (89%) completed
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NOTICE [2024-Jan-31 23:16:31.541071] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 900 out of 1000 steps (90%) completed
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NOTICE [2024-Jan-31 23:16:32.394597] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 910 out of 1000 steps (91%) completed
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NOTICE [2024-Jan-31 23:16:33.276768] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 920 out of 1000 steps (92%) completed
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NOTICE [2024-Jan-31 23:16:34.080355] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 930 out of 1000 steps (93%) completed
...
NOTICE [2024-Jan-31 23:16:34.861568] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 940 out of 1000 steps (94%) completed
...
NOTICE [2024-Jan-31 23:16:35.658602] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 950 out of 1000 steps (95%) completed
...
NOTICE [2024-Jan-31 23:16:36.424336] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 960 out of 1000 steps (96%) completed
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NOTICE [2024-Jan-31 23:16:37.502483] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 970 out of 1000 steps (97%) completed
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NOTICE [2024-Jan-31 23:16:38.502418] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 980 out of 1000 steps (98%) completed
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NOTICE [2024-Jan-31 23:16:39.549589] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 990 out of 1000 steps (99%) completed
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NOTICE [2024-Jan-31 23:16:40.591758] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 1000 out of 1000 steps (100%) completed
NOTICE [2024-Jan-31 23:16:40.591758] OREAnalytics/orea/engine/valuationengine.cpp:286 : ValuationEngine completed: loop 87.52 sec, pricing 8.3 sec, update 77 sec fixing 0.038
NOTICE [2024-Jan-31 23:16:40.591758] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:377 : XVA::buildCube done
NOTICE [2024-Jan-31 23:16:40.607382] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:259 : XVA: classicRun completed
WARNING [2024-Jan-31 23:16:40.607382] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:680 : We have generated a classic cube only
NOTICE [2024-Jan-31 23:16:40.607382] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:683 : NPV cube generation completed
NOTICE [2024-Jan-31 23:16:40.607382] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:689 : Classic portfolio size 1
NOTICE [2024-Jan-31 23:16:40.607382] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:690 : AMC portfolio size 0
NOTICE [2024-Jan-31 23:16:40.607382] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:696 : Total portfolio size 1
MEMORY [2024-Jan-31 23:16:40.607382] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:725 : 73920512|73916416
NOTICE [2024-Jan-31 23:16:40.607382] OREAnalytics/orea/app/reportwriter.cpp:1420 : Writing cube report
NOTICE [2024-Jan-31 23:16:40.827486] OREAnalytics/orea/app/reportwriter.cpp:1485 : Cube report written
NOTICE [2024-Jan-31 23:16:40.827486] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:66 : For netting-set CPTY_ACSA flag is 0
NOTICE [2024-Jan-31 23:16:40.827486] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:565 : baseCurrency EUR
DEBUG [2024-Jan-31 23:16:40.827486] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,GBP,0}) = 0.3.
...
NOTICE [2024-Jan-31 23:16:40.843124] OREAnalytics/orea/aggregation/postprocess.cpp:89 : cube storage is regular: 1
NOTICE [2024-Jan-31 23:16:40.843124] OREAnalytics/orea/aggregation/postprocess.cpp:90 : cube dates: 241
NOTICE [2024-Jan-31 23:16:40.843124] OREAnalytics/orea/aggregation/postprocess.cpp:137 : Compute netting set NPVs as of today and netting set maturity
NOTICE [2024-Jan-31 23:16:40.843124] OREAnalytics/orea/aggregation/postprocess.cpp:140 : AsOfDate = 2016-02-05
NOTICE [2024-Jan-31 23:16:40.843124] OREAnalytics/orea/aggregation/exposurecalculator.cpp:72 : Compute trade exposure profiles, regular (flipViewXVA = N)
NOTICE [2024-Jan-31 23:16:40.843124] OREAnalytics/orea/aggregation/exposurecalculator.cpp:78 : Aggregate exposure for trade Swap_20
DEBUG [2024-Jan-31 23:16:40.858735] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:16:40.858735] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:16:40.858735] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:16:40.952479] OREAnalytics/orea/aggregation/nettedexposurecalculator.cpp:96 : Compute netting set exposure profiles
NOTICE [2024-Jan-31 23:16:40.952479] OREAnalytics/orea/aggregation/nettedexposurecalculator.cpp:154 : Aggregate exposure for netting set CPTY_A
NOTICE [2024-Jan-31 23:16:40.952479] OREAnalytics/orea/aggregation/nettedexposurecalculator.cpp:405 : CSA missing or inactive for netting set CPTY_A
DEBUG [2024-Jan-31 23:16:40.968101] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:16:40.968101] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:16:40.968101] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:16:40.999349] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade Swap_20, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:16:40.999349] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:16:41.014974] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:16:41.014974] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:16:41.014974] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:16:41.014974] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_BORROW
DEBUG [2024-Jan-31 23:16:41.014974] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_BORROW built
DEBUG [2024-Jan-31 23:16:41.014974] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_BORROW" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:16:41.014974] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BANK_EUR_BORROW) with spec Yield/EUR/BANK_EUR_BORROW to configuration default
DEBUG [2024-Jan-31 23:16:41.014974] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) in configuration default
DEBUG [2024-Jan-31 23:16:41.014974] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:16:41.014974] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:16:41.014974] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:16:41.014974] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_BORROW) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:16:41.014974] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:41.030597] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:16:41.030597] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:16:41.030597] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:16:41.030597] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:16:41.030597] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_LEND
DEBUG [2024-Jan-31 23:16:41.030597] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_LEND built
DEBUG [2024-Jan-31 23:16:41.030597] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_LEND" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BANK_EUR_LEND) with spec Yield/EUR/BANK_EUR_LEND to configuration default
DEBUG [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_LEND,Yield/EUR/BANK_EUR_LEND) in configuration default
DEBUG [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:16:41.046221] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_LEND) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #56: DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) (not yet built)
DEBUG [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_A_SR_USD
NOTICE [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_A_SR_USD
DATA [2024-Jan-31 23:16:41.046221] OREData/ored/marketdata/defaultcurve.cpp:80 : Loaded quote HAZARD_RATE/RATE/CPTY_A/SR/USD/0Y for default curve CPTY_A_SR_USD
...
NOTICE [2024-Jan-31 23:16:41.061843] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_A_SR_USD using 11 default quotes of 11 requested quotes.
NOTICE [2024-Jan-31 23:16:41.061843] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:16:41.061843] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:16:41.061843] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_A_SR_USD
DEBUG [2024-Jan-31 23:16:41.061843] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (CPTY_A) with spec Default/USD/CPTY_A_SR_USD to configuration default
DEBUG [2024-Jan-31 23:16:41.061843] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:16:41.061843] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:16:41.061843] OREData/ored/marketdata/todaysmarket.cpp:823 : market object Securities(CPTY_A) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:16:41.061843] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "Securities(CPTY_A)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:41.061843] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:16:41.061843] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:16:41.061843] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:16:41.077468] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:16:41.077468] OREData/ored/marketdata/defaultcurve.cpp:309 : Start building default curve of type SpreadCDS for curve BANK_SR_USD
NOTICE [2024-Jan-31 23:16:41.077468] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve BANK_SR_USD
DATA [2024-Jan-31 23:16:41.077468] 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 23:16:41.077468] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve BANK_SR_USD using 7 default quotes of 7 requested quotes.
DATA [2024-Jan-31 23:16:41.077468] OREData/ored/marketdata/defaultcurve.cpp:526 : 2016-12-20,0.985311623
...
DEBUG [2024-Jan-31 23:16:41.093092] OREData/ored/marketdata/defaultcurve.cpp:541 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:16:41.093092] OREData/ored/marketdata/defaultcurve.cpp:548 : Finished building default curve of type SpreadCDS for curve BANK_SR_USD
DEBUG [2024-Jan-31 23:16:41.093092] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (BANK) with spec Default/USD/BANK_SR_USD to configuration default
DEBUG [2024-Jan-31 23:16:41.093092] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(BANK,Default/USD/BANK_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:16:41.093092] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:16:41.093092] OREData/ored/marketdata/todaysmarket.cpp:823 : market object Securities(BANK) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:16:41.093092] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "Securities(BANK)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:41.093092] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:16:41.093092] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:16:46.482759] OREAnalytics/orea/aggregation/xvacalculator.cpp:371 : Update XVA for netting set CPTY_A, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:16:46.482759] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DefaultCurve(CPTY_A)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:46.482759] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:16:46.482759] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:16:46.482759] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:16:46.498398] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:16:46.498398] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:16:46.498398] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:16:46.498398] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:16:46.498398] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:46.498398] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:16:46.498398] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:16:46.498398] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:16:46.498398] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:46.514021] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:16:51.987738] OREAnalytics/orea/aggregation/exposureallocator.cpp:44 : Compute allocated trade exposures
NOTICE [2024-Jan-31 23:16:51.987738] OREAnalytics/orea/aggregation/exposureallocator.cpp:64 : Completed calculating allocated trade exposures
...
ALERT [2024-Jan-31 23:16:51.987738] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:16:52.004868] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:16:52.005868] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade Swap_20, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:16:52.006850] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:52.007864] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:16:52.008864] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:16:52.009864] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:16:52.010862] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:52.012861] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:16:52.015859] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:16:52.016859] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:16:52.017858] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:52.018858] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:16:52.025521] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:16:52.027520] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:16:52.030519] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:16:52.033516] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:16:57.486088] OREAnalytics/orea/aggregation/xvacalculator.cpp:371 : Update XVA for netting set CPTY_A, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:16:57.501711] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DefaultCurve(CPTY_A)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:57.501711] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:16:57.501711] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:16:57.501711] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:16:57.501711] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:16:57.501711] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:16:57.501711] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_BORROW) failed: Two or three tokens required in BANK_EUR_BORROW: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:16:57.501711] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:16:57.501711] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:57.517334] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:16:57.517334] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(BANK_EUR_LEND) failed: Two or three tokens required in BANK_EUR_LEND: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:16:57.517334] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:16:57.517334] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:16:57.517334] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:17:03.127741] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:582 : post done
NOTICE [2024-Jan-31 23:17:03.127741] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:767 : Generating XVA reports and cube outputs
NOTICE [2024-Jan-31 23:17:03.127741] OREAnalytics/orea/app/reportwriter.cpp:1420 : Writing cube report
NOTICE [2024-Jan-31 23:17:03.299722] OREAnalytics/orea/app/reportwriter.cpp:1485 : Cube report written
WARNING [2024-Jan-31 23:17:03.299722] OREAnalytics/orea/app/analytic.cpp:86 : 224559104|224555008
NOTICE [2024-Jan-31 23:17:03.299722] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'XVA' finished.
DEBUG [2024-Jan-31 23:17:03.299722] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve CHF-IN-EUR for label as it has already been added
...
NOTICE [2024-Jan-31 23:17:03.315345] OREAnalytics/orea/app/reportwriter.cpp:1399 : Writing Pricing stats report
NOTICE [2024-Jan-31 23:17:03.315345] OREAnalytics/orea/app/reportwriter.cpp:1415 : Pricing stats report written
NOTICE [2024-Jan-31 23:17:03.315345] OREAnalytics/orea/app/analyticsmanager.cpp:239 : report name cashflow occurs 1 times
...
NOTICE [2024-Jan-31 23:17:03.330970] OREData/ored/report/csvreport.cpp:107 : Opening CSV file report 'Output/flows.csv'
NOTICE [2024-Jan-31 23:17:03.330970] OREData/ored/report/csvreport.cpp:190 : CSV file report 'Output/flows.csv' closed.
NOTICE [2024-Jan-31 23:17:03.330970] OREAnalytics/orea/app/analyticsmanager.cpp:282 : report cashflow written to Output/flows.csv
...
NOTICE [2024-Jan-31 23:17:04.784130] OREAnalytics/orea/app/oreapp.cpp:263 : write npv cube cube
NOTICE [2024-Jan-31 23:17:04.784130] OREAnalytics/orea/app/oreapp.cpp:266 : write npv cube cube to file Output/cube.csv.gz
NOTICE [2024-Jan-31 23:17:05.409228] OREAnalytics/orea/app/oreapp.cpp:276 : write market cube scenariodata to file Output/scenariodata.csv.gz
WARNING [2024-Jan-31 23:17:08.446099] OREAnalytics/orea/app/oreapp.cpp:290 : 224653312|224649216
NOTICE [2024-Jan-31 23:17:08.446099] OREAnalytics/orea/app/oreapp.cpp:291 : ORE analytics done
NOTICE [2024-Jan-31 23:17:08.461725] OREAnalytics/orea/app/oreapp.cpp:397 : ORE done.