NOTICE [2024-Jan-31 23:29:20.555670] OREAnalytics/orea/app/parameters.cpp:133 : Parameters:
NOTICE [2024-Jan-31 23:29:20.558672] OREAnalytics/orea/app/parameters.cpp:136 : group = cashflow : active = Y
...
NOTICE [2024-Jan-31 23:29:20.618638] OREAnalytics/orea/app/oreapp.cpp:462 : buildInputParameters called
WARNING [2024-Jan-31 23:29:20.619646] OREAnalytics/orea/app/oreapp.cpp:484 : Calendar adjustments not found, using defaults
WARNING [2024-Jan-31 23:29:20.620649] OREAnalytics/orea/app/oreapp.cpp:495 : Currency configurations not found, using defaults
NOTICE [2024-Jan-31 23:29:20.620649] OREAnalytics/orea/app/oreapp.cpp:555 : Observation Mode is Disable
WARNING [2024-Jan-31 23:29:20.621648] OREAnalytics/orea/app/oreapp.cpp:568 : Reference data not found
WARNING [2024-Jan-31 23:29:20.622647] OREAnalytics/orea/app/oreapp.cpp:578 : Script library not loaded
NOTICE [2024-Jan-31 23:29:20.622647] OREAnalytics/orea/app/oreapp.cpp:583 : Loading conventions from file: Input/../../Input/conventions.xml
DEBUG [2024-Jan-31 23:29:20.625635] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-ZERO-CONVENTIONS
...
DEBUG [2024-Jan-31 23:29:20.792328] OREData/ored/configuration/conventions.cpp:2449 : Building Convention GBP-USD-FX-CONVENTIONS
...
DEBUG [2024-Jan-31 23:29:20.810317] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-USD-XCCY-BASIS-CONVENTIONS
...
WARNING [2024-Jan-31 23:29:20.845298] OREAnalytics/orea/app/oreapp.cpp:594 : Using default Ibor fallback config
NOTICE [2024-Jan-31 23:29:20.846298] OREAnalytics/orea/app/oreapp.cpp:599 : Load curve configurations from file:
NOTICE [2024-Jan-31 23:29:20.849306] OREAnalytics/orea/app/oreapp.cpp:608 : Load pricing engine data from file: Input/../../Input/pricingengine.xml
DEBUG [2024-Jan-31 23:29:20.850308] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:29:20.850308] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:29:20.851307] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
...
DEBUG [2024-Jan-31 23:29:20.858289] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:29:20.861287] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:29:20.862287] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
...
DEBUG [2024-Jan-31 23:29:20.863286] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
...
DEBUG [2024-Jan-31 23:29:20.869282] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:29:20.869282] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
...
DEBUG [2024-Jan-31 23:29:20.872280] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:29:20.873280] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
...
DEBUG [2024-Jan-31 23:29:20.882290] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
...
DEBUG [2024-Jan-31 23:29:20.887287] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:29:20.890284] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:29:20.891284] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
...
DEBUG [2024-Jan-31 23:29:20.899280] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=IndexCreditDefaultSwap paramName=Curve paramValue=Underlying
...
DEBUG [2024-Jan-31 23:29:20.902278] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=SyntheticCDO paramName=correlation paramValue=0.0
...
DEBUG [2024-Jan-31 23:29:20.905276] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=SyntheticCDO engine=Bucketing
DEBUG [2024-Jan-31 23:29:20.906275] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=SyntheticCDO paramName=buckets paramValue=124
...
DEBUG [2024-Jan-31 23:29:20.907262] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS model=LinearTSR
...
DEBUG [2024-Jan-31 23:29:20.917257] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:29:20.918257] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:29:20.925265] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:29:20.926264] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:29:20.933261] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
...
DEBUG [2024-Jan-31 23:29:20.935261] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:29:20.935261] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
...
DEBUG [2024-Jan-31 23:29:20.939259] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BondOption paramName=TimestepPeriod paramValue=6M
...
NOTICE [2024-Jan-31 23:29:20.943242] OREAnalytics/orea/app/oreapp.cpp:617 : Loading today's market parameters from fileInput/../../Input/todaysmarket.xml
DEBUG [2024-Jan-31 23:29:20.944242] 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 23:29:21.003206] OREData/ored/marketdata/todaysmarketparameters.cpp:190 : TodaysMarketParameters: the attribute 'currency' is deprecated for 'SwaptionVolatilities', use 'key' instead.
...
WARNING [2024-Jan-31 23:29:21.007203] OREData/ored/marketdata/todaysmarketparameters.cpp:190 : TodaysMarketParameters: the attribute 'currency' is deprecated for 'CapFloorVolatilities', use 'key' instead.
...
NOTICE [2024-Jan-31 23:29:21.036446] OREAnalytics/orea/app/inputparameters.cpp:143 : Loading portfolio from file: Input/portfolio.xml
DEBUG [2024-Jan-31 23:29:21.045442] OREData/ored/portfolio/portfolio.cpp:58 : Parsing trade id:CCSwap
DEBUG [2024-Jan-31 23:29:21.046437] OREData/ored/portfolio/portfolio.cpp:68 : Added Trade CCSwap (CCSwap) type:Swap
NOTICE [2024-Jan-31 23:29:21.046437] OREData/ored/portfolio/portfolio.cpp:95 : Finished Parsing XML doc
NOTICE [2024-Jan-31 23:29:21.047440] OREAnalytics/orea/app/oreapp.cpp:636 : MarketContext::fxcalibration = collateral_eur
...
NOTICE [2024-Jan-31 23:29:21.050438] OREAnalytics/orea/app/oreapp.cpp:914 : Loading simulation config from fileInput/simulation.xml
DEBUG [2024-Jan-31 23:29:21.059215] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:699 : ScenarioSimMarketParameters::fromXML()
DEBUG [2024-Jan-31 23:29:21.060214] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:706 : Loading Currencies
DEBUG [2024-Jan-31 23:29:21.060214] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:710 : Loading BenchmarkCurve
DEBUG [2024-Jan-31 23:29:21.061217] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:723 : Loading YieldCurves
DEBUG [2024-Jan-31 23:29:21.062216] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse Y
WARNING [2024-Jan-31 23:29:21.062216] 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 23:29:21.063216] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:761 : Loading Libor indices
DEBUG [2024-Jan-31 23:29:21.064215] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:764 : Loading swap indices
DEBUG [2024-Jan-31 23:29:21.065214] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:775 : Loading FX Rates
DEBUG [2024-Jan-31 23:29:21.065214] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:804 : Loading SwaptionVolatilities
ALERT [2024-Jan-31 23:29:21.066214] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:816 : ScenarioSimMarketParameters: SwaptionVolatilities/Currencies is deprecated, use Keys instead.
DEBUG [2024-Jan-31 23:29:21.067213] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:922 : Loading YieldVolatilities
DEBUG [2024-Jan-31 23:29:21.068200] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:941 : Loading Correlations
DEBUG [2024-Jan-31 23:29:21.068200] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:970 : Loading CapFloorVolatilities
DEBUG [2024-Jan-31 23:29:21.069201] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1076 : Loading YYCapFloorVolatilities
DEBUG [2024-Jan-31 23:29:21.070199] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1138 : Loading CPICapFloorVolatilities
DEBUG [2024-Jan-31 23:29:21.071199] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1201 : Loading DefaultCurves Rates
DEBUG [2024-Jan-31 23:29:21.071199] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1229 : Loading Equities Rates
DEBUG [2024-Jan-31 23:29:21.072198] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1242 : Loading CDSVolatilities Rates
DEBUG [2024-Jan-31 23:29:21.073198] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1270 : Loading FXVolatilities
DEBUG [2024-Jan-31 23:29:21.074195] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1339 : Loading EquityVolatilities
DEBUG [2024-Jan-31 23:29:21.074195] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1405 : Loading CpiInflationIndexCurves
DEBUG [2024-Jan-31 23:29:21.075197] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1408 : Loading ZeroInflationIndexCurves
DEBUG [2024-Jan-31 23:29:21.076196] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1415 : Loading YYInflationIndexCurves
DEBUG [2024-Jan-31 23:29:21.077195] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1423 : Loading AggregationScenarioDataIndices
DEBUG [2024-Jan-31 23:29:21.077195] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1428 : Loading AggregationScenarioDataCurrencies
DEBUG [2024-Jan-31 23:29:21.078195] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1434 : Loading Securities
DEBUG [2024-Jan-31 23:29:21.079194] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1444 : Loading CPRs
DEBUG [2024-Jan-31 23:29:21.079194] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1451 : Loading BaseCorrelations
DEBUG [2024-Jan-31 23:29:21.080194] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1461 : Loading commodities data
DEBUG [2024-Jan-31 23:29:21.081193] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1503 : Loading commodity volatility data
DEBUG [2024-Jan-31 23:29:21.081193] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1533 : Loading credit states data
DEBUG [2024-Jan-31 23:29:21.082192] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1540 : Loading AggregationScenarioDataCreditStates
DEBUG [2024-Jan-31 23:29:21.083192] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1547 : Loading AggregationScenarioDataSurvivalWeights
DEBUG [2024-Jan-31 23:29:21.084191] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1551 : Loaded ScenarioSimMarketParameters
NOTICE [2024-Jan-31 23:29:21.084191] OREData/ored/model/crossassetmodeldata.cpp:288 : CrossAssetModelData: domesticCcy EUR
NOTICE [2024-Jan-31 23:29:21.085191] OREData/ored/model/crossassetmodeldata.cpp:292 : CrossAssetModelData: ccy EUR
...
NOTICE [2024-Jan-31 23:29:21.087187] OREData/ored/model/crossassetmodeldata.cpp:316 : CrossAssetModelData: bootstrap tolerance = 0.0001
NOTICE [2024-Jan-31 23:29:21.087187] OREData/ored/model/crossassetmodeldata.cpp:319 : CrossAssetModelData: measure = 'BA'
WARNING [2024-Jan-31 23:29:21.088187] OREData/ored/model/irhwmodeldata.cpp:73 : HwModelData: attribute ccy is deprecated, use key instead.
NOTICE [2024-Jan-31 23:29:21.089186] OREData/ored/model/irhwmodeldata.cpp:76 : HwModelData with attribute (key) = default
NOTICE [2024-Jan-31 23:29:21.089186] OREData/ored/model/irhwmodeldata.cpp:83 : Hull White mean reversion calibrate = 0
NOTICE [2024-Jan-31 23:29:21.090186] OREData/ored/model/irhwmodeldata.cpp:88 : Hull White Kappa param type = Constant
NOTICE [2024-Jan-31 23:29:21.091188] OREData/ored/model/irhwmodeldata.cpp:92 : Hull White Reversion time grid size = 0
NOTICE [2024-Jan-31 23:29:21.092187] OREData/ored/model/irhwmodeldata.cpp:114 : Hull White volatility calibrate = 0
NOTICE [2024-Jan-31 23:29:21.092187] OREData/ored/model/irhwmodeldata.cpp:119 : Hull White Volatility param type = Constant
NOTICE [2024-Jan-31 23:29:21.093186] OREData/ored/model/irhwmodeldata.cpp:123 : Hull White volatility time grid size = 0
NOTICE [2024-Jan-31 23:29:21.094186] OREData/ored/model/irmodeldata.cpp:113 : HwModel with calibrationType_ = default
NOTICE [2024-Jan-31 23:29:21.095185] OREData/ored/model/irhwmodeldata.cpp:151 : HwModelData done
NOTICE [2024-Jan-31 23:29:21.095185] OREData/ored/model/crossassetmodeldata.cpp:363 : CrossAssetModelData: HullWhite IR config built for key default
DEBUG [2024-Jan-31 23:29:21.096184] 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 23:29:21.097184] OREData/ored/model/crossassetmodeldata.cpp:593 : IR configuration missing for currency EUR, using default
...
NOTICE [2024-Jan-31 23:29:21.098183] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy EUR EUR
...
NOTICE [2024-Jan-31 23:29:21.103193] OREData/ored/model/crossassetmodeldata.cpp:375 : CrossAssetModelData: IR config currency 0 = EUR
...
NOTICE [2024-Jan-31 23:29:21.105192] OREData/ored/model/fxbsdata.cpp:41 : CC-LGM foreignCcy = default
NOTICE [2024-Jan-31 23:29:21.105192] OREData/ored/model/fxbsdata.cpp:44 : CC-LGM domesticCcy = EUR
NOTICE [2024-Jan-31 23:29:21.106192] OREData/ored/model/fxbsdata.cpp:48 : CC-LGM calibration type = None
NOTICE [2024-Jan-31 23:29:21.107191] OREData/ored/model/fxbsdata.cpp:52 : CC-LGM Sigma calibrate = 0
NOTICE [2024-Jan-31 23:29:21.108175] OREData/ored/model/fxbsdata.cpp:56 : CC-LGM Sigma parameter type = Constant
NOTICE [2024-Jan-31 23:29:21.108175] OREData/ored/model/fxbsdata.cpp:59 : CC-LGM Sigma time grid size = 0
NOTICE [2024-Jan-31 23:29:21.109175] OREData/ored/model/fxbsdata.cpp:62 : CC-LGM Sigma initial values size = 1
NOTICE [2024-Jan-31 23:29:21.110175] OREData/ored/model/crossassetmodeldata.cpp:394 : CrossAssetModelData: FX config built with key (foreign ccy) default
NOTICE [2024-Jan-31 23:29:21.110175] OREData/ored/model/crossassetmodeldata.cpp:634 : FX configuration missing for foreign currency USD, using default
NOTICE [2024-Jan-31 23:29:21.111174] OREData/ored/model/crossassetmodeldata.cpp:646 : CrossAssetModelData: FX config added for foreign ccy USD
NOTICE [2024-Jan-31 23:29:21.112173] OREData/ored/model/crossassetmodeldata.cpp:403 : CrossAssetModelData: FX config currency 0 = USD
NOTICE [2024-Jan-31 23:29:21.112173] OREData/ored/model/crossassetmodeldata.cpp:426 : No Equity Models section found
NOTICE [2024-Jan-31 23:29:21.113172] OREData/ored/model/crossassetmodeldata.cpp:470 : No InflationIndexModels node found so no inflation models configured.
NOTICE [2024-Jan-31 23:29:21.114172] OREData/ored/model/crossassetmodeldata.cpp:513 : No CR model section found
NOTICE [2024-Jan-31 23:29:21.115171] OREData/ored/model/crossassetmodeldata.cpp:544 : No Commodity Models section found
NOTICE [2024-Jan-31 23:29:21.115171] OREData/ored/model/crossassetmodeldata.cpp:561 : No credit states section found
NOTICE [2024-Jan-31 23:29:21.116171] OREData/ored/model/crossassetmodeldata.cpp:565 : CrossAssetModelData: adding correlations.
NOTICE [2024-Jan-31 23:29:21.117170] OREData/ored/model/crossassetmodeldata.cpp:74 : CrossAssetModelData: adding correlations.
DEBUG [2024-Jan-31 23:29:21.117170] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,USD,0}) = 0.3.
...
DEBUG [2024-Jan-31 23:29:21.123167] 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 23:29:21.124166] OREData/ored/model/crossassetmodeldata.cpp:571 : CrossAssetModelData loading from XML done
DEBUG [2024-Jan-31 23:29:21.125177] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 92
DEBUG [2024-Jan-31 23:29:21.126180] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:3M, Date:2016-05-05, Valuation:1, CloseOut:0
...
NOTICE [2024-Jan-31 23:29:21.196125] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:80 : ScenarioGeneratorData grid points size = 92
NOTICE [2024-Jan-31 23:29:21.196125] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:84 : ScenarioGeneratorData sequence type = SobolBrownianBridge
NOTICE [2024-Jan-31 23:29:21.197125] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:87 : ScenarioGeneratorData seed = 42
NOTICE [2024-Jan-31 23:29:21.198124] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:90 : ScenarioGeneratorData samples = 1000
NOTICE [2024-Jan-31 23:29:21.199126] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:145 : ScenarioGeneratorData done.
DEBUG [2024-Jan-31 23:29:21.199126] OREAnalytics/orea/app/oreapp.cpp:921 : grid size=92, dates=92, valuationDates=92, closeOutDates=0
NOTICE [2024-Jan-31 23:29:21.200125] OREAnalytics/orea/app/oreapp.cpp:929 : Load simulation pricing engine data from file: Input/../../Input/pricingengine.xml
DEBUG [2024-Jan-31 23:29:21.201124] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:29:21.201124] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:29:21.202124] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
...
DEBUG [2024-Jan-31 23:29:21.209129] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:29:21.212131] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:29:21.213130] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
...
DEBUG [2024-Jan-31 23:29:21.214129] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
...
DEBUG [2024-Jan-31 23:29:21.220126] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:29:21.220126] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
...
DEBUG [2024-Jan-31 23:29:21.223124] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:29:21.224124] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
...
DEBUG [2024-Jan-31 23:29:21.233119] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
...
DEBUG [2024-Jan-31 23:29:21.238116] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:29:21.241100] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:29:21.242099] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
...
DEBUG [2024-Jan-31 23:29:21.250096] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=IndexCreditDefaultSwap paramName=Curve paramValue=Underlying
...
DEBUG [2024-Jan-31 23:29:21.253095] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=SyntheticCDO paramName=correlation paramValue=0.0
...
DEBUG [2024-Jan-31 23:29:21.256093] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=SyntheticCDO engine=Bucketing
DEBUG [2024-Jan-31 23:29:21.256093] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=SyntheticCDO paramName=buckets paramValue=124
...
DEBUG [2024-Jan-31 23:29:21.258105] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS model=LinearTSR
...
DEBUG [2024-Jan-31 23:29:21.269083] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:29:21.270083] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:29:21.279799] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:29:21.280798] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:29:21.292791] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
...
DEBUG [2024-Jan-31 23:29:21.294778] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:29:21.295777] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
...
DEBUG [2024-Jan-31 23:29:21.299775] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BondOption paramName=TimestepPeriod paramValue=6M
...
WARNING [2024-Jan-31 23:29:21.302774] OREAnalytics/orea/app/oreapp.cpp:941 : AMC pricing engine data not found, using standard pricing engines
NOTICE [2024-Jan-31 23:29:21.303772] OREAnalytics/orea/app/oreapp.cpp:1013 : Loading netting and csa data from fileInput/netting.xml
NOTICE [2024-Jan-31 23:29:21.305772] OREData/ored/portfolio/nettingsetdefinition.cpp:270 : NettingSetId='CPTY_A': Validating netting set definition
DEBUG [2024-Jan-31 23:29:21.306784] OREData/ored/portfolio/nettingsetdefinition.cpp:111 : NettingSetId='CPTY_A': NettingSetDefinition built from XML...
...
NOTICE [2024-Jan-31 23:29:21.309781] OREData/ored/portfolio/nettingsetdefinition.cpp:277 : NettingSetId='CPTY_B': Validating netting set definition's CSA details
...
NOTICE [2024-Jan-31 23:29:21.312766] OREAnalytics/orea/app/oreapp.cpp:1398 : buildInputParameters done
NOTICE [2024-Jan-31 23:29:21.313764] OREAnalytics/orea/app/inputparameters.cpp:463 : OutputFileNameMap called
NOTICE [2024-Jan-31 23:29:21.314766] OREAnalytics/orea/app/inputparameters.cpp:527 : OutputFileNameMap complete
NOTICE [2024-Jan-31 23:29:21.316766] OREAnalytics/orea/app/oreapp.cpp:221 : ORE analytics starting
WARNING [2024-Jan-31 23:29:21.317773] OREAnalytics/orea/app/oreapp.cpp:222 : 8896512|8892416
DEBUG [2024-Jan-31 23:29:21.318776] OREData/ored/marketdata/market.cpp:98 : Building default PseudoCurrencyMarketParameters
DEBUG [2024-Jan-31 23:29:21.318776] OREData/ored/marketdata/market.cpp:100 : PseudoCurrencyMarketParameters { TreatAsFX:True, BaseCurrency:}
...
WARNING [2024-Jan-31 23:29:21.320774] OREAnalytics/orea/app/oreapp.cpp:210 : dividend data file not found
NOTICE [2024-Jan-31 23:29:21.321774] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/market_20160205.txt
DATA [2024-Jan-31 23:29:21.322773] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum BMA_SWAP/RATIO/USD/3M/3M
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WARNING [2024-Jan-31 23:29:21.533591] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum FRA/RATE/EUR/1M/6M - this is already present.
...
DATA [2024-Jan-31 23:29:21.538603] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum IR_SWAP/RATE/EUR/2D/6M/2Y
...
WARNING [2024-Jan-31 23:29:22.258229] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum FX_OPTION/RATE_LNVOL/EUR/USD/2M/25RR - this is already present.
...
DATA [2024-Jan-31 23:29:22.284214] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum SWAPTION/RATE_LNVOL/CHF/25Y/10Y/ATM
...
WARNING [2024-Jan-31 23:29:25.910738] 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 23:29:25.940735] 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 23:29:25.968719] 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 23:29:25.996704] 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 23:29:26.025413] 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 23:29:26.053383] 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 23:29:26.082366] 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 23:29:26.110365] 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 23:29:26.141348] 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 23:29:26.171318] 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 23:29:26.202298] 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 23:29:26.233280] 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 23:29:27.304070] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum RECOVERY_RATE/RATE/BANK/SR/USD - this is already present.
...
DATA [2024-Jan-31 23:29:27.318063] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum RECOVERY_RATE/RATE/CPTY_A/SR/EUR
...
WARNING [2024-Jan-31 23:29:27.326059] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum BOND/YIELD_SPREAD/SECURITY_1 - this is already present.
...
NOTICE [2024-Jan-31 23:29:27.399005] OREData/ored/marketdata/csvloader.cpp:166 : CSVLoader completed processing Input/../../Input/market_20160205.txt
NOTICE [2024-Jan-31 23:29:27.402003] OREData/ored/marketdata/csvloader.cpp:78 : CSVLoader loaded 7968 market data points for February 5th, 2016
NOTICE [2024-Jan-31 23:29:27.404002] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/fixings_20160205.txt
...
NOTICE [2024-Jan-31 23:29:27.426988] OREData/ored/marketdata/csvloader.cpp:83 : CSVLoader loaded 5452 fixings
NOTICE [2024-Jan-31 23:29:27.427988] OREData/ored/marketdata/csvloader.cpp:88 : CSVLoader loaded 0 dividends
NOTICE [2024-Jan-31 23:29:27.427988] OREData/ored/marketdata/csvloader.cpp:90 : CSVLoader complete.
NOTICE [2024-Jan-31 23:29:27.428987] OREAnalytics/orea/app/analyticsmanager.cpp:77 : register analytic with label 'MARKETDATA' and sub-analytics MARKETDATA
...
NOTICE [2024-Jan-31 23:29:27.431983] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:48 : XvaAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:29:27.433982] OREAnalytics/orea/app/analytics/scenariostatisticsanalytic.cpp:42 : ScenarioStatisticsAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:29:27.435982] 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 23:29:27.436981] OREAnalytics/orea/app/oreapp.cpp:242 : Requested analytics: CASHFLOW,EXPOSURE,NPV,XVA
NOTICE [2024-Jan-31 23:29:27.437982] OREAnalytics/orea/app/analyticsmanager.cpp:142 : AnalyticsManager::runAnalytics: requireMarketData Y
NOTICE [2024-Jan-31 23:29:27.437982] OREAnalytics/orea/app/analyticsmanager.cpp:147 : AnalyticsManager::runAnalytics: populate loader
NOTICE [2024-Jan-31 23:29:27.438981] OREAnalytics/orea/app/marketdatacsvloader.cpp:78 : MarketDataCsvLoader::retrieveFixings called: all fixings ? Y
NOTICE [2024-Jan-31 23:29:27.442978] OREAnalytics/orea/app/marketdataloader.cpp:264 : Adding the loaded fixings to the IndexManager
DATA [2024-Jan-31 23:29:27.444978] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:29:27.445975] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
...
WARNING [2024-Jan-31 23:29:27.450973] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:29:27.451971] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
WARNING [2024-Jan-31 23:29:27.457969] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:29:27.457969] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
WARNING [2024-Jan-31 23:29:27.472206] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:29:27.474206] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
WARNING [2024-Jan-31 23:29:27.679823] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:29:27.680821] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
WARNING [2024-Jan-31 23:29:27.887596] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:29:27.888596] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
WARNING [2024-Jan-31 23:29:28.091187] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:29:28.092186] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
...
WARNING [2024-Jan-31 23:29:28.293995] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:29:28.294994] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
WARNING [2024-Jan-31 23:29:28.499102] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:29:28.499102] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
WARNING [2024-Jan-31 23:29:28.704710] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:29:28.705709] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DATA [2024-Jan-31 23:29:28.710706] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
WARNING [2024-Jan-31 23:29:28.712705] 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 23:29:28.946368] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:29:29.146979] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:29:29.346543] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:29:29.549338] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DATA [2024-Jan-31 23:29:29.753220] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
...
DATA [2024-Jan-31 23:29:29.956823] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
...
DATA [2024-Jan-31 23:29:30.161046] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DATA [2024-Jan-31 23:29:30.378629] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
...
DATA [2024-Jan-31 23:29:30.577518] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
...
DATA [2024-Jan-31 23:29:30.781106] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DATA [2024-Jan-31 23:29:30.794099] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
...
DATA [2024-Jan-31 23:29:30.800110] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
...
DATA [2024-Jan-31 23:29:30.999983] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
...
DATA [2024-Jan-31 23:29:31.199675] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DATA [2024-Jan-31 23:29:31.410440] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:29:31.612805] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
...
DATA [2024-Jan-31 23:29:31.816403] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
...
NOTICE [2024-Jan-31 23:29:31.823398] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 4.379255 seconds
NOTICE [2024-Jan-31 23:29:31.824398] OREAnalytics/orea/app/marketdataloader.cpp:268 : Generating market datum set
DEBUG [2024-Jan-31 23:29:31.825397] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
...
WARNING [2024-Jan-31 23:29:32.124053] OREData/ored/configuration/capfloorvolcurveconfig.cpp:142 : CapFloorVolatilityCurveConfig (EUR_CF_N): The IborIndex node is deprecated, use Index instead.
DATA [2024-Jan-31 23:29:32.125053] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
WARNING [2024-Jan-31 23:29:32.133035] 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 23:29:32.135035] OREData/ored/configuration/inflationcapfloorvolcurveconfig.cpp:179 : ZC Inflation Cap/Floor Strike 0 = -0.02
...
DEBUG [2024-Jan-31 23:29:32.160033] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
...
NOTICE [2024-Jan-31 23:29:36.741082] OREAnalytics/orea/app/marketdataloader.cpp:286 : CurveConfigs require 2489 quotes
DATA [2024-Jan-31 23:29:36.743082] OREData/ored/marketdata/inmemoryloader.cpp:113 : Added MarketDatum BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/10Y
...
NOTICE [2024-Jan-31 23:29:43.490998] OREAnalytics/orea/app/marketdataloader.cpp:293 : Got market data
NOTICE [2024-Jan-31 23:29:43.491998] OREAnalytics/orea/app/reportwriter.cpp:1324 : Writing MarketData report
NOTICE [2024-Jan-31 23:29:43.498994] OREAnalytics/orea/app/reportwriter.cpp:1363 : MarketData report written
NOTICE [2024-Jan-31 23:29:43.499994] OREAnalytics/orea/app/reportwriter.cpp:1368 : Writing Fixings report
NOTICE [2024-Jan-31 23:29:43.503991] OREAnalytics/orea/app/reportwriter.cpp:1377 : Fixings report written
NOTICE [2024-Jan-31 23:29:43.504991] OREAnalytics/orea/app/reportwriter.cpp:1382 : Writing Dividends report
NOTICE [2024-Jan-31 23:29:43.505990] OREAnalytics/orea/app/reportwriter.cpp:1394 : Dividends report written
NOTICE [2024-Jan-31 23:29:43.505990] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'PRICING'
WARNING [2024-Jan-31 23:29:43.506990] OREAnalytics/orea/app/analytic.cpp:83 : 33005568|33001472
NOTICE [2024-Jan-31 23:29:43.507989] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:29:43.509986] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
DATA [2024-Jan-31 23:29:43.511985] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:29:43.513984] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
...
DATA [2024-Jan-31 23:29:43.521249] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
DATA [2024-Jan-31 23:29:43.528245] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
DATA [2024-Jan-31 23:29:43.544236] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DATA [2024-Jan-31 23:29:43.801857] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
DATA [2024-Jan-31 23:29:44.071422] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DATA [2024-Jan-31 23:29:44.323085] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
...
DATA [2024-Jan-31 23:29:44.578985] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DATA [2024-Jan-31 23:29:44.841643] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DATA [2024-Jan-31 23:29:45.102395] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DATA [2024-Jan-31 23:29:45.109392] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
DATA [2024-Jan-31 23:29:45.363071] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:29:45.612663] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:29:45.862649] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:29:46.112632] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DATA [2024-Jan-31 23:29:46.362615] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
...
DATA [2024-Jan-31 23:29:46.625883] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
...
DATA [2024-Jan-31 23:29:46.889613] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DATA [2024-Jan-31 23:29:47.141232] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:29:47.392841] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
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DATA [2024-Jan-31 23:29:47.645898] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
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DATA [2024-Jan-31 23:29:47.662888] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
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DATA [2024-Jan-31 23:29:47.669884] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
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DATA [2024-Jan-31 23:29:47.925536] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
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DATA [2024-Jan-31 23:29:48.179153] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
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DATA [2024-Jan-31 23:29:48.431837] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:29:48.688973] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
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DATA [2024-Jan-31 23:29:48.945589] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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NOTICE [2024-Jan-31 23:29:48.954582] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 5.442426 seconds
NOTICE [2024-Jan-31 23:29:48.955581] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:29:48.956581] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:29:48.957580] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:29:48.958580] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:29:48.959579] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFUSD
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NOTICE [2024-Jan-31 23:29:48.967585] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 10 quotes, 7 currencies.
NOTICE [2024-Jan-31 23:29:48.968585] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
DATA [2024-Jan-31 23:29:48.969584] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:29:49.052467] 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 23:29:49.099443] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-CMS-1Y
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DATA [2024-Jan-31 23:29:49.101442] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DATA [2024-Jan-31 23:29:49.102442] 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 23:29:49.103441] 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 23:29:49.105440] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DATA [2024-Jan-31 23:29:49.106440] 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 23:29:49.107439] 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 23:29:49.110437] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:29:49.112436] 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 23:29:49.114435] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DATA [2024-Jan-31 23:29:49.115434] 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 23:29:49.116434] 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 23:29:49.124429] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:29:49.125428] 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 23:29:49.128427] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DATA [2024-Jan-31 23:29:49.129426] 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 23:29:49.130426] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #33 SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) to #19 IndexCurve(GBP-SONIA,Yield/GBP/GBP1D)
...
DATA [2024-Jan-31 23:29:49.132425] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DATA [2024-Jan-31 23:29:49.133424] 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 23:29:49.134423] 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 23:29:49.139420] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:29:49.141419] 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 23:29:49.145416] 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 23:29:49.155411] 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 23:29:49.163407] 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 23:29:49.166405] 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 23:29:49.166405] 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 23:29:49.175398] 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 23:29:49.176397] 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 23:29:49.178396] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:29:49.179397] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:29:49.180395] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:29:49.260348] 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 23:29:49.300262] 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 23:29:49.301262] 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 23:29:49.320250] 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 23:29:49.330245] 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 23:29:49.338242] 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 23:29:49.341240] 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 23:29:49.341240] 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 23:29:49.349232] 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 23:29:49.350232] 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 23:29:49.353230] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
NOTICE [2024-Jan-31 23:29:49.353230] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
DATA [2024-Jan-31 23:29:49.354229] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:29:49.434184] 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 23:29:49.481419] 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 23:29:49.482418] 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 23:29:49.501407] 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 23:29:49.511401] 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 23:29:49.520199] 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 23:29:49.522197] 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 23:29:49.523196] 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 23:29:49.531192] 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 23:29:49.531192] 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 23:29:49.534190] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:29:49.535189] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
DATA [2024-Jan-31 23:29:49.536189] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:29:49.615144] 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 23:29:49.663118] 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 23:29:49.664117] 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 23:29:49.687104] 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 23:29:49.697098] 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 23:29:49.705093] 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 23:29:49.708092] 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 23:29:49.709091] 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 23:29:49.716087] 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 23:29:49.717087] 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 23:29:49.719086] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:29:49.720085] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:29:49.721085] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:29:49.801847] 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 23:29:49.845820] 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 23:29:49.846821] 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 23:29:49.865808] 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 23:29:49.875802] 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 23:29:49.884798] 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 23:29:49.887807] 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 23:29:49.887807] 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 23:29:49.895802] 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 23:29:49.896803] 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 23:29:49.898790] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
NOTICE [2024-Jan-31 23:29:49.900788] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:29:49.901787] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:29:49.902787] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 5.44e+03 ms 1 5.44e+03 ms
...
NOTICE [2024-Jan-31 23:29:49.905785] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 6386.73 ms
NOTICE [2024-Jan-31 23:29:49.906785] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 6.396840 sec
NOTICE [2024-Jan-31 23:29:49.913069] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 1
NOTICE [2024-Jan-31 23:29:49.914081] OREAnalytics/orea/app/analytic.cpp:209 : Build the portfolio
NOTICE [2024-Jan-31 23:29:49.915078] OREAnalytics/orea/app/analytic.cpp:138 : Analytic::engineFactory() called
NOTICE [2024-Jan-31 23:29:49.915078] OREAnalytics/orea/app/analytic.cpp:148 : MarketContext::pricing = collateral_eur
NOTICE [2024-Jan-31 23:29:49.916078] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:29:49.918076] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 1 for context = 'analytic/PRICING'
DEBUG [2024-Jan-31 23:29:49.918076] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CCSwap
DEBUG [2024-Jan-31 23:29:49.919076] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:49.920075] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EURIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:29:49.922075] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:49.923074] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
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DEBUG [2024-Jan-31 23:29:49.924073] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:49.925073] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:29:49.926072] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:49.927061] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EONIA-CONVENTIONS
DATA [2024-Jan-31 23:29:49.928060] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:29:49.931072] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:49.938065] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
DEBUG [2024-Jan-31 23:29:49.943062] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
DEBUG [2024-Jan-31 23:29:49.944061] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:49.945061] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:29:49.946049] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:29:49.948060] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:49.948060] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR3M
DEBUG [2024-Jan-31 23:29:49.949059] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:49.950059] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EURIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:29:49.951057] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:29:49.952057] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:29:49.958053] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:49.959053] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:29:49.969047] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:49.988036] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:29:50.004027] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR3M built
DEBUG [2024-Jan-31 23:29:50.005027] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:50.006027] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration default
DATA [2024-Jan-31 23:29:50.007026] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:29:50.008025] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration default
DEBUG [2024-Jan-31 23:29:50.008025] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:29:50.009024] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:29:50.010025] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:29:50.013022] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:29:50.021018] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = USD
...
DEBUG [2024-Jan-31 23:29:50.025826] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:29:50.026837] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:29:50.026837] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(__XCCY__-EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:50.027835] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(__XCCY__-EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:29:50.029825] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:29:50.030833] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:29:50.031834] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
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ALERT [2024-Jan-31 23:29:50.032833] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(__XCCY__-EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:29:50.034831] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:29:50.035831] OREData/ored/utilities/marketdata.cpp:57 : Could not link EUR termstructure to cross currency yield curve __XCCY__-EUR so just using EUR discount curve.
...
ALERT [2024-Jan-31 23:29:50.037829] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:50.038829] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:29:50.042827] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:29:50.043826] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:29:50.044825] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:29:50.045825] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(__XCCY__-USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:29:50.047824] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:29:50.048823] OREData/ored/utilities/marketdata.cpp:57 : Could not link USD termstructure to cross currency yield curve __XCCY__-USD so just using USD discount curve.
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ALERT [2024-Jan-31 23:29:50.049823] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:50.051821] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:50.052821] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
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DEBUG [2024-Jan-31 23:29:50.056819] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:50.057819] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD1D
DEBUG [2024-Jan-31 23:29:50.058818] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-FED-FUNDS-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:50.059817] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-FED-FUNDS-CONVENTIONS
DATA [2024-Jan-31 23:29:50.060817] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:29:50.062804] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:50.067812] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:29:50.071810] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD1D built
DEBUG [2024-Jan-31 23:29:50.072810] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:50.073810] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration default
DATA [2024-Jan-31 23:29:50.074809] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:29:50.075808] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration default
DEBUG [2024-Jan-31 23:29:50.076807] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:50.077807] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD3M
DEBUG [2024-Jan-31 23:29:50.078806] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:50.079798] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:29:50.079798] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:29:50.080805] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:29:50.087790] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:50.088801] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:29:50.093797] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:50.111787] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 22 instruments
DEBUG [2024-Jan-31 23:29:50.123780] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD3M built
DEBUG [2024-Jan-31 23:29:50.124780] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:50.125779] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD3M to configuration default
DATA [2024-Jan-31 23:29:50.126779] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:29:50.127778] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration default
DEBUG [2024-Jan-31 23:29:50.128768] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:50.128768] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-IN-EUR
DEBUG [2024-Jan-31 23:29:50.129766] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:50.130777] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:29:50.131776] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:29:50.132775] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:50.133774] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-USD-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:29:50.134774] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:29:50.152767] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:29:50.328564] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-IN-EUR built
DEBUG [2024-Jan-31 23:29:50.330566] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:50.331562] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:29:50.333562] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:29:50.334562] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DATA [2024-Jan-31 23:29:50.335561] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DEBUG [2024-Jan-31 23:29:50.336561] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:50.338557] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:29:50.341556] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
...
ALERT [2024-Jan-31 23:29:50.344557] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(__XCCY__-EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:29:50.346553] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:29:50.348552] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:29:50.349554] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:29:50.351552] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(__XCCY__-EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:29:50.354550] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:29:50.355548] OREData/ored/utilities/marketdata.cpp:57 : Could not link EUR termstructure to cross currency yield curve __XCCY__-EUR so just using EUR discount curve.
...
ALERT [2024-Jan-31 23:29:50.357547] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:50.361545] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:29:50.365542] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:29:50.366541] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:29:50.367541] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:29:50.368540] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(__XCCY__-USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:29:50.370539] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:29:50.371539] OREData/ored/utilities/marketdata.cpp:57 : Could not link USD termstructure to cross currency yield curve __XCCY__-USD so just using USD discount curve.
...
ALERT [2024-Jan-31 23:29:50.373537] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:50.374537] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:50.375538] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:29:50.376536] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CCSwap:
DATA [2024-Jan-31 23:29:50.384531] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:29:50.456490] 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 23:29:50.457492] OREAnalytics/orea/app/analytic.cpp:218 : Filter trades that expire before February 5th, 2016
DEBUG [2024-Jan-31 23:29:50.459492] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:72 : requested analytic EXPOSURE not covered by the PricingAnalytic
...
NOTICE [2024-Jan-31 23:29:50.462486] OREAnalytics/orea/app/reportwriter.cpp:154 : Writing cashflow report for February 5th, 2016
DEBUG [2024-Jan-31 23:29:50.464485] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:50.466484] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:50.468483] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:29:50.489716] OREAnalytics/orea/app/reportwriter.cpp:596 : Cashflow report written
NOTICE [2024-Jan-31 23:29:50.492711] OREAnalytics/orea/app/reportwriter.cpp:81 : portfolio valuation
WARNING [2024-Jan-31 23:29:50.493711] OREData/ored/portfolio/swap.cpp:239 : swap engine does not provide current notional: currentNotional not provided, using fallback
...
NOTICE [2024-Jan-31 23:29:50.498709] OREAnalytics/orea/app/reportwriter.cpp:144 : NPV file written
NOTICE [2024-Jan-31 23:29:50.500707] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:107 : Write curves report
DEBUG [2024-Jan-31 23:29:50.502706] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 240
DEBUG [2024-Jan-31 23:29:50.504706] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:1M, Date:2016-03-07, Valuation:1, CloseOut:0
...
NOTICE [2024-Jan-31 23:29:50.766697] OREAnalytics/orea/app/reportwriter.cpp:662 : Write curves...
DEBUG [2024-Jan-31 23:29:50.767696] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - CHF
DEBUG [2024-Jan-31 23:29:50.768696] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'default'
DATA [2024-Jan-31 23:29:50.768696] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:50.769695] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (not yet built)
...
DEBUG [2024-Jan-31 23:29:50.774489] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:50.775489] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF1D
DEBUG [2024-Jan-31 23:29:50.776489] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-TOIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:50.777488] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-TOIS-CONVENTIONS
DATA [2024-Jan-31 23:29:50.778487] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
...
DEBUG [2024-Jan-31 23:29:50.779487] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "CHF-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:50.786482] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:29:50.800472] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF1D built
DEBUG [2024-Jan-31 23:29:50.801474] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:50.802473] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-TOIS) with spec Yield/CHF/CHF1D to configuration default
DATA [2024-Jan-31 23:29:50.804475] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:29:50.806470] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) in configuration default
DEBUG [2024-Jan-31 23:29:50.808469] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:50.809467] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF3M
DEBUG [2024-Jan-31 23:29:50.810466] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:50.811466] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:29:50.813465] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:29:50.814466] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:29:50.822460] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:50.823459] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:29:50.827458] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:50.851443] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:29:50.871433] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF3M built
DEBUG [2024-Jan-31 23:29:50.873430] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:50.874430] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-3M) with spec Yield/CHF/CHF3M to configuration default
DATA [2024-Jan-31 23:29:50.876430] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:29:50.878429] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) in configuration default
DEBUG [2024-Jan-31 23:29:50.880427] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:50.881428] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF-IN-EUR
DEBUG [2024-Jan-31 23:29:50.882425] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-CHF-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:50.883428] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:29:50.884424] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:29:50.886425] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-CHF-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:50.887423] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-CHF-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:29:50.888424] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:29:50.901414] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 10 instruments
DEBUG [2024-Jan-31 23:29:50.913407] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF-IN-EUR built
DEBUG [2024-Jan-31 23:29:50.915406] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:50.916406] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:29:50.917407] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:29:50.918404] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:29:50.920404] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - EUR
DEBUG [2024-Jan-31 23:29:50.921403] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:50.922402] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:29:50.926400] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:50.927400] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:50.935397] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:50.936396] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP1D
DEBUG [2024-Jan-31 23:29:50.937395] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "GBP-OIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:50.939394] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-OIS-CONVENTIONS
DATA [2024-Jan-31 23:29:50.940393] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
...
DEBUG [2024-Jan-31 23:29:50.948387] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:29:50.958382] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP1D built
DEBUG [2024-Jan-31 23:29:50.959382] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:50.960381] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-SONIA) with spec Yield/GBP/GBP1D to configuration default
DATA [2024-Jan-31 23:29:50.961380] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:29:50.962380] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) in configuration default
DEBUG [2024-Jan-31 23:29:50.963380] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:50.964379] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP6M
DEBUG [2024-Jan-31 23:29:50.965378] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:29:50.965378] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-DEPOSIT
DEBUG [2024-Jan-31 23:29:50.966377] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:29:50.967377] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:29:50.976371] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "GBP-6M-FRA"
DEBUG [2024-Jan-31 23:29:50.976371] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-6M-FRA
...
DEBUG [2024-Jan-31 23:29:50.985367] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "GBP-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:51.000358] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 26 instruments
DEBUG [2024-Jan-31 23:29:51.007354] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP6M built
DEBUG [2024-Jan-31 23:29:51.008355] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.009353] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration default
DATA [2024-Jan-31 23:29:51.010353] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DEBUG [2024-Jan-31 23:29:51.011364] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration default
DEBUG [2024-Jan-31 23:29:51.012362] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.013361] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP3M
DEBUG [2024-Jan-31 23:29:51.014361] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:29:51.014361] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:29:51.015360] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:29:51.022356] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "GBP-LIBOR-3M-6M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.023355] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-LIBOR-3M-6M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:29:51.037142] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 19 instruments
DEBUG [2024-Jan-31 23:29:51.083106] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP3M built
DEBUG [2024-Jan-31 23:29:51.084105] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.085104] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-3M) with spec Yield/GBP/GBP3M to configuration default
DATA [2024-Jan-31 23:29:51.087103] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
DEBUG [2024-Jan-31 23:29:51.088103] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) in configuration default
DEBUG [2024-Jan-31 23:29:51.090104] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.091101] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP-IN-EUR
DEBUG [2024-Jan-31 23:29:51.092103] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-GBP-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.093103] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:29:51.094101] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:29:51.096100] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-GBP-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.097100] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-GBP-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:29:51.098097] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:29:51.115089] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:29:51.145070] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP-IN-EUR built
DEBUG [2024-Jan-31 23:29:51.146071] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.148071] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:29:51.149068] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:29:51.150069] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 4, error: 0
DEBUG [2024-Jan-31 23:29:51.151068] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - JPY
DEBUG [2024-Jan-31 23:29:51.153067] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'default'
DATA [2024-Jan-31 23:29:51.154065] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.155065] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (not yet built)
...
DEBUG [2024-Jan-31 23:29:51.158062] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.159062] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY1D
DEBUG [2024-Jan-31 23:29:51.160061] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "JPY-OIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.161061] OREData/ored/configuration/conventions.cpp:2587 : Building Convention JPY-OIS-CONVENTIONS
DATA [2024-Jan-31 23:29:51.162061] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
...
DEBUG [2024-Jan-31 23:29:51.168059] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:29:51.176052] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY1D built
DEBUG [2024-Jan-31 23:29:51.177052] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.178051] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-TONAR) with spec Yield/JPY/JPY1D to configuration default
DATA [2024-Jan-31 23:29:51.179050] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
DEBUG [2024-Jan-31 23:29:51.181050] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) in configuration default
DEBUG [2024-Jan-31 23:29:51.182049] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.183049] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY6M
DEBUG [2024-Jan-31 23:29:51.184048] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "JPY-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.186048] OREData/ored/configuration/conventions.cpp:2587 : Building Convention JPY-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:29:51.188046] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY-LIBOR) failed: parseIborIndex "JPY-LIBOR" not recognized
DATA [2024-Jan-31 23:29:51.190045] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:29:51.200040] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "JPY-LIBOR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:51.220027] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 18 instruments
DEBUG [2024-Jan-31 23:29:51.227023] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY6M built
DEBUG [2024-Jan-31 23:29:51.228023] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.229022] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY6M to configuration default
DEBUG [2024-Jan-31 23:29:51.229022] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:29:51.230021] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:29:51.232021] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - USD
DEBUG [2024-Jan-31 23:29:51.233021] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:51.233021] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:51.234019] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BANK_EUR_BORROW
...
DATA [2024-Jan-31 23:29:51.236018] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.237017] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.238017] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.239016] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_BORROW
DEBUG [2024-Jan-31 23:29:51.240016] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-ZERO-CONVENTIONS-TENOR-BASED
DEBUG [2024-Jan-31 23:29:51.241015] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_BORROW built
DEBUG [2024-Jan-31 23:29:51.242015] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_BORROW" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.243014] 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 23:29:51.244013] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) in configuration default
DEBUG [2024-Jan-31 23:29:51.244013] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.245013] 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 23:29:51.246012] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:29:51.247011] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_BORROW) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:51.248012] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:51.249013] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BANK_EUR_LEND
...
DATA [2024-Jan-31 23:29:51.250011] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.251010] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.253009] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.254008] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_LEND
DEBUG [2024-Jan-31 23:29:51.254008] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_LEND built
DEBUG [2024-Jan-31 23:29:51.255008] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_LEND" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.256007] 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 23:29:51.257007] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_LEND,Yield/EUR/BANK_EUR_LEND) in configuration default
DEBUG [2024-Jan-31 23:29:51.258006] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.259006] 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 23:29:51.259006] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:29:51.260005] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_LEND) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:51.261005] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:51.262004] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BENCHMARK_EUR
...
DATA [2024-Jan-31 23:29:51.264002] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.265004] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.267011] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.267011] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BENCHMARK_EUR
DEBUG [2024-Jan-31 23:29:51.268011] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BENCHMARK_EUR built
DEBUG [2024-Jan-31 23:29:51.269010] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BENCHMARK_EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.270009] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(BENCHMARK_EUR) with spec Yield/EUR/BENCHMARK_EUR to configuration default
DEBUG [2024-Jan-31 23:29:51.271009] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BENCHMARK_EUR,Yield/EUR/BENCHMARK_EUR) in configuration default
DEBUG [2024-Jan-31 23:29:51.272009] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.273007] 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 23:29:51.273007] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BENCHMARK_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:29:51.274007] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BENCHMARK_EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:51.275007] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:51.276006] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - BOND_YIELD_EUR
...
DATA [2024-Jan-31 23:29:51.278005] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.278005] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #8: YieldCurve(BOND_YIELD_EUR,Yield/EUR/BOND_YIELD_EUR) (not yet built)
DEBUG [2024-Jan-31 23:29:51.279004] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.280004] OREData/ored/marketdata/yieldcurve.cpp:255 : Building ZeroCurve Yield/EUR/BOND_YIELD_EUR
DEBUG [2024-Jan-31 23:29:51.280963] 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 23:29:51.281973] 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 23:29:51.283963] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BOND_YIELD_EUR built
DEBUG [2024-Jan-31 23:29:51.284972] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BOND_YIELD_EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.285970] 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 23:29:51.285970] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BOND_YIELD_EUR,Yield/EUR/BOND_YIELD_EUR) in configuration default
DEBUG [2024-Jan-31 23:29:51.286970] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.287969] 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 23:29:51.288969] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BOND_YIELD_EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:29:51.289968] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BOND_YIELD_EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:51.290968] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:51.290968] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - CHF-LIBOR-3M
...
DATA [2024-Jan-31 23:29:51.295965] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.296955] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.299955] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.300954] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF6M
DEBUG [2024-Jan-31 23:29:51.301952] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.303950] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:29:51.304952] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:29:51.322939] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.323938] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:29:51.336932] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:51.362918] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:29:51.372912] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF6M built
DEBUG [2024-Jan-31 23:29:51.374909] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.375911] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-6M) with spec Yield/CHF/CHF6M to configuration default
DATA [2024-Jan-31 23:29:51.376910] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DEBUG [2024-Jan-31 23:29:51.378909] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M) in configuration default
DEBUG [2024-Jan-31 23:29:51.379909] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.380906] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - CHF-TOIS
DEBUG [2024-Jan-31 23:29:51.381905] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:51.383904] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:29:51.386902] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.387902] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:29:51.389900] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration default
DATA [2024-Jan-31 23:29:51.390900] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:29:51.392899] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:29:51.393898] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.394898] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-EURIBOR-12M
DEBUG [2024-Jan-31 23:29:51.395897] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-12M) required for configuration 'default'
DATA [2024-Jan-31 23:29:51.396897] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.398898] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.401897] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.402895] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:29:51.404895] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.405894] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:29:51.406891] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:29:51.408893] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.409892] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:29:51.411891] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:51.434877] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:29:51.452865] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:29:51.453867] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.455863] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DATA [2024-Jan-31 23:29:51.456863] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:29:51.457864] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:29:51.458862] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.458862] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR12M
DEBUG [2024-Jan-31 23:29:51.459861] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-DEPOSIT"
DEBUG [2024-Jan-31 23:29:51.460861] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-DEPOSIT
DEBUG [2024-Jan-31 23:29:51.461860] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:29:51.462859] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:29:51.486011] OREData/ored/marketdata/yieldcurve.cpp:1961 : Adding Segment Tenor Basis Two Swaps with conventions "EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.487021] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EURIBOR-6M-12M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:29:51.494017] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:29:51.504011] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR12M built
DEBUG [2024-Jan-31 23:29:51.505010] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR12M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.506010] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-12M) with spec Yield/EUR/EUR12M to configuration default
DATA [2024-Jan-31 23:29:51.507009] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1Y Actual/360' <-> 'EUR-EURIBOR-12M'
DEBUG [2024-Jan-31 23:29:51.508009] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-12M,Yield/EUR/EUR12M) in configuration default
DEBUG [2024-Jan-31 23:29:51.509008] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:29:51.510008] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-EURIBOR-1M
DEBUG [2024-Jan-31 23:29:51.510008] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-1M) required for configuration 'default'
DATA [2024-Jan-31 23:29:51.511006] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.512006] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.513994] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.515006] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1M
DEBUG [2024-Jan-31 23:29:51.516004] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-DEPOSIT"
DEBUG [2024-Jan-31 23:29:51.516004] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:29:51.517003] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:29:51.519781] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-1M-SWAP-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.520780] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-1M-SWAP-CONVENTIONS
...
DEBUG [2024-Jan-31 23:29:51.553753] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:29:51.587733] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1M built
DEBUG [2024-Jan-31 23:29:51.588733] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.589732] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-1M) with spec Yield/EUR/EUR1M to configuration default
DATA [2024-Jan-31 23:29:51.590732] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
DEBUG [2024-Jan-31 23:29:51.591731] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-1M,Yield/EUR/EUR1M) in configuration default
DEBUG [2024-Jan-31 23:29:51.592731] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.593730] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-EURIBOR-3M
DEBUG [2024-Jan-31 23:29:51.593730] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:51.594730] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:29:51.607722] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.608721] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.609721] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-LIBOR-6M) with spec Yield/JPY/JPY6M to configuration default
DATA [2024-Jan-31 23:29:51.610720] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DEBUG [2024-Jan-31 23:29:51.611720] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-LIBOR-6M,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:29:51.612719] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.613719] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - JPY-TONAR
DEBUG [2024-Jan-31 23:29:51.614717] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(JPY-TONAR) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:51.615717] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:29:51.622713] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.623713] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.626711] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.627711] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD6M
DEBUG [2024-Jan-31 23:29:51.627711] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.628710] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:29:51.630707] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:29:51.642702] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.643702] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:29:51.649698] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "USD-LIBOR-3M-6M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.650695] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-3M-6M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:29:51.664690] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 21 instruments
DEBUG [2024-Jan-31 23:29:51.702668] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD6M built
DEBUG [2024-Jan-31 23:29:51.703667] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.704667] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-6M) with spec Yield/USD/USD6M to configuration default
DATA [2024-Jan-31 23:29:51.706665] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
DEBUG [2024-Jan-31 23:29:51.708663] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-6M,Yield/USD/USD6M) in configuration default
DEBUG [2024-Jan-31 23:29:51.709663] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.711662] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - USD-SIFMA
DEBUG [2024-Jan-31 23:29:51.713661] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-SIFMA) required for configuration 'default'
DATA [2024-Jan-31 23:29:51.714661] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.715660] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.719658] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.720658] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USDBMA
DEBUG [2024-Jan-31 23:29:51.722656] OREData/ored/marketdata/yieldcurve.cpp:2044 : Adding Segment BMA Basis Swap with conventions "USD-LIBOR-SIFMA-3M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:51.723653] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-SIFMA-3M-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:29:51.724655] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:29:51.742649] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 16 instruments
DEBUG [2024-Jan-31 23:29:51.881634] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USDBMA built
DEBUG [2024-Jan-31 23:29:51.883633] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USDBMA" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:51.883633] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-SIFMA) with spec Yield/USD/USDBMA to configuration default
DATA [2024-Jan-31 23:29:51.884632] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
DEBUG [2024-Jan-31 23:29:51.885632] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-SIFMA,Yield/USD/USDBMA) in configuration default
DEBUG [2024-Jan-31 23:29:51.886631] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.887631] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - EUHICP
DEBUG [2024-Jan-31 23:29:51.888630] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(EUHICP) required for configuration 'default'
DATA [2024-Jan-31 23:29:51.889630] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.889630] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.891628] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/EUHICP/EUHICP_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.892628] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUHICP_INFLATIONSWAP
DATA [2024-Jan-31 23:29:51.893627] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
DEBUG [2024-Jan-31 23:29:51.900623] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (EUHICP) with spec Inflation/EUHICP/EUHICP_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:29:51.902622] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(EUHICP,Inflation/EUHICP/EUHICP_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:29:51.903622] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.903622] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - EUHICPXT
DEBUG [2024-Jan-31 23:29:51.904621] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(EUHICPXT) required for configuration 'default'
DATA [2024-Jan-31 23:29:51.905620] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.906620] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.908619] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/EUHICPXT/EUHICPXT_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.909618] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUHICPXT_INFLATIONSWAP
DATA [2024-Jan-31 23:29:51.909618] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
DEBUG [2024-Jan-31 23:29:51.918611] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (EUHICPXT) with spec Inflation/EUHICPXT/EUHICPXT_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:29:51.920610] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(EUHICPXT,Inflation/EUHICPXT/EUHICPXT_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:29:51.920610] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.921609] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - FRHICP
DEBUG [2024-Jan-31 23:29:51.922608] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(FRHICP) required for configuration 'default'
DATA [2024-Jan-31 23:29:51.923608] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.924607] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.925607] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/FRHICP/FRHICP_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.926606] OREData/ored/configuration/conventions.cpp:2587 : Building Convention FRHICP_INFLATIONSWAP
DATA [2024-Jan-31 23:29:51.927605] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DEBUG [2024-Jan-31 23:29:51.934602] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (FRHICP) with spec Inflation/FRHICP/FRHICP_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:29:51.936600] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(FRHICP,Inflation/FRHICP/FRHICP_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:29:51.936600] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.937600] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - UKRPI
DEBUG [2024-Jan-31 23:29:51.938599] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(UKRPI) required for configuration 'default'
DATA [2024-Jan-31 23:29:51.939599] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.940598] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #19: IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.941598] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/UKRPI/UKRPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.942597] OREData/ored/configuration/conventions.cpp:2587 : Building Convention UKRPI_INFLATIONSWAP
DATA [2024-Jan-31 23:29:51.943596] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DEBUG [2024-Jan-31 23:29:51.952591] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (UKRPI) with spec Inflation/UKRPI/UKRPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:29:51.954590] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(UKRPI,Inflation/UKRPI/UKRPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:29:51.954590] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.955590] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - USCPI
DEBUG [2024-Jan-31 23:29:51.956589] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(USCPI) required for configuration 'default'
DATA [2024-Jan-31 23:29:51.957588] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.958588] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.959587] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/USCPI/USCPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.960587] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USCPI_INFLATIONSWAP
DATA [2024-Jan-31 23:29:51.961586] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
...
DEBUG [2024-Jan-31 23:29:51.970591] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (USCPI) with spec Inflation/USCPI/USCPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:29:51.972590] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(USCPI,Inflation/USCPI/USCPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:29:51.973589] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.973589] OREAnalytics/orea/app/reportwriter.cpp:721 : inflation curve - ZACPI
DEBUG [2024-Jan-31 23:29:51.974589] OREData/ored/marketdata/todaysmarket.cpp:823 : market object ZeroInflationCurve(ZACPI) required for configuration 'default'
DATA [2024-Jan-31 23:29:51.975588] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.976587] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.978587] OREData/ored/marketdata/todaysmarket.cpp:571 : Building InflationCurve Inflation/ZACPI/ZACPI_ZC_Swaps for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:51.979586] OREData/ored/configuration/conventions.cpp:2587 : Building Convention ZACPI_INFLATIONSWAP
DATA [2024-Jan-31 23:29:51.979586] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'South Africa CPI' <-> 'ZACPI'
...
DEBUG [2024-Jan-31 23:29:51.986582] OREData/ored/marketdata/todaysmarket.cpp:581 : Adding ZeroInflationIndex (ZACPI) with spec Inflation/ZACPI/ZACPI_ZC_Swaps to configuration default
...
DEBUG [2024-Jan-31 23:29:51.988581] OREData/ored/marketdata/todaysmarket.cpp:914 : built node ZeroInflationCurve(ZACPI,Inflation/ZACPI/ZACPI_ZC_Swaps) in configuration default
DEBUG [2024-Jan-31 23:29:51.989581] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:51.989581] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - BANK
DEBUG [2024-Jan-31 23:29:51.990580] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BANK) required for configuration 'default'
DATA [2024-Jan-31 23:29:51.991579] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:51.992578] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:29:51.995577] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:29:51.995577] OREData/ored/marketdata/defaultcurve.cpp:309 : Start building default curve of type SpreadCDS for curve BANK_SR_USD
DEBUG [2024-Jan-31 23:29:51.996576] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CDS-STANDARD-CONVENTIONS
NOTICE [2024-Jan-31 23:29:51.997576] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve BANK_SR_USD
DATA [2024-Jan-31 23:29:51.998576] 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 23:29:52.004572] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve BANK_SR_USD using 7 default quotes of 7 requested quotes.
DATA [2024-Jan-31 23:29:52.007570] OREData/ored/marketdata/defaultcurve.cpp:526 : 2016-12-20,0.985311623
...
DEBUG [2024-Jan-31 23:29:52.013567] OREData/ored/marketdata/defaultcurve.cpp:541 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:29:52.014557] OREData/ored/marketdata/defaultcurve.cpp:548 : Finished building default curve of type SpreadCDS for curve BANK_SR_USD
DEBUG [2024-Jan-31 23:29:52.015567] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (BANK) with spec Default/USD/BANK_SR_USD to configuration default
DEBUG [2024-Jan-31 23:29:52.016566] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(BANK,Default/USD/BANK_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:29:52.017564] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:52.017564] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - BOND_YIELD_EUR_OVER_OIS
DEBUG [2024-Jan-31 23:29:52.018564] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(BOND_YIELD_EUR_OVER_OIS) required for configuration 'default'
DATA [2024-Jan-31 23:29:52.019563] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:52.020563] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #8: YieldCurve(BOND_YIELD_EUR,Yield/EUR/BOND_YIELD_EUR) (already built)
...
DEBUG [2024-Jan-31 23:29:52.022561] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:29:52.023561] OREData/ored/marketdata/defaultcurve.cpp:611 : Start building default curve of type Benchmark for curve BOND_YIELD_EUR_OVER_OIS
NOTICE [2024-Jan-31 23:29:52.024561] OREData/ored/marketdata/defaultcurve.cpp:659 : DefaultCurve: set up interpolated surv prob curve as yield over benchmark
DEBUG [2024-Jan-31 23:29:52.026255] OREData/ored/marketdata/defaultcurve.cpp:667 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:29:52.026374] OREData/ored/marketdata/defaultcurve.cpp:673 : Finished building default curve of type Benchmark for curve BOND_YIELD_EUR_OVER_OIS
DEBUG [2024-Jan-31 23:29:52.027384] 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 23:29:52.028383] 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 23:29:52.029383] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:52.030382] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - CPTY_A
DEBUG [2024-Jan-31 23:29:52.031382] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_A) required for configuration 'default'
DATA [2024-Jan-31 23:29:52.031382] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:52.032381] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #56: DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) (not yet built)
DEBUG [2024-Jan-31 23:29:52.033380] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:29:52.034380] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_A_SR_USD
NOTICE [2024-Jan-31 23:29:52.035379] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_A_SR_USD
DATA [2024-Jan-31 23:29:52.036379] 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 23:29:52.045373] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_A_SR_USD using 11 default quotes of 11 requested quotes.
NOTICE [2024-Jan-31 23:29:52.046373] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:29:52.047372] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:29:52.047372] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_A_SR_USD
DEBUG [2024-Jan-31 23:29:52.048372] 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 23:29:52.049371] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:29:52.050371] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:52.051365] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - CPTY_B
DEBUG [2024-Jan-31 23:29:52.052370] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_B) required for configuration 'default'
DATA [2024-Jan-31 23:29:52.052370] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:52.053369] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #57: DefaultCurve(CPTY_B,Default/USD/CPTY_A_SR_USD) (not yet built)
DEBUG [2024-Jan-31 23:29:52.054368] 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 23:29:52.055368] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_B,Default/USD/CPTY_A_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:29:52.056367] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:52.057356] OREAnalytics/orea/app/reportwriter.cpp:734 : default curve - CPTY_C
DEBUG [2024-Jan-31 23:29:52.058357] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DefaultCurve(CPTY_C) required for configuration 'default'
DATA [2024-Jan-31 23:29:52.059355] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:52.061354] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #58: DefaultCurve(CPTY_C,Default/EUR/CPTY_C_SR_EUR) (not yet built)
DEBUG [2024-Jan-31 23:29:52.062353] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:29:52.063352] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_C_SR_EUR
NOTICE [2024-Jan-31 23:29:52.064352] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_C_SR_EUR
DATA [2024-Jan-31 23:29:52.066351] 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 23:29:52.067353] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_C_SR_EUR using 1 default quotes of 1 requested quotes.
NOTICE [2024-Jan-31 23:29:52.068352] OREData/ored/marketdata/defaultcurve.cpp:576 : DefaultCurve: add asof (February 5th, 2016), hazard rate 0, as not given
NOTICE [2024-Jan-31 23:29:52.069351] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:29:52.071351] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:29:52.072350] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_C_SR_EUR
DEBUG [2024-Jan-31 23:29:52.073349] 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 23:29:52.074346] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_C,Default/EUR/CPTY_C_SR_EUR) in configuration default
DEBUG [2024-Jan-31 23:29:52.075349] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
WARNING [2024-Jan-31 23:29:52.085340] OREAnalytics/orea/app/analytic.cpp:86 : 38432768|38428672
NOTICE [2024-Jan-31 23:29:52.087339] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'PRICING' finished.
DEBUG [2024-Jan-31 23:29:52.091338] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve EUR1D for label as it has already been added
...
NOTICE [2024-Jan-31 23:29:52.142307] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'XVA'
WARNING [2024-Jan-31 23:29:52.144308] OREAnalytics/orea/app/analytic.cpp:83 : 42795008|42790912
NOTICE [2024-Jan-31 23:29:52.145306] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:588 : XVA analytic called with asof 2016-02-05
NOTICE [2024-Jan-31 23:29:52.148306] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:601 : XVA: Build Today's Market
NOTICE [2024-Jan-31 23:29:52.150303] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:29:52.152301] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
DATA [2024-Jan-31 23:29:52.155303] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:29:52.157301] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
...
DATA [2024-Jan-31 23:29:52.167296] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
DATA [2024-Jan-31 23:29:52.179286] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
DATA [2024-Jan-31 23:29:52.208270] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DATA [2024-Jan-31 23:29:52.552547] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
DATA [2024-Jan-31 23:29:52.879334] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DATA [2024-Jan-31 23:29:53.164021] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
...
DATA [2024-Jan-31 23:29:53.505981] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DATA [2024-Jan-31 23:29:53.828078] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DATA [2024-Jan-31 23:29:54.089691] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DATA [2024-Jan-31 23:29:54.102684] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
DATA [2024-Jan-31 23:29:54.448325] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:29:54.758099] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:29:55.084011] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:29:55.366210] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DATA [2024-Jan-31 23:29:55.617082] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
...
DATA [2024-Jan-31 23:29:55.871757] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
...
DATA [2024-Jan-31 23:29:56.127990] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DATA [2024-Jan-31 23:29:56.388849] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
...
DATA [2024-Jan-31 23:29:56.639619] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
...
DATA [2024-Jan-31 23:29:56.900546] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DATA [2024-Jan-31 23:29:56.916527] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
...
DATA [2024-Jan-31 23:29:56.923525] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
...
DATA [2024-Jan-31 23:29:57.176112] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
...
DATA [2024-Jan-31 23:29:57.430667] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DATA [2024-Jan-31 23:29:57.681501] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:29:57.936124] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
...
DATA [2024-Jan-31 23:29:58.187792] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
...
NOTICE [2024-Jan-31 23:29:58.196786] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 6.041323 seconds
NOTICE [2024-Jan-31 23:29:58.197785] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:29:58.198785] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:29:58.199785] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:29:58.199785] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:29:58.200784] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFUSD
...
NOTICE [2024-Jan-31 23:29:58.209778] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 10 quotes, 7 currencies.
NOTICE [2024-Jan-31 23:29:58.209778] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
DATA [2024-Jan-31 23:29:58.210778] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:29:58.291795] 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 23:29:58.339768] 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 23:29:58.339768] 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 23:29:58.359748] 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 23:29:58.369743] 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 23:29:58.377747] 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 23:29:58.380745] 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 23:29:58.381745] 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 23:29:58.388740] 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 23:29:58.389739] 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 23:29:58.391738] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:29:58.392738] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:29:58.393737] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:29:58.472876] 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 23:29:58.511845] 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 23:29:58.512844] 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 23:29:58.532656] 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 23:29:58.542651] 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 23:29:58.550646] 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 23:29:58.553645] 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 23:29:58.554644] 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 23:29:58.561639] 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 23:29:58.562639] 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 23:29:58.564638] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
NOTICE [2024-Jan-31 23:29:58.565637] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
DATA [2024-Jan-31 23:29:58.566636] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:29:58.645592] 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 23:29:58.695553] 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 23:29:58.696564] 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 23:29:58.716234] 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 23:29:58.726228] 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 23:29:58.735224] 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 23:29:58.737223] 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 23:29:58.738222] 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 23:29:58.746217] 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 23:29:58.746217] 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 23:29:58.749215] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:29:58.750215] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
DATA [2024-Jan-31 23:29:58.751214] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:29:58.830964] 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 23:29:58.876939] 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 23:29:58.877928] 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 23:29:58.897926] 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 23:29:58.907920] 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 23:29:58.915915] 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 23:29:58.917915] 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 23:29:58.918914] 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 23:29:58.926898] 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 23:29:58.927898] 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 23:29:58.929897] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:29:58.930896] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:29:58.931895] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:29:59.015849] 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 23:29:59.060592] 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 23:29:59.060592] 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 23:29:59.080581] 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 23:29:59.090575] 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 23:29:59.098571] 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 23:29:59.101567] 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 23:29:59.102566] 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 23:29:59.109562] 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 23:29:59.110562] 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 23:29:59.113560] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
NOTICE [2024-Jan-31 23:29:59.114560] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:29:59.115559] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:29:59.116560] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 6.04e+03 ms 1 6.04e+03 ms
...
NOTICE [2024-Jan-31 23:29:59.119557] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 6958.18 ms
NOTICE [2024-Jan-31 23:29:59.120557] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 6.968653 sec
NOTICE [2024-Jan-31 23:29:59.128560] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:615 : XVA: Build simulation market
NOTICE [2024-Jan-31 23:29:59.129552] OREAnalytics/orea/scenario/scenariosimmarket.cpp:323 : building ScenarioSimMarket...
DEBUG [2024-Jan-31 23:29:59.130550] OREAnalytics/orea/scenario/scenariosimmarket.cpp:325 : AsOf 2016-02-05
DEBUG [2024-Jan-31 23:29:59.131551] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building EUR yield curve..
DEBUG [2024-Jan-31 23:29:59.132549] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.133549] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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." } ] }
...
DATA [2024-Jan-31 23:29:59.134548] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:59.135548] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:29:59.137548] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:59.138547] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:29:59.138547] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
DATA [2024-Jan-31 23:29:59.139545] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:29:59.141544] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:59.145542] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
DEBUG [2024-Jan-31 23:29:59.151538] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
DEBUG [2024-Jan-31 23:29:59.152538] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:59.153539] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:29:59.154552] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:29:59.155550] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:59.156548] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve EUR discount[0]=1.00057
...
DEBUG [2024-Jan-31 23:29:59.166540] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building EUR yield curve done
DEBUG [2024-Jan-31 23:29:59.167539] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building USD yield curve..
DEBUG [2024-Jan-31 23:29:59.168539] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.169539] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.171539] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:59.172537] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:59.176534] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:59.177533] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR3M
DEBUG [2024-Jan-31 23:29:59.178533] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:59.179533] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:29:59.180532] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:29:59.186520] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-3M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:59.194524] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:59.213513] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:29:59.229504] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR3M built
DEBUG [2024-Jan-31 23:29:59.230504] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:59.231503] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration default
DATA [2024-Jan-31 23:29:59.232502] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:29:59.233501] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration default
DEBUG [2024-Jan-31 23:29:59.234501] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:59.234501] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD1D
DEBUG [2024-Jan-31 23:29:59.235501] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-FED-FUNDS-CONVENTIONS"
DATA [2024-Jan-31 23:29:59.236492] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:29:59.238499] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:59.242496] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:29:59.246494] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD1D built
DEBUG [2024-Jan-31 23:29:59.247493] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:59.248493] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration default
DATA [2024-Jan-31 23:29:59.249493] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:29:59.250492] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration default
DEBUG [2024-Jan-31 23:29:59.251491] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:59.252491] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD3M
DEBUG [2024-Jan-31 23:29:59.252491] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:59.253480] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:29:59.254491] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:29:59.261485] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:59.265483] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:59.283297] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 22 instruments
DEBUG [2024-Jan-31 23:29:59.297289] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD3M built
DEBUG [2024-Jan-31 23:29:59.298289] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:59.299288] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD3M to configuration default
DATA [2024-Jan-31 23:29:59.300288] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:29:59.301287] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration default
DEBUG [2024-Jan-31 23:29:59.302287] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:59.303286] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-IN-EUR
DEBUG [2024-Jan-31 23:29:59.303286] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:59.304285] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:29:59.305285] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:29:59.306284] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS-CONVENTIONS"
DATA [2024-Jan-31 23:29:59.307282] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:29:59.322272] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:29:59.447212] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-IN-EUR built
DEBUG [2024-Jan-31 23:29:59.448211] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:59.449211] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:29:59.450212] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:29:59.451210] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 4, error: 0
DEBUG [2024-Jan-31 23:29:59.452210] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve USD discount[0]=0.997912
...
DEBUG [2024-Jan-31 23:29:59.462204] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building USD yield curve done
NOTICE [2024-Jan-31 23:29:59.463191] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built DiscountCurve 2 332 ms
DEBUG [2024-Jan-31 23:29:59.464202] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.465201] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.466201] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:59.467200] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:29:59.468190] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration default
DATA [2024-Jan-31 23:29:59.469199] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:29:59.470188] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:29:59.471198] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:59.471198] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.472382] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.474392] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:29:59.477390] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:59.478390] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:59.480388] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:59.481378] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:29:59.482389] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:59.483387] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:29:59.484386] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:29:59.485385] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:29:59.485385] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:29:59.501366] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:29:59.510360] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:29:59.511360] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:29:59.512359] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DATA [2024-Jan-31 23:29:59.513371] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:29:59.514370] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:29:59.515371] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:59.515371] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.516370] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.518368] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:59.519368] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EONIA index curve
...
ALERT [2024-Jan-31 23:29:59.521366] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.522365] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:59.523364] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EONIA discount[0]=1.00057
...
DEBUG [2024-Jan-31 23:29:59.533157] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EONIA index curve done
DEBUG [2024-Jan-31 23:29:59.534156] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EURIBOR-3M index curve
DEBUG [2024-Jan-31 23:29:59.535155] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.536155] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.538154] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:59.539153] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EURIBOR-3M discount[0]=1.00004
...
DEBUG [2024-Jan-31 23:29:59.549148] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EURIBOR-3M index curve done
DEBUG [2024-Jan-31 23:29:59.549148] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EURIBOR-6M index curve
DEBUG [2024-Jan-31 23:29:59.550147] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.551147] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.553145] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:59.554146] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EURIBOR-6M discount[0]=0.999939
...
DEBUG [2024-Jan-31 23:29:59.564139] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EURIBOR-6M index curve done
DEBUG [2024-Jan-31 23:29:59.565138] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building USD-LIBOR-3M index curve
DEBUG [2024-Jan-31 23:29:59.565138] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.566138] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.568137] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:59.569136] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve USD-LIBOR-3M discount[0]=0.998002
...
DEBUG [2024-Jan-31 23:29:59.579131] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building USD-LIBOR-3M index curve done
NOTICE [2024-Jan-31 23:29:59.580130] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built IndexCurve 4 116 ms
DEBUG [2024-Jan-31 23:29:59.581129] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building EUR swaption volatility curve...
DEBUG [2024-Jan-31 23:29:59.581129] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.582129] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.584127] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:59.585127] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (already built)
...
DATA [2024-Jan-31 23:29:59.591124] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:29:59.591124] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:59.592123] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:29:59.595121] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:29:59.597120] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:29:59.598120] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration default
...
DEBUG [2024-Jan-31 23:29:59.600118] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:59.601118] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:29:59.603117] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:29:59.606115] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:29:59.607114] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration default
DEBUG [2024-Jan-31 23:29:59.608114] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (EUR) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:29:59.609115] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:29:59.611112] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:29:59.612112] 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 23:29:59.623105] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config EUR_SW_N
DEBUG [2024-Jan-31 23:29:59.624094] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:29:59.625105] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:29:59.626104] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration default
DEBUG [2024-Jan-31 23:29:59.627103] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(EUR,SwaptionVolatility/EUR/EUR_SW_N) in configuration default
DEBUG [2024-Jan-31 23:29:59.627103] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:29:59.628102] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:59.629102] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:29:59.631101] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.636098] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.640096] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market EUR yield volatility type = Normal
DEBUG [2024-Jan-31 23:29:59.641096] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (Normal) yield vols (ForwardVariance) for qualifier EUR
DEBUG [2024-Jan-31 23:29:59.642095] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market EUR yield volatility type = Normal
DEBUG [2024-Jan-31 23:29:59.643094] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building USD swaption volatility curve...
DEBUG [2024-Jan-31 23:29:59.643094] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.644093] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.646093] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:59.647091] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DATA [2024-Jan-31 23:29:59.651079] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:29:59.652088] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:59.653089] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:29:59.655087] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:29:59.658086] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-1Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:29:59.659085] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) in configuration default
...
DEBUG [2024-Jan-31 23:29:59.661085] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:59.661085] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:29:59.664082] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:29:59.666081] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-30Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:29:59.667080] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-30Y,USD-FedFunds) in configuration default
DEBUG [2024-Jan-31 23:29:59.668080] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (USD) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:29:59.670079] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:29:59.671079] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:29:59.672078] 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 23:29:59.683071] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config USD_SW_N
DEBUG [2024-Jan-31 23:29:59.684070] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:29:59.685070] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:29:59.686069] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (USD) with spec SwaptionVolatility/USD/USD_SW_N to configuration default
DEBUG [2024-Jan-31 23:29:59.688059] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(USD,SwaptionVolatility/USD/USD_SW_N) in configuration default
DEBUG [2024-Jan-31 23:29:59.690058] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:29:59.691056] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:59.692056] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:29:59.694057] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.699054] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.704060] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market USD yield volatility type = ShiftedLognormal
DEBUG [2024-Jan-31 23:29:59.705059] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (ShiftedLognormal) yield vols (ForwardVariance) for qualifier USD
DEBUG [2024-Jan-31 23:29:59.706058] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market USD yield volatility type = ShiftedLognormal
NOTICE [2024-Jan-31 23:29:59.706058] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built SwaptionVolatility 2 126 ms
DEBUG [2024-Jan-31 23:29:59.707057] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding USDEUR FX rates
DATA [2024-Jan-31 23:29:59.708057] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DEBUG [2024-Jan-31 23:29:59.709056] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:59.710056] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:29:59.712054] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
NOTICE [2024-Jan-31 23:29:59.713054] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:29:59.714043] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote USDEUR
NOTICE [2024-Jan-31 23:29:59.715053] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 1 quotes, 2 currencies.
NOTICE [2024-Jan-31 23:29:59.716052] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built FXSpot 1 8.37 ms
DEBUG [2024-Jan-31 23:29:59.716052] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.717052] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.719051] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:29:59.723048] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:59.724048] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:29:59.726046] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:29:59.727046] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:29:59.728046] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:29:59.734042] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:29:59.735042] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:29:59.741030] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURUSD, assuming defaults
DATA [2024-Jan-31 23:29:59.742029] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
NOTICE [2024-Jan-31 23:29:59.743029] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:29:59.743029] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:29:59.744028] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/USD/EURUSD 1M 0.121699 0.00125789
...
DEBUG [2024-Jan-31 23:29:59.756022] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
DEBUG [2024-Jan-31 23:29:59.756022] OREData/ored/marketdata/fxvolcurve.cpp:1142 : Building calibration info for fx vol surface completed.
DEBUG [2024-Jan-31 23:29:59.757021] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURUSD) with spec FXVolatility/EUR/USD/EURUSD to configuration default
DEBUG [2024-Jan-31 23:29:59.758020] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURUSD,FXVolatility/EUR/USD/EURUSD) in configuration default
DEBUG [2024-Jan-31 23:29:59.759020] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:59.760019] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:29:59.761018] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:29:59.762018] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:29:59.763017] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DATA [2024-Jan-31 23:29:59.764017] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
NOTICE [2024-Jan-31 23:29:59.765016] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1558 : Deterministic FX Vols with decay mode ForwardVariance for USDEUR
NOTICE [2024-Jan-31 23:29:59.766016] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built FXVolatility 1 49.3 ms
DEBUG [2024-Jan-31 23:29:59.767015] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2707 : building swap indices...
DEBUG [2024-Jan-31 23:29:59.767827] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2737 : Adding swap index EUR-CMS-1Y with discounting index EUR-EONIA
DATA [2024-Jan-31 23:29:59.768829] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:29:59.772826] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2740 : Adding swap index EUR-CMS-1Y done.
DEBUG [2024-Jan-31 23:29:59.773826] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2737 : Adding swap index EUR-CMS-30Y with discounting index EUR-EONIA
...
DEBUG [2024-Jan-31 23:29:59.777823] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2740 : Adding swap index EUR-CMS-30Y done.
NOTICE [2024-Jan-31 23:29:59.778823] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2712 : building base scenario
NOTICE [2024-Jan-31 23:29:59.779822] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2729 : building base scenario done
NOTICE [2024-Jan-31 23:29:59.780822] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:618 : XVA: Build Scenario Generator
NOTICE [2024-Jan-31 23:29:59.780822] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:156 : XVA: Build Simulation Model (continueOnCalibrationError = true)
NOTICE [2024-Jan-31 23:29:59.782819] OREData/ored/model/crossassetmodelbuilder.cpp:167 : Start building CrossAssetModel
DEBUG [2024-Jan-31 23:29:59.782819] 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 23:29:59.783818] OREData/ored/model/crossassetmodelbuilder.cpp:207 : Setting measure to BA
DEBUG [2024-Jan-31 23:29:59.784817] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 0 qualifier EUR
DEBUG [2024-Jan-31 23:29:59.785817] 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 23:29:59.786816] OREData/ored/model/hwbuilder.cpp:63 : HwCalibration for qualifier EUR (ccy=EUR), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:29:59.787817] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:29:59.788815] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:59.788815] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:29:59.789814] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:29:59.790814] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:29:59.791813] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:59.792813] OREData/ored/model/hwbuilder.cpp:148 : before calibration: sigma times = [ ]
DEBUG [2024-Jan-31 23:29:59.793812] OREData/ored/model/hwbuilder.cpp:149 : before calibration: kappa times = [ ]
DEBUG [2024-Jan-31 23:29:59.793812] OREData/ored/model/hwbuilder.cpp:154 : alpha times size: 0
DEBUG [2024-Jan-31 23:29:59.794812] OREData/ored/model/hwbuilder.cpp:155 : lambda times size: 0
DEBUG [2024-Jan-31 23:29:59.795811] OREData/ored/model/hwbuilder.cpp:190 : Recalibrate HW model for qualifier EUR currency EUR
DEBUG [2024-Jan-31 23:29:59.796810] 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 23:29:59.797810] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 1 qualifier USD
...
NOTICE [2024-Jan-31 23:29:59.798810] OREData/ored/model/hwbuilder.cpp:63 : HwCalibration for qualifier USD (ccy=USD), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:29:59.799809] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:29:59.800808] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:29:59.801807] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #4: DiscountCurve(USD,Yield/USD/USD1D) (not yet built)
DEBUG [2024-Jan-31 23:29:59.802807] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:29:59.803809] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:29:59.803809] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:29:59.804807] OREData/ored/model/hwbuilder.cpp:148 : before calibration: sigma times = [ ]
DEBUG [2024-Jan-31 23:29:59.805805] OREData/ored/model/hwbuilder.cpp:149 : before calibration: kappa times = [ ]
DEBUG [2024-Jan-31 23:29:59.806805] OREData/ored/model/hwbuilder.cpp:154 : alpha times size: 0
DEBUG [2024-Jan-31 23:29:59.807804] OREData/ored/model/hwbuilder.cpp:155 : lambda times size: 0
DEBUG [2024-Jan-31 23:29:59.808804] OREData/ored/model/hwbuilder.cpp:190 : Recalibrate HW model for qualifier USD currency USD
DEBUG [2024-Jan-31 23:29:59.808804] 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 23:29:59.809803] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 0
NOTICE [2024-Jan-31 23:29:59.810802] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for USDEUR
DEBUG [2024-Jan-31 23:29:59.811802] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.812801] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.813801] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:29:59.821796] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ ]
DEBUG [2024-Jan-31 23:29:59.822796] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1 ]
DEBUG [2024-Jan-31 23:29:59.823795] OREData/ored/model/crossassetmodelbuilder.cpp:441 : CrossAssetModelBuilder: adding correlations.
DEBUG [2024-Jan-31 23:29:59.823795] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,USD,0}) = 0.3.
...
DATA [2024-Jan-31 23:29:59.830792] OREData/ored/model/crossassetmodelbuilder.cpp:450 : CAM correlation matrix:
DATA [2024-Jan-31 23:29:59.831790] OREData/ored/model/crossassetmodelbuilder.cpp:451 : | 1 0 0.3 0.5 0.15 |
...
DEBUG [2024-Jan-31 23:29:59.835788] OREData/ored/model/crossassetmodelbuilder.cpp:470 : IR Calibration 0
...
DEBUG [2024-Jan-31 23:29:59.837798] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.838797] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.839796] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:59.840795] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for EUR for FX calibration
...
ALERT [2024-Jan-31 23:29:59.842794] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.844793] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:59.844793] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for USD for FX calibration
DEBUG [2024-Jan-31 23:29:59.845793] OREData/ored/model/crossassetmodelbuilder.cpp:492 : FX Calibration 0 skipped
...
DEBUG [2024-Jan-31 23:29:59.848790] OREData/ored/model/crossassetmodelbuilder.cpp:548 : Relinked discounting curve for EUR for EQ calibration
...
DEBUG [2024-Jan-31 23:29:59.853777] OREData/ored/model/crossassetmodelbuilder.cpp:619 : Relinked discounting curve for EUR for INF calibration
...
ALERT [2024-Jan-31 23:29:59.857785] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.859785] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:59.859785] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for EUR as final model curves
...
ALERT [2024-Jan-31 23:29:59.861783] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.863782] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:29:59.864782] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for USD as final model curves
DEBUG [2024-Jan-31 23:29:59.864782] OREData/ored/model/crossassetmodelbuilder.cpp:656 : Building CrossAssetModel done
NOTICE [2024-Jan-31 23:29:59.865781] OREAnalytics/orea/scenario/scenariogeneratorbuilder.cpp:48 : ScenarioGeneratorBuilder::build() called
NOTICE [2024-Jan-31 23:29:59.867780] OREAnalytics/orea/scenario/crossassetmodelscenariogenerator.cpp:42 : CrossAssetModelScenarioGenerator ctor called
DEBUG [2024-Jan-31 23:29:59.868779] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:29:59.868779] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:29:59.870779] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:29:59.881772] OREAnalytics/orea/scenario/crossassetmodelscenariogenerator.cpp:313 : CrossAssetModelScenarioGenerator ctor done
NOTICE [2024-Jan-31 23:29:59.882771] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:141 : simulation grid size 92
NOTICE [2024-Jan-31 23:29:59.883771] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:142 : simulation grid valuation dates 92
NOTICE [2024-Jan-31 23:29:59.884770] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:143 : simulation grid close-out dates 0
NOTICE [2024-Jan-31 23:29:59.885769] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:144 : simulation grid front date 2016-05-05
NOTICE [2024-Jan-31 23:29:59.886769] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:145 : simulation grid back date 2039-02-07
NOTICE [2024-Jan-31 23:29:59.887769] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:624 : XVA: Attach Scenario Generator to ScenarioSimMarket
NOTICE [2024-Jan-31 23:29:59.888768] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:228 : XVA: classicRun
NOTICE [2024-Jan-31 23:29:59.889767] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:234 : XVA: Build classic portfolio of size 1 linked to the simulation market
NOTICE [2024-Jan-31 23:29:59.890758] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 1
NOTICE [2024-Jan-31 23:29:59.891758] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:90 : XvaAnalytic::engineFactory() called
NOTICE [2024-Jan-31 23:29:59.892758] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:29:59.893757] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 1 for context = 'analytic/XVA'
DEBUG [2024-Jan-31 23:29:59.894757] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CCSwap
DEBUG [2024-Jan-31 23:29:59.895756] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:29:59.896755] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:29:59.899754] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:29:59.907749] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = USD
...
DEBUG [2024-Jan-31 23:29:59.911755] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:29:59.912754] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:29:59.913753] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:29:59.914753] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:29:59.915752] OREData/ored/utilities/marketdata.cpp:57 : Could not link EUR termstructure to cross currency yield curve __XCCY__-EUR so just using EUR discount curve.
...
DEBUG [2024-Jan-31 23:29:59.924747] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:29:59.925747] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CCSwap:
DATA [2024-Jan-31 23:29:59.935730] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:30:00.012688] 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 23:30:00.013687] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:248 : Filter trades that expire before February 5th, 2016
NOTICE [2024-Jan-31 23:30:00.015685] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:193 : XVA: initClassicRun
NOTICE [2024-Jan-31 23:30:00.017684] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:169 : XVA: Set cube depth
NOTICE [2024-Jan-31 23:30:00.018683] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:171 : XVA: Cube depth set to: 1
NOTICE [2024-Jan-31 23:30:00.019683] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:199 : XVA: Create asd 92 x 1000
NOTICE [2024-Jan-31 23:30:00.020684] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:177 : Init cube with depth 1
DEBUG [2024-Jan-31 23:30:00.021809] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:180 : initCube: grid[0]=2016-05-05
...
NOTICE [2024-Jan-31 23:30:00.127748] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:223 : XVA: initClassicRun completed
NOTICE [2024-Jan-31 23:30:00.128748] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:267 : XVA::buildCube
NOTICE [2024-Jan-31 23:30:00.129747] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:306 : XVA: Build Cube 1 x 92 x 1000
NOTICE [2024-Jan-31 23:30:00.132749] OREAnalytics/orea/engine/valuationengine.cpp:83 : Build cube with mporStickyDate=0, dryRun=false
NOTICE [2024-Jan-31 23:30:00.133746] OREAnalytics/orea/engine/valuationengine.cpp:109 : Starting ValuationEngine for 1 trades, 1000 samples and 92 dates.
NOTICE [2024-Jan-31 23:30:00.134744] OREAnalytics/orea/engine/valuationengine.cpp:116 : Initialise 1 valuation calculators
DEBUG [2024-Jan-31 23:30:00.135745] OREAnalytics/orea/engine/valuationcalculator.cpp:32 : init NPVCalculator
NOTICE [2024-Jan-31 23:30:00.136744] OREAnalytics/orea/engine/valuationengine.cpp:127 : Initialise state objects...
DEBUG [2024-Jan-31 23:30:00.137744] OREAnalytics/orea/engine/valuationengine.cpp:133 : Initialise wrapper for trade CCSwap
NOTICE [2024-Jan-31 23:30:00.138742] OREAnalytics/orea/engine/valuationengine.cpp:166 : Total number of trades = 1
DATA [2024-Jan-31 23:30:00.139742] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DATA [2024-Jan-31 23:30:00.140741] OREAnalytics/orea/simulation/fixingmanager.cpp:105 : Added 84 fixing dates for 'EUR-EURIBOR-3M'
DATA [2024-Jan-31 23:30:00.141740] OREAnalytics/orea/engine/valuationengine.cpp:180 : ValuationEngine: apply scenario sample #0
NOTICE [2024-Jan-31 23:30:00.141740] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 0 out of 1000 steps (0%) completed
...
NOTICE [2024-Jan-31 23:30:00.826364] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 10 out of 1000 steps (1%) completed
...
NOTICE [2024-Jan-31 23:30:01.524250] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 20 out of 1000 steps (2%) completed
...
NOTICE [2024-Jan-31 23:30:02.366954] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 30 out of 1000 steps (3%) completed
...
NOTICE [2024-Jan-31 23:30:03.119486] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 40 out of 1000 steps (4%) completed
...
NOTICE [2024-Jan-31 23:30:03.815093] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 50 out of 1000 steps (5%) completed
...
NOTICE [2024-Jan-31 23:30:04.477682] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 60 out of 1000 steps (6%) completed
...
NOTICE [2024-Jan-31 23:30:05.143939] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 70 out of 1000 steps (7%) completed
...
NOTICE [2024-Jan-31 23:30:05.814371] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 80 out of 1000 steps (8%) completed
...
NOTICE [2024-Jan-31 23:30:06.521983] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 90 out of 1000 steps (9%) completed
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NOTICE [2024-Jan-31 23:30:07.204457] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 100 out of 1000 steps (10%) completed
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NOTICE [2024-Jan-31 23:30:07.867779] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 110 out of 1000 steps (11%) completed
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NOTICE [2024-Jan-31 23:30:08.542016] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 120 out of 1000 steps (12%) completed
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NOTICE [2024-Jan-31 23:30:09.235468] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 130 out of 1000 steps (13%) completed
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NOTICE [2024-Jan-31 23:30:09.912065] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 140 out of 1000 steps (14%) completed
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NOTICE [2024-Jan-31 23:30:10.560217] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 150 out of 1000 steps (15%) completed
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NOTICE [2024-Jan-31 23:30:11.234123] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 160 out of 1000 steps (16%) completed
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NOTICE [2024-Jan-31 23:30:11.937346] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 170 out of 1000 steps (17%) completed
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NOTICE [2024-Jan-31 23:30:12.619701] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 180 out of 1000 steps (18%) completed
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NOTICE [2024-Jan-31 23:30:13.281839] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 190 out of 1000 steps (19%) completed
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NOTICE [2024-Jan-31 23:30:13.953262] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 200 out of 1000 steps (20%) completed
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NOTICE [2024-Jan-31 23:30:14.622429] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 210 out of 1000 steps (21%) completed
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NOTICE [2024-Jan-31 23:30:15.305436] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 220 out of 1000 steps (22%) completed
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NOTICE [2024-Jan-31 23:30:16.007314] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 230 out of 1000 steps (23%) completed
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NOTICE [2024-Jan-31 23:30:16.667950] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 240 out of 1000 steps (24%) completed
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NOTICE [2024-Jan-31 23:30:17.324969] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 250 out of 1000 steps (25%) completed
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NOTICE [2024-Jan-31 23:30:17.978504] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 260 out of 1000 steps (26%) completed
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NOTICE [2024-Jan-31 23:30:18.668995] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 270 out of 1000 steps (27%) completed
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NOTICE [2024-Jan-31 23:30:19.388321] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 280 out of 1000 steps (28%) completed
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NOTICE [2024-Jan-31 23:30:20.082858] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 290 out of 1000 steps (28%) completed
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NOTICE [2024-Jan-31 23:30:20.800930] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 300 out of 1000 steps (30%) completed
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NOTICE [2024-Jan-31 23:30:21.533714] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 310 out of 1000 steps (31%) completed
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NOTICE [2024-Jan-31 23:30:22.239840] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 320 out of 1000 steps (32%) completed
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NOTICE [2024-Jan-31 23:30:22.952163] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 330 out of 1000 steps (33%) completed
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NOTICE [2024-Jan-31 23:30:23.625263] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 340 out of 1000 steps (34%) completed
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NOTICE [2024-Jan-31 23:30:24.301204] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 350 out of 1000 steps (35%) completed
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NOTICE [2024-Jan-31 23:30:24.961577] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 360 out of 1000 steps (36%) completed
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NOTICE [2024-Jan-31 23:30:25.629746] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 370 out of 1000 steps (37%) completed
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NOTICE [2024-Jan-31 23:30:26.305381] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 380 out of 1000 steps (38%) completed
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NOTICE [2024-Jan-31 23:30:26.968682] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 390 out of 1000 steps (39%) completed
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NOTICE [2024-Jan-31 23:30:27.655914] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 400 out of 1000 steps (40%) completed
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NOTICE [2024-Jan-31 23:30:28.346112] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 410 out of 1000 steps (41%) completed
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NOTICE [2024-Jan-31 23:30:29.012795] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 420 out of 1000 steps (42%) completed
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NOTICE [2024-Jan-31 23:30:29.674057] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 430 out of 1000 steps (43%) completed
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NOTICE [2024-Jan-31 23:30:30.368885] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 440 out of 1000 steps (44%) completed
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NOTICE [2024-Jan-31 23:30:31.045803] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 450 out of 1000 steps (45%) completed
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NOTICE [2024-Jan-31 23:30:31.705362] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 460 out of 1000 steps (46%) completed
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NOTICE [2024-Jan-31 23:30:32.363538] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 470 out of 1000 steps (47%) completed
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NOTICE [2024-Jan-31 23:30:39.993966] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 480 out of 1000 steps (48%) completed
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NOTICE [2024-Jan-31 23:30:40.544242] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 490 out of 1000 steps (49%) completed
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NOTICE [2024-Jan-31 23:30:41.100317] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 500 out of 1000 steps (50%) completed
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NOTICE [2024-Jan-31 23:30:41.640588] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 510 out of 1000 steps (51%) completed
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NOTICE [2024-Jan-31 23:30:42.226140] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 520 out of 1000 steps (52%) completed
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NOTICE [2024-Jan-31 23:30:42.764125] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 530 out of 1000 steps (53%) completed
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NOTICE [2024-Jan-31 23:30:43.303136] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 540 out of 1000 steps (54%) completed
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NOTICE [2024-Jan-31 23:30:43.834473] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 550 out of 1000 steps (55%) completed
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NOTICE [2024-Jan-31 23:30:44.383563] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 560 out of 1000 steps (56%) completed
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NOTICE [2024-Jan-31 23:30:44.923896] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 570 out of 1000 steps (56%) completed
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NOTICE [2024-Jan-31 23:30:45.467071] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 580 out of 1000 steps (57%) completed
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NOTICE [2024-Jan-31 23:30:46.018953] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 590 out of 1000 steps (59%) completed
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NOTICE [2024-Jan-31 23:30:46.581054] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 600 out of 1000 steps (60%) completed
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NOTICE [2024-Jan-31 23:30:47.118251] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 610 out of 1000 steps (61%) completed
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NOTICE [2024-Jan-31 23:30:47.668558] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 620 out of 1000 steps (62%) completed
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NOTICE [2024-Jan-31 23:30:48.236970] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 630 out of 1000 steps (63%) completed
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NOTICE [2024-Jan-31 23:30:48.870496] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 640 out of 1000 steps (64%) completed
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NOTICE [2024-Jan-31 23:30:49.456485] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 650 out of 1000 steps (65%) completed
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NOTICE [2024-Jan-31 23:30:50.019026] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 660 out of 1000 steps (66%) completed
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NOTICE [2024-Jan-31 23:30:50.569311] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 670 out of 1000 steps (67%) completed
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NOTICE [2024-Jan-31 23:30:51.136617] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 680 out of 1000 steps (68%) completed
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NOTICE [2024-Jan-31 23:30:51.679251] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 690 out of 1000 steps (69%) completed
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NOTICE [2024-Jan-31 23:30:52.221370] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 700 out of 1000 steps (70%) completed
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NOTICE [2024-Jan-31 23:30:52.779634] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 710 out of 1000 steps (71%) completed
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NOTICE [2024-Jan-31 23:30:53.362316] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 720 out of 1000 steps (72%) completed
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NOTICE [2024-Jan-31 23:30:53.920886] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 730 out of 1000 steps (73%) completed
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NOTICE [2024-Jan-31 23:30:54.467162] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 740 out of 1000 steps (74%) completed
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NOTICE [2024-Jan-31 23:30:55.008438] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 750 out of 1000 steps (75%) completed
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NOTICE [2024-Jan-31 23:30:55.555550] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 760 out of 1000 steps (76%) completed
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NOTICE [2024-Jan-31 23:30:56.235740] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 770 out of 1000 steps (77%) completed
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NOTICE [2024-Jan-31 23:30:56.886220] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 780 out of 1000 steps (78%) completed
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NOTICE [2024-Jan-31 23:30:57.587558] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 790 out of 1000 steps (79%) completed
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NOTICE [2024-Jan-31 23:30:58.261625] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 800 out of 1000 steps (80%) completed
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NOTICE [2024-Jan-31 23:30:58.879991] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 810 out of 1000 steps (81%) completed
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NOTICE [2024-Jan-31 23:30:59.615037] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 820 out of 1000 steps (82%) completed
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NOTICE [2024-Jan-31 23:31:00.309900] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 830 out of 1000 steps (83%) completed
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NOTICE [2024-Jan-31 23:31:00.963629] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 840 out of 1000 steps (84%) completed
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NOTICE [2024-Jan-31 23:31:01.505076] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 850 out of 1000 steps (85%) completed
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NOTICE [2024-Jan-31 23:31:02.045010] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 860 out of 1000 steps (86%) completed
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NOTICE [2024-Jan-31 23:31:02.587568] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 870 out of 1000 steps (87%) completed
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NOTICE [2024-Jan-31 23:31:03.184870] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 880 out of 1000 steps (88%) completed
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NOTICE [2024-Jan-31 23:31:03.736219] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 890 out of 1000 steps (89%) completed
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NOTICE [2024-Jan-31 23:31:04.419611] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 900 out of 1000 steps (90%) completed
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NOTICE [2024-Jan-31 23:31:05.109927] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 910 out of 1000 steps (91%) completed
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NOTICE [2024-Jan-31 23:31:05.781565] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 920 out of 1000 steps (92%) completed
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NOTICE [2024-Jan-31 23:31:06.478407] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 930 out of 1000 steps (93%) completed
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NOTICE [2024-Jan-31 23:31:07.125471] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 940 out of 1000 steps (94%) completed
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NOTICE [2024-Jan-31 23:31:07.769655] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 950 out of 1000 steps (95%) completed
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NOTICE [2024-Jan-31 23:31:08.433848] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 960 out of 1000 steps (96%) completed
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NOTICE [2024-Jan-31 23:31:09.141282] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 970 out of 1000 steps (97%) completed
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NOTICE [2024-Jan-31 23:31:09.835720] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 980 out of 1000 steps (98%) completed
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NOTICE [2024-Jan-31 23:31:10.511308] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 990 out of 1000 steps (99%) completed
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NOTICE [2024-Jan-31 23:31:11.207467] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building cube 1000 out of 1000 steps (100%) completed
NOTICE [2024-Jan-31 23:31:11.211819] OREAnalytics/orea/engine/valuationengine.cpp:286 : ValuationEngine completed: loop 71.07 sec, pricing 7 sec, update 55 sec fixing 0.043
NOTICE [2024-Jan-31 23:31:11.212828] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:377 : XVA::buildCube done
NOTICE [2024-Jan-31 23:31:11.213828] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:259 : XVA: classicRun completed
WARNING [2024-Jan-31 23:31:11.214827] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:680 : We have generated a classic cube only
NOTICE [2024-Jan-31 23:31:11.215826] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:683 : NPV cube generation completed
NOTICE [2024-Jan-31 23:31:11.216825] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:689 : Classic portfolio size 1
NOTICE [2024-Jan-31 23:31:11.217825] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:690 : AMC portfolio size 0
NOTICE [2024-Jan-31 23:31:11.218825] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:696 : Total portfolio size 1
MEMORY [2024-Jan-31 23:31:11.220832] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:725 : 51023872|51019776
NOTICE [2024-Jan-31 23:31:11.221824] OREAnalytics/orea/app/reportwriter.cpp:1420 : Writing cube report
NOTICE [2024-Jan-31 23:31:11.284822] OREAnalytics/orea/app/reportwriter.cpp:1485 : Cube report written
NOTICE [2024-Jan-31 23:31:11.285821] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:66 : For netting-set CPTY_ACSA flag is 0
NOTICE [2024-Jan-31 23:31:11.286823] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:565 : baseCurrency EUR
DEBUG [2024-Jan-31 23:31:11.287822] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,USD,0}) = 0.3.
...
NOTICE [2024-Jan-31 23:31:11.294817] OREAnalytics/orea/aggregation/postprocess.cpp:89 : cube storage is regular: 1
NOTICE [2024-Jan-31 23:31:11.295817] OREAnalytics/orea/aggregation/postprocess.cpp:90 : cube dates: 92
NOTICE [2024-Jan-31 23:31:11.296816] OREAnalytics/orea/aggregation/postprocess.cpp:137 : Compute netting set NPVs as of today and netting set maturity
NOTICE [2024-Jan-31 23:31:11.297816] OREAnalytics/orea/aggregation/postprocess.cpp:140 : AsOfDate = 2016-02-05
NOTICE [2024-Jan-31 23:31:11.297816] OREAnalytics/orea/aggregation/exposurecalculator.cpp:72 : Compute trade exposure profiles, regular (flipViewXVA = N)
NOTICE [2024-Jan-31 23:31:11.298815] OREAnalytics/orea/aggregation/exposurecalculator.cpp:78 : Aggregate exposure for trade CCSwap
DEBUG [2024-Jan-31 23:31:11.301813] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:11.302813] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:11.303812] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:31:11.328797] OREAnalytics/orea/aggregation/nettedexposurecalculator.cpp:96 : Compute netting set exposure profiles
NOTICE [2024-Jan-31 23:31:11.330798] OREAnalytics/orea/aggregation/nettedexposurecalculator.cpp:154 : Aggregate exposure for netting set CPTY_A
NOTICE [2024-Jan-31 23:31:11.331796] OREAnalytics/orea/aggregation/nettedexposurecalculator.cpp:405 : CSA missing or inactive for netting set CPTY_A
DEBUG [2024-Jan-31 23:31:11.332794] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:11.333793] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:11.335792] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:31:11.348786] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade CCSwap, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:31:11.350785] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:11.351785] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:31:11.352784] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:31:11.354783] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:31:11.355782] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_BORROW
DEBUG [2024-Jan-31 23:31:11.356782] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_BORROW built
DEBUG [2024-Jan-31 23:31:11.357781] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_BORROW" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:31:11.358781] 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 23:31:11.359780] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) in configuration default
DEBUG [2024-Jan-31 23:31:11.359780] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:31:11.360779] 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 23:31:11.361779] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:31:11.362779] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_BORROW) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:11.363778] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:11.364777] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:31:11.368775] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:31:11.369774] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:31:11.370774] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:31:11.371773] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_LEND
DEBUG [2024-Jan-31 23:31:11.372773] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_LEND built
DEBUG [2024-Jan-31 23:31:11.373772] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_LEND" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:31:11.374771] 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 23:31:11.375771] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_LEND,Yield/EUR/BANK_EUR_LEND) in configuration default
DEBUG [2024-Jan-31 23:31:11.376770] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:31:11.377770] 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 23:31:11.377770] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:31:11.378770] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_LEND) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:11.379769] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:11.381767] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:31:11.384766] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:31:11.385766] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #56: DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) (not yet built)
DEBUG [2024-Jan-31 23:31:11.386765] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:31:11.387764] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_A_SR_USD
NOTICE [2024-Jan-31 23:31:11.388764] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_A_SR_USD
DATA [2024-Jan-31 23:31:11.389763] 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 23:31:11.398758] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_A_SR_USD using 11 default quotes of 11 requested quotes.
NOTICE [2024-Jan-31 23:31:11.399757] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:31:11.399757] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:31:11.400757] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_A_SR_USD
DEBUG [2024-Jan-31 23:31:11.401756] 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 23:31:11.402756] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:31:11.403755] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:31:11.404755] OREData/ored/marketdata/todaysmarket.cpp:823 : market object Securities(CPTY_A) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:11.404755] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:11.406754] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:31:11.410751] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:31:11.411750] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:31:11.413749] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:31:11.414749] OREData/ored/marketdata/defaultcurve.cpp:309 : Start building default curve of type SpreadCDS for curve BANK_SR_USD
NOTICE [2024-Jan-31 23:31:11.415748] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve BANK_SR_USD
DATA [2024-Jan-31 23:31:11.416748] 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 23:31:11.422744] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve BANK_SR_USD using 7 default quotes of 7 requested quotes.
DATA [2024-Jan-31 23:31:11.425742] OREData/ored/marketdata/defaultcurve.cpp:526 : 2016-12-20,0.985311623
...
DEBUG [2024-Jan-31 23:31:11.431739] OREData/ored/marketdata/defaultcurve.cpp:541 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:31:11.432738] OREData/ored/marketdata/defaultcurve.cpp:548 : Finished building default curve of type SpreadCDS for curve BANK_SR_USD
DEBUG [2024-Jan-31 23:31:11.433738] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (BANK) with spec Default/USD/BANK_SR_USD to configuration default
DEBUG [2024-Jan-31 23:31:11.434737] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(BANK,Default/USD/BANK_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:31:11.435737] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:31:11.436736] OREData/ored/marketdata/todaysmarket.cpp:823 : market object Securities(BANK) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:11.436736] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:11.438735] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:31:11.442733] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:31:14.003742] OREAnalytics/orea/aggregation/xvacalculator.cpp:371 : Update XVA for netting set CPTY_A, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:31:14.005742] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:14.007740] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:31:14.010728] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:31:14.013737] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:31:14.017734] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:31:14.021419] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:31:14.021538] 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 23:31:14.022549] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:31:14.024549] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:14.026535] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:31:14.030545] 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 23:31:14.031544] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:31:14.033543] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:14.034542] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:31:16.549898] OREAnalytics/orea/aggregation/exposureallocator.cpp:44 : Compute allocated trade exposures
NOTICE [2024-Jan-31 23:31:16.549898] OREAnalytics/orea/aggregation/exposureallocator.cpp:64 : Completed calculating allocated trade exposures
...
ALERT [2024-Jan-31 23:31:16.551910] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:16.553909] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:31:16.554908] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade CCSwap, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:31:16.555908] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:16.557907] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:31:16.558906] 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 23:31:16.559905] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:31:16.560905] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:16.562905] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:31:16.566901] 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 23:31:16.567891] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:31:16.569900] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:16.570899] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:31:16.577895] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:31:16.581893] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:31:16.584891] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:31:16.587889] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:31:19.136963] OREAnalytics/orea/aggregation/xvacalculator.cpp:371 : Update XVA for netting set CPTY_A, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:31:19.139962] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:19.145958] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:31:19.153953] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:31:19.158951] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:31:19.161952] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:31:19.167945] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:31:19.169944] 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 23:31:19.171942] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:31:19.174941] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:19.176940] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:31:19.181938] 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 23:31:19.182937] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:31:19.186936] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:19.189933] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:31:21.740637] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:582 : post done
NOTICE [2024-Jan-31 23:31:21.749632] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:767 : Generating XVA reports and cube outputs
NOTICE [2024-Jan-31 23:31:21.750632] OREAnalytics/orea/app/reportwriter.cpp:1420 : Writing cube report
NOTICE [2024-Jan-31 23:31:21.811460] OREAnalytics/orea/app/reportwriter.cpp:1485 : Cube report written
WARNING [2024-Jan-31 23:31:21.812459] OREAnalytics/orea/app/analytic.cpp:86 : 110723072|110718976
NOTICE [2024-Jan-31 23:31:21.813450] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'XVA' finished.
DEBUG [2024-Jan-31 23:31:21.814450] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve EUR1D for label as it has already been added
...
NOTICE [2024-Jan-31 23:31:21.822445] OREAnalytics/orea/app/reportwriter.cpp:1399 : Writing Pricing stats report
NOTICE [2024-Jan-31 23:31:21.823444] OREAnalytics/orea/app/reportwriter.cpp:1415 : Pricing stats report written
NOTICE [2024-Jan-31 23:31:21.824444] OREAnalytics/orea/app/analyticsmanager.cpp:239 : report name cashflow occurs 1 times
...
NOTICE [2024-Jan-31 23:31:21.836437] OREData/ored/report/csvreport.cpp:107 : Opening CSV file report 'Output/flows.csv'
NOTICE [2024-Jan-31 23:31:21.840443] OREData/ored/report/csvreport.cpp:190 : CSV file report 'Output/flows.csv' closed.
NOTICE [2024-Jan-31 23:31:21.841435] OREAnalytics/orea/app/analyticsmanager.cpp:282 : report cashflow written to Output/flows.csv
...
NOTICE [2024-Jan-31 23:31:22.577838] OREAnalytics/orea/app/oreapp.cpp:263 : write npv cube cube
NOTICE [2024-Jan-31 23:31:22.578838] OREAnalytics/orea/app/oreapp.cpp:266 : write npv cube cube to file Output/cube.csv.gz
NOTICE [2024-Jan-31 23:31:22.861434] OREAnalytics/orea/app/oreapp.cpp:276 : write market cube scenariodata to file Output/scenariodata.csv.gz
WARNING [2024-Jan-31 23:31:24.308143] OREAnalytics/orea/app/oreapp.cpp:290 : 110817280|110813184
NOTICE [2024-Jan-31 23:31:24.309143] OREAnalytics/orea/app/oreapp.cpp:291 : ORE analytics done
NOTICE [2024-Jan-31 23:31:24.311144] OREAnalytics/orea/app/oreapp.cpp:397 : ORE done.