NOTICE [2024-Jan-31 23:28:43.006874] OREAnalytics/orea/app/parameters.cpp:133 : Parameters:
NOTICE [2024-Jan-31 23:28:43.008875] OREAnalytics/orea/app/parameters.cpp:136 : group = cashflow : active = N
...
NOTICE [2024-Jan-31 23:28:43.056648] OREAnalytics/orea/app/oreapp.cpp:462 : buildInputParameters called
NOTICE [2024-Jan-31 23:28:43.057649] OREAnalytics/orea/app/oreapp.cpp:481 : Loading calendar adjustments from file: Input/../../Input/calendaradjustment.xml
NOTICE [2024-Jan-31 23:28:43.071693] OREAnalytics/orea/app/oreapp.cpp:492 : Loading currency configurations from file: Input/../../Input/currencies.xml
DEBUG [2024-Jan-31 23:28:43.083751] OREData/ored/utilities/currencyconfig.cpp:42 : Loading external currency configuration for AED
DEBUG [2024-Jan-31 23:28:43.084750] OREData/ored/utilities/currencyconfig.cpp:58 : loading configuration for currency code AED
...
NOTICE [2024-Jan-31 23:28:43.389307] OREAnalytics/orea/app/oreapp.cpp:555 : Observation Mode is None
WARNING [2024-Jan-31 23:28:43.390307] OREAnalytics/orea/app/oreapp.cpp:568 : Reference data not found
WARNING [2024-Jan-31 23:28:43.390307] OREAnalytics/orea/app/oreapp.cpp:578 : Script library not loaded
NOTICE [2024-Jan-31 23:28:43.391307] OREAnalytics/orea/app/oreapp.cpp:583 : Loading conventions from file: Input/../../Input/conventions.xml
DEBUG [2024-Jan-31 23:28:43.392306] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-ZERO-CONVENTIONS
...
DEBUG [2024-Jan-31 23:28:43.510403] OREData/ored/configuration/conventions.cpp:2449 : Building Convention GBP-USD-FX-CONVENTIONS
...
DEBUG [2024-Jan-31 23:28:43.527378] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-USD-XCCY-BASIS-CONVENTIONS
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WARNING [2024-Jan-31 23:28:43.564151] OREAnalytics/orea/app/oreapp.cpp:594 : Using default Ibor fallback config
NOTICE [2024-Jan-31 23:28:43.565149] OREAnalytics/orea/app/oreapp.cpp:599 : Load curve configurations from file:
NOTICE [2024-Jan-31 23:28:43.567148] OREAnalytics/orea/app/oreapp.cpp:608 : Load pricing engine data from file: Input/../../Input/pricingengine.xml
DEBUG [2024-Jan-31 23:28:43.568148] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:28:43.569147] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:28:43.570147] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
...
DEBUG [2024-Jan-31 23:28:43.576143] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:28:43.580141] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:28:43.581140] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
...
DEBUG [2024-Jan-31 23:28:43.582140] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
...
DEBUG [2024-Jan-31 23:28:43.587137] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:28:43.588136] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
...
DEBUG [2024-Jan-31 23:28:43.591135] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:28:43.591135] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
...
DEBUG [2024-Jan-31 23:28:43.601143] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
...
DEBUG [2024-Jan-31 23:28:43.606140] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:28:43.609139] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:28:43.610139] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
...
DEBUG [2024-Jan-31 23:28:43.617119] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=IndexCreditDefaultSwap paramName=Curve paramValue=Underlying
...
DEBUG [2024-Jan-31 23:28:43.621117] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=SyntheticCDO paramName=correlation paramValue=0.0
...
DEBUG [2024-Jan-31 23:28:43.623116] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=SyntheticCDO engine=Bucketing
DEBUG [2024-Jan-31 23:28:43.624116] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=SyntheticCDO paramName=buckets paramValue=124
...
DEBUG [2024-Jan-31 23:28:43.626114] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS model=LinearTSR
...
DEBUG [2024-Jan-31 23:28:43.633110] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:28:43.634110] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:28:43.641107] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:28:43.642106] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:28:43.648103] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
...
DEBUG [2024-Jan-31 23:28:43.650102] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:28:43.651101] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
...
DEBUG [2024-Jan-31 23:28:43.655099] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BondOption paramName=TimestepPeriod paramValue=6M
...
NOTICE [2024-Jan-31 23:28:43.658096] OREAnalytics/orea/app/oreapp.cpp:617 : Loading today's market parameters from fileInput/../../Input/todaysmarket.xml
DEBUG [2024-Jan-31 23:28:43.659096] 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 23:28:43.726060] OREData/ored/marketdata/todaysmarketparameters.cpp:190 : TodaysMarketParameters: the attribute 'currency' is deprecated for 'SwaptionVolatilities', use 'key' instead.
...
WARNING [2024-Jan-31 23:28:43.731057] OREData/ored/marketdata/todaysmarketparameters.cpp:190 : TodaysMarketParameters: the attribute 'currency' is deprecated for 'CapFloorVolatilities', use 'key' instead.
...
NOTICE [2024-Jan-31 23:28:43.759039] OREAnalytics/orea/app/inputparameters.cpp:143 : Loading portfolio from file: Input/portfolio.xml
DEBUG [2024-Jan-31 23:28:43.771527] OREData/ored/portfolio/portfolio.cpp:58 : Parsing trade id:dummytrade
DEBUG [2024-Jan-31 23:28:43.772535] OREData/ored/portfolio/portfolio.cpp:68 : Added Trade dummytrade (dummytrade) type:Swap
NOTICE [2024-Jan-31 23:28:43.773534] OREData/ored/portfolio/portfolio.cpp:95 : Finished Parsing XML doc
NOTICE [2024-Jan-31 23:28:43.773534] OREAnalytics/orea/app/oreapp.cpp:636 : MarketContext::eqcalibration = libor
...
NOTICE [2024-Jan-31 23:28:43.777535] OREAnalytics/orea/app/oreapp.cpp:914 : Loading simulation config from fileInput/simulation.xml
DEBUG [2024-Jan-31 23:28:43.786523] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:699 : ScenarioSimMarketParameters::fromXML()
DEBUG [2024-Jan-31 23:28:43.787533] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:706 : Loading Currencies
DEBUG [2024-Jan-31 23:28:43.788536] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:710 : Loading BenchmarkCurve
DEBUG [2024-Jan-31 23:28:43.788536] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:723 : Loading YieldCurves
DEBUG [2024-Jan-31 23:28:43.789535] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse Y
WARNING [2024-Jan-31 23:28:43.790535] 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 23:28:43.791534] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:761 : Loading Libor indices
DEBUG [2024-Jan-31 23:28:43.791534] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:764 : Loading swap indices
DEBUG [2024-Jan-31 23:28:43.792534] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:775 : Loading FX Rates
DEBUG [2024-Jan-31 23:28:43.793533] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:804 : Loading SwaptionVolatilities
DEBUG [2024-Jan-31 23:28:43.793533] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:922 : Loading YieldVolatilities
DEBUG [2024-Jan-31 23:28:43.794532] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:941 : Loading Correlations
DEBUG [2024-Jan-31 23:28:43.795531] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:970 : Loading CapFloorVolatilities
DEBUG [2024-Jan-31 23:28:43.796518] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1076 : Loading YYCapFloorVolatilities
DEBUG [2024-Jan-31 23:28:43.796518] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1138 : Loading CPICapFloorVolatilities
DEBUG [2024-Jan-31 23:28:43.797530] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1201 : Loading DefaultCurves Rates
DEBUG [2024-Jan-31 23:28:43.798530] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1229 : Loading Equities Rates
DEBUG [2024-Jan-31 23:28:43.799530] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1242 : Loading CDSVolatilities Rates
DEBUG [2024-Jan-31 23:28:43.799530] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1270 : Loading FXVolatilities
DEBUG [2024-Jan-31 23:28:43.800529] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1339 : Loading EquityVolatilities
DEBUG [2024-Jan-31 23:28:43.801528] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1405 : Loading CpiInflationIndexCurves
DEBUG [2024-Jan-31 23:28:43.801528] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1408 : Loading ZeroInflationIndexCurves
DEBUG [2024-Jan-31 23:28:43.802528] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1415 : Loading YYInflationIndexCurves
DEBUG [2024-Jan-31 23:28:43.803527] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1423 : Loading AggregationScenarioDataIndices
DEBUG [2024-Jan-31 23:28:43.803527] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1428 : Loading AggregationScenarioDataCurrencies
DEBUG [2024-Jan-31 23:28:43.804527] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1434 : Loading Securities
DEBUG [2024-Jan-31 23:28:43.805526] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1444 : Loading CPRs
DEBUG [2024-Jan-31 23:28:43.805526] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1451 : Loading BaseCorrelations
DEBUG [2024-Jan-31 23:28:43.806526] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1461 : Loading commodities data
DEBUG [2024-Jan-31 23:28:43.807525] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1503 : Loading commodity volatility data
DEBUG [2024-Jan-31 23:28:43.807525] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1533 : Loading credit states data
DEBUG [2024-Jan-31 23:28:43.808524] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1540 : Loading AggregationScenarioDataCreditStates
DEBUG [2024-Jan-31 23:28:43.809524] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1547 : Loading AggregationScenarioDataSurvivalWeights
DEBUG [2024-Jan-31 23:28:43.810523] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1551 : Loaded ScenarioSimMarketParameters
NOTICE [2024-Jan-31 23:28:43.810523] OREData/ored/model/crossassetmodeldata.cpp:288 : CrossAssetModelData: domesticCcy EUR
NOTICE [2024-Jan-31 23:28:43.811523] OREData/ored/model/crossassetmodeldata.cpp:292 : CrossAssetModelData: ccy EUR
NOTICE [2024-Jan-31 23:28:43.812510] OREData/ored/model/crossassetmodeldata.cpp:316 : CrossAssetModelData: bootstrap tolerance = 0.0001
NOTICE [2024-Jan-31 23:28:43.813522] OREData/ored/model/crossassetmodeldata.cpp:319 : CrossAssetModelData: measure = 'BA'
WARNING [2024-Jan-31 23:28:43.813522] OREData/ored/model/irhwmodeldata.cpp:73 : HwModelData: attribute ccy is deprecated, use key instead.
NOTICE [2024-Jan-31 23:28:43.815591] OREData/ored/model/irhwmodeldata.cpp:76 : HwModelData with attribute (key) = default
NOTICE [2024-Jan-31 23:28:43.815591] OREData/ored/model/irhwmodeldata.cpp:83 : Hull White mean reversion calibrate = 0
NOTICE [2024-Jan-31 23:28:43.816593] OREData/ored/model/irhwmodeldata.cpp:88 : Hull White Kappa param type = Constant
NOTICE [2024-Jan-31 23:28:43.817592] OREData/ored/model/irhwmodeldata.cpp:92 : Hull White Reversion time grid size = 0
NOTICE [2024-Jan-31 23:28:43.817592] OREData/ored/model/irhwmodeldata.cpp:114 : Hull White volatility calibrate = 0
NOTICE [2024-Jan-31 23:28:43.818591] OREData/ored/model/irhwmodeldata.cpp:119 : Hull White Volatility param type = Constant
NOTICE [2024-Jan-31 23:28:43.819590] OREData/ored/model/irhwmodeldata.cpp:123 : Hull White volatility time grid size = 0
NOTICE [2024-Jan-31 23:28:43.819590] OREData/ored/model/irmodeldata.cpp:113 : HwModel with calibrationType_ = default
NOTICE [2024-Jan-31 23:28:43.820590] OREData/ored/model/irhwmodeldata.cpp:151 : HwModelData done
NOTICE [2024-Jan-31 23:28:43.821589] OREData/ored/model/crossassetmodeldata.cpp:363 : CrossAssetModelData: HullWhite IR config built for key default
DEBUG [2024-Jan-31 23:28:43.822589] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(default) failed: Two or three tokens required in default: CCY-INDEX or CCY-INDEX-TERM
NOTICE [2024-Jan-31 23:28:43.822589] OREData/ored/model/crossassetmodeldata.cpp:593 : IR configuration missing for currency EUR, using default
...
NOTICE [2024-Jan-31 23:28:43.824588] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy EUR EUR
...
NOTICE [2024-Jan-31 23:28:43.825587] OREData/ored/model/crossassetmodeldata.cpp:375 : CrossAssetModelData: IR config currency 0 = EUR
NOTICE [2024-Jan-31 23:28:43.826587] OREData/ored/model/fxbsdata.cpp:41 : CC-LGM foreignCcy = default
NOTICE [2024-Jan-31 23:28:43.826587] OREData/ored/model/fxbsdata.cpp:44 : CC-LGM domesticCcy = EUR
NOTICE [2024-Jan-31 23:28:43.827586] OREData/ored/model/fxbsdata.cpp:48 : CC-LGM calibration type = None
NOTICE [2024-Jan-31 23:28:43.828585] OREData/ored/model/fxbsdata.cpp:52 : CC-LGM Sigma calibrate = 0
NOTICE [2024-Jan-31 23:28:43.829585] OREData/ored/model/fxbsdata.cpp:56 : CC-LGM Sigma parameter type = Constant
NOTICE [2024-Jan-31 23:28:43.829585] OREData/ored/model/fxbsdata.cpp:59 : CC-LGM Sigma time grid size = 0
NOTICE [2024-Jan-31 23:28:43.830584] OREData/ored/model/fxbsdata.cpp:62 : CC-LGM Sigma initial values size = 1
NOTICE [2024-Jan-31 23:28:43.831599] OREData/ored/model/crossassetmodeldata.cpp:394 : CrossAssetModelData: FX config built with key (foreign ccy) default
NOTICE [2024-Jan-31 23:28:43.832598] OREData/ored/model/crossassetmodeldata.cpp:426 : No Equity Models section found
NOTICE [2024-Jan-31 23:28:43.832598] OREData/ored/model/crossassetmodeldata.cpp:470 : No InflationIndexModels node found so no inflation models configured.
NOTICE [2024-Jan-31 23:28:43.833598] OREData/ored/model/crossassetmodeldata.cpp:513 : No CR model section found
NOTICE [2024-Jan-31 23:28:43.834597] OREData/ored/model/crossassetmodeldata.cpp:544 : No Commodity Models section found
NOTICE [2024-Jan-31 23:28:43.834597] OREData/ored/model/crossassetmodeldata.cpp:561 : No credit states section found
NOTICE [2024-Jan-31 23:28:43.835597] OREData/ored/model/crossassetmodeldata.cpp:565 : CrossAssetModelData: adding correlations.
NOTICE [2024-Jan-31 23:28:43.836598] OREData/ored/model/crossassetmodeldata.cpp:74 : CrossAssetModelData: adding correlations.
NOTICE [2024-Jan-31 23:28:43.837595] OREData/ored/model/crossassetmodeldata.cpp:571 : CrossAssetModelData loading from XML done
DEBUG [2024-Jan-31 23:28:43.839594] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 5000
DEBUG [2024-Jan-31 23:28:43.839594] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:3D, Date:2016-02-08, Valuation:1, CloseOut:0
...
NOTICE [2024-Jan-31 23:28:48.475215] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:80 : ScenarioGeneratorData grid points size = 5000
NOTICE [2024-Jan-31 23:28:48.475215] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:84 : ScenarioGeneratorData sequence type = MersenneTwister
NOTICE [2024-Jan-31 23:28:48.476215] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:87 : ScenarioGeneratorData seed = 42
NOTICE [2024-Jan-31 23:28:48.477214] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:90 : ScenarioGeneratorData samples = 1
NOTICE [2024-Jan-31 23:28:48.477214] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:145 : ScenarioGeneratorData done.
DEBUG [2024-Jan-31 23:28:48.478214] OREAnalytics/orea/app/oreapp.cpp:921 : grid size=5000, dates=5000, valuationDates=5000, closeOutDates=0
NOTICE [2024-Jan-31 23:28:48.479213] OREAnalytics/orea/app/oreapp.cpp:929 : Load simulation pricing engine data from file: Input/../../Input/pricingengine.xml
DEBUG [2024-Jan-31 23:28:48.480212] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:28:48.480212] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:28:48.481212] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
...
DEBUG [2024-Jan-31 23:28:48.487208] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:28:48.491206] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:28:48.491206] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
...
DEBUG [2024-Jan-31 23:28:48.493205] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
...
DEBUG [2024-Jan-31 23:28:48.498202] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:28:48.499201] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
...
DEBUG [2024-Jan-31 23:28:48.502200] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:28:48.503199] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
...
DEBUG [2024-Jan-31 23:28:48.512194] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
...
DEBUG [2024-Jan-31 23:28:48.518111] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:28:48.521110] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:28:48.521110] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
...
DEBUG [2024-Jan-31 23:28:48.529105] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=IndexCreditDefaultSwap paramName=Curve paramValue=Underlying
...
DEBUG [2024-Jan-31 23:28:48.532103] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=SyntheticCDO paramName=correlation paramValue=0.0
...
DEBUG [2024-Jan-31 23:28:48.536103] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=SyntheticCDO engine=Bucketing
DEBUG [2024-Jan-31 23:28:48.537103] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=SyntheticCDO paramName=buckets paramValue=124
...
DEBUG [2024-Jan-31 23:28:48.539101] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS model=LinearTSR
...
DEBUG [2024-Jan-31 23:28:48.551095] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:28:48.552094] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:28:48.562088] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:28:48.563086] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:28:48.573082] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
...
DEBUG [2024-Jan-31 23:28:48.576079] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:28:48.577077] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
...
DEBUG [2024-Jan-31 23:28:48.584076] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BondOption paramName=TimestepPeriod paramValue=6M
...
WARNING [2024-Jan-31 23:28:48.588074] OREAnalytics/orea/app/oreapp.cpp:941 : AMC pricing engine data not found, using standard pricing engines
NOTICE [2024-Jan-31 23:28:48.589071] OREAnalytics/orea/app/oreapp.cpp:1013 : Loading netting and csa data from fileInput/netting.xml
NOTICE [2024-Jan-31 23:28:48.591072] OREData/ored/portfolio/nettingsetdefinition.cpp:270 : NettingSetId='CPTY_A': Validating netting set definition
DEBUG [2024-Jan-31 23:28:48.593068] OREData/ored/portfolio/nettingsetdefinition.cpp:111 : NettingSetId='CPTY_A': NettingSetDefinition built from XML...
...
NOTICE [2024-Jan-31 23:28:48.596067] OREData/ored/portfolio/nettingsetdefinition.cpp:277 : NettingSetId='CPTY_B': Validating netting set definition's CSA details
...
NOTICE [2024-Jan-31 23:28:48.598069] OREAnalytics/orea/app/oreapp.cpp:1398 : buildInputParameters done
NOTICE [2024-Jan-31 23:28:48.600067] OREAnalytics/orea/app/inputparameters.cpp:463 : OutputFileNameMap called
NOTICE [2024-Jan-31 23:28:48.601064] OREAnalytics/orea/app/inputparameters.cpp:527 : OutputFileNameMap complete
NOTICE [2024-Jan-31 23:28:48.602063] OREAnalytics/orea/app/oreapp.cpp:221 : ORE analytics starting
WARNING [2024-Jan-31 23:28:48.603063] OREAnalytics/orea/app/oreapp.cpp:222 : 9207808|9203712
DEBUG [2024-Jan-31 23:28:48.605062] OREData/ored/marketdata/market.cpp:98 : Building default PseudoCurrencyMarketParameters
DEBUG [2024-Jan-31 23:28:48.606061] OREData/ored/marketdata/market.cpp:100 : PseudoCurrencyMarketParameters { TreatAsFX:True, BaseCurrency:}
...
WARNING [2024-Jan-31 23:28:48.610059] OREAnalytics/orea/app/oreapp.cpp:210 : dividend data file not found
NOTICE [2024-Jan-31 23:28:48.612058] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/market_20160205_flat.txt
DATA [2024-Jan-31 23:28:48.614058] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum BMA_SWAP/RATIO/USD/3M/3M
...
WARNING [2024-Jan-31 23:28:48.852626] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum FRA/RATE/EUR/1M/6M - this is already present.
...
DATA [2024-Jan-31 23:28:48.857623] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum IR_SWAP/RATE/EUR/2D/6M/2Y
...
WARNING [2024-Jan-31 23:28:53.112331] 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 23:28:53.141312] 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 23:28:53.169296] 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 23:28:53.197280] 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 23:28:53.224264] 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 23:28:53.253249] 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 23:28:53.281952] 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 23:28:53.309951] 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 23:28:53.338931] 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 23:28:53.367905] 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 23:28:53.397888] 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 23:28:53.426871] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/20Y/3M/0/0/0.015 - this is already present.
...
NOTICE [2024-Jan-31 23:28:54.391596] OREData/ored/marketdata/csvloader.cpp:166 : CSVLoader completed processing Input/../../Input/market_20160205_flat.txt
NOTICE [2024-Jan-31 23:28:54.393594] OREData/ored/marketdata/csvloader.cpp:78 : CSVLoader loaded 7774 market data points for February 5th, 2016
NOTICE [2024-Jan-31 23:28:54.395594] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/fixings_20160205.txt
...
NOTICE [2024-Jan-31 23:28:54.415582] OREData/ored/marketdata/csvloader.cpp:83 : CSVLoader loaded 5452 fixings
NOTICE [2024-Jan-31 23:28:54.415582] OREData/ored/marketdata/csvloader.cpp:88 : CSVLoader loaded 0 dividends
NOTICE [2024-Jan-31 23:28:54.416581] OREData/ored/marketdata/csvloader.cpp:90 : CSVLoader complete.
NOTICE [2024-Jan-31 23:28:54.417580] OREAnalytics/orea/app/analyticsmanager.cpp:77 : register analytic with label 'MARKETDATA' and sub-analytics MARKETDATA
...
NOTICE [2024-Jan-31 23:28:54.419580] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:48 : XvaAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:28:54.422579] OREAnalytics/orea/app/analytics/scenariostatisticsanalytic.cpp:42 : ScenarioStatisticsAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:28:54.423577] OREAnalytics/orea/app/oreapp.cpp:239 : Available analytics: CASHFLOW,CASHFLOWNPV,EXPOSURE,MARKETDATA,NPV,PARCONVERSION,SCENARIO_STATISTICS,SENSITIVITY,SIMM,STRESS,VAR,XVA
NOTICE [2024-Jan-31 23:28:54.424577] OREAnalytics/orea/app/oreapp.cpp:242 : Requested analytics: EXPOSURE
NOTICE [2024-Jan-31 23:28:54.425562] OREAnalytics/orea/app/analyticsmanager.cpp:142 : AnalyticsManager::runAnalytics: requireMarketData Y
NOTICE [2024-Jan-31 23:28:54.426561] OREAnalytics/orea/app/analyticsmanager.cpp:147 : AnalyticsManager::runAnalytics: populate loader
NOTICE [2024-Jan-31 23:28:54.427560] OREAnalytics/orea/app/marketdatacsvloader.cpp:78 : MarketDataCsvLoader::retrieveFixings called: all fixings ? Y
NOTICE [2024-Jan-31 23:28:54.431558] OREAnalytics/orea/app/marketdataloader.cpp:264 : Adding the loaded fixings to the IndexManager
DATA [2024-Jan-31 23:28:54.432558] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:28:54.433557] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
...
WARNING [2024-Jan-31 23:28:54.437555] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:54.438554] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
WARNING [2024-Jan-31 23:28:54.444551] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:54.445550] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
WARNING [2024-Jan-31 23:28:54.458558] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:54.459557] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
WARNING [2024-Jan-31 23:28:54.666762] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:54.666762] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
WARNING [2024-Jan-31 23:28:54.875305] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:54.876305] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
WARNING [2024-Jan-31 23:28:55.077921] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:55.078920] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
...
WARNING [2024-Jan-31 23:28:55.281508] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:55.281508] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
WARNING [2024-Jan-31 23:28:55.486623] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:55.486623] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
WARNING [2024-Jan-31 23:28:55.695202] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:28:55.696201] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DATA [2024-Jan-31 23:28:55.701213] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
WARNING [2024-Jan-31 23:28:55.703212] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date (no more warnings of this type will be emitted)
...
DATA [2024-Jan-31 23:28:55.904816] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:28:56.123679] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:28:56.337554] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:28:56.537617] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DATA [2024-Jan-31 23:28:56.746485] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
...
DATA [2024-Jan-31 23:28:56.967068] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
...
DATA [2024-Jan-31 23:28:57.202921] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DATA [2024-Jan-31 23:28:57.416543] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
...
DATA [2024-Jan-31 23:28:57.634078] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
...
DATA [2024-Jan-31 23:28:57.874697] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DATA [2024-Jan-31 23:28:57.888700] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
...
DATA [2024-Jan-31 23:28:57.895683] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
...
DATA [2024-Jan-31 23:28:58.116300] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
...
DATA [2024-Jan-31 23:28:58.324169] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DATA [2024-Jan-31 23:28:58.532047] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:28:58.748924] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
...
DATA [2024-Jan-31 23:28:58.960802] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
...
NOTICE [2024-Jan-31 23:28:58.967798] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 4.535656 seconds
NOTICE [2024-Jan-31 23:28:58.968798] OREAnalytics/orea/app/marketdataloader.cpp:268 : Generating market datum set
DEBUG [2024-Jan-31 23:28:58.969797] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
...
WARNING [2024-Jan-31 23:28:59.288630] OREData/ored/configuration/capfloorvolcurveconfig.cpp:142 : CapFloorVolatilityCurveConfig (EUR_CF_N): The IborIndex node is deprecated, use Index instead.
DATA [2024-Jan-31 23:28:59.289630] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
WARNING [2024-Jan-31 23:28:59.297613] OREData/ored/configuration/cdsvolcurveconfig.cpp:94 : Using an Expiries node only in CDSVolatilityCurveConfig is deprecated. A volatility configuration node should be used instead.
...
DEBUG [2024-Jan-31 23:28:59.298613] OREData/ored/configuration/inflationcapfloorvolcurveconfig.cpp:179 : ZC Inflation Cap/Floor Strike 0 = -0.02
...
DEBUG [2024-Jan-31 23:28:59.324595] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
...
NOTICE [2024-Jan-31 23:29:03.685012] OREAnalytics/orea/app/marketdataloader.cpp:286 : CurveConfigs require 2489 quotes
DATA [2024-Jan-31 23:29:03.686011] OREData/ored/marketdata/inmemoryloader.cpp:113 : Added MarketDatum BASIS_SWAP/BASIS_SPREAD/3M/1M/USD/10Y
...
NOTICE [2024-Jan-31 23:29:09.415158] OREAnalytics/orea/app/marketdataloader.cpp:293 : Got market data
NOTICE [2024-Jan-31 23:29:09.416173] OREAnalytics/orea/app/reportwriter.cpp:1324 : Writing MarketData report
NOTICE [2024-Jan-31 23:29:09.421170] OREAnalytics/orea/app/reportwriter.cpp:1363 : MarketData report written
NOTICE [2024-Jan-31 23:29:09.423169] OREAnalytics/orea/app/reportwriter.cpp:1368 : Writing Fixings report
NOTICE [2024-Jan-31 23:29:09.426158] OREAnalytics/orea/app/reportwriter.cpp:1377 : Fixings report written
NOTICE [2024-Jan-31 23:29:09.426158] OREAnalytics/orea/app/reportwriter.cpp:1382 : Writing Dividends report
NOTICE [2024-Jan-31 23:29:09.427167] OREAnalytics/orea/app/reportwriter.cpp:1394 : Dividends report written
NOTICE [2024-Jan-31 23:29:09.428165] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'XVA'
WARNING [2024-Jan-31 23:29:09.428165] OREAnalytics/orea/app/analytic.cpp:83 : 32428032|32423936
NOTICE [2024-Jan-31 23:29:09.429166] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:588 : XVA analytic called with asof 2016-02-05
NOTICE [2024-Jan-31 23:29:09.431149] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:601 : XVA: Build Today's Market
NOTICE [2024-Jan-31 23:29:09.432164] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:29:09.433151] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
DATA [2024-Jan-31 23:29:09.434150] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:29:09.435150] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
...
DATA [2024-Jan-31 23:29:09.439147] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
DATA [2024-Jan-31 23:29:09.445156] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
DATA [2024-Jan-31 23:29:09.458136] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DATA [2024-Jan-31 23:29:09.669011] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
DATA [2024-Jan-31 23:29:09.905574] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DATA [2024-Jan-31 23:29:10.165605] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
...
DATA [2024-Jan-31 23:29:10.376189] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DATA [2024-Jan-31 23:29:10.589975] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DATA [2024-Jan-31 23:29:10.802585] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DATA [2024-Jan-31 23:29:10.808582] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
DATA [2024-Jan-31 23:29:11.063924] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:29:11.301787] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:29:11.610613] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:29:11.921438] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DATA [2024-Jan-31 23:29:12.139323] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
...
DATA [2024-Jan-31 23:29:12.347875] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
...
DATA [2024-Jan-31 23:29:12.625717] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DATA [2024-Jan-31 23:29:12.908556] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
...
DATA [2024-Jan-31 23:29:13.124430] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
...
DATA [2024-Jan-31 23:29:13.334454] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DATA [2024-Jan-31 23:29:13.348446] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
...
DATA [2024-Jan-31 23:29:13.354428] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
...
DATA [2024-Jan-31 23:29:13.563232] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
...
DATA [2024-Jan-31 23:29:13.775797] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DATA [2024-Jan-31 23:29:13.983678] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:29:14.192343] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
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DATA [2024-Jan-31 23:29:14.399957] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
...
NOTICE [2024-Jan-31 23:29:14.406953] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 4.973377 seconds
NOTICE [2024-Jan-31 23:29:14.408952] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:29:14.408952] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:29:14.409951] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:29:14.410951] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:29:14.410951] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote EURCHF
...
NOTICE [2024-Jan-31 23:29:14.415948] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 7 quotes, 6 currencies.
NOTICE [2024-Jan-31 23:29:14.416947] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
DATA [2024-Jan-31 23:29:14.417947] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:29:14.483267] 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 23:29:14.522898] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-CMS-1Y
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DATA [2024-Jan-31 23:29:14.524897] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DATA [2024-Jan-31 23:29:14.524897] 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 23:29:14.525896] 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 23:29:14.527895] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DATA [2024-Jan-31 23:29:14.528895] 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 23:29:14.529908] 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)
...
DATA [2024-Jan-31 23:29:14.531907] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:29:14.532906] 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)
...
DATA [2024-Jan-31 23:29:14.534906] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DATA [2024-Jan-31 23:29:14.535890] 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 23:29:14.536905] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #29 SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) to #15 IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M)
...
DATA [2024-Jan-31 23:29:14.542901] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:29:14.544899] 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 23:29:14.546898] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DATA [2024-Jan-31 23:29:14.546898] 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 23:29:14.547898] 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 23:29:14.549896] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DATA [2024-Jan-31 23:29:14.550896] 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 23:29:14.551896] 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)
...
DATA [2024-Jan-31 23:29:14.555894] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:29:14.556894] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #36 SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) to #23 IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M)
...
DATA [2024-Jan-31 23:29:14.559891] 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 23:29:14.567886] 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 23:29:14.574882] 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 23:29:14.576882] 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 23:29:14.577881] 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 23:29:14.584864] 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 23:29:14.585864] 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 23:29:14.587863] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:29:14.587863] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:29:14.588862] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:29:14.655836] 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 23:29:14.689802] 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 23:29:14.689802] 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 23:29:14.706807] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:29:14.714802] 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 23:29:14.721798] 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 23:29:14.723798] 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 23:29:14.723798] 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 23:29:14.730793] 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 23:29:14.730793] 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 23:29:14.732792] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
NOTICE [2024-Jan-31 23:29:14.733792] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
DATA [2024-Jan-31 23:29:14.734791] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:29:14.800478] 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 23:29:14.840470] 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 23:29:14.841470] 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 23:29:14.857460] 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 23:29:14.865455] 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 23:29:14.872451] 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 23:29:14.874450] 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 23:29:14.875450] 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 23:29:14.881446] 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 23:29:14.881446] 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 23:29:14.883445] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:29:14.884445] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
DATA [2024-Jan-31 23:29:14.885444] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:29:14.952391] 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 23:29:14.991383] 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 23:29:14.992382] 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 23:29:15.008374] 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 23:29:15.016369] 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 23:29:15.023365] 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 23:29:15.025364] 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 23:29:15.026364] 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 23:29:15.032235] 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 23:29:15.033235] 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 23:29:15.035234] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:29:15.036219] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:29:15.036219] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:29:15.104180] 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 23:29:15.140173] 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 23:29:15.141173] 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 23:29:15.157164] 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 23:29:15.165160] 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 23:29:15.172156] 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 23:29:15.174155] 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 23:29:15.175154] 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 23:29:15.181150] 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 23:29:15.182150] 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 23:29:15.184149] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
NOTICE [2024-Jan-31 23:29:15.185148] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:29:15.186149] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:29:15.187148] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 4.98e+03 ms 1 4.98e+03 ms
...
NOTICE [2024-Jan-31 23:29:15.189146] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 5749.55 ms
NOTICE [2024-Jan-31 23:29:15.190145] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 5.757613 sec
NOTICE [2024-Jan-31 23:29:15.191145] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:615 : XVA: Build simulation market
NOTICE [2024-Jan-31 23:29:15.192132] OREAnalytics/orea/scenario/scenariosimmarket.cpp:323 : building ScenarioSimMarket...
DEBUG [2024-Jan-31 23:29:15.193132] OREAnalytics/orea/scenario/scenariosimmarket.cpp:325 : AsOf 2016-02-05
DEBUG [2024-Jan-31 23:29:15.194131] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building EUR yield curve..
DEBUG [2024-Jan-31 23:29:15.194131] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'libor'
DATA [2024-Jan-31 23:29:15.195130] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:15.196130] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #13: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:29:15.197129] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:15.198128] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:29:15.199128] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:15.200127] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EONIA-CONVENTIONS
DATA [2024-Jan-31 23:29:15.200127] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:29:15.202126] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:15.208135] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
DEBUG [2024-Jan-31 23:29:15.213133] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
DEBUG [2024-Jan-31 23:29:15.213133] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:15.214131] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration libor
DATA [2024-Jan-31 23:29:15.215131] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:29:15.215131] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration libor
DEBUG [2024-Jan-31 23:29:15.216131] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:15.217116] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:29:15.218131] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:15.218131] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EURIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:29:15.219129] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:29:15.220129] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:29:15.221114] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:15.223112] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:15.236121] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:29:15.243117] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:29:15.244116] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:15.244116] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR6M to configuration libor
DEBUG [2024-Jan-31 23:29:15.245116] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR6M) in configuration libor
DEBUG [2024-Jan-31 23:29:15.246114] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:29:15.246114] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve EUR discount[0]=0.980232
...
DEBUG [2024-Jan-31 23:29:15.252111] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building EUR yield curve done
NOTICE [2024-Jan-31 23:29:15.253109] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built DiscountCurve 1 59.3 ms
NOTICE [2024-Jan-31 23:29:15.254112] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
NOTICE [2024-Jan-31 23:29:15.254112] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 0 quotes, 0 currencies.
DEBUG [2024-Jan-31 23:29:15.255109] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2707 : building swap indices...
NOTICE [2024-Jan-31 23:29:15.256108] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2712 : building base scenario
NOTICE [2024-Jan-31 23:29:15.257108] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2729 : building base scenario done
NOTICE [2024-Jan-31 23:29:15.257108] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:618 : XVA: Build Scenario Generator
NOTICE [2024-Jan-31 23:29:15.258106] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:156 : XVA: Build Simulation Model (continueOnCalibrationError = true)
NOTICE [2024-Jan-31 23:29:15.259106] OREData/ored/model/crossassetmodelbuilder.cpp:167 : Start building CrossAssetModel
DEBUG [2024-Jan-31 23:29:15.259106] OREData/ored/model/crossassetmodelbuilder.cpp:172 : configurations: LgmCalibration libor, FxCalibration libor, EqCalibration libor, InfCalibration default, CrCalibrationdefault, ComCalibrationdefault, FinalModel libor
DEBUG [2024-Jan-31 23:29:15.260106] OREData/ored/model/crossassetmodelbuilder.cpp:207 : Setting measure to BA
DEBUG [2024-Jan-31 23:29:15.261105] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 0 qualifier EUR
DEBUG [2024-Jan-31 23:29:15.262104] 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 23:29:15.262104] OREData/ored/model/hwbuilder.cpp:63 : HwCalibration for qualifier EUR (ccy=EUR), configuration is libor
DEBUG [2024-Jan-31 23:29:15.263104] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'libor'
DEBUG [2024-Jan-31 23:29:15.264089] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:15.265099] OREData/ored/model/hwbuilder.cpp:148 : before calibration: sigma times = [ ]
DEBUG [2024-Jan-31 23:29:15.266103] OREData/ored/model/hwbuilder.cpp:149 : before calibration: kappa times = [ ]
DEBUG [2024-Jan-31 23:29:15.266103] OREData/ored/model/hwbuilder.cpp:154 : alpha times size: 0
DEBUG [2024-Jan-31 23:29:15.267101] OREData/ored/model/hwbuilder.cpp:155 : lambda times size: 0
DEBUG [2024-Jan-31 23:29:15.268677] OREData/ored/model/hwbuilder.cpp:190 : Recalibrate HW model for qualifier EUR currency EUR
DEBUG [2024-Jan-31 23:29:15.268677] 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 23:29:15.269684] OREData/ored/model/crossassetmodelbuilder.cpp:441 : CrossAssetModelBuilder: adding correlations.
DATA [2024-Jan-31 23:29:15.270678] OREData/ored/model/crossassetmodelbuilder.cpp:450 : CAM correlation matrix:
DATA [2024-Jan-31 23:29:15.271677] OREData/ored/model/crossassetmodelbuilder.cpp:451 : | 1 0 |
...
DEBUG [2024-Jan-31 23:29:15.272677] OREData/ored/model/crossassetmodelbuilder.cpp:470 : IR Calibration 0
DEBUG [2024-Jan-31 23:29:15.273676] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'libor'
DEBUG [2024-Jan-31 23:29:15.273676] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:15.274675] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for EUR for FX calibration
...
DEBUG [2024-Jan-31 23:29:15.276674] OREData/ored/model/crossassetmodelbuilder.cpp:548 : Relinked discounting curve for EUR for EQ calibration
...
DATA [2024-Jan-31 23:29:15.277674] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:15.278673] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:29:15.279673] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:29:15.279673] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:29:15.281368] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:15.281368] OREData/ored/model/crossassetmodelbuilder.cpp:619 : Relinked discounting curve for EUR for INF calibration
DEBUG [2024-Jan-31 23:29:15.282368] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'libor'
DEBUG [2024-Jan-31 23:29:15.283367] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:15.283367] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for EUR as final model curves
DEBUG [2024-Jan-31 23:29:15.285247] OREData/ored/model/crossassetmodelbuilder.cpp:656 : Building CrossAssetModel done
NOTICE [2024-Jan-31 23:29:15.285247] OREAnalytics/orea/scenario/scenariogeneratorbuilder.cpp:48 : ScenarioGeneratorBuilder::build() called
NOTICE [2024-Jan-31 23:29:15.288262] OREAnalytics/orea/scenario/crossassetmodelscenariogenerator.cpp:42 : CrossAssetModelScenarioGenerator ctor called
NOTICE [2024-Jan-31 23:29:15.289261] OREAnalytics/orea/scenario/crossassetmodelscenariogenerator.cpp:313 : CrossAssetModelScenarioGenerator ctor done
NOTICE [2024-Jan-31 23:29:15.289261] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:141 : simulation grid size 5000
NOTICE [2024-Jan-31 23:29:15.290260] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:142 : simulation grid valuation dates 5000
NOTICE [2024-Jan-31 23:29:15.291260] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:143 : simulation grid close-out dates 0
NOTICE [2024-Jan-31 23:29:15.292260] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:144 : simulation grid front date 2016-02-08
NOTICE [2024-Jan-31 23:29:15.292260] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:145 : simulation grid back date 2035-08-16
NOTICE [2024-Jan-31 23:29:15.293258] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:624 : XVA: Attach Scenario Generator to ScenarioSimMarket
NOTICE [2024-Jan-31 23:29:15.294259] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:228 : XVA: classicRun
NOTICE [2024-Jan-31 23:29:15.295257] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:234 : XVA: Build classic portfolio of size 1 linked to the simulation market
NOTICE [2024-Jan-31 23:29:15.296242] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 1
NOTICE [2024-Jan-31 23:29:15.297258] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:90 : XvaAnalytic::engineFactory() called
NOTICE [2024-Jan-31 23:29:15.297258] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:29:15.298258] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 1 for context = 'analytic/XVA'
DEBUG [2024-Jan-31 23:29:15.299257] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade dummytrade
DEBUG [2024-Jan-31 23:29:15.300255] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:29:15.301255] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:29:15.303239] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
DEBUG [2024-Jan-31 23:29:15.304254] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:29:15.305253] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:29:15.305253] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:29:15.306252] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade dummytrade:
DATA [2024-Jan-31 23:29:15.307251] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
NOTICE [2024-Jan-31 23:29:15.307251] 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 23:29:15.308251] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:248 : Filter trades that expire before February 5th, 2016
NOTICE [2024-Jan-31 23:29:15.309250] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:193 : XVA: initClassicRun
NOTICE [2024-Jan-31 23:29:15.310237] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:169 : XVA: Set cube depth
NOTICE [2024-Jan-31 23:29:15.311236] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:171 : XVA: Cube depth set to: 1
NOTICE [2024-Jan-31 23:29:15.311236] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:199 : XVA: Create asd 5000 x 1
NOTICE [2024-Jan-31 23:29:15.312235] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:177 : Init cube with depth 1
DEBUG [2024-Jan-31 23:29:15.313238] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:180 : initCube: grid[0]=2016-02-08
...
NOTICE [2024-Jan-31 23:29:19.706326] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:223 : XVA: initClassicRun completed
NOTICE [2024-Jan-31 23:29:19.707334] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:267 : XVA::buildCube
NOTICE [2024-Jan-31 23:29:19.708332] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:306 : XVA: Build Cube 1 x 5000 x 1
NOTICE [2024-Jan-31 23:29:19.711318] OREAnalytics/orea/engine/valuationengine.cpp:83 : Build cube with mporStickyDate=0, dryRun=false
NOTICE [2024-Jan-31 23:29:19.712318] OREAnalytics/orea/engine/valuationengine.cpp:109 : Starting ValuationEngine for 1 trades, 1 samples and 5000 dates.
NOTICE [2024-Jan-31 23:29:19.713317] OREAnalytics/orea/engine/valuationengine.cpp:116 : Initialise 1 valuation calculators
DEBUG [2024-Jan-31 23:29:19.714316] OREAnalytics/orea/engine/valuationcalculator.cpp:32 : init NPVCalculator
NOTICE [2024-Jan-31 23:29:19.714316] OREAnalytics/orea/engine/valuationengine.cpp:127 : Initialise state objects...
DEBUG [2024-Jan-31 23:29:19.715316] OREAnalytics/orea/engine/valuationengine.cpp:133 : Initialise wrapper for trade dummytrade
NOTICE [2024-Jan-31 23:29:19.716316] OREAnalytics/orea/engine/valuationengine.cpp:166 : Total number of trades = 1
DATA [2024-Jan-31 23:29:19.717315] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #0
NOTICE [2024-Jan-31 23:29:19.717315] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 0 out of 1 steps (0%) completed
...
NOTICE [2024-Jan-31 23:29:20.052314] OREAnalytics/orea/engine/valuationengine.cpp:286 : ValuationEngine completed: loop 0.34 sec, pricing 0.039 sec, update 0.28 sec fixing 8e-07
NOTICE [2024-Jan-31 23:29:20.053329] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:377 : XVA::buildCube done
NOTICE [2024-Jan-31 23:29:20.054316] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:259 : XVA: classicRun completed
WARNING [2024-Jan-31 23:29:20.055315] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:680 : We have generated a classic cube only
NOTICE [2024-Jan-31 23:29:20.056314] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:683 : NPV cube generation completed
NOTICE [2024-Jan-31 23:29:20.057314] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:689 : Classic portfolio size 1
NOTICE [2024-Jan-31 23:29:20.058313] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:690 : AMC portfolio size 0
NOTICE [2024-Jan-31 23:29:20.058313] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:696 : Total portfolio size 1
MEMORY [2024-Jan-31 23:29:20.059313] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:725 : 48824320|48820224
NOTICE [2024-Jan-31 23:29:20.060312] OREAnalytics/orea/app/reportwriter.cpp:1420 : Writing cube report
NOTICE [2024-Jan-31 23:29:20.247218] OREAnalytics/orea/app/reportwriter.cpp:1485 : Cube report written
WARNING [2024-Jan-31 23:29:20.247218] OREAnalytics/orea/app/analytic.cpp:86 : 50733056|50728960
NOTICE [2024-Jan-31 23:29:20.248217] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'XVA' finished.
DEBUG [2024-Jan-31 23:29:20.249216] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve EUR1D for label as it has already been added
NOTICE [2024-Jan-31 23:29:20.250216] OREAnalytics/orea/app/reportwriter.cpp:1399 : Writing Pricing stats report
NOTICE [2024-Jan-31 23:29:20.251215] OREAnalytics/orea/app/reportwriter.cpp:1415 : Pricing stats report written
NOTICE [2024-Jan-31 23:29:20.251215] OREAnalytics/orea/app/analyticsmanager.cpp:239 : report name dividends occurs 1 times
...
NOTICE [2024-Jan-31 23:29:20.256213] OREData/ored/report/csvreport.cpp:107 : Opening CSV file report 'Output/dividends.csv'
NOTICE [2024-Jan-31 23:29:20.258197] OREData/ored/report/csvreport.cpp:190 : CSV file report 'Output/dividends.csv' closed.
NOTICE [2024-Jan-31 23:29:20.259212] OREAnalytics/orea/app/analyticsmanager.cpp:282 : report dividends written to Output/dividends.csv
...
NOTICE [2024-Jan-31 23:29:20.352988] OREAnalytics/orea/app/oreapp.cpp:263 : write npv cube cube
NOTICE [2024-Jan-31 23:29:20.353987] OREAnalytics/orea/app/oreapp.cpp:266 : write npv cube cube to file Output/cube.csv.gz
NOTICE [2024-Jan-31 23:29:20.383985] OREAnalytics/orea/app/oreapp.cpp:276 : write market cube scenariodata to file Output/scenariodata.csv.gz
WARNING [2024-Jan-31 23:29:20.418950] OREAnalytics/orea/app/oreapp.cpp:290 : 50884608|50880512
NOTICE [2024-Jan-31 23:29:20.419950] OREAnalytics/orea/app/oreapp.cpp:291 : ORE analytics done
NOTICE [2024-Jan-31 23:29:20.423948] OREAnalytics/orea/app/oreapp.cpp:397 : ORE done.