NOTICE [2024-Jan-31 23:31:24.419887] OREAnalytics/orea/app/parameters.cpp:133 : Parameters:
NOTICE [2024-Jan-31 23:31:24.421888] OREAnalytics/orea/app/parameters.cpp:136 : group = cashflow : active = Y
...
NOTICE [2024-Jan-31 23:31:24.486197] OREAnalytics/orea/app/oreapp.cpp:462 : buildInputParameters called
WARNING [2024-Jan-31 23:31:24.487196] OREAnalytics/orea/app/oreapp.cpp:484 : Calendar adjustments not found, using defaults
WARNING [2024-Jan-31 23:31:24.487196] OREAnalytics/orea/app/oreapp.cpp:495 : Currency configurations not found, using defaults
NOTICE [2024-Jan-31 23:31:24.488195] OREAnalytics/orea/app/oreapp.cpp:555 : Observation Mode is Disable
WARNING [2024-Jan-31 23:31:24.489194] OREAnalytics/orea/app/oreapp.cpp:568 : Reference data not found
WARNING [2024-Jan-31 23:31:24.490194] OREAnalytics/orea/app/oreapp.cpp:578 : Script library not loaded
NOTICE [2024-Jan-31 23:31:24.491193] OREAnalytics/orea/app/oreapp.cpp:583 : Loading conventions from file: Input/../../Input/conventions.xml
DEBUG [2024-Jan-31 23:31:24.492193] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-ZERO-CONVENTIONS
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DEBUG [2024-Jan-31 23:31:24.637913] OREData/ored/configuration/conventions.cpp:2449 : Building Convention GBP-USD-FX-CONVENTIONS
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DEBUG [2024-Jan-31 23:31:24.658901] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention EUR-USD-XCCY-BASIS-CONVENTIONS
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WARNING [2024-Jan-31 23:31:24.705875] OREAnalytics/orea/app/oreapp.cpp:594 : Using default Ibor fallback config
NOTICE [2024-Jan-31 23:31:24.706874] OREAnalytics/orea/app/oreapp.cpp:599 : Load curve configurations from file:
NOTICE [2024-Jan-31 23:31:24.709872] OREAnalytics/orea/app/oreapp.cpp:608 : Load pricing engine data from file: Input/pricingengine.xml
DEBUG [2024-Jan-31 23:31:24.720200] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:31:24.721197] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:31:24.722208] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
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DEBUG [2024-Jan-31 23:31:24.730191] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
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DEBUG [2024-Jan-31 23:31:24.734188] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:31:24.735188] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
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DEBUG [2024-Jan-31 23:31:24.737187] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
...
DEBUG [2024-Jan-31 23:31:24.744194] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:31:24.744194] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
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DEBUG [2024-Jan-31 23:31:24.748192] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:31:24.749191] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
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DEBUG [2024-Jan-31 23:31:24.760184] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
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DEBUG [2024-Jan-31 23:31:24.766181] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:31:24.770178] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:31:24.770178] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
...
DEBUG [2024-Jan-31 23:31:24.780080] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CMS paramName=MeanReversion paramValue=0.0
...
DEBUG [2024-Jan-31 23:31:24.788076] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:31:24.789074] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:31:24.797070] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:31:24.798069] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:31:24.806065] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
...
DEBUG [2024-Jan-31 23:31:24.809063] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:31:24.810062] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
...
NOTICE [2024-Jan-31 23:31:24.813060] OREAnalytics/orea/app/oreapp.cpp:617 : Loading today's market parameters from fileInput/../../Input/todaysmarket.xml
DEBUG [2024-Jan-31 23:31:24.814060] 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 23:31:24.885008] OREData/ored/marketdata/todaysmarketparameters.cpp:190 : TodaysMarketParameters: the attribute 'currency' is deprecated for 'SwaptionVolatilities', use 'key' instead.
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WARNING [2024-Jan-31 23:31:24.890017] OREData/ored/marketdata/todaysmarketparameters.cpp:190 : TodaysMarketParameters: the attribute 'currency' is deprecated for 'CapFloorVolatilities', use 'key' instead.
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NOTICE [2024-Jan-31 23:31:24.923997] OREAnalytics/orea/app/inputparameters.cpp:143 : Loading portfolio from file: Input/portfolio.xml
DEBUG [2024-Jan-31 23:31:24.934295] OREData/ored/portfolio/portfolio.cpp:58 : Parsing trade id:Swap_EUR
DEBUG [2024-Jan-31 23:31:24.935295] OREData/ored/portfolio/portfolio.cpp:68 : Added Trade Swap_EUR (Swap_EUR) type:Swap
...
NOTICE [2024-Jan-31 23:31:24.943298] OREData/ored/portfolio/portfolio.cpp:95 : Finished Parsing XML doc
NOTICE [2024-Jan-31 23:31:24.944298] OREAnalytics/orea/app/oreapp.cpp:636 : MarketContext::fxcalibration = collateral_eur
...
NOTICE [2024-Jan-31 23:31:24.948295] OREAnalytics/orea/app/oreapp.cpp:914 : Loading simulation config from fileInput/simulation.xml
DEBUG [2024-Jan-31 23:31:24.958473] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:699 : ScenarioSimMarketParameters::fromXML()
DEBUG [2024-Jan-31 23:31:24.959481] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:706 : Loading Currencies
DEBUG [2024-Jan-31 23:31:24.960481] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:710 : Loading BenchmarkCurve
DEBUG [2024-Jan-31 23:31:24.961469] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:723 : Loading YieldCurves
DEBUG [2024-Jan-31 23:31:24.962469] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse Y
WARNING [2024-Jan-31 23:31:24.963468] 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 23:31:24.964468] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:761 : Loading Libor indices
DEBUG [2024-Jan-31 23:31:24.964468] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:764 : Loading swap indices
DEBUG [2024-Jan-31 23:31:24.965467] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:775 : Loading FX Rates
DEBUG [2024-Jan-31 23:31:24.966466] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:804 : Loading SwaptionVolatilities
ALERT [2024-Jan-31 23:31:24.967466] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:816 : ScenarioSimMarketParameters: SwaptionVolatilities/Currencies is deprecated, use Keys instead.
DEBUG [2024-Jan-31 23:31:24.968465] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:922 : Loading YieldVolatilities
DEBUG [2024-Jan-31 23:31:24.969465] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:941 : Loading Correlations
DEBUG [2024-Jan-31 23:31:24.970464] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:970 : Loading CapFloorVolatilities
DEBUG [2024-Jan-31 23:31:24.971463] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1076 : Loading YYCapFloorVolatilities
DEBUG [2024-Jan-31 23:31:24.971463] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1138 : Loading CPICapFloorVolatilities
DEBUG [2024-Jan-31 23:31:24.972463] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1201 : Loading DefaultCurves Rates
DEBUG [2024-Jan-31 23:31:24.973462] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1229 : Loading Equities Rates
DEBUG [2024-Jan-31 23:31:24.974462] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1242 : Loading CDSVolatilities Rates
DEBUG [2024-Jan-31 23:31:24.975461] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1270 : Loading FXVolatilities
DEBUG [2024-Jan-31 23:31:24.976460] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1339 : Loading EquityVolatilities
DEBUG [2024-Jan-31 23:31:24.977463] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1405 : Loading CpiInflationIndexCurves
DEBUG [2024-Jan-31 23:31:24.978462] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1408 : Loading ZeroInflationIndexCurves
DEBUG [2024-Jan-31 23:31:24.978462] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1415 : Loading YYInflationIndexCurves
DEBUG [2024-Jan-31 23:31:24.979462] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1423 : Loading AggregationScenarioDataIndices
DEBUG [2024-Jan-31 23:31:24.980461] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1428 : Loading AggregationScenarioDataCurrencies
DEBUG [2024-Jan-31 23:31:24.981460] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1434 : Loading Securities
DEBUG [2024-Jan-31 23:31:24.982460] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1444 : Loading CPRs
DEBUG [2024-Jan-31 23:31:24.983459] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1451 : Loading BaseCorrelations
DEBUG [2024-Jan-31 23:31:24.983459] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1461 : Loading commodities data
DEBUG [2024-Jan-31 23:31:24.984459] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1503 : Loading commodity volatility data
DEBUG [2024-Jan-31 23:31:24.985458] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1533 : Loading credit states data
DEBUG [2024-Jan-31 23:31:24.986458] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1540 : Loading AggregationScenarioDataCreditStates
DEBUG [2024-Jan-31 23:31:24.987457] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1547 : Loading AggregationScenarioDataSurvivalWeights
DEBUG [2024-Jan-31 23:31:24.988456] OREAnalytics/orea/scenario/scenariosimmarketparameters.cpp:1551 : Loaded ScenarioSimMarketParameters
WARNING [2024-Jan-31 23:31:24.989456] OREData/ored/model/crossassetmodeldata.cpp:274 : Simulation/Parameters/Discretization is deprecated, use Simulation/CrossAssetModel/Discretization instead.
NOTICE [2024-Jan-31 23:31:24.990455] OREData/ored/model/crossassetmodeldata.cpp:288 : CrossAssetModelData: domesticCcy EUR
NOTICE [2024-Jan-31 23:31:24.991455] OREData/ored/model/crossassetmodeldata.cpp:292 : CrossAssetModelData: ccy EUR
...
NOTICE [2024-Jan-31 23:31:24.995450] OREData/ored/model/crossassetmodeldata.cpp:316 : CrossAssetModelData: bootstrap tolerance = 0.0001
NOTICE [2024-Jan-31 23:31:24.996449] OREData/ored/model/crossassetmodeldata.cpp:319 : CrossAssetModelData: measure = ''
WARNING [2024-Jan-31 23:31:24.996449] OREData/ored/model/irlgmdata.cpp:33 : IrLgmData: attribute ccy is deprecated, use key instead.
NOTICE [2024-Jan-31 23:31:24.997449] OREData/ored/model/irlgmdata.cpp:36 : LGM with attribute (key) = default
NOTICE [2024-Jan-31 23:31:24.998448] OREData/ored/model/irlgmdata.cpp:54 : LGM calibration swaption 1Y x 19Y ATM
...
NOTICE [2024-Jan-31 23:31:25.007443] OREData/ored/model/lgmdata.cpp:126 : LGM Volatility calibrate = 1
NOTICE [2024-Jan-31 23:31:25.008442] OREData/ored/model/lgmdata.cpp:130 : LGM Volatility type = Hagan
NOTICE [2024-Jan-31 23:31:25.009442] OREData/ored/model/lgmdata.cpp:134 : LGM Volatility param type = Piecewise
NOTICE [2024-Jan-31 23:31:25.010441] OREData/ored/model/lgmdata.cpp:137 : LGM Volatility time grid size = 7
NOTICE [2024-Jan-31 23:31:25.011441] OREData/ored/model/lgmdata.cpp:140 : LGM Volatility initial values size = 8
NOTICE [2024-Jan-31 23:31:25.012440] OREData/ored/model/lgmdata.cpp:147 : LGM Reversion calibrate = 0
NOTICE [2024-Jan-31 23:31:25.012440] OREData/ored/model/lgmdata.cpp:151 : LGM Reversion type = HullWhite
NOTICE [2024-Jan-31 23:31:25.013439] OREData/ored/model/lgmdata.cpp:155 : LGM Reversion parameter type = Constant
NOTICE [2024-Jan-31 23:31:25.014439] OREData/ored/model/lgmdata.cpp:158 : LGM Reversion time grid size = 0
NOTICE [2024-Jan-31 23:31:25.015438] OREData/ored/model/lgmdata.cpp:161 : LGM Reversion initial values size = 1
NOTICE [2024-Jan-31 23:31:25.016438] OREData/ored/model/lgmdata.cpp:167 : LGM shift horizon = 20
NOTICE [2024-Jan-31 23:31:25.017437] OREData/ored/model/lgmdata.cpp:170 : LGM scaling = 1
NOTICE [2024-Jan-31 23:31:25.017437] OREData/ored/model/irmodeldata.cpp:113 : LGM with calibrationType_ = default
NOTICE [2024-Jan-31 23:31:25.018436] OREData/ored/model/lgmdata.cpp:178 : LgmData done
NOTICE [2024-Jan-31 23:31:25.019436] OREData/ored/model/crossassetmodeldata.cpp:340 : LGM calibration swaption 1Y x 19Y ATM
...
NOTICE [2024-Jan-31 23:31:25.029218] OREData/ored/model/crossassetmodeldata.cpp:345 : CrossAssetModelData: IR config built for key default
WARNING [2024-Jan-31 23:31:25.029218] OREData/ored/model/irlgmdata.cpp:33 : IrLgmData: attribute ccy is deprecated, use key instead.
NOTICE [2024-Jan-31 23:31:25.030218] OREData/ored/model/irlgmdata.cpp:36 : LGM with attribute (key) = EUR
NOTICE [2024-Jan-31 23:31:25.031217] OREData/ored/model/irlgmdata.cpp:54 : LGM calibration swaption 1Y x 19Y ATM
...
NOTICE [2024-Jan-31 23:31:25.040213] OREData/ored/model/lgmdata.cpp:126 : LGM Volatility calibrate = 1
NOTICE [2024-Jan-31 23:31:25.041202] OREData/ored/model/lgmdata.cpp:130 : LGM Volatility type = Hagan
NOTICE [2024-Jan-31 23:31:25.042201] OREData/ored/model/lgmdata.cpp:134 : LGM Volatility param type = Piecewise
NOTICE [2024-Jan-31 23:31:25.043201] OREData/ored/model/lgmdata.cpp:137 : LGM Volatility time grid size = 7
NOTICE [2024-Jan-31 23:31:25.044199] OREData/ored/model/lgmdata.cpp:140 : LGM Volatility initial values size = 8
NOTICE [2024-Jan-31 23:31:25.045199] OREData/ored/model/lgmdata.cpp:147 : LGM Reversion calibrate = 0
NOTICE [2024-Jan-31 23:31:25.046199] OREData/ored/model/lgmdata.cpp:151 : LGM Reversion type = HullWhite
NOTICE [2024-Jan-31 23:31:25.046199] OREData/ored/model/lgmdata.cpp:155 : LGM Reversion parameter type = Constant
NOTICE [2024-Jan-31 23:31:25.047198] OREData/ored/model/lgmdata.cpp:158 : LGM Reversion time grid size = 0
NOTICE [2024-Jan-31 23:31:25.048198] OREData/ored/model/lgmdata.cpp:161 : LGM Reversion initial values size = 1
NOTICE [2024-Jan-31 23:31:25.049197] OREData/ored/model/lgmdata.cpp:167 : LGM shift horizon = 20
NOTICE [2024-Jan-31 23:31:25.050196] OREData/ored/model/lgmdata.cpp:170 : LGM scaling = 1
NOTICE [2024-Jan-31 23:31:25.050196] OREData/ored/model/irmodeldata.cpp:113 : LGM with calibrationType_ = EUR
NOTICE [2024-Jan-31 23:31:25.051207] OREData/ored/model/lgmdata.cpp:178 : LgmData done
NOTICE [2024-Jan-31 23:31:25.052196] OREData/ored/model/crossassetmodeldata.cpp:340 : LGM calibration swaption 1Y x 19Y ATM
...
NOTICE [2024-Jan-31 23:31:25.061200] OREData/ored/model/crossassetmodeldata.cpp:345 : CrossAssetModelData: IR config built for key EUR
WARNING [2024-Jan-31 23:31:25.062200] OREData/ored/model/irlgmdata.cpp:33 : IrLgmData: attribute ccy is deprecated, use key instead.
NOTICE [2024-Jan-31 23:31:25.063199] OREData/ored/model/irlgmdata.cpp:36 : LGM with attribute (key) = CHF
NOTICE [2024-Jan-31 23:31:25.064198] OREData/ored/model/irlgmdata.cpp:54 : LGM calibration swaption 1Y x 19Y ATM
...
NOTICE [2024-Jan-31 23:31:25.077182] OREData/ored/model/lgmdata.cpp:126 : LGM Volatility calibrate = 1
NOTICE [2024-Jan-31 23:31:25.078182] OREData/ored/model/lgmdata.cpp:130 : LGM Volatility type = Hagan
NOTICE [2024-Jan-31 23:31:25.080180] OREData/ored/model/lgmdata.cpp:134 : LGM Volatility param type = Piecewise
NOTICE [2024-Jan-31 23:31:25.081180] OREData/ored/model/lgmdata.cpp:137 : LGM Volatility time grid size = 7
NOTICE [2024-Jan-31 23:31:25.082179] OREData/ored/model/lgmdata.cpp:140 : LGM Volatility initial values size = 8
NOTICE [2024-Jan-31 23:31:25.083188] OREData/ored/model/lgmdata.cpp:147 : LGM Reversion calibrate = 0
NOTICE [2024-Jan-31 23:31:25.084187] OREData/ored/model/lgmdata.cpp:151 : LGM Reversion type = HullWhite
NOTICE [2024-Jan-31 23:31:25.085175] OREData/ored/model/lgmdata.cpp:155 : LGM Reversion parameter type = Constant
NOTICE [2024-Jan-31 23:31:25.085175] OREData/ored/model/lgmdata.cpp:158 : LGM Reversion time grid size = 0
NOTICE [2024-Jan-31 23:31:25.086187] OREData/ored/model/lgmdata.cpp:161 : LGM Reversion initial values size = 1
NOTICE [2024-Jan-31 23:31:25.087185] OREData/ored/model/lgmdata.cpp:167 : LGM shift horizon = 20
NOTICE [2024-Jan-31 23:31:25.088185] OREData/ored/model/lgmdata.cpp:170 : LGM scaling = 1
NOTICE [2024-Jan-31 23:31:25.089185] OREData/ored/model/irmodeldata.cpp:113 : LGM with calibrationType_ = CHF
NOTICE [2024-Jan-31 23:31:25.090184] OREData/ored/model/lgmdata.cpp:178 : LgmData done
NOTICE [2024-Jan-31 23:31:25.090184] OREData/ored/model/crossassetmodeldata.cpp:340 : LGM calibration swaption 1Y x 19Y ATM
...
NOTICE [2024-Jan-31 23:31:25.100178] OREData/ored/model/crossassetmodeldata.cpp:345 : CrossAssetModelData: IR config built for key CHF
DEBUG [2024-Jan-31 23:31:25.101177] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF) failed: Two or three tokens required in CHF: CCY-INDEX or CCY-INDEX-TERM
...
NOTICE [2024-Jan-31 23:31:25.104176] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy EUR EUR
...
NOTICE [2024-Jan-31 23:31:25.108174] OREData/ored/model/crossassetmodeldata.cpp:593 : IR configuration missing for currency USD, using default
...
NOTICE [2024-Jan-31 23:31:25.109173] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy USD USD
...
NOTICE [2024-Jan-31 23:31:25.113172] OREData/ored/model/crossassetmodeldata.cpp:593 : IR configuration missing for currency GBP, using default
...
NOTICE [2024-Jan-31 23:31:25.114170] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy GBP GBP
...
NOTICE [2024-Jan-31 23:31:25.119170] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy CHF CHF
...
NOTICE [2024-Jan-31 23:31:25.122165] OREData/ored/model/crossassetmodeldata.cpp:593 : IR configuration missing for currency JPY, using default
...
NOTICE [2024-Jan-31 23:31:25.124166] OREData/ored/model/crossassetmodeldata.cpp:617 : CrossAssetModelData: IR config added for ccy JPY JPY
...
NOTICE [2024-Jan-31 23:31:25.126163] OREData/ored/model/crossassetmodeldata.cpp:375 : CrossAssetModelData: IR config currency 0 = EUR
...
NOTICE [2024-Jan-31 23:31:25.133159] OREData/ored/model/fxbsdata.cpp:41 : CC-LGM foreignCcy = default
NOTICE [2024-Jan-31 23:31:25.134160] OREData/ored/model/fxbsdata.cpp:44 : CC-LGM domesticCcy = EUR
NOTICE [2024-Jan-31 23:31:25.135159] OREData/ored/model/fxbsdata.cpp:48 : CC-LGM calibration type = Bootstrap
NOTICE [2024-Jan-31 23:31:25.136160] OREData/ored/model/fxbsdata.cpp:52 : CC-LGM Sigma calibrate = 1
NOTICE [2024-Jan-31 23:31:25.137159] OREData/ored/model/fxbsdata.cpp:56 : CC-LGM Sigma parameter type = Piecewise
NOTICE [2024-Jan-31 23:31:25.138157] OREData/ored/model/fxbsdata.cpp:59 : CC-LGM Sigma time grid size = 7
NOTICE [2024-Jan-31 23:31:25.139158] OREData/ored/model/fxbsdata.cpp:62 : CC-LGM Sigma initial values size = 8
NOTICE [2024-Jan-31 23:31:25.139158] OREData/ored/model/crossassetmodeldata.cpp:389 : CC-LGM calibration option 1Y ATMF
...
NOTICE [2024-Jan-31 23:31:25.144153] OREData/ored/model/crossassetmodeldata.cpp:394 : CrossAssetModelData: FX config built with key (foreign ccy) default
NOTICE [2024-Jan-31 23:31:25.145154] OREData/ored/model/fxbsdata.cpp:41 : CC-LGM foreignCcy = USD
NOTICE [2024-Jan-31 23:31:25.146152] OREData/ored/model/fxbsdata.cpp:44 : CC-LGM domesticCcy = EUR
NOTICE [2024-Jan-31 23:31:25.147151] OREData/ored/model/fxbsdata.cpp:48 : CC-LGM calibration type = Bootstrap
NOTICE [2024-Jan-31 23:31:25.148151] OREData/ored/model/fxbsdata.cpp:52 : CC-LGM Sigma calibrate = 1
NOTICE [2024-Jan-31 23:31:25.148151] OREData/ored/model/fxbsdata.cpp:56 : CC-LGM Sigma parameter type = Piecewise
NOTICE [2024-Jan-31 23:31:25.149150] OREData/ored/model/fxbsdata.cpp:59 : CC-LGM Sigma time grid size = 7
NOTICE [2024-Jan-31 23:31:25.150149] OREData/ored/model/fxbsdata.cpp:62 : CC-LGM Sigma initial values size = 8
NOTICE [2024-Jan-31 23:31:25.151149] OREData/ored/model/crossassetmodeldata.cpp:389 : CC-LGM calibration option 1Y ATMF
...
NOTICE [2024-Jan-31 23:31:25.156146] OREData/ored/model/crossassetmodeldata.cpp:394 : CrossAssetModelData: FX config built with key (foreign ccy) USD
NOTICE [2024-Jan-31 23:31:25.157145] OREData/ored/model/fxbsdata.cpp:41 : CC-LGM foreignCcy = GBP
NOTICE [2024-Jan-31 23:31:25.158135] OREData/ored/model/fxbsdata.cpp:44 : CC-LGM domesticCcy = EUR
NOTICE [2024-Jan-31 23:31:25.159144] OREData/ored/model/fxbsdata.cpp:48 : CC-LGM calibration type = Bootstrap
NOTICE [2024-Jan-31 23:31:25.159144] OREData/ored/model/fxbsdata.cpp:52 : CC-LGM Sigma calibrate = 1
NOTICE [2024-Jan-31 23:31:25.160144] OREData/ored/model/fxbsdata.cpp:56 : CC-LGM Sigma parameter type = Piecewise
NOTICE [2024-Jan-31 23:31:25.161143] OREData/ored/model/fxbsdata.cpp:59 : CC-LGM Sigma time grid size = 7
NOTICE [2024-Jan-31 23:31:25.162143] OREData/ored/model/fxbsdata.cpp:62 : CC-LGM Sigma initial values size = 8
NOTICE [2024-Jan-31 23:31:25.163142] OREData/ored/model/crossassetmodeldata.cpp:389 : CC-LGM calibration option 1Y ATMF
...
NOTICE [2024-Jan-31 23:31:25.168131] OREData/ored/model/crossassetmodeldata.cpp:394 : CrossAssetModelData: FX config built with key (foreign ccy) GBP
NOTICE [2024-Jan-31 23:31:25.169139] OREData/ored/model/crossassetmodeldata.cpp:646 : CrossAssetModelData: FX config added for foreign ccy USD
...
NOTICE [2024-Jan-31 23:31:25.170138] OREData/ored/model/crossassetmodeldata.cpp:634 : FX configuration missing for foreign currency CHF, using default
...
NOTICE [2024-Jan-31 23:31:25.174136] OREData/ored/model/crossassetmodeldata.cpp:403 : CrossAssetModelData: FX config currency 0 = USD
...
NOTICE [2024-Jan-31 23:31:25.177134] OREData/ored/model/crossassetmodeldata.cpp:426 : No Equity Models section found
NOTICE [2024-Jan-31 23:31:25.178134] OREData/ored/model/crossassetmodeldata.cpp:470 : No InflationIndexModels node found so no inflation models configured.
NOTICE [2024-Jan-31 23:31:25.179133] OREData/ored/model/crossassetmodeldata.cpp:513 : No CR model section found
NOTICE [2024-Jan-31 23:31:25.180132] OREData/ored/model/crossassetmodeldata.cpp:544 : No Commodity Models section found
NOTICE [2024-Jan-31 23:31:25.180132] OREData/ored/model/crossassetmodeldata.cpp:561 : No credit states section found
NOTICE [2024-Jan-31 23:31:25.181132] OREData/ored/model/crossassetmodeldata.cpp:565 : CrossAssetModelData: adding correlations.
NOTICE [2024-Jan-31 23:31:25.182131] OREData/ored/model/crossassetmodeldata.cpp:74 : CrossAssetModelData: adding correlations.
DEBUG [2024-Jan-31 23:31:25.183131] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,USD,0}) = 0.
...
DEBUG [2024-Jan-31 23:31:25.192125] 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 23:31:25.195124] OREData/ored/model/crossassetmodeldata.cpp:571 : CrossAssetModelData loading from XML done
DEBUG [2024-Jan-31 23:31:25.196123] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 88
DEBUG [2024-Jan-31 23:31:25.197123] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:3M, Date:2016-05-06, Valuation:1, CloseOut:0
...
NOTICE [2024-Jan-31 23:31:25.279881] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:80 : ScenarioGeneratorData grid points size = 88
NOTICE [2024-Jan-31 23:31:25.280880] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:84 : ScenarioGeneratorData sequence type = SobolBrownianBridge
NOTICE [2024-Jan-31 23:31:25.280880] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:87 : ScenarioGeneratorData seed = 42
NOTICE [2024-Jan-31 23:31:25.281879] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:90 : ScenarioGeneratorData samples = 10000
DEBUG [2024-Jan-31 23:31:25.282879] OREData/ored/utilities/dategrid.cpp:262 : Added Close Out Dates to DateGrid , size = 176
DEBUG [2024-Jan-31 23:31:25.283878] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 176
DEBUG [2024-Jan-31 23:31:25.284878] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:0D, Date:2016-05-06, Valuation:1, CloseOut:0
...
NOTICE [2024-Jan-31 23:31:25.450783] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:118 : Use lagged close out grid, lag period is 2W
NOTICE [2024-Jan-31 23:31:25.452782] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:125 : Use Mpor sticky date mode
NOTICE [2024-Jan-31 23:31:25.452782] OREAnalytics/orea/scenario/scenariogeneratordata.cpp:145 : ScenarioGeneratorData done.
DEBUG [2024-Jan-31 23:31:25.453780] OREAnalytics/orea/app/oreapp.cpp:921 : grid size=176, dates=176, valuationDates=88, closeOutDates=88
NOTICE [2024-Jan-31 23:31:25.454779] OREAnalytics/orea/app/oreapp.cpp:929 : Load simulation pricing engine data from file: Input/pricingengine.xml
DEBUG [2024-Jan-31 23:31:25.455778] OREData/ored/portfolio/enginedata.cpp:41 : Processing the GlobalParameters node
DEBUG [2024-Jan-31 23:31:25.456778] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:31:25.457777] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngineOptimised
...
DEBUG [2024-Jan-31 23:31:25.464773] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=FxOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:31:25.469772] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=EuropeanSwaption model=BlackBachelier
DEBUG [2024-Jan-31 23:31:25.469772] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=EuropeanSwaption engine=BlackBachelierSwaptionEngine
...
DEBUG [2024-Jan-31 23:31:25.471930] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=BermudanSwaption paramName=Calibration paramValue=Bootstrap
...
DEBUG [2024-Jan-31 23:31:25.477927] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=Grid
DEBUG [2024-Jan-31 23:31:25.478926] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=BermudanSwaption paramName=sy paramValue=3.0
...
DEBUG [2024-Jan-31 23:31:25.482924] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFloor model=IborCapModel
DEBUG [2024-Jan-31 23:31:25.483925] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFloor engine=IborCapEngine
...
DEBUG [2024-Jan-31 23:31:25.496927] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CapFlooredIborLeg paramName=TimingAdjustment paramValue=Black76
...
DEBUG [2024-Jan-31 23:31:25.503923] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:31:25.506921] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Bond model=DiscountedCashflows
DEBUG [2024-Jan-31 23:31:25.507920] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Bond engine=DiscountingRiskyBondEngine
...
DEBUG [2024-Jan-31 23:31:25.516915] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CMS paramName=MeanReversion paramValue=0.0
...
DEBUG [2024-Jan-31 23:31:25.523911] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMS_DEACTIVATED model=Hagan
DEBUG [2024-Jan-31 23:31:25.524911] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMS_DEACTIVATED engine=Analytic
...
DEBUG [2024-Jan-31 23:31:25.533684] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CMSSpread model=BrigoMercurio
DEBUG [2024-Jan-31 23:31:25.534683] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CMSSpread engine=Analytic
...
DEBUG [2024-Jan-31 23:31:25.542678] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CommodityAveragePriceOption paramName=beta paramValue=0
...
DEBUG [2024-Jan-31 23:31:25.545677] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CommoditySwaption model=Black
DEBUG [2024-Jan-31 23:31:25.546685] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CommoditySwaption engine=AnalyticalApproximation
...
NOTICE [2024-Jan-31 23:31:25.549683] OREAnalytics/orea/app/oreapp.cpp:938 : Load amc pricing engine data from file: Input/pricingengine_amc.xml
...
DEBUG [2024-Jan-31 23:31:25.564868] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=Swap paramName=Training.Sequence paramValue=MersenneTwisterAntithetic
...
DEBUG [2024-Jan-31 23:31:25.574863] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CrossCurrencySwap model=CrossAssetModel
DEBUG [2024-Jan-31 23:31:25.575862] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CrossCurrencySwap engine=AMC
...
DEBUG [2024-Jan-31 23:31:25.586848] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=FxOption model=CrossAssetModel
DEBUG [2024-Jan-31 23:31:25.587847] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=FxOption engine=AMC
...
DEBUG [2024-Jan-31 23:31:25.598849] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=BermudanSwaption model=LGM
DEBUG [2024-Jan-31 23:31:25.598849] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=BermudanSwaption engine=AMC
...
DEBUG [2024-Jan-31 23:31:25.609844] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=MultiLegOption model=CrossAssetModel
DEBUG [2024-Jan-31 23:31:25.610843] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=MultiLegOption engine=AMC
...
DEBUG [2024-Jan-31 23:31:25.621836] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=CapFlooredIborLeg model=BlackOrBachelier
DEBUG [2024-Jan-31 23:31:25.622835] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=CapFlooredIborLeg engine=BlackIborCouponPricer
...
DEBUG [2024-Jan-31 23:31:25.624834] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=CMS paramName=MeanReversion paramValue=0.0
...
NOTICE [2024-Jan-31 23:31:25.631830] OREAnalytics/orea/app/oreapp.cpp:1013 : Loading netting and csa data from fileInput/netting.xml
NOTICE [2024-Jan-31 23:31:25.635033] OREData/ored/portfolio/nettingsetdefinition.cpp:270 : NettingSetId='CPTY_A': Validating netting set definition
DEBUG [2024-Jan-31 23:31:25.636035] OREData/ored/portfolio/nettingsetdefinition.cpp:111 : NettingSetId='CPTY_A': NettingSetDefinition built from XML...
...
NOTICE [2024-Jan-31 23:31:25.637034] OREData/ored/portfolio/nettingsetdefinition.cpp:277 : NettingSetId='CPTY_B': Validating netting set definition's CSA details
...
NOTICE [2024-Jan-31 23:31:25.639033] OREAnalytics/orea/app/oreapp.cpp:1398 : buildInputParameters done
NOTICE [2024-Jan-31 23:31:25.640032] OREAnalytics/orea/app/inputparameters.cpp:463 : OutputFileNameMap called
NOTICE [2024-Jan-31 23:31:25.641035] OREAnalytics/orea/app/inputparameters.cpp:527 : OutputFileNameMap complete
NOTICE [2024-Jan-31 23:31:25.642630] OREAnalytics/orea/app/oreapp.cpp:221 : ORE analytics starting
WARNING [2024-Jan-31 23:31:25.643635] OREAnalytics/orea/app/oreapp.cpp:222 : 9043968|9039872
DEBUG [2024-Jan-31 23:31:25.643635] OREData/ored/marketdata/market.cpp:98 : Building default PseudoCurrencyMarketParameters
DEBUG [2024-Jan-31 23:31:25.644634] OREData/ored/marketdata/market.cpp:100 : PseudoCurrencyMarketParameters { TreatAsFX:True, BaseCurrency:}
...
WARNING [2024-Jan-31 23:31:25.647633] OREAnalytics/orea/app/oreapp.cpp:210 : dividend data file not found
NOTICE [2024-Jan-31 23:31:25.648632] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/market_20160205_flat.txt
DATA [2024-Jan-31 23:31:25.649631] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum BMA_SWAP/RATIO/USD/3M/3M
...
WARNING [2024-Jan-31 23:31:25.908236] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum FRA/RATE/EUR/1M/6M - this is already present.
...
DATA [2024-Jan-31 23:31:25.914233] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum IR_SWAP/RATE/EUR/2D/6M/2Y
...
WARNING [2024-Jan-31 23:31:30.866071] 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 23:31:30.900051] 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 23:31:30.935042] 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 23:31:30.970021] 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 23:31:31.004002] 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 23:31:31.037814] 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 23:31:31.072791] 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 23:31:31.106783] 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 23:31:31.140764] 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 23:31:31.174743] 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 23:31:31.209724] 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 23:31:31.243705] OREData/ored/marketdata/csvloader.cpp:135 : Skipped MarketDatum CAPFLOOR/RATE_LNVOL/USD/20Y/3M/0/0/0.015 - this is already present.
...
NOTICE [2024-Jan-31 23:31:32.405583] OREData/ored/marketdata/csvloader.cpp:166 : CSVLoader completed processing Input/../../Input/market_20160205_flat.txt
NOTICE [2024-Jan-31 23:31:32.408583] OREData/ored/marketdata/csvloader.cpp:78 : CSVLoader loaded 7774 market data points for February 5th, 2016
NOTICE [2024-Jan-31 23:31:32.409581] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/../../Input/fixings_20160205.txt
...
NOTICE [2024-Jan-31 23:31:32.434567] OREData/ored/marketdata/csvloader.cpp:83 : CSVLoader loaded 5452 fixings
NOTICE [2024-Jan-31 23:31:32.435566] OREData/ored/marketdata/csvloader.cpp:88 : CSVLoader loaded 0 dividends
NOTICE [2024-Jan-31 23:31:32.435566] OREData/ored/marketdata/csvloader.cpp:90 : CSVLoader complete.
NOTICE [2024-Jan-31 23:31:32.436565] OREAnalytics/orea/app/analyticsmanager.cpp:77 : register analytic with label 'MARKETDATA' and sub-analytics MARKETDATA
...
NOTICE [2024-Jan-31 23:31:32.439564] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:48 : XvaAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:31:32.442562] OREAnalytics/orea/app/analytics/scenariostatisticsanalytic.cpp:42 : ScenarioStatisticsAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:31:32.444560] 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 23:31:32.445560] OREAnalytics/orea/app/oreapp.cpp:242 : Requested analytics: CASHFLOW,EXPOSURE,NPV,XVA
NOTICE [2024-Jan-31 23:31:32.446552] OREAnalytics/orea/app/analyticsmanager.cpp:142 : AnalyticsManager::runAnalytics: requireMarketData Y
NOTICE [2024-Jan-31 23:31:32.447551] OREAnalytics/orea/app/analyticsmanager.cpp:147 : AnalyticsManager::runAnalytics: populate loader
NOTICE [2024-Jan-31 23:31:32.448550] OREAnalytics/orea/app/marketdatacsvloader.cpp:78 : MarketDataCsvLoader::retrieveFixings called: all fixings ? Y
NOTICE [2024-Jan-31 23:31:32.453544] OREAnalytics/orea/app/marketdataloader.cpp:264 : Adding the loaded fixings to the IndexManager
DATA [2024-Jan-31 23:31:32.454544] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:31:32.455543] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
...
WARNING [2024-Jan-31 23:31:32.461540] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:31:32.462539] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
WARNING [2024-Jan-31 23:31:32.469547] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:31:32.470545] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
WARNING [2024-Jan-31 23:31:32.485772] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:31:32.487771] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
WARNING [2024-Jan-31 23:31:32.739476] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:31:32.740476] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
WARNING [2024-Jan-31 23:31:33.004270] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:31:33.005269] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
WARNING [2024-Jan-31 23:31:33.258012] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:31:33.259012] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
...
WARNING [2024-Jan-31 23:31:33.504860] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:31:33.505859] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
WARNING [2024-Jan-31 23:31:33.769325] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:31:33.770324] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
WARNING [2024-Jan-31 23:31:34.021953] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 5th, 2016, using conventions from null date
DATA [2024-Jan-31 23:31:34.022953] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DATA [2024-Jan-31 23:31:34.030939] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
WARNING [2024-Jan-31 23:31:34.032938] 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 23:31:34.286618] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:31:34.531608] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:31:34.791330] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:31:35.035941] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
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DATA [2024-Jan-31 23:31:35.283599] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
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DATA [2024-Jan-31 23:31:35.530472] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
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DATA [2024-Jan-31 23:31:35.776329] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
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DATA [2024-Jan-31 23:31:36.020798] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:31:36.263663] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
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DATA [2024-Jan-31 23:31:36.505660] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
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DATA [2024-Jan-31 23:31:36.521650] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
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DATA [2024-Jan-31 23:31:36.528484] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
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DATA [2024-Jan-31 23:31:36.777342] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
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DATA [2024-Jan-31 23:31:37.020795] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
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DATA [2024-Jan-31 23:31:37.263656] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:31:37.532318] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
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DATA [2024-Jan-31 23:31:37.784318] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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NOTICE [2024-Jan-31 23:31:37.793313] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 5.338927 seconds
NOTICE [2024-Jan-31 23:31:37.794312] OREAnalytics/orea/app/marketdataloader.cpp:268 : Generating market datum set
DEBUG [2024-Jan-31 23:31:37.795312] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
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WARNING [2024-Jan-31 23:31:38.155909] OREData/ored/configuration/capfloorvolcurveconfig.cpp:142 : CapFloorVolatilityCurveConfig (EUR_CF_N): The IborIndex node is deprecated, use Index instead.
DATA [2024-Jan-31 23:31:38.156908] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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WARNING [2024-Jan-31 23:31:38.164903] OREData/ored/configuration/cdsvolcurveconfig.cpp:94 : Using an Expiries node only in CDSVolatilityCurveConfig is deprecated. A volatility configuration node should be used instead.
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DEBUG [2024-Jan-31 23:31:38.166903] OREData/ored/configuration/inflationcapfloorvolcurveconfig.cpp:179 : ZC Inflation Cap/Floor Strike 0 = -0.02
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DEBUG [2024-Jan-31 23:31:38.195887] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/BANK_EUR_BORROW
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NOTICE [2024-Jan-31 23:31:42.729941] OREAnalytics/orea/app/marketdataloader.cpp:286 : CurveConfigs require 2489 quotes
DATA [2024-Jan-31 23:31:42.730941] OREData/ored/marketdata/inmemoryloader.cpp:113 : Added MarketDatum BASIS_SWAP/BASIS_SPREAD/3M/1M/USD/10Y
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NOTICE [2024-Jan-31 23:31:49.239607] OREAnalytics/orea/app/marketdataloader.cpp:293 : Got market data
NOTICE [2024-Jan-31 23:31:49.241606] OREAnalytics/orea/app/reportwriter.cpp:1324 : Writing MarketData report
NOTICE [2024-Jan-31 23:31:49.247604] OREAnalytics/orea/app/reportwriter.cpp:1363 : MarketData report written
NOTICE [2024-Jan-31 23:31:49.248603] OREAnalytics/orea/app/reportwriter.cpp:1368 : Writing Fixings report
NOTICE [2024-Jan-31 23:31:49.252600] OREAnalytics/orea/app/reportwriter.cpp:1377 : Fixings report written
NOTICE [2024-Jan-31 23:31:49.252600] OREAnalytics/orea/app/reportwriter.cpp:1382 : Writing Dividends report
NOTICE [2024-Jan-31 23:31:49.253588] OREAnalytics/orea/app/reportwriter.cpp:1394 : Dividends report written
NOTICE [2024-Jan-31 23:31:49.254600] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'PRICING'
WARNING [2024-Jan-31 23:31:49.255599] OREAnalytics/orea/app/analytic.cpp:83 : 32370688|32366592
NOTICE [2024-Jan-31 23:31:49.256598] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:31:49.258599] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
DATA [2024-Jan-31 23:31:49.260598] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:31:49.261602] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
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DATA [2024-Jan-31 23:31:49.267410] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
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DATA [2024-Jan-31 23:31:49.274406] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
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DATA [2024-Jan-31 23:31:49.290386] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
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DATA [2024-Jan-31 23:31:49.543670] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
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DATA [2024-Jan-31 23:31:49.798289] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
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DATA [2024-Jan-31 23:31:50.056004] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
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DATA [2024-Jan-31 23:31:50.307932] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
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DATA [2024-Jan-31 23:31:50.560919] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:31:50.817550] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
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DATA [2024-Jan-31 23:31:50.823546] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
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DATA [2024-Jan-31 23:31:51.075192] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
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DATA [2024-Jan-31 23:31:51.324994] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
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DATA [2024-Jan-31 23:31:51.573969] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:31:51.826659] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
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DATA [2024-Jan-31 23:31:52.076363] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
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DATA [2024-Jan-31 23:31:52.326011] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
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DATA [2024-Jan-31 23:31:52.574882] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
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DATA [2024-Jan-31 23:31:52.827542] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:31:53.076155] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
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DATA [2024-Jan-31 23:31:53.326894] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
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DATA [2024-Jan-31 23:31:53.343895] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
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DATA [2024-Jan-31 23:31:53.349892] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
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DATA [2024-Jan-31 23:31:53.602771] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
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DATA [2024-Jan-31 23:31:53.858477] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
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DATA [2024-Jan-31 23:31:54.109161] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:31:54.362831] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
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DATA [2024-Jan-31 23:31:54.624827] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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NOTICE [2024-Jan-31 23:31:54.633821] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 5.373423 seconds
NOTICE [2024-Jan-31 23:31:54.634822] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:31:54.635823] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:31:54.636820] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:31:54.637819] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:31:54.638818] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote EURCHF
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NOTICE [2024-Jan-31 23:31:54.645817] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 7 quotes, 6 currencies.
NOTICE [2024-Jan-31 23:31:54.646816] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
DATA [2024-Jan-31 23:31:54.646816] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:31:54.733775] 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 23:31:54.781521] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-CMS-1Y
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DATA [2024-Jan-31 23:31:54.783520] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DATA [2024-Jan-31 23:31:54.784519] 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 23:31:54.785520] 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 23:31:54.787507] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DATA [2024-Jan-31 23:31:54.788519] 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 23:31:54.789517] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #27 SwapIndexCurve(CHF-CMS-30Y,CHF-TOIS) to #11 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
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DATA [2024-Jan-31 23:31:54.792516] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DATA [2024-Jan-31 23:31:54.794505] 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 23:31:54.796513] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DATA [2024-Jan-31 23:31:54.797512] 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 23:31:54.798511] 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 23:31:54.806507] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
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DATA [2024-Jan-31 23:31:54.808506] 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 23:31:54.811494] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DATA [2024-Jan-31 23:31:54.812505] 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 23:31:54.813503] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #33 SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) to #19 IndexCurve(GBP-SONIA,Yield/GBP/GBP1D)
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DATA [2024-Jan-31 23:31:54.815502] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DATA [2024-Jan-31 23:31:54.816502] 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 23:31:54.817502] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #34 SwapIndexCurve(JPY-CMS-1Y,JPY-TONAR) to #21 IndexCurve(JPY-TONAR,Yield/JPY/JPY1D)
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DATA [2024-Jan-31 23:31:54.822497] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
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DATA [2024-Jan-31 23:31:54.824485] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #36 SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) to #23 IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M)
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DATA [2024-Jan-31 23:31:54.828495] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:31:54.838488] 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 23:31:54.847483] 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 23:31:54.849483] 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 23:31:54.850473] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
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DATA [2024-Jan-31 23:31:54.858468] 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 23:31:54.859470] 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 23:31:54.862475] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:31:54.863475] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:31:54.863475] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:31:54.949426] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #5 YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) to #1 DiscountCurve(EUR,Yield/EUR/EUR1D)
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DATA [2024-Jan-31 23:31:54.989394] 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 23:31:54.990394] 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 23:31:55.011390] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF1D)
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DATA [2024-Jan-31 23:31:55.021384] 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 23:31:55.030182] 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 23:31:55.032180] 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 23:31:55.033180] 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 23:31:55.041177] 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 23:31:55.042175] 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 23:31:55.045173] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
NOTICE [2024-Jan-31 23:31:55.045173] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
DATA [2024-Jan-31 23:31:55.046173] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:31:55.126127] 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 23:31:55.173100] 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 23:31:55.173100] 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 23:31:55.193089] 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 23:31:55.203083] 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 23:31:55.212078] 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 23:31:55.214078] 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 23:31:55.215076] 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 23:31:55.222072] 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 23:31:55.223072] 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 23:31:55.226070] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:31:55.227070] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
DATA [2024-Jan-31 23:31:55.227070] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:31:55.306816] 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 23:31:55.353790] 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 23:31:55.353790] 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 23:31:55.373770] 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 23:31:55.387770] 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 23:31:55.396765] 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 23:31:55.399763] 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 23:31:55.399763] 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 23:31:55.416743] 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 23:31:55.417742] 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 23:31:55.421741] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:31:55.422740] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:31:55.423738] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:31:55.543369] 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 23:31:55.605865] 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 23:31:55.605865] 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 23:31:55.621494] 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 23:31:55.637114] 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 23:31:55.652740] 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 23:31:55.652740] 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 23:31:55.652740] 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 23:31:55.668361] 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 23:31:55.668361] 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 23:31:55.668361] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
NOTICE [2024-Jan-31 23:31:55.668361] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:31:55.668361] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:31:55.668361] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 5.38e+03 ms 1 5.38e+03 ms
...
NOTICE [2024-Jan-31 23:31:55.683985] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 6416.22 ms
NOTICE [2024-Jan-31 23:31:55.683985] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 6.431245 sec
NOTICE [2024-Jan-31 23:31:55.683985] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 5
NOTICE [2024-Jan-31 23:31:55.683985] OREAnalytics/orea/app/analytic.cpp:209 : Build the portfolio
NOTICE [2024-Jan-31 23:31:55.683985] OREAnalytics/orea/app/analytic.cpp:138 : Analytic::engineFactory() called
NOTICE [2024-Jan-31 23:31:55.699609] OREAnalytics/orea/app/analytic.cpp:148 : MarketContext::pricing = collateral_eur
NOTICE [2024-Jan-31 23:31:55.699609] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:31:55.699609] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 5 for context = 'analytic/PRICING'
DEBUG [2024-Jan-31 23:31:55.699609] OREData/ored/portfolio/swaption.cpp:65 : Swaption::build() for BermSwp: build underlying swap
DEBUG [2024-Jan-31 23:31:55.699609] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade
DEBUG [2024-Jan-31 23:31:55.699609] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:55.699609] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EURIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:31:55.715233] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:31:55.715233] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:31:55.715233] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:31:55.715233] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:31:55.715233] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
DEBUG [2024-Jan-31 23:31:55.715233] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EONIA-CONVENTIONS
DATA [2024-Jan-31 23:31:55.730858] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:31:55.730858] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:31:55.753080] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
DEBUG [2024-Jan-31 23:31:55.767172] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
DEBUG [2024-Jan-31 23:31:55.769171] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:31:55.771169] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:31:55.773168] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:31:55.774168] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:31:55.777264] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:31:55.777264] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:31:55.777264] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EURIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:31:55.777264] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:31:55.777264] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:31:55.777264] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:31:55.777264] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:31:55.824134] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:31:55.839758] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:31:55.839758] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:31:55.839758] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DATA [2024-Jan-31 23:31:55.839758] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:31:55.839758] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:31:55.839758] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:31:55.839758] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:31:55.855383] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:31:55.862802] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:31:55.868797] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:31:55.869798] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+06 EUR
DEBUG [2024-Jan-31 23:31:55.869798] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:31:55.871796] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:55.872795] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:55.875904] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:31:55.876906] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:31:55.877904] OREData/ored/portfolio/swaption.cpp:73 : Swaption::build() for BermSwp: build exercise
DEBUG [2024-Jan-31 23:31:55.878904] OREData/ored/portfolio/optiondata.cpp:165 : Got notice date 2026-02-25 using notice period 0D, convention Unadjusted, calendar Null from exercise date February 25th, 2026
...
DEBUG [2024-Jan-31 23:31:55.889897] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:55.890897] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:55.892895] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:31:55.893955] OREData/ored/portfolio/swaption.cpp:156 : Swaption::build() for BermSwp: type: isCrossCcy = false, isOis = false, isBma = false, isStandard = true
DEBUG [2024-Jan-31 23:31:55.893955] OREData/ored/portfolio/swaption.cpp:381 : found ibor / ois index 'Euribor6M Actual/360'
DEBUG [2024-Jan-31 23:31:55.893955] OREData/ored/portfolio/swaption.cpp:405 : calibration strike for ex date 2026-02-25 is 0.020000 (fixed rate 0.020000, spread 0.000000)
...
DEBUG [2024-Jan-31 23:31:55.893955] OREData/ored/portfolio/builders/swaption.cpp:209 : Building Bermudan Swaption engine for trade BermSwp
DATA [2024-Jan-31 23:31:55.893955] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:31:55.893955] OREData/ored/portfolio/builders/swaption.cpp:87 : Get model data
DEBUG [2024-Jan-31 23:31:55.893955] OREData/ored/portfolio/builders/swaption.cpp:140 : Build LgmData for co-terminal specification
DEBUG [2024-Jan-31 23:31:55.909580] OREData/ored/portfolio/builders/swaption.cpp:156 : Calibrate piecewise alpha
DEBUG [2024-Jan-31 23:31:55.909580] OREData/ored/portfolio/builders/swaption.cpp:184 : Build LGM model
DATA [2024-Jan-31 23:31:55.909580] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
NOTICE [2024-Jan-31 23:31:55.909580] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier EUR-EURIBOR-6M (ccy=EUR), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:31:55.909580] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:31:55.909580] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:31:55.909580] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:31:55.909580] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:31:55.909580] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:31:55.909580] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:31:55.909580] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR-EURIBOR-6M) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:31:55.909580] OREData/ored/marketdata/todaysmarket.cpp:866 : not found, retry with default configuration
...
DEBUG [2024-Jan-31 23:31:55.909580] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:31:55.909580] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DATA [2024-Jan-31 23:31:55.925204] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:31:55.925204] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:31:55.925204] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DATA [2024-Jan-31 23:31:55.925204] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:31:55.925204] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:31:55.925204] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:31:55.925204] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR3M
DEBUG [2024-Jan-31 23:31:55.925204] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:31:55.925204] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:31:55.925204] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:31:55.940828] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:31:55.940828] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:31:55.956452] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:31:55.987699] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:31:56.018947] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR3M built
DEBUG [2024-Jan-31 23:31:56.018947] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:31:56.018947] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration collateral_inccy
DATA [2024-Jan-31 23:31:56.018947] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:31:56.018947] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:31:56.018947] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:31:56.018947] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:31:56.018947] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:31:56.034572] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:31:56.034572] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:31:56.034572] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:31:56.034572] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:31:56.034572] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:31:56.034572] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:31:56.050194] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:31:56.050194] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:31:56.050194] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (EUR) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:31:56.050194] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:31:56.050194] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:31:56.050194] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 |
...
NOTICE [2024-Jan-31 23:31:56.065819] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config EUR_SW_N
DEBUG [2024-Jan-31 23:31:56.065819] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:31:56.065819] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:31:56.065819] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:31:56.065819] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(EUR,SwaptionVolatility/EUR/EUR_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:31:56.081443] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:31:56.081443] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR-EURIBOR-6M) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:31:56.081443] OREData/ored/marketdata/todaysmarket.cpp:866 : not found, retry with default configuration
...
DEBUG [2024-Jan-31 23:31:56.081443] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:31:56.097068] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:31:56.097068] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:31:56.112690] OREData/ored/marketdata/todaysmarket.cpp:866 : not found, retry with default configuration
...
DEBUG [2024-Jan-31 23:31:56.125677] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:31:56.133671] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:31:56.136670] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:31:56.141666] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:31:56.147245] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:31:56.151243] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry February 25th, 2026 and term March 3rd, 2036: vol=0.002, index=Euribor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:31:56.175920] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 10.063; 11.063; 12.063; 13.0658; 14.0658; 15.0658; 16.0658; 17.0685; 18.0685 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:31:56.175920] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:31:56.175920] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for EUR-EURIBOR-6M: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:31:56.175920] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 9
DEBUG [2024-Jan-31 23:31:56.175920] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:31:56.175920] OREData/ored/portfolio/builders/swaption.cpp:192 : Calibrate model (configuration collateral_inccy)
DEBUG [2024-Jan-31 23:31:56.175920] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR-EURIBOR-6M currency EUR
DEBUG [2024-Jan-31 23:31:56.191545] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:31:56.191545] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR-EURIBOR-6M calibration errors:
DATA [2024-Jan-31 23:31:56.207169] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:31:56.207169] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:31:56.207169] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:31:56.207169] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:31:56.222792] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:31:56.222792] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:31:56.238416] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:31:56.238416] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:31:56.238416] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 5.25496e-15
DEBUG [2024-Jan-31 23:31:56.254039] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:31:56.254039] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 10.0369 (C=-10.0369) to the EUR-EURIBOR-6M LGM model
DEBUG [2024-Jan-31 23:31:56.254039] OREData/ored/portfolio/builders/swaption.cpp:213 : Get engine data
DEBUG [2024-Jan-31 23:31:56.254039] OREData/ored/portfolio/builders/swaption.cpp:220 : Build engine (configuration collateral_eur)
DATA [2024-Jan-31 23:31:56.254039] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:31:56.254039] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:56.254039] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.254039] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:31:56.254039] OREData/ored/portfolio/swaption.cpp:426 : Swaption model calibration time: 0.356357 s
DEBUG [2024-Jan-31 23:31:56.254039] OREData/ored/portfolio/swaption.cpp:563 : Added leg with start date 2026-03-02 for exercise 2026-02-25
...
DEBUG [2024-Jan-31 23:31:56.269664] OREData/ored/portfolio/swaption.cpp:449 : Building Bermudan Swaption done
DATA [2024-Jan-31 23:31:56.269664] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade BermSwp:
DATA [2024-Jan-31 23:31:56.285298] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:31:56.300921] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CC_SWAP_EUR_USD
DEBUG [2024-Jan-31 23:31:56.300921] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:56.300921] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(USD-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:31:56.300921] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:31:56.300921] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (not yet built)
...
DEBUG [2024-Jan-31 23:31:56.300921] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:31:56.300921] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD1D
DEBUG [2024-Jan-31 23:31:56.300921] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-FED-FUNDS-CONVENTIONS"
DEBUG [2024-Jan-31 23:31:56.300921] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-FED-FUNDS-CONVENTIONS
DATA [2024-Jan-31 23:31:56.300921] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:31:56.300921] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:31:56.316546] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:31:56.316546] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD1D built
DEBUG [2024-Jan-31 23:31:56.316546] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:31:56.316546] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration default
DATA [2024-Jan-31 23:31:56.316546] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:31:56.316546] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration default
DEBUG [2024-Jan-31 23:31:56.316546] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:31:56.316546] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD3M
DEBUG [2024-Jan-31 23:31:56.316546] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:31:56.332169] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:31:56.332169] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:31:56.332169] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:31:56.332169] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:31:56.332169] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:31:56.332169] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:31:56.363419] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 22 instruments
DEBUG [2024-Jan-31 23:31:56.363419] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD3M built
DEBUG [2024-Jan-31 23:31:56.363419] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:31:56.363419] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD3M to configuration default
DATA [2024-Jan-31 23:31:56.363419] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:31:56.379042] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration default
DEBUG [2024-Jan-31 23:31:56.379042] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:31:56.379042] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD6M
DEBUG [2024-Jan-31 23:31:56.379042] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:31:56.379042] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:31:56.379042] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:31:56.394659] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:31:56.394659] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:31:56.394659] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "USD-LIBOR-3M-6M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:31:56.394659] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-3M-6M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:31:56.410282] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 21 instruments
DEBUG [2024-Jan-31 23:31:56.425903] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD6M built
DEBUG [2024-Jan-31 23:31:56.425903] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:31:56.425903] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-6M) with spec Yield/USD/USD6M to configuration default
DATA [2024-Jan-31 23:31:56.441532] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
DEBUG [2024-Jan-31 23:31:56.441532] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-6M,Yield/USD/USD6M) in configuration default
DEBUG [2024-Jan-31 23:31:56.441532] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:31:56.441532] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:31:56.441532] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:31:56.441532] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DEBUG [2024-Jan-31 23:31:56.441532] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:56.441532] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.441532] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:31:56.441532] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:31:56.441532] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:31:56.457155] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
...
DEBUG [2024-Jan-31 23:31:56.457155] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+08 USD
DEBUG [2024-Jan-31 23:31:56.457155] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:31:56.457155] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(__XCCY__-USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:56.457155] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.457155] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:31:56.457155] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:31:56.457155] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:31:56.457155] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.472780] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:31:56.475352] 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 23:31:56.477349] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.478348] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:31:56.479348] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:31:56.483345] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration default
DATA [2024-Jan-31 23:31:56.484344] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:31:56.485344] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration default
DEBUG [2024-Jan-31 23:31:56.486343] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:31:56.487343] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-IN-EUR
DEBUG [2024-Jan-31 23:31:56.488342] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:31:56.489342] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:31:56.490341] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:31:56.491341] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:31:56.491341] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-USD-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:31:56.493343] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:31:56.513330] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:31:56.694143] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-IN-EUR built
DEBUG [2024-Jan-31 23:31:56.696142] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:31:56.697141] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:31:56.698141] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:31:56.700140] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:31:56.701139] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(__XCCY__-EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:56.702138] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.705136] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:31:56.706136] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:31:56.708135] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:31:56.710135] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.712133] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:31:56.714131] 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 23:31:56.717130] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.719128] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:31:56.721127] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(EURUSD): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
...
DATA [2024-Jan-31 23:31:56.728137] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
...
ALERT [2024-Jan-31 23:31:56.730122] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.732121] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:31:56.733120] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-USD) failed: parseIborIndex "__XCCY__-USD" not recognized
DEBUG [2024-Jan-31 23:31:56.733120] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-USD' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:31:56.735119] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.737118] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:31:56.738118] 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 23:31:56.739117] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.741116] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:31:56.745114] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:31:56.746113] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(__XCCY__-EUR) failed: parseIborIndex "__XCCY__-EUR" not recognized
DEBUG [2024-Jan-31 23:31:56.747112] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under '__XCCY__-EUR' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:31:56.748112] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.750111] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:31:56.751110] 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 23:31:56.753109] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.754108] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:31:56.755108] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:31:56.756107] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CC_SWAP_EUR_USD:
DATA [2024-Jan-31 23:31:56.761106] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:31:56.801004] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade FX_CALL_OPTION
NOTICE [2024-Jan-31 23:31:56.802004] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to FxOption for trade FX_CALL_OPTION
DEBUG [2024-Jan-31 23:31:56.803003] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(EURUSD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:56.804003] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(EURUSD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:31:56.806001] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:31:56.806001] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:31:56.808999] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:31:56.810001] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:31:56.811000] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:31:56.816997] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:31:56.816997] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:31:56.822993] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURUSD, assuming defaults
DATA [2024-Jan-31 23:31:56.823993] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
NOTICE [2024-Jan-31 23:31:56.824992] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:31:56.825989] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:31:56.826990] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/USD/EURUSD 1M 0.121699 0.00125789
...
DEBUG [2024-Jan-31 23:31:56.836983] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
DEBUG [2024-Jan-31 23:31:56.838984] OREData/ored/marketdata/fxvolcurve.cpp:1142 : Building calibration info for fx vol surface completed.
DEBUG [2024-Jan-31 23:31:56.839983] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURUSD) with spec FXVolatility/EUR/USD/EURUSD to configuration default
DEBUG [2024-Jan-31 23:31:56.840982] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURUSD,FXVolatility/EUR/USD/EURUSD) in configuration default
DEBUG [2024-Jan-31 23:31:56.842981] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:31:56.843983] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:56.843983] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.845980] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:31:56.847979] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:31:56.848979] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.858973] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FX_CALL_OPTION:
DATA [2024-Jan-31 23:31:56.858973] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:31:56.860971] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_EUR
DEBUG [2024-Jan-31 23:31:56.861970] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:31:56.862970] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:31:56.865967] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
DEBUG [2024-Jan-31 23:31:56.866966] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:56.867966] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.868965] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:31:56.870966] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:31:56.871964] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:31:56.875962] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:31:56.876963] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:31:56.877962] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:31:56.878962] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:31:56.879960] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Swap_EUR:
DATA [2024-Jan-31 23:31:56.883959] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:31:56.918938] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_USD
DEBUG [2024-Jan-31 23:31:56.919938] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:31:56.920937] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:31:56.923935] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
DEBUG [2024-Jan-31 23:31:56.923935] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:56.924935] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.926933] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:31:56.927931] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:31:56.928931] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:31:56.931929] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = USD
DEBUG [2024-Jan-31 23:31:56.932928] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 USD
DEBUG [2024-Jan-31 23:31:56.933928] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:31:56.934927] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:56.935927] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:56.936926] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:31:56.937925] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:31:56.938925] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Swap_USD:
DATA [2024-Jan-31 23:31:56.949921] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:31:57.021877] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 5, size now 5, built 0 failed trades, context is analytic/PRICING
NOTICE [2024-Jan-31 23:31:57.022877] OREAnalytics/orea/app/analytic.cpp:218 : Filter trades that expire before February 5th, 2016
DEBUG [2024-Jan-31 23:31:57.024876] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:72 : requested analytic EXPOSURE not covered by the PricingAnalytic
...
NOTICE [2024-Jan-31 23:31:57.026875] OREAnalytics/orea/app/reportwriter.cpp:154 : Writing cashflow report for February 5th, 2016
WARNING [2024-Jan-31 23:31:57.027874] OREAnalytics/orea/app/reportwriter.cpp:190 : cashflow for Swaption BermSwp skipped
DEBUG [2024-Jan-31 23:31:57.028874] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:31:57.030753] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:57.033750] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:31:57.034750] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
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DATA [2024-Jan-31 23:31:57.041746] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
...
ALERT [2024-Jan-31 23:31:57.044747] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:31:57.045746] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:31:57.071731] OREAnalytics/orea/app/reportwriter.cpp:596 : Cashflow report written
NOTICE [2024-Jan-31 23:31:57.072730] OREAnalytics/orea/app/reportwriter.cpp:81 : portfolio valuation
WARNING [2024-Jan-31 23:31:57.075725] OREData/ored/portfolio/swap.cpp:239 : swap engine does not provide current notional: currentNotional not provided, using fallback
...
NOTICE [2024-Jan-31 23:31:57.085720] OREAnalytics/orea/app/reportwriter.cpp:144 : NPV file written
WARNING [2024-Jan-31 23:31:57.086719] OREAnalytics/orea/app/analytic.cpp:86 : 38862848|37974016
NOTICE [2024-Jan-31 23:31:57.087719] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'PRICING' finished.
DEBUG [2024-Jan-31 23:31:57.088718] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve EUR1D for label as it has already been added
NOTICE [2024-Jan-31 23:31:57.090717] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'XVA'
WARNING [2024-Jan-31 23:31:57.091716] OREAnalytics/orea/app/analytic.cpp:83 : 38862848|38162432
NOTICE [2024-Jan-31 23:31:57.092718] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:588 : XVA analytic called with asof 2016-02-05
NOTICE [2024-Jan-31 23:31:57.094717] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:601 : XVA: Build Today's Market
NOTICE [2024-Jan-31 23:31:57.096714] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:31:57.096714] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
DATA [2024-Jan-31 23:31:57.098712] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:31:57.099712] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
...
DATA [2024-Jan-31 23:31:57.105708] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
DATA [2024-Jan-31 23:31:57.114704] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
DATA [2024-Jan-31 23:31:57.134693] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DATA [2024-Jan-31 23:31:57.435436] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
DATA [2024-Jan-31 23:31:57.785103] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DATA [2024-Jan-31 23:31:58.073743] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
...
DATA [2024-Jan-31 23:31:58.324362] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DATA [2024-Jan-31 23:31:58.574200] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DATA [2024-Jan-31 23:31:58.833858] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DATA [2024-Jan-31 23:31:58.840854] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
DATA [2024-Jan-31 23:31:59.092537] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:31:59.345253] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:31:59.595312] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:31:59.846948] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DATA [2024-Jan-31 23:32:00.106322] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
...
DATA [2024-Jan-31 23:32:00.356949] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
...
DATA [2024-Jan-31 23:32:00.607814] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DATA [2024-Jan-31 23:32:00.861466] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
...
DATA [2024-Jan-31 23:32:01.110198] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
...
DATA [2024-Jan-31 23:32:01.360791] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DATA [2024-Jan-31 23:32:01.376781] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
...
DATA [2024-Jan-31 23:32:01.383778] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
...
DATA [2024-Jan-31 23:32:01.699852] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
...
DATA [2024-Jan-31 23:32:02.007759] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DATA [2024-Jan-31 23:32:02.318420] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:32:02.596905] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
...
DATA [2024-Jan-31 23:32:02.939737] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
...
NOTICE [2024-Jan-31 23:32:02.953728] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 5.855351 seconds
NOTICE [2024-Jan-31 23:32:02.955727] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:32:02.956727] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:32:02.957728] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:32:02.958727] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:32:02.959726] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote EURCHF
...
NOTICE [2024-Jan-31 23:32:02.965721] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 7 quotes, 6 currencies.
NOTICE [2024-Jan-31 23:32:02.966721] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
DATA [2024-Jan-31 23:32:02.966721] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:32:03.052583] 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 23:32:03.104553] 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 23:32:03.105552] 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 23:32:03.126542] 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 23:32:03.142531] 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 23:32:03.155524] 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 23:32:03.158524] 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 23:32:03.159523] 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 23:32:03.173514] 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 23:32:03.174514] 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 23:32:03.179513] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:32:03.181509] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:32:03.182508] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:32:03.302397] 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 23:32:03.340375] 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 23:32:03.341375] 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 23:32:03.361375] 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 23:32:03.371368] 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 23:32:03.379364] 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 23:32:03.381364] 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 23:32:03.382363] 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 23:32:03.390358] 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 23:32:03.391358] 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 23:32:03.394347] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
NOTICE [2024-Jan-31 23:32:03.394347] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
DATA [2024-Jan-31 23:32:03.395355] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:32:03.475654] 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 23:32:03.522618] 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 23:32:03.523618] 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 23:32:03.547603] 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 23:32:03.565594] 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 23:32:03.577589] 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 23:32:03.581582] 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 23:32:03.583592] 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 23:32:03.598575] 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 23:32:03.599572] 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 23:32:03.602571] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:32:03.604569] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
DATA [2024-Jan-31 23:32:03.606568] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:32:03.722512] 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 23:32:03.769485] 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 23:32:03.770484] 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 23:32:03.790296] 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 23:32:03.805284] 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 23:32:03.819279] 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 23:32:03.823277] 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 23:32:03.824276] 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 23:32:03.835268] 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 23:32:03.836270] 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 23:32:03.840267] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:32:03.841266] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:32:03.842265] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:32:03.960197] 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 23:32:04.004173] 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 23:32:04.005173] 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 23:32:04.024162] 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 23:32:04.034930] 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 23:32:04.042927] 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 23:32:04.045924] 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 23:32:04.046923] 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 23:32:04.053919] 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 23:32:04.054919] 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 23:32:04.056918] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
NOTICE [2024-Jan-31 23:32:04.058916] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:32:04.059915] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:32:04.060915] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 5.86e+03 ms 1 5.86e+03 ms
...
NOTICE [2024-Jan-31 23:32:04.063913] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 6958.2 ms
NOTICE [2024-Jan-31 23:32:04.064912] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 6.967816 sec
NOTICE [2024-Jan-31 23:32:04.066560] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:615 : XVA: Build simulation market
NOTICE [2024-Jan-31 23:32:04.067574] OREAnalytics/orea/scenario/scenariosimmarket.cpp:323 : building ScenarioSimMarket...
DEBUG [2024-Jan-31 23:32:04.068572] OREAnalytics/orea/scenario/scenariosimmarket.cpp:325 : AsOf 2016-02-05
DEBUG [2024-Jan-31 23:32:04.069572] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building CHF yield curve..
DEBUG [2024-Jan-31 23:32:04.069572] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:04.070571] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:04.072570] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:04.073569] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (not yet built)
...
DEBUG [2024-Jan-31 23:32:04.077567] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.078566] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF1D
DEBUG [2024-Jan-31 23:32:04.079566] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-TOIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.080566] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-TOIS-CONVENTIONS
DATA [2024-Jan-31 23:32:04.081559] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
...
DEBUG [2024-Jan-31 23:32:04.083553] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "CHF-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:04.094546] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:32:04.101554] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF1D built
DEBUG [2024-Jan-31 23:32:04.102554] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.103552] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-TOIS) with spec Yield/CHF/CHF1D to configuration default
DATA [2024-Jan-31 23:32:04.104552] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:32:04.105551] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) in configuration default
DEBUG [2024-Jan-31 23:32:04.106540] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.107539] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF3M
DEBUG [2024-Jan-31 23:32:04.108539] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.108539] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:32:04.109538] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:32:04.110537] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:04.115534] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.116534] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-3M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:32:04.117533] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:04.136526] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:32:04.149516] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF3M built
DEBUG [2024-Jan-31 23:32:04.151517] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.152516] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-3M) with spec Yield/CHF/CHF3M to configuration default
DATA [2024-Jan-31 23:32:04.153515] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:04.154516] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) in configuration default
DEBUG [2024-Jan-31 23:32:04.156512] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.157514] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:32:04.158513] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
DATA [2024-Jan-31 23:32:04.159512] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:32:04.162511] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:04.171503] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
DEBUG [2024-Jan-31 23:32:04.183497] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
DEBUG [2024-Jan-31 23:32:04.184500] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.186494] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:32:04.188493] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:32:04.190492] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.191492] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR3M
DEBUG [2024-Jan-31 23:32:04.193490] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.195489] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:32:04.197488] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:04.206483] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-3M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:04.219475] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:04.249458] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:32:04.272446] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR3M built
DEBUG [2024-Jan-31 23:32:04.273444] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.275444] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration default
DATA [2024-Jan-31 23:32:04.276442] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:32:04.277443] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration default
DEBUG [2024-Jan-31 23:32:04.279442] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.286146] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF-IN-EUR
DEBUG [2024-Jan-31 23:32:04.287147] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-CHF-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.288146] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:32:04.291142] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:32:04.292142] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-CHF-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.293144] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-CHF-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:32:04.294142] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:04.303138] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 10 instruments
DEBUG [2024-Jan-31 23:32:04.313132] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF-IN-EUR built
DEBUG [2024-Jan-31 23:32:04.314132] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.314132] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:32:04.315131] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:32:04.316131] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 5, error: 0
DEBUG [2024-Jan-31 23:32:04.317130] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve CHF discount[0]=1.18202
...
DEBUG [2024-Jan-31 23:32:04.327124] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building CHF yield curve done
DEBUG [2024-Jan-31 23:32:04.328124] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building EUR yield curve..
DEBUG [2024-Jan-31 23:32:04.329123] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:04.330123] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:04.331122] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:04.332122] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve EUR discount[0]=0.995024
...
DEBUG [2024-Jan-31 23:32:04.342116] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building EUR yield curve done
DEBUG [2024-Jan-31 23:32:04.343115] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building GBP yield curve..
DEBUG [2024-Jan-31 23:32:04.344115] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:04.345114] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:04.347113] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:04.347113] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:32:04.352110] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.353110] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP1D
DEBUG [2024-Jan-31 23:32:04.354109] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "GBP-OIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.355108] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-OIS-CONVENTIONS
DATA [2024-Jan-31 23:32:04.356108] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
...
DEBUG [2024-Jan-31 23:32:04.361104] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:32:04.373098] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP1D built
DEBUG [2024-Jan-31 23:32:04.374098] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.375097] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-SONIA) with spec Yield/GBP/GBP1D to configuration default
DATA [2024-Jan-31 23:32:04.376097] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:32:04.377096] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) in configuration default
DEBUG [2024-Jan-31 23:32:04.377096] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.378095] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP6M
DEBUG [2024-Jan-31 23:32:04.379095] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:32:04.380094] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-DEPOSIT
DEBUG [2024-Jan-31 23:32:04.381094] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:32:04.382093] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:04.390089] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "GBP-6M-FRA"
DEBUG [2024-Jan-31 23:32:04.391088] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-6M-FRA
...
DEBUG [2024-Jan-31 23:32:04.399081] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "GBP-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:04.415074] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 26 instruments
DEBUG [2024-Jan-31 23:32:04.423069] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP6M built
DEBUG [2024-Jan-31 23:32:04.424069] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.425068] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration default
DATA [2024-Jan-31 23:32:04.426068] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DEBUG [2024-Jan-31 23:32:04.427067] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration default
DEBUG [2024-Jan-31 23:32:04.428067] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.429066] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP3M
DEBUG [2024-Jan-31 23:32:04.430066] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:32:04.431065] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:32:04.431065] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:04.438061] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "GBP-LIBOR-3M-6M-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.439060] OREData/ored/configuration/conventions.cpp:2587 : Building Convention GBP-LIBOR-3M-6M-BASIS-CONVENTIONS
...
DEBUG [2024-Jan-31 23:32:04.454051] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 19 instruments
DEBUG [2024-Jan-31 23:32:04.487328] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP3M built
DEBUG [2024-Jan-31 23:32:04.488328] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.489327] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-3M) with spec Yield/GBP/GBP3M to configuration default
DATA [2024-Jan-31 23:32:04.490326] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:04.491326] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) in configuration default
DEBUG [2024-Jan-31 23:32:04.491326] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.492325] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP-IN-EUR
DEBUG [2024-Jan-31 23:32:04.493325] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-GBP-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.494324] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:32:04.495324] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:32:04.496322] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-GBP-XCCY-BASIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.497323] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-GBP-XCCY-BASIS-CONVENTIONS
DATA [2024-Jan-31 23:32:04.498322] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:04.510315] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:32:04.535145] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP-IN-EUR built
DEBUG [2024-Jan-31 23:32:04.536146] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.537145] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:32:04.538145] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:32:04.539144] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 4, error: 0
DEBUG [2024-Jan-31 23:32:04.540143] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve GBP discount[0]=0.80473
...
DEBUG [2024-Jan-31 23:32:04.555134] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building GBP yield curve done
DEBUG [2024-Jan-31 23:32:04.556134] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building JPY yield curve..
DEBUG [2024-Jan-31 23:32:04.557131] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:04.558130] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:04.561131] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:04.562131] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (not yet built)
...
DEBUG [2024-Jan-31 23:32:04.564129] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.566129] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY1D
DEBUG [2024-Jan-31 23:32:04.567128] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "JPY-OIS-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.568125] OREData/ored/configuration/conventions.cpp:2587 : Building Convention JPY-OIS-CONVENTIONS
DATA [2024-Jan-31 23:32:04.569124] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
...
DEBUG [2024-Jan-31 23:32:04.575121] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:32:04.582117] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY1D built
DEBUG [2024-Jan-31 23:32:04.584115] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.585115] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-TONAR) with spec Yield/JPY/JPY1D to configuration default
DATA [2024-Jan-31 23:32:04.586114] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
DEBUG [2024-Jan-31 23:32:04.588114] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) in configuration default
DEBUG [2024-Jan-31 23:32:04.589113] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.591112] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY6M
DEBUG [2024-Jan-31 23:32:04.593111] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "JPY-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.594110] OREData/ored/configuration/conventions.cpp:2587 : Building Convention JPY-LIBOR-CONVENTIONS
DEBUG [2024-Jan-31 23:32:04.596108] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY-LIBOR) failed: parseIborIndex "JPY-LIBOR" not recognized
DATA [2024-Jan-31 23:32:04.598107] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:04.609101] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "JPY-LIBOR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:04.634087] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 18 instruments
DEBUG [2024-Jan-31 23:32:04.644081] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY6M built
DEBUG [2024-Jan-31 23:32:04.646080] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.647079] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY6M to configuration default
DEBUG [2024-Jan-31 23:32:04.648079] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:32:04.650079] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:32:04.651078] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve JPY discount[0]=0.999982
...
DEBUG [2024-Jan-31 23:32:04.665069] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building JPY yield curve done
DEBUG [2024-Jan-31 23:32:04.667069] OREAnalytics/orea/scenario/scenariosimmarket.cpp:379 : building USD yield curve..
DEBUG [2024-Jan-31 23:32:04.668070] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:04.670066] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:04.672065] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:04.673065] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:32:04.679061] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.680061] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD1D
DEBUG [2024-Jan-31 23:32:04.682059] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-FED-FUNDS-CONVENTIONS"
DATA [2024-Jan-31 23:32:04.683060] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:32:04.686059] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:04.695052] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:32:04.705047] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD1D built
DEBUG [2024-Jan-31 23:32:04.706047] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.707045] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration default
DATA [2024-Jan-31 23:32:04.708046] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:32:04.709046] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration default
DEBUG [2024-Jan-31 23:32:04.710045] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.711044] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD3M
DEBUG [2024-Jan-31 23:32:04.712044] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.713043] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:32:04.714043] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:04.720039] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:04.725036] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:04.742027] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 22 instruments
DEBUG [2024-Jan-31 23:32:04.756018] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD3M built
DEBUG [2024-Jan-31 23:32:04.757018] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:04.758017] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD3M to configuration default
DATA [2024-Jan-31 23:32:04.759017] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:04.760016] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration default
DEBUG [2024-Jan-31 23:32:04.761016] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:04.762015] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-IN-EUR
DEBUG [2024-Jan-31 23:32:04.762015] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:04.763015] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:32:04.764014] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:32:04.765014] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS-CONVENTIONS"
DATA [2024-Jan-31 23:32:04.766013] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:04.780896] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:32:04.999772] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-IN-EUR built
DEBUG [2024-Jan-31 23:32:05.000771] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:05.000771] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:32:05.001770] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:32:05.002770] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:32:05.003769] OREAnalytics/orea/scenario/scenariosimmarket.cpp:271 : ScenarioSimMarket yield curve DiscountCurve USD discount[0]=0.785974
...
DEBUG [2024-Jan-31 23:32:05.013763] OREAnalytics/orea/scenario/scenariosimmarket.cpp:383 : building USD yield curve done
NOTICE [2024-Jan-31 23:32:05.014763] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built DiscountCurve 5 946 ms
DEBUG [2024-Jan-31 23:32:05.015762] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.016608] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(CHF-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:05.018609] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.019608] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:32:05.021607] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:05.021607] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF6M
DEBUG [2024-Jan-31 23:32:05.022606] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:05.023606] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DATA [2024-Jan-31 23:32:05.024605] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:05.036599] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:05.037598] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CHF-6M-FRA-CONVENTIONS
...
DEBUG [2024-Jan-31 23:32:05.045593] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:05.061584] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
DEBUG [2024-Jan-31 23:32:05.069579] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF6M built
DEBUG [2024-Jan-31 23:32:05.070579] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:05.071578] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-6M) with spec Yield/CHF/CHF6M to configuration default
DATA [2024-Jan-31 23:32:05.072578] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DEBUG [2024-Jan-31 23:32:05.072578] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M) in configuration default
DEBUG [2024-Jan-31 23:32:05.073577] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:05.074577] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.075576] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.077575] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.077575] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:32:05.078574] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration default
DATA [2024-Jan-31 23:32:05.079574] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:32:05.080573] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:32:05.081573] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:05.082570] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.083570] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.085570] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.088569] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.089568] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:32:05.091567] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:05.092566] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:32:05.093566] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:05.094565] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:32:05.094565] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:32:05.095565] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:05.096563] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:05.112556] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
DEBUG [2024-Jan-31 23:32:05.121549] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:32:05.122549] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:05.122549] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DATA [2024-Jan-31 23:32:05.123549] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:32:05.124548] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:32:05.125548] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:05.126547] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.127546] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(GBP-LIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:05.131541] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.140539] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.142535] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (already built)
...
DEBUG [2024-Jan-31 23:32:05.144536] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-LIBOR-6M) with spec Yield/JPY/JPY6M to configuration default
DATA [2024-Jan-31 23:32:05.145536] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
DEBUG [2024-Jan-31 23:32:05.147535] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-LIBOR-6M,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:32:05.148535] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:05.149532] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.151530] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.153529] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.159526] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.160525] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:32:05.165523] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:05.167524] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD6M
DEBUG [2024-Jan-31 23:32:05.168523] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:05.169522] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:32:05.170520] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:05.185512] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-6M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:05.189508] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "USD-LIBOR-3M-6M-BASIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:05.198505] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 21 instruments
DEBUG [2024-Jan-31 23:32:05.228487] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD6M built
DEBUG [2024-Jan-31 23:32:05.229487] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:05.231485] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-6M) with spec Yield/USD/USD6M to configuration default
DATA [2024-Jan-31 23:32:05.232484] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
DEBUG [2024-Jan-31 23:32:05.233485] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-6M,Yield/USD/USD6M) in configuration default
DEBUG [2024-Jan-31 23:32:05.234484] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:05.235484] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EONIA index curve
DEBUG [2024-Jan-31 23:32:05.237484] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.238481] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.241479] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:05.242478] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EONIA discount[0]=0.995024
...
DEBUG [2024-Jan-31 23:32:05.257470] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EONIA index curve done
DEBUG [2024-Jan-31 23:32:05.258472] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building CHF-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:32:05.259471] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.260471] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(CHF-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:05.263469] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:05.264468] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve CHF-LIBOR-6M discount[0]=1.00217
...
DEBUG [2024-Jan-31 23:32:05.279465] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building CHF-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:32:05.281466] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EURIBOR-3M index curve
DEBUG [2024-Jan-31 23:32:05.282463] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.284462] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.286462] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:05.287461] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EURIBOR-3M discount[0]=0.995024
...
DEBUG [2024-Jan-31 23:32:05.297455] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EURIBOR-3M index curve done
DEBUG [2024-Jan-31 23:32:05.297455] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building EUR-EURIBOR-6M index curve
DEBUG [2024-Jan-31 23:32:05.298455] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.299455] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.301452] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:05.302451] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve EUR-EURIBOR-6M discount[0]=0.995037
...
DEBUG [2024-Jan-31 23:32:05.312445] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building EUR-EURIBOR-6M index curve done
DEBUG [2024-Jan-31 23:32:05.313445] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building GBP-LIBOR-3M index curve
DEBUG [2024-Jan-31 23:32:05.314444] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.315444] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(GBP-LIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:05.317442] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:05.317442] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve GBP-LIBOR-3M discount[0]=0.998346
...
DEBUG [2024-Jan-31 23:32:05.327437] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building GBP-LIBOR-3M index curve done
DEBUG [2024-Jan-31 23:32:05.328436] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building GBP-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:32:05.329436] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.330435] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(GBP-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:05.332434] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:05.333436] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve GBP-LIBOR-6M discount[0]=0.998346
...
DEBUG [2024-Jan-31 23:32:05.343429] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building GBP-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:32:05.344428] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building JPY-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:32:05.344428] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(JPY-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.345428] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(JPY-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:05.347427] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:05.348426] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve JPY-LIBOR-6M discount[0]=0.999982
...
DEBUG [2024-Jan-31 23:32:05.358419] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building JPY-LIBOR-6M index curve done
DEBUG [2024-Jan-31 23:32:05.359418] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building USD-LIBOR-3M index curve
DEBUG [2024-Jan-31 23:32:05.360418] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.361417] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.363417] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:05.363417] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve USD-LIBOR-3M discount[0]=0.998002
...
DEBUG [2024-Jan-31 23:32:05.374411] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building USD-LIBOR-3M index curve done
DEBUG [2024-Jan-31 23:32:05.374411] OREAnalytics/orea/scenario/scenariosimmarket.cpp:410 : building USD-LIBOR-6M index curve
DEBUG [2024-Jan-31 23:32:05.375411] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.376410] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(USD-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:05.378409] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:05.379408] OREAnalytics/orea/scenario/scenariosimmarket.cpp:456 : ScenarioSimMarket index curve USD-LIBOR-6M discount[0]=0.998002
...
DEBUG [2024-Jan-31 23:32:05.389405] OREAnalytics/orea/scenario/scenariosimmarket.cpp:501 : building USD-LIBOR-6M index curve done
NOTICE [2024-Jan-31 23:32:05.390404] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built IndexCurve 9 374 ms
DEBUG [2024-Jan-31 23:32:05.391403] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building CHF swaption volatility curve...
DEBUG [2024-Jan-31 23:32:05.391403] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.392403] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:05.394401] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.395401] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DATA [2024-Jan-31 23:32:05.400398] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:32:05.401397] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.402397] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.404395] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:05.407394] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-1Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:32:05.408393] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) in configuration default
...
DEBUG [2024-Jan-31 23:32:05.409393] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.410392] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.413390] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:05.415389] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-30Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:32:05.416389] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-30Y,CHF-TOIS) in configuration default
DEBUG [2024-Jan-31 23:32:05.417388] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (CHF) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:32:05.419387] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:32:05.420386] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:32:05.421386] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.007529 0.007587 0.007603 0.006725 0.005853 0.005456 0.006673 0.007006 0.007346 0.007336 0.007335 |
...
NOTICE [2024-Jan-31 23:32:05.433379] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config CHF_SW_N
DEBUG [2024-Jan-31 23:32:05.433379] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:32:05.434378] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:32:05.435378] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (CHF) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration default
DEBUG [2024-Jan-31 23:32:05.436377] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) in configuration default
DEBUG [2024-Jan-31 23:32:05.437377] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:32:05.438376] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.438376] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:32:05.440375] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:32:05.445372] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:05.449369] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market CHF yield volatility type = Normal
DEBUG [2024-Jan-31 23:32:05.450370] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (Normal) yield vols (ForwardVariance) for qualifier CHF
DEBUG [2024-Jan-31 23:32:05.451369] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market CHF yield volatility type = Normal
DEBUG [2024-Jan-31 23:32:05.452368] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building EUR swaption volatility curve...
DEBUG [2024-Jan-31 23:32:05.453368] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.454367] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.455366] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.456366] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (already built)
...
DATA [2024-Jan-31 23:32:05.462362] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:32:05.463362] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.464361] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.466360] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:05.469359] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:32:05.470358] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration default
...
DEBUG [2024-Jan-31 23:32:05.471598] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.472600] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.475598] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:05.478597] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:32:05.479596] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration default
DEBUG [2024-Jan-31 23:32:05.480595] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (EUR) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:32:05.482593] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:32:05.483594] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:32:05.484593] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 |
...
NOTICE [2024-Jan-31 23:32:05.495586] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config EUR_SW_N
DEBUG [2024-Jan-31 23:32:05.496586] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:32:05.497585] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:32:05.498585] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration default
DEBUG [2024-Jan-31 23:32:05.499582] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(EUR,SwaptionVolatility/EUR/EUR_SW_N) in configuration default
DEBUG [2024-Jan-31 23:32:05.500584] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:32:05.500584] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.501583] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:32:05.503582] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.509577] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.515576] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market EUR yield volatility type = Normal
DEBUG [2024-Jan-31 23:32:05.517572] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (Normal) yield vols (ForwardVariance) for qualifier EUR
DEBUG [2024-Jan-31 23:32:05.519573] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market EUR yield volatility type = Normal
DEBUG [2024-Jan-31 23:32:05.519573] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building GBP swaption volatility curve...
DEBUG [2024-Jan-31 23:32:05.520571] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.521570] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:05.523568] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.524413] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #19: IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) (already built)
...
DATA [2024-Jan-31 23:32:05.529411] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:32:05.530410] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.531409] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.534408] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:05.536407] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-1Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:32:05.537406] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-1Y,GBP-SONIA) in configuration default
...
DEBUG [2024-Jan-31 23:32:05.539405] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.540405] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.544404] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:05.548402] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-30Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:32:05.549399] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) in configuration default
DEBUG [2024-Jan-31 23:32:05.551398] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (GBP) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:32:05.553399] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:32:05.554399] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:32:05.556398] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.468006 0.642861 0.802119 0.878475 0.880872 0.756155 0.642449 0.545265 0.512265 0.519984 0.519112 |
...
NOTICE [2024-Jan-31 23:32:05.574385] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config GBP_SW_N
DEBUG [2024-Jan-31 23:32:05.576384] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:32:05.578384] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:32:05.579382] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (GBP) with spec SwaptionVolatility/GBP/GBP_SW_N to configuration default
DEBUG [2024-Jan-31 23:32:05.581380] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(GBP,SwaptionVolatility/GBP/GBP_SW_N) in configuration default
DEBUG [2024-Jan-31 23:32:05.583382] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:32:05.584379] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.585382] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:32:05.588376] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:32:05.598371] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:05.605369] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market GBP yield volatility type = ShiftedLognormal
DEBUG [2024-Jan-31 23:32:05.606368] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (ShiftedLognormal) yield vols (ForwardVariance) for qualifier GBP
DEBUG [2024-Jan-31 23:32:05.607367] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market GBP yield volatility type = ShiftedLognormal
DEBUG [2024-Jan-31 23:32:05.608365] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building JPY swaption volatility curve...
DEBUG [2024-Jan-31 23:32:05.610364] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.611364] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:05.613364] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.615361] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:32:05.623356] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (JPY) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration default
DEBUG [2024-Jan-31 23:32:05.624357] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(JPY,SwaptionVolatility/CHF/CHF_SW_N) in configuration default
DEBUG [2024-Jan-31 23:32:05.625357] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:05.626356] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.627354] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:32:05.630354] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
ALERT [2024-Jan-31 23:32:05.637350] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "SwaptionVol(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:05.643345] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market JPY yield volatility type = Normal
DEBUG [2024-Jan-31 23:32:05.644344] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (Normal) yield vols (ForwardVariance) for qualifier JPY
DEBUG [2024-Jan-31 23:32:05.645345] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market JPY yield volatility type = Normal
DEBUG [2024-Jan-31 23:32:05.647344] OREAnalytics/orea/scenario/scenariosimmarket.cpp:630 : building USD swaption volatility curve...
DEBUG [2024-Jan-31 23:32:05.648343] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.649343] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.652342] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.653342] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DATA [2024-Jan-31 23:32:05.659336] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:32:05.661335] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.663333] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.667332] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:05.671331] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-1Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:32:05.672331] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) in configuration default
...
DEBUG [2024-Jan-31 23:32:05.674330] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.676327] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.679327] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:05.684322] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-30Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:32:05.687322] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-30Y,USD-FedFunds) in configuration default
DEBUG [2024-Jan-31 23:32:05.689319] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (USD) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:32:05.692317] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:32:05.694316] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:32:05.696315] 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 23:32:05.713306] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config USD_SW_N
DEBUG [2024-Jan-31 23:32:05.714306] OREData/ored/marketdata/genericyieldvolcurve.cpp:364 : Building calibration info for generic yield vols
DEBUG [2024-Jan-31 23:32:05.714306] OREData/ored/marketdata/genericyieldvolcurve.cpp:562 : Building calibration info generic yield vols completed.
DEBUG [2024-Jan-31 23:32:05.715305] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (USD) with spec SwaptionVolatility/USD/USD_SW_N to configuration default
DEBUG [2024-Jan-31 23:32:05.716305] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(USD,SwaptionVolatility/USD/USD_SW_N) in configuration default
DEBUG [2024-Jan-31 23:32:05.717304] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:32:05.718303] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.719303] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:32:05.720302] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.725299] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.730297] OREAnalytics/orea/scenario/scenariosimmarket.cpp:648 : Initial market USD yield volatility type = ShiftedLognormal
DEBUG [2024-Jan-31 23:32:05.730297] OREAnalytics/orea/scenario/scenariosimmarket.cpp:827 : Dynamic (ShiftedLognormal) yield vols (ForwardVariance) for qualifier USD
DEBUG [2024-Jan-31 23:32:05.731296] OREAnalytics/orea/scenario/scenariosimmarket.cpp:851 : Simulation market USD yield volatility type = ShiftedLognormal
NOTICE [2024-Jan-31 23:32:05.732295] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built SwaptionVolatility 5 341 ms
DEBUG [2024-Jan-31 23:32:05.733295] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding CHFEUR FX rates
DATA [2024-Jan-31 23:32:05.734295] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(CHFEUR): 0 / JoinHolidays(TARGET, Switzerland) from convention.
DEBUG [2024-Jan-31 23:32:05.735294] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.736293] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.738292] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'CHF' to 'EUR': CHF-EUR
DEBUG [2024-Jan-31 23:32:05.739291] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding GBPEUR FX rates
DATA [2024-Jan-31 23:32:05.740291] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(GBPEUR): 0 / JoinHolidays(TARGET, UK settlement) from convention.
DEBUG [2024-Jan-31 23:32:05.741290] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.742290] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.744288] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'GBP' to 'EUR': GBP-EUR
DEBUG [2024-Jan-31 23:32:05.745288] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding JPYEUR FX rates
DATA [2024-Jan-31 23:32:05.746288] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(JPYEUR): 0 / JoinHolidays(TARGET, Japan) from convention.
DEBUG [2024-Jan-31 23:32:05.747287] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.748286] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.750285] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'JPY' to 'EUR': JPY-EUR
DEBUG [2024-Jan-31 23:32:05.751286] OREAnalytics/orea/scenario/scenariosimmarket.cpp:355 : adding USDEUR FX rates
DATA [2024-Jan-31 23:32:05.752285] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DEBUG [2024-Jan-31 23:32:05.753285] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.754284] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:05.756283] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
NOTICE [2024-Jan-31 23:32:05.757282] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:32:05.758282] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote CHFEUR
...
NOTICE [2024-Jan-31 23:32:05.761280] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 4 quotes, 5 currencies.
NOTICE [2024-Jan-31 23:32:05.762280] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built FXSpot 4 28.9 ms
DEBUG [2024-Jan-31 23:32:05.763279] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(GBPEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.764278] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(GBPEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:05.765278] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:32:05.769275] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.770275] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #45: FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP) (not yet built)
DEBUG [2024-Jan-31 23:32:05.771275] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:05.771275] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:32:05.772274] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:32:05.779080] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:32:05.779080] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:32:05.785076] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURGBP, assuming defaults
DATA [2024-Jan-31 23:32:05.786076] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'GBP': EUR-GBP
NOTICE [2024-Jan-31 23:32:05.787075] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:32:05.788075] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:32:05.789074] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/GBP/EURGBP 1M 0.12336 0.00129246
...
DEBUG [2024-Jan-31 23:32:05.805062] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
WARNING [2024-Jan-31 23:32:05.807061] OREData/ored/marketdata/fxvolcurve.cpp:918 : no domestic / foreign yield curves given in fx vol curve config for EURGBP, skip building calibration info
DEBUG [2024-Jan-31 23:32:05.809060] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURGBP) with spec FXVolatility/EUR/GBP/EURGBP to configuration default
DEBUG [2024-Jan-31 23:32:05.810059] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP) in configuration default
DEBUG [2024-Jan-31 23:32:05.812058] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:05.814057] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(GBPEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.815056] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:05.818057] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:05.819057] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(GBPEUR): 0 / JoinHolidays(TARGET, UK settlement) from convention.
DATA [2024-Jan-31 23:32:05.821055] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'GBP' to 'EUR': GBP-EUR
NOTICE [2024-Jan-31 23:32:05.822055] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1558 : Deterministic FX Vols with decay mode ForwardVariance for GBPEUR
DEBUG [2024-Jan-31 23:32:05.823052] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(JPYEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.824051] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(JPYEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:05.828049] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:32:05.834048] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.835048] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #46: FXVol(EURJPY,FXVolatility/EUR/JPY/EURJPY) (not yet built)
DEBUG [2024-Jan-31 23:32:05.836047] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:05.838046] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:32:05.839045] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:32:05.852035] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:32:05.853035] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:32:05.864030] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURJPY, assuming defaults
DATA [2024-Jan-31 23:32:05.865029] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'JPY': EUR-JPY
NOTICE [2024-Jan-31 23:32:05.867028] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 9 ATM vols
DEBUG [2024-Jan-31 23:32:05.869029] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:32:05.870026] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/JPY/EURJPY 1M 0.137438 0.00160429
...
DEBUG [2024-Jan-31 23:32:05.892013] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
WARNING [2024-Jan-31 23:32:05.894011] OREData/ored/marketdata/fxvolcurve.cpp:918 : no domestic / foreign yield curves given in fx vol curve config for EURJPY, skip building calibration info
DEBUG [2024-Jan-31 23:32:05.895010] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURJPY) with spec FXVolatility/EUR/JPY/EURJPY to configuration default
DEBUG [2024-Jan-31 23:32:05.897010] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURJPY,FXVolatility/EUR/JPY/EURJPY) in configuration default
DEBUG [2024-Jan-31 23:32:05.898009] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:05.900008] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(JPYEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.901008] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:05.904007] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:05.905006] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(JPYEUR): 0 / JoinHolidays(TARGET, Japan) from convention.
DATA [2024-Jan-31 23:32:05.907006] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'JPY' to 'EUR': JPY-EUR
NOTICE [2024-Jan-31 23:32:05.908003] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1558 : Deterministic FX Vols with decay mode ForwardVariance for JPYEUR
DEBUG [2024-Jan-31 23:32:05.909005] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:05.910004] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:05.913002] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:32:05.917999] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.919997] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:32:05.923994] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:05.925993] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:32:05.927992] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:32:05.937987] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:32:05.938986] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:32:05.948980] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURUSD, assuming defaults
DATA [2024-Jan-31 23:32:05.950982] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
NOTICE [2024-Jan-31 23:32:05.951978] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:32:05.953977] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:32:05.954977] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/USD/EURUSD 1M 0.121699 0.00125789
...
DEBUG [2024-Jan-31 23:32:05.966970] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
DEBUG [2024-Jan-31 23:32:05.967969] OREData/ored/marketdata/fxvolcurve.cpp:1142 : Building calibration info for fx vol surface completed.
DEBUG [2024-Jan-31 23:32:05.968968] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURUSD) with spec FXVolatility/EUR/USD/EURUSD to configuration default
DEBUG [2024-Jan-31 23:32:05.968968] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURUSD,FXVolatility/EUR/USD/EURUSD) in configuration default
DEBUG [2024-Jan-31 23:32:05.969967] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:05.970967] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:05.971966] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:05.973965] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:05.973965] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DATA [2024-Jan-31 23:32:05.974965] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
NOTICE [2024-Jan-31 23:32:05.975964] OREAnalytics/orea/scenario/scenariosimmarket.cpp:1558 : Deterministic FX Vols with decay mode ForwardVariance for USDEUR
NOTICE [2024-Jan-31 23:32:05.976964] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2694 : built FXVolatility 3 214 ms
DEBUG [2024-Jan-31 23:32:05.977963] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2707 : building swap indices...
DEBUG [2024-Jan-31 23:32:05.978962] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2737 : Adding swap index EUR-CMS-1Y with discounting index EUR-EONIA
DATA [2024-Jan-31 23:32:05.979962] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:32:05.982960] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2740 : Adding swap index EUR-CMS-1Y done.
DEBUG [2024-Jan-31 23:32:05.983960] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2737 : Adding swap index EUR-CMS-30Y with discounting index EUR-EONIA
...
DEBUG [2024-Jan-31 23:32:05.988957] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2740 : Adding swap index EUR-CMS-30Y done.
NOTICE [2024-Jan-31 23:32:05.988957] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2712 : building base scenario
NOTICE [2024-Jan-31 23:32:05.989956] OREAnalytics/orea/scenario/scenariosimmarket.cpp:2729 : building base scenario done
NOTICE [2024-Jan-31 23:32:05.990956] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:618 : XVA: Build Scenario Generator
NOTICE [2024-Jan-31 23:32:05.991955] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:156 : XVA: Build Simulation Model (continueOnCalibrationError = true)
NOTICE [2024-Jan-31 23:32:05.992954] OREData/ored/model/crossassetmodelbuilder.cpp:167 : Start building CrossAssetModel
DEBUG [2024-Jan-31 23:32:05.993954] 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 23:32:05.994953] OREData/ored/model/crossassetmodelbuilder.cpp:212 : Defaulting to LGM measure
DEBUG [2024-Jan-31 23:32:05.995953] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 0 qualifier EUR
DEBUG [2024-Jan-31 23:32:05.995953] 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 23:32:05.996952] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier EUR (ccy=EUR), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:32:05.997952] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:05.998951] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:05.999951] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:32:06.000952] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.001951] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.002951] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:06.002951] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:06.003950] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:06.004949] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:32:06.010946] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DATA [2024-Jan-31 23:32:06.011945] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:32:06.012945] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:06.016943] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.017942] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:06.020940] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:06.022939] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:32:06.023938] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.024937] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:06.028934] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.028934] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:06.031763] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:06.034760] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:32:06.035760] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.036759] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:06.038758] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:32:06.038758] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.039757] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:06.045754] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:32:06.047753] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:06.050751] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.002, index=Euribor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:32:06.067742] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:32:06.067742] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:06.068740] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:06.069739] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for EUR: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:06.070739] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:06.071738] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:06.072738] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR currency EUR
DEBUG [2024-Jan-31 23:32:06.072738] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:32:06.083731] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR calibration errors:
DATA [2024-Jan-31 23:32:06.084730] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:06.085731] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.086730] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:06.089728] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:32:06.099723] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:32:06.103720] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:06.114716] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:32:06.118712] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:06.131704] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.09294e-15
DEBUG [2024-Jan-31 23:32:06.133703] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:32:06.134704] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the EUR LGM model
DEBUG [2024-Jan-31 23:32:06.135703] 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 23:32:06.137703] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 1 qualifier USD
...
NOTICE [2024-Jan-31 23:32:06.140699] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier USD (ccy=USD), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:32:06.142698] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:06.143697] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:06.145697] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #4: DiscountCurve(USD,Yield/USD/USD1D) (not yet built)
DEBUG [2024-Jan-31 23:32:06.146696] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.148694] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.150693] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:06.151695] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:06.152694] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:06.153691] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (not yet built)
...
DEBUG [2024-Jan-31 23:32:06.162686] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration collateral_inccy
DATA [2024-Jan-31 23:32:06.164685] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:32:06.166684] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:06.174679] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.175678] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:06.181675] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:06.185675] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-1Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:32:06.187672] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:06.190670] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.192669] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:06.197666] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:06.202665] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-30Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:32:06.203664] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-30Y,USD-FedFunds) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.204663] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (USD) with spec SwaptionVolatility/USD/USD_SW_N to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:06.207662] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 5, error: 0
DEBUG [2024-Jan-31 23:32:06.208661] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.209659] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:06.220653] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:32:06.225650] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:06.231647] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.1, index=USDLibor3M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:32:06.267626] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:32:06.269625] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:06.271896] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:06.272895] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for USD: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:06.274894] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:06.275893] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:06.277892] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier USD currency USD
DEBUG [2024-Jan-31 23:32:06.279891] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:32:06.296881] OREData/ored/model/lgmbuilder.cpp:377 : LGM USD calibration errors:
DATA [2024-Jan-31 23:32:06.298880] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:06.299879] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.300879] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:06.304876] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:32:06.314871] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:32:06.320868] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:06.330862] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:32:06.336859] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:06.347853] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 2.71714e-14
DEBUG [2024-Jan-31 23:32:06.348853] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:32:06.349852] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the USD LGM model
DEBUG [2024-Jan-31 23:32:06.350852] 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 23:32:06.350852] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 2 qualifier GBP
...
NOTICE [2024-Jan-31 23:32:06.352850] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier GBP (ccy=GBP), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:32:06.353849] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:06.354849] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:06.355848] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: DiscountCurve(GBP,Yield/GBP/GBP1D) (not yet built)
DEBUG [2024-Jan-31 23:32:06.356848] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.356848] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.357847] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:06.358847] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:06.359846] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:06.360846] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: DiscountCurve(GBP,Yield/GBP/GBP1D) (already built)
...
DEBUG [2024-Jan-31 23:32:06.366842] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration collateral_inccy
DATA [2024-Jan-31 23:32:06.367841] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DEBUG [2024-Jan-31 23:32:06.368840] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:06.375836] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.375836] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:06.378835] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:06.381833] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-1Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:32:06.381833] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-1Y,GBP-SONIA) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:06.383833] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.384831] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:06.387830] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:06.389828] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-30Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:32:06.390828] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.391827] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (GBP) with spec SwaptionVolatility/GBP/GBP_SW_N to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:06.393826] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:32:06.393826] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.394828] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:06.400823] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:32:06.403820] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:06.405819] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.1, index=GBPLibor6M Actual/365 (Fixed), strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:32:06.421820] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:32:06.422820] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:06.423819] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:06.424819] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for GBP: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:06.424819] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:06.425818] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:06.426810] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier GBP currency GBP
DEBUG [2024-Jan-31 23:32:06.427818] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:32:06.435813] OREData/ored/model/lgmbuilder.cpp:377 : LGM GBP calibration errors:
DATA [2024-Jan-31 23:32:06.436812] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:06.437811] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.438810] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:06.441809] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:32:06.451803] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:32:06.455800] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:06.466784] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:32:06.469792] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:06.480976] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.13941e-14
DEBUG [2024-Jan-31 23:32:06.481976] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:32:06.482975] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the GBP LGM model
DEBUG [2024-Jan-31 23:32:06.483976] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP) failed: Two or three tokens required in GBP: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:32:06.484974] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 3 qualifier CHF
...
NOTICE [2024-Jan-31 23:32:06.485974] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier CHF (ccy=CHF), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:32:06.486973] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:06.487972] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:06.488972] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (not yet built)
DEBUG [2024-Jan-31 23:32:06.489971] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.490963] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.491970] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:06.491970] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:06.492970] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:06.493969] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:32:06.499966] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-3M) with spec Yield/CHF/CHF3M to configuration collateral_inccy
DATA [2024-Jan-31 23:32:06.500966] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:06.501965] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:06.505962] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.506962] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:06.509960] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:06.511959] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-1Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:32:06.512958] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.513957] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-6M) with spec Yield/CHF/CHF6M to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:06.516948] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.517957] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:06.520953] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:06.523854] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-30Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:32:06.524857] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-30Y,CHF-TOIS) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.525856] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (CHF) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:06.526855] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:32:06.527854] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.528854] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:06.534850] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:32:06.537849] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:06.539848] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:32:06.556838] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:32:06.557838] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:06.558837] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:06.559836] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for CHF: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:06.560836] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:06.560836] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:06.561835] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier CHF currency CHF
DEBUG [2024-Jan-31 23:32:06.562835] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:32:06.572829] OREData/ored/model/lgmbuilder.cpp:377 : LGM CHF calibration errors:
DATA [2024-Jan-31 23:32:06.574828] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:06.574828] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.575827] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:06.579824] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:32:06.589819] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:32:06.593816] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:06.604810] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:32:06.608808] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:06.619802] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 1.41748e-13
DEBUG [2024-Jan-31 23:32:06.619802] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:32:06.620802] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the CHF LGM model
DEBUG [2024-Jan-31 23:32:06.621801] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF) failed: Two or three tokens required in CHF: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:32:06.622800] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 4 qualifier JPY
...
NOTICE [2024-Jan-31 23:32:06.624799] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier JPY (ccy=JPY), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:32:06.625798] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:06.625798] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:06.626798] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #3: DiscountCurve(JPY,Yield/JPY/JPY1D) (not yet built)
DEBUG [2024-Jan-31 23:32:06.627797] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.628797] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.629796] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:06.629796] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:06.630795] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:06.631795] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:32:06.637792] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (JPY) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.638791] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(JPY,SwaptionVolatility/CHF/CHF_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:06.639791] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:06.640790] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.640790] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:06.646786] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:32:06.649785] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:06.651784] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:32:06.668775] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:32:06.669774] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:06.670773] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:06.670773] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for JPY: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:06.671772] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:06.672772] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:06.673771] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier JPY currency JPY
DEBUG [2024-Jan-31 23:32:06.674770] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:32:06.687764] OREData/ored/model/lgmbuilder.cpp:377 : LGM JPY calibration errors:
DATA [2024-Jan-31 23:32:06.688763] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:06.689761] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:06.690760] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:06.694759] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:32:06.704753] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:32:06.708751] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:06.719745] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:32:06.723742] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:06.734736] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 1.57328e-13
DEBUG [2024-Jan-31 23:32:06.735736] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:32:06.736735] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the JPY LGM model
DEBUG [2024-Jan-31 23:32:06.737734] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY) failed: Two or three tokens required in JPY: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:32:06.737734] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 0
NOTICE [2024-Jan-31 23:32:06.738734] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for USDEUR
DEBUG [2024-Jan-31 23:32:06.739733] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:06.740733] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:06.742732] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:32:06.750727] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:06.752726] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:06.755724] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:06.757723] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:32:06.758722] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:06.759722] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper USDEUR 2017-02-05 0.380975 0.120828
...
DEBUG [2024-Jan-31 23:32:06.765719] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:32:06.766718] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:32:06.767718] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:32:06.775713] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 1
NOTICE [2024-Jan-31 23:32:06.776713] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for GBPEUR
DEBUG [2024-Jan-31 23:32:06.778522] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:06.778522] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:06.780524] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:32:06.788519] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(GBPEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:06.790518] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:06.794515] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:06.795514] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:32:06.796514] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:06.797514] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper GBPEUR 2017-02-05 0.610537 0.12979
...
DEBUG [2024-Jan-31 23:32:06.803511] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:32:06.804510] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:32:06.806509] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:32:06.813505] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 2
NOTICE [2024-Jan-31 23:32:06.814504] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for CHFEUR
DEBUG [2024-Jan-31 23:32:06.815503] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:06.816503] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:06.818501] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:32:06.826497] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(CHFEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:06.828496] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:32:06.831494] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:06.832494] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #44: FXVol(EURCHF,FXVolatility/EUR/CHF/EURCHF) (not yet built)
DEBUG [2024-Jan-31 23:32:06.833493] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:06.834493] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:32:06.835492] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:32:06.843923] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:32:06.843923] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:32:06.851918] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURCHF, assuming defaults
DATA [2024-Jan-31 23:32:06.852917] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'CHF': EUR-CHF
NOTICE [2024-Jan-31 23:32:06.853916] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 9 ATM vols
DEBUG [2024-Jan-31 23:32:06.854916] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:32:06.854916] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/CHF/EURCHF 1M 0.077042 0.000504108
...
DEBUG [2024-Jan-31 23:32:06.869907] OREData/ored/marketdata/fxvolcurve.cpp:914 : Building calibration info for fx vol surface
WARNING [2024-Jan-31 23:32:06.870907] OREData/ored/marketdata/fxvolcurve.cpp:918 : no domestic / foreign yield curves given in fx vol curve config for EURCHF, skip building calibration info
DEBUG [2024-Jan-31 23:32:06.871906] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURCHF) with spec FXVolatility/EUR/CHF/EURCHF to configuration default
DEBUG [2024-Jan-31 23:32:06.872905] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURCHF,FXVolatility/EUR/CHF/EURCHF) in configuration default
DEBUG [2024-Jan-31 23:32:06.872905] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:06.873905] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(CHFEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:06.874905] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:06.876904] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:06.877903] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:06.878902] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper CHFEUR 2017-02-05 1.17894 0.0928951
...
DEBUG [2024-Jan-31 23:32:06.885910] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:32:06.885910] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:32:06.887908] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:32:06.895903] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 3
NOTICE [2024-Jan-31 23:32:06.896903] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for JPYEUR
DEBUG [2024-Jan-31 23:32:06.897902] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:06.898891] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:06.900892] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:32:06.908897] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(JPYEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:06.910894] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:06.914884] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:06.915885] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:32:06.916885] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:06.918891] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper JPYEUR 2017-02-05 0.00796599 0.137665
...
DEBUG [2024-Jan-31 23:32:06.924888] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:32:06.925886] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:32:06.926885] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:32:06.935882] OREData/ored/model/crossassetmodelbuilder.cpp:441 : CrossAssetModelBuilder: adding correlations.
DEBUG [2024-Jan-31 23:32:06.936881] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,GBP,0}) = 0.
...
DATA [2024-Jan-31 23:32:06.944875] OREData/ored/model/crossassetmodelbuilder.cpp:450 : CAM correlation matrix:
DATA [2024-Jan-31 23:32:06.945874] OREData/ored/model/crossassetmodelbuilder.cpp:451 : | 1 0 0 0 0 0 0 0 0 |
...
DEBUG [2024-Jan-31 23:32:06.954870] OREData/ored/model/crossassetmodelbuilder.cpp:465 : IR Calibration 0
...
DEBUG [2024-Jan-31 23:32:06.958867] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:06.959866] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:06.960866] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:06.961866] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for EUR for FX calibration
...
ALERT [2024-Jan-31 23:32:06.963865] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:06.965863] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:06.965863] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for USD for FX calibration
...
ALERT [2024-Jan-31 23:32:06.967852] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:06.969861] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:06.970861] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for GBP for FX calibration
...
ALERT [2024-Jan-31 23:32:06.972859] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:06.973858] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:06.974860] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for CHF for FX calibration
...
ALERT [2024-Jan-31 23:32:06.976858] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:06.977859] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:06.978857] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for JPY for FX calibration
DEBUG [2024-Jan-31 23:32:06.979857] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 0
DEBUG [2024-Jan-31 23:32:07.015606] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX USD calibration errors:
DATA [2024-Jan-31 23:32:07.023612] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:32:07.034597] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:32:07.041594] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 2.49396e-14
DEBUG [2024-Jan-31 23:32:07.042593] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 1
DEBUG [2024-Jan-31 23:32:07.081570] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX GBP calibration errors:
DATA [2024-Jan-31 23:32:07.090562] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:32:07.100557] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:32:07.107554] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 1.04581e-13
DEBUG [2024-Jan-31 23:32:07.108553] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 2
DEBUG [2024-Jan-31 23:32:07.142534] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX CHF calibration errors:
DATA [2024-Jan-31 23:32:07.150529] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:32:07.161534] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:32:07.167521] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 1.47246e-13
DEBUG [2024-Jan-31 23:32:07.168530] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 3
DEBUG [2024-Jan-31 23:32:07.203509] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX JPY calibration errors:
DATA [2024-Jan-31 23:32:07.212504] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:32:07.222499] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:32:07.229494] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 1.12362e-13
DEBUG [2024-Jan-31 23:32:07.230494] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:07.230494] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:07.231493] OREData/ored/model/crossassetmodelbuilder.cpp:548 : Relinked discounting curve for EUR for EQ calibration
...
DEBUG [2024-Jan-31 23:32:07.244486] OREData/ored/model/crossassetmodelbuilder.cpp:619 : Relinked discounting curve for EUR for INF calibration
...
ALERT [2024-Jan-31 23:32:07.256481] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:07.258480] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:07.259479] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for EUR as final model curves
...
ALERT [2024-Jan-31 23:32:07.260478] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:07.262477] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:07.263477] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for USD as final model curves
...
ALERT [2024-Jan-31 23:32:07.265477] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:07.266475] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:07.267462] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for GBP as final model curves
...
ALERT [2024-Jan-31 23:32:07.269472] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:07.271286] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:07.272285] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for CHF as final model curves
...
ALERT [2024-Jan-31 23:32:07.273284] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:07.275284] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:07.276283] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for JPY as final model curves
DEBUG [2024-Jan-31 23:32:07.277282] OREData/ored/model/crossassetmodelbuilder.cpp:656 : Building CrossAssetModel done
NOTICE [2024-Jan-31 23:32:07.283279] OREAnalytics/orea/scenario/scenariogeneratorbuilder.cpp:48 : ScenarioGeneratorBuilder::build() called
NOTICE [2024-Jan-31 23:32:07.286278] OREAnalytics/orea/scenario/crossassetmodelscenariogenerator.cpp:42 : CrossAssetModelScenarioGenerator ctor called
DEBUG [2024-Jan-31 23:32:07.287277] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:07.288276] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(CHF-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:07.290275] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:32:07.318248] OREAnalytics/orea/scenario/crossassetmodelscenariogenerator.cpp:313 : CrossAssetModelScenarioGenerator ctor done
NOTICE [2024-Jan-31 23:32:07.319248] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:141 : simulation grid size 176
NOTICE [2024-Jan-31 23:32:07.320247] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:142 : simulation grid valuation dates 88
NOTICE [2024-Jan-31 23:32:07.321247] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:143 : simulation grid close-out dates 88
NOTICE [2024-Jan-31 23:32:07.323246] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:144 : simulation grid front date 2016-05-06
NOTICE [2024-Jan-31 23:32:07.325256] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:145 : simulation grid back date 2038-02-19
NOTICE [2024-Jan-31 23:32:07.326244] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:624 : XVA: Attach Scenario Generator to ScenarioSimMarket
NOTICE [2024-Jan-31 23:32:07.328319] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:402 : XVA: buildAmcPortfolio
NOTICE [2024-Jan-31 23:32:07.329321] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:407 : buildAmcPortfolio: Check sim dates
NOTICE [2024-Jan-31 23:32:07.330323] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:412 : buildAmcPortfolio: Register additional engine builders
NOTICE [2024-Jan-31 23:32:07.331322] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:385 : XvaAnalytic::engineFactory() called
NOTICE [2024-Jan-31 23:32:07.331322] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
DEBUG [2024-Jan-31 23:32:07.333330] OREData/ored/portfolio/enginefactory.cpp:234 : adding 6 extra engine builders
NOTICE [2024-Jan-31 23:32:07.334329] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:415 : buildAmcPortfolio: Load Portfolio
NOTICE [2024-Jan-31 23:32:07.336329] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:418 : Build Portfolio with AMC Engine factory and select amc-enabled trades
DEBUG [2024-Jan-31 23:32:07.337327] OREData/ored/portfolio/swaption.cpp:65 : Swaption::build() for BermSwp: build underlying swap
DEBUG [2024-Jan-31 23:32:07.338326] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade
DEBUG [2024-Jan-31 23:32:07.339314] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:07.340325] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:07.341324] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:07.342324] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:32:07.343323] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:32:07.346321] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
...
DEBUG [2024-Jan-31 23:32:07.356306] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:32:07.357305] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+06 EUR
DEBUG [2024-Jan-31 23:32:07.358305] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:32:07.360305] OREData/ored/portfolio/builders/swap.cpp:51 : Building AMC Swap engine for ccy EUR (from externally given CAM)
DEBUG [2024-Jan-31 23:32:07.363303] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:32:07.365312] OREData/ored/portfolio/swaption.cpp:73 : Swaption::build() for BermSwp: build exercise
DEBUG [2024-Jan-31 23:32:07.366311] OREData/ored/portfolio/optiondata.cpp:165 : Got notice date 2026-02-25 using notice period 0D, convention Unadjusted, calendar Null from exercise date February 25th, 2026
...
DEBUG [2024-Jan-31 23:32:07.379295] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:07.381292] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:07.386289] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:07.387293] OREData/ored/portfolio/swaption.cpp:156 : Swaption::build() for BermSwp: type: isCrossCcy = false, isOis = false, isBma = false, isStandard = true
DEBUG [2024-Jan-31 23:32:07.388291] OREData/ored/portfolio/swaption.cpp:381 : found ibor / ois index 'Euribor6M Actual/360'
DEBUG [2024-Jan-31 23:32:07.389294] OREData/ored/portfolio/swaption.cpp:405 : calibration strike for ex date 2026-02-25 is 0.020000 (fixed rate 0.020000, spread 0.000000)
...
DATA [2024-Jan-31 23:32:07.400283] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:32:07.401280] OREData/ored/portfolio/builders/swaption.cpp:251 : Building AMC Bermudan Swaption engine for key EUR-EURIBOR-6M, ccy EUR (from externally given CAM)
DEBUG [2024-Jan-31 23:32:07.402279] OREData/ored/portfolio/builders/swaption.cpp:259 : Build engine (configuration collateral_eur)
DEBUG [2024-Jan-31 23:32:07.403278] OREData/ored/portfolio/swaption.cpp:426 : Swaption model calibration time: 0.003171 s
DEBUG [2024-Jan-31 23:32:07.404278] OREData/ored/portfolio/swaption.cpp:563 : Added leg with start date 2026-03-02 for exercise 2026-02-25
...
DEBUG [2024-Jan-31 23:32:07.427265] OREData/ored/portfolio/swaption.cpp:449 : Building Bermudan Swaption done
DEBUG [2024-Jan-31 23:32:07.428267] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:426 : trade BermSwp is added to amc portfolio
DEBUG [2024-Jan-31 23:32:07.429265] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CC_SWAP_EUR_USD
DEBUG [2024-Jan-31 23:32:07.430264] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:07.431263] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(USD-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:07.434262] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:07.436261] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:32:07.440264] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:32:07.444255] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DEBUG [2024-Jan-31 23:32:07.448253] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:07.449253] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:07.451254] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:07.452255] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:32:07.453253] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:32:07.456249] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
...
DEBUG [2024-Jan-31 23:32:07.461247] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+08 USD
DEBUG [2024-Jan-31 23:32:07.461247] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:32:07.462246] OREData/ored/portfolio/builders/currencyswap.cpp:52 : Building multi leg option engine for ccys USD_USD_EUR_USD_EUR (from externally given CAM)
DEBUG [2024-Jan-31 23:32:07.464980] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:32:07.464980] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:426 : trade CC_SWAP_EUR_USD is added to amc portfolio
NOTICE [2024-Jan-31 23:32:07.465983] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade FX_CALL_OPTION
NOTICE [2024-Jan-31 23:32:07.466982] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to FxOption for trade FX_CALL_OPTION
DEBUG [2024-Jan-31 23:32:07.468982] OREData/ored/portfolio/builders/fxoption.cpp:45 : Building AMC FX option engine for ccys EUR_USD (from externally given CAM)
...
DEBUG [2024-Jan-31 23:32:07.471103] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_EUR
DEBUG [2024-Jan-31 23:32:07.472282] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:32:07.473292] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:32:07.475290] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
DEBUG [2024-Jan-31 23:32:07.476291] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:07.477289] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:07.479288] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:07.480287] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:32:07.480287] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:32:07.483286] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:32:07.484277] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:32:07.485286] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:32:07.486284] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:32:07.487283] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:426 : trade Swap_EUR is added to amc portfolio
DEBUG [2024-Jan-31 23:32:07.488283] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_USD
DEBUG [2024-Jan-31 23:32:07.489282] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:32:07.490282] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:32:07.492272] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
DEBUG [2024-Jan-31 23:32:07.493273] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:07.494272] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:07.496268] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:07.497267] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:32:07.498266] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:32:07.501265] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = USD
DEBUG [2024-Jan-31 23:32:07.503264] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 USD
DEBUG [2024-Jan-31 23:32:07.504263] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:32:07.506263] OREData/ored/portfolio/builders/swap.cpp:51 : Building AMC Swap engine for ccy USD (from externally given CAM)
DEBUG [2024-Jan-31 23:32:07.508261] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:32:07.510260] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:426 : trade Swap_USD is added to amc portfolio
NOTICE [2024-Jan-31 23:32:07.511260] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:432 : AMC portfolio built, size is 5
NOTICE [2024-Jan-31 23:32:07.513258] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:437 : XVA: buildAmcPortfolio completed
NOTICE [2024-Jan-31 23:32:07.514258] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:644 : AMC portfolio size 5
NOTICE [2024-Jan-31 23:32:07.515257] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:645 : Residual portfolio size 0
NOTICE [2024-Jan-31 23:32:07.516256] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:442 : XVA: amcRun
NOTICE [2024-Jan-31 23:32:07.517256] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:445 : XVA: Create asd 88 x 10000
NOTICE [2024-Jan-31 23:32:07.519255] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:169 : XVA: Set cube depth
NOTICE [2024-Jan-31 23:32:07.520254] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:171 : XVA: Cube depth set to: 2
NOTICE [2024-Jan-31 23:32:07.525393] OREAnalytics/orea/engine/amcvaluationengine.cpp:659 : Starting multi-threaded AMCValuationEngine for 5 trades, 10000 samples and 176 dates.
NOTICE [2024-Jan-31 23:32:07.527505] OREAnalytics/orea/engine/amcvaluationengine.cpp:668 : Splitting portfolio.
NOTICE [2024-Jan-31 23:32:07.528509] OREAnalytics/orea/engine/amcvaluationengine.cpp:672 : portfolio size = 5
NOTICE [2024-Jan-31 23:32:07.529507] OREAnalytics/orea/engine/amcvaluationengine.cpp:673 : nThreads = 2
NOTICE [2024-Jan-31 23:32:07.530507] OREAnalytics/orea/engine/amcvaluationengine.cpp:674 : eff nThreads = 2
NOTICE [2024-Jan-31 23:32:07.532130] OREAnalytics/orea/engine/amcvaluationengine.cpp:699 : Portfolio #0 number of trades : 3
...
NOTICE [2024-Jan-31 23:32:07.534131] OREAnalytics/orea/engine/amcvaluationengine.cpp:704 : Cloning loaders for 2 threads...
NOTICE [2024-Jan-31 23:32:07.597106] OREAnalytics/orea/engine/amcvaluationengine.cpp:711 : Build 2 mini result cubes...
NOTICE [2024-Jan-31 23:32:08.177622] OREAnalytics/orea/engine/amcvaluationengine.cpp:754 : Start thread 0
...
NOTICE [2024-Jan-31 23:32:08.178625] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
...
DATA [2024-Jan-31 23:32:08.180622] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SP5' <-> 'EQ-SP5'
DATA [2024-Jan-31 23:32:08.181622] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for EQ-SP5 (2016-01-28) value:2244.2
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DATA [2024-Jan-31 23:32:08.194628] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICP' <-> 'EUHICP'
...
DATA [2024-Jan-31 23:32:08.208084] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EU HICPXT' <-> 'EUHICPXT'
...
DATA [2024-Jan-31 23:32:08.237060] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DATA [2024-Jan-31 23:32:08.245063] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DATA [2024-Jan-31 23:32:08.769911] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
DATA [2024-Jan-31 23:32:09.422377] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
DATA [2024-Jan-31 23:32:09.948135] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
...
DATA [2024-Jan-31 23:32:09.962131] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor2W Actual/360' <-> 'EUR-EURIBOR-2W'
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DATA [2024-Jan-31 23:32:10.444677] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DATA [2024-Jan-31 23:32:10.468672] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DATA [2024-Jan-31 23:32:10.942073] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DATA [2024-Jan-31 23:32:10.977050] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
...
DATA [2024-Jan-31 23:32:11.491757] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DATA [2024-Jan-31 23:32:11.504750] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
DATA [2024-Jan-31 23:32:11.523523] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'France HICP' <-> 'FRHICP'
...
DATA [2024-Jan-31 23:32:11.543521] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ECB EUR/USD' <-> 'FX-ECB-EUR-USD'
...
DATA [2024-Jan-31 23:32:11.548518] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1Y Actual/365 (Fixed)' <-> 'GBP-LIBOR-12M'
...
DATA [2024-Jan-31 23:32:11.999061] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:32:12.046852] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1M Actual/365 (Fixed)' <-> 'GBP-LIBOR-1M'
...
DATA [2024-Jan-31 23:32:12.489483] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:32:12.540259] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DATA [2024-Jan-31 23:32:12.990113] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:32:13.053881] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:32:13.504881] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DATA [2024-Jan-31 23:32:13.576743] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
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DATA [2024-Jan-31 23:32:14.009446] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
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DATA [2024-Jan-31 23:32:14.093551] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1Y Actual/360' <-> 'JPY-LIBOR-12M'
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DATA [2024-Jan-31 23:32:14.505491] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
...
DATA [2024-Jan-31 23:32:14.594402] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1M Actual/360' <-> 'JPY-LIBOR-1M'
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DATA [2024-Jan-31 23:32:14.993926] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
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DATA [2024-Jan-31 23:32:15.104770] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
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DATA [2024-Jan-31 23:32:15.477592] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:32:15.616312] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor3M Actual/360' <-> 'JPY-LIBOR-3M'
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DATA [2024-Jan-31 23:32:15.978917] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
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DATA [2024-Jan-31 23:32:16.113672] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor6M Actual/360' <-> 'JPY-LIBOR-6M'
...
DATA [2024-Jan-31 23:32:16.456187] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
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DATA [2024-Jan-31 23:32:16.490347] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
...
DATA [2024-Jan-31 23:32:16.503339] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
...
DATA [2024-Jan-31 23:32:16.624052] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'UK RPI' <-> 'UKRPI'
...
DATA [2024-Jan-31 23:32:16.659033] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USA CPI' <-> 'USCPI'
...
DATA [2024-Jan-31 23:32:16.672025] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1Y Actual/360' <-> 'USD-LIBOR-12M'
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DATA [2024-Jan-31 23:32:16.986781] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
...
DATA [2024-Jan-31 23:32:17.183452] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
...
DATA [2024-Jan-31 23:32:17.467157] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DATA [2024-Jan-31 23:32:17.698087] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DATA [2024-Jan-31 23:32:17.951170] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:32:18.221781] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:32:18.451508] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
...
DATA [2024-Jan-31 23:32:18.732585] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
...
DATA [2024-Jan-31 23:32:18.950248] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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NOTICE [2024-Jan-31 23:32:18.966251] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 10.785791 seconds
...
NOTICE [2024-Jan-31 23:32:18.968240] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:32:18.969249] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:32:18.970248] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:32:18.971247] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:32:18.972247] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote EURCHF
...
DATA [2024-Jan-31 23:32:18.977244] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-08-07) value:0.0051005
NOTICE [2024-Jan-31 23:32:18.978234] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 7 quotes, 6 currencies.
NOTICE [2024-Jan-31 23:32:18.979243] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
...
DATA [2024-Jan-31 23:32:18.981233] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:32:18.989237] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-08-11) value:0.005183
...
DATA [2024-Jan-31 23:32:18.994223] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-08-12) value:0.005085
...
DATA [2024-Jan-31 23:32:19.018209] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-08-21) value:0.005298
...
DATA [2024-Jan-31 23:32:19.023995] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-08-24) value:0.0052455
...
DATA [2024-Jan-31 23:32:19.029989] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-08-25) value:0.005228
...
DATA [2024-Jan-31 23:32:19.078972] 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 23:32:19.098950] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-09-03) value:0.00539
...
DATA [2024-Jan-31 23:32:19.112953] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-09-04) value:0.005375
...
DATA [2024-Jan-31 23:32:19.128944] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-09-07) value:0.0054175
DATA [2024-Jan-31 23:32:19.129935] 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 23:32:19.130943] 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 23:32:19.149934] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:32:19.159915] 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 23:32:19.167921] 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 23:32:19.170920] 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 23:32:19.171919] 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 23:32:19.172919] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-09-08) value:0.00538
...
DATA [2024-Jan-31 23:32:19.179915] 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 23:32:19.180914] 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 23:32:19.183912] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:32:19.183912] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:32:19.184912] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:32:19.192908] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-09-09) value:0.00539
...
DATA [2024-Jan-31 23:32:19.209894] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-09-10) value:0.005405
...
DATA [2024-Jan-31 23:32:19.228879] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-09-11) value:0.005407
...
DATA [2024-Jan-31 23:32:19.256871] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-09-23) value:0.005268
...
DATA [2024-Jan-31 23:32:19.273855] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-09-25) value:0.005361
...
DATA [2024-Jan-31 23:32:19.297852] 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 23:32:19.303848] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-10-07) value:0.005266
...
DATA [2024-Jan-31 23:32:19.310834] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-10-08) value:0.005266
...
DATA [2024-Jan-31 23:32:19.348823] 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 23:32:19.349822] 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 23:32:19.368811] 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 23:32:19.378807] 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 23:32:19.387801] 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 23:32:19.389790] 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 23:32:19.390799] 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 23:32:19.394797] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-10-22) value:0.005284
...
DATA [2024-Jan-31 23:32:19.399794] 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 23:32:19.400793] 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 23:32:19.402782] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
NOTICE [2024-Jan-31 23:32:19.403791] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
DATA [2024-Jan-31 23:32:19.404791] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-10-23) value:0.005269
DATA [2024-Jan-31 23:32:19.405782] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:32:19.459760] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-10-26) value:0.0053165
...
DATA [2024-Jan-31 23:32:19.491935] 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 23:32:19.509925] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-11-02) value:0.0055615
...
DATA [2024-Jan-31 23:32:19.521918] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-11-04) value:0.0056065
...
DATA [2024-Jan-31 23:32:19.529884] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-11-06) value:0.005708
...
DATA [2024-Jan-31 23:32:19.549874] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-11-16) value:0.0060275
DATA [2024-Jan-31 23:32:19.550862] 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 23:32:19.551871] 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 23:32:19.568862] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-11-17) value:0.0060175
...
DATA [2024-Jan-31 23:32:19.572858] 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 23:32:19.582853] 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 23:32:19.591848] 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 23:32:19.593835] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-11-18) value:0.00606
...
DATA [2024-Jan-31 23:32:19.595834] 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 23:32:19.597845] 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 23:32:19.608838] 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 23:32:19.611828] 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 23:32:19.613835] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:32:19.614835] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
DATA [2024-Jan-31 23:32:19.615834] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DATA [2024-Jan-31 23:32:19.625829] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-11-27) value:0.006539
...
DATA [2024-Jan-31 23:32:19.658799] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-12-09) value:0.0072965
...
DATA [2024-Jan-31 23:32:19.677800] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-12-17) value:0.00795
...
DATA [2024-Jan-31 23:32:19.691780] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2015-12-22) value:0.008195
...
DATA [2024-Jan-31 23:32:19.722764] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2016-01-07) value:0.008448
...
DATA [2024-Jan-31 23:32:19.734756] 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 23:32:19.745749] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2016-01-12) value:0.008548
...
DATA [2024-Jan-31 23:32:19.777731] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-6M (2016-01-13) value:0.008597
...
DATA [2024-Jan-31 23:32:19.790532] 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 23:32:19.790532] 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 23:32:19.823513] 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)
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DATA [2024-Jan-31 23:32:19.825511] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'BMA1W Actual/Actual (ISDA)' <-> 'USD-SIFMA'
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DATA [2024-Jan-31 23:32:19.828510] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-SIFMA (2016-02-03) value:0.0049648
...
DATA [2024-Jan-31 23:32:19.835518] 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 23:32:19.844512] 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 23:32:19.846510] 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 23:32:19.847500] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
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DATA [2024-Jan-31 23:32:19.855505] 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 23:32:19.856504] 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 23:32:19.858503] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:32:19.859502] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:32:19.860493] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'South Africa CPI' <-> 'ZACPI'
DATA [2024-Jan-31 23:32:19.861493] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:32:19.894471] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for ZACPI (2015-08-01) value:115.9
...
DATA [2024-Jan-31 23:32:19.938458] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for ZACPI (2016-01-01) value:117.7
...
DATA [2024-Jan-31 23:32:19.948452] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(CHF,Yield/CHF/CHF6M) to #12 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
...
NOTICE [2024-Jan-31 23:32:19.954448] OREData/ored/marketdata/fixings.cpp:68 : Added 5452 of 5452 fixings in 11.757682 seconds
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NOTICE [2024-Jan-31 23:32:19.956436] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:32:19.957447] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:32:19.957447] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
...
NOTICE [2024-Jan-31 23:32:19.960433] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:32:19.961444] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote EURCHF
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DATA [2024-Jan-31 23:32:19.967441] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #11 IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M) to #12 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
NOTICE [2024-Jan-31 23:32:19.968429] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 7 quotes, 6 currencies.
NOTICE [2024-Jan-31 23:32:19.969440] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
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DATA [2024-Jan-31 23:32:19.978423] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DATA [2024-Jan-31 23:32:20.002410] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #24 IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) to #23 IndexCurve(USD-FedFunds,Yield/USD/USD1D)
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DATA [2024-Jan-31 23:32:20.018366] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #25 IndexCurve(USD-LIBOR-6M,Yield/USD/USD6M) to #23 IndexCurve(USD-FedFunds,Yield/USD/USD1D)
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DATA [2024-Jan-31 23:32:20.044361] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 45: FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP)
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DATA [2024-Jan-31 23:32:20.056346] 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 23:32:20.056346] 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)
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DATA [2024-Jan-31 23:32:20.060341] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 58: DefaultCurve(CPTY_C,Default/EUR/CPTY_C_SR_EUR)
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DATA [2024-Jan-31 23:32:20.074335] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 59: CDSVol(BANK,CDSVolatility/CDXIG)
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DATA [2024-Jan-31 23:32:20.090326] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #37 SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) to #23 IndexCurve(USD-FedFunds,Yield/USD/USD1D)
DATA [2024-Jan-31 23:32:20.091334] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #37 SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) to #24 IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M)
...
DATA [2024-Jan-31 23:32:20.093334] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 78: EquityCurves(FTSE,Equity/GBP/FTSE)
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DATA [2024-Jan-31 23:32:20.097331] 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 23:32:20.110324] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 85: EquityVols(SP5,EquityVolatility/USD/SP5)
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DATA [2024-Jan-31 23:32:20.118319] 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 23:32:20.130301] 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 23:32:20.138308] 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 23:32:20.141307] 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 23:32:20.141307] 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 23:32:20.144305] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #9 IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) to #11 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
...
DATA [2024-Jan-31 23:32:20.150303] 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 23:32:20.151300] 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 23:32:20.154299] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
DATA [2024-Jan-31 23:32:20.155301] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #10 IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M) to #11 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
NOTICE [2024-Jan-31 23:32:20.155301] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:32:20.156288] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
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NOTICE [2024-Jan-31 23:32:20.158288] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 1.08e+04 ms 1 1.08e+04 ms
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NOTICE [2024-Jan-31 23:32:20.164284] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 11972.3 ms
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NOTICE [2024-Jan-31 23:32:20.166282] OREData/ored/model/crossassetmodelbuilder.cpp:167 : Start building CrossAssetModel
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DEBUG [2024-Jan-31 23:32:20.168279] 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 23:32:20.169282] OREData/ored/model/crossassetmodelbuilder.cpp:212 : Defaulting to LGM measure
DEBUG [2024-Jan-31 23:32:20.170280] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 0 qualifier EUR
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DEBUG [2024-Jan-31 23:32:20.172278] 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 23:32:20.172278] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier EUR (ccy=EUR), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:32:20.173288] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:20.174288] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:20.175289] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
DATA [2024-Jan-31 23:32:20.176286] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #17 IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) to #18 IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M)
DEBUG [2024-Jan-31 23:32:20.177277] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
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DEBUG [2024-Jan-31 23:32:20.186269] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:32:20.186269] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
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DATA [2024-Jan-31 23:32:20.189270] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
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DEBUG [2024-Jan-31 23:32:20.194265] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
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DEBUG [2024-Jan-31 23:32:20.203260] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
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DEBUG [2024-Jan-31 23:32:20.213255] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
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DEBUG [2024-Jan-31 23:32:20.216253] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:20.217255] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration collateral_inccy
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DEBUG [2024-Jan-31 23:32:20.221253] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration collateral_inccy
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DEBUG [2024-Jan-31 23:32:20.223251] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:20.224247] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_inccy'
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DATA [2024-Jan-31 23:32:20.228247] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
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DATA [2024-Jan-31 23:32:20.230247] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
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DATA [2024-Jan-31 23:32:20.242240] 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)
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DATA [2024-Jan-31 23:32:20.244236] 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)
DEBUG [2024-Jan-31 23:32:20.245237] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration collateral_inccy
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DATA [2024-Jan-31 23:32:20.248236] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:32:20.249234] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration collateral_inccy
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DATA [2024-Jan-31 23:32:20.251232] 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)
DEBUG [2024-Jan-31 23:32:20.252232] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
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DEBUG [2024-Jan-31 23:32:20.254231] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR3M
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DEBUG [2024-Jan-31 23:32:20.256232] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
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DEBUG [2024-Jan-31 23:32:20.259229] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
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DATA [2024-Jan-31 23:32:20.262228] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
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DATA [2024-Jan-31 23:32:20.268224] 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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DEBUG [2024-Jan-31 23:32:20.280298] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-3M-FRA-CONVENTIONS"
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DATA [2024-Jan-31 23:32:20.287295] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #36 SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) to #23 IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M)
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DATA [2024-Jan-31 23:32:20.292291] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
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DEBUG [2024-Jan-31 23:32:20.300287] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-3M-SWAP-CONVENTIONS"
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DATA [2024-Jan-31 23:32:20.316278] 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 23:32:20.337267] 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 23:32:20.344262] 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)
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DATA [2024-Jan-31 23:32:20.347260] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
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DEBUG [2024-Jan-31 23:32:20.355255] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
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DATA [2024-Jan-31 23:32:20.367248] 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 23:32:20.369247] 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)
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DEBUG [2024-Jan-31 23:32:20.373244] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:32:20.382240] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration collateral_inccy
DATA [2024-Jan-31 23:32:20.384238] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF1D)
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DEBUG [2024-Jan-31 23:32:20.390235] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR3M built
DEBUG [2024-Jan-31 23:32:20.391234] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:20.393233] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration collateral_inccy
DATA [2024-Jan-31 23:32:20.396232] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DATA [2024-Jan-31 23:32:20.398230] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 2: DiscountCurve(GBP,Yield/GBP/GBP1D)
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DEBUG [2024-Jan-31 23:32:20.405227] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration collateral_inccy
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DATA [2024-Jan-31 23:32:20.408225] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
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DEBUG [2024-Jan-31 23:32:20.418220] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:20.419219] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
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DATA [2024-Jan-31 23:32:20.425216] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
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DEBUG [2024-Jan-31 23:32:20.431212] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-1Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:32:20.432211] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-1Y,EUR-EONIA) in configuration collateral_inccy
DATA [2024-Jan-31 23:32:20.435210] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 9: IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
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DEBUG [2024-Jan-31 23:32:20.439207] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
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DEBUG [2024-Jan-31 23:32:20.443205] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:32:20.445205] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
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DEBUG [2024-Jan-31 23:32:20.448202] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
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DATA [2024-Jan-31 23:32:20.451200] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DEBUG [2024-Jan-31 23:32:20.454198] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
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DEBUG [2024-Jan-31 23:32:20.458199] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
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DATA [2024-Jan-31 23:32:20.462195] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DEBUG [2024-Jan-31 23:32:20.517432] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
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DEBUG [2024-Jan-31 23:32:20.535421] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:32:20.537552] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:20.539553] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration collateral_inccy
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DATA [2024-Jan-31 23:32:20.541550] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DEBUG [2024-Jan-31 23:32:20.549545] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration collateral_inccy
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DATA [2024-Jan-31 23:32:20.552545] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
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DEBUG [2024-Jan-31 23:32:20.554543] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:20.555541] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
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DATA [2024-Jan-31 23:32:20.564536] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
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DEBUG [2024-Jan-31 23:32:20.576529] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
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DEBUG [2024-Jan-31 23:32:20.578529] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration collateral_inccy
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DEBUG [2024-Jan-31 23:32:20.582525] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (EUR) for asof February 5th, 2016
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NOTICE [2024-Jan-31 23:32:20.585524] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
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DATA [2024-Jan-31 23:32:20.588522] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
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DATA [2024-Jan-31 23:32:20.592519] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 |
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NOTICE [2024-Jan-31 23:32:20.609510] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config EUR_SW_N
DATA [2024-Jan-31 23:32:20.610510] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 65: CapFloorVol(GBP,CapFloorVolatility/GBP/GBP_CF_N)
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DEBUG [2024-Jan-31 23:32:20.612509] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration collateral_inccy
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DEBUG [2024-Jan-31 23:32:20.614509] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(EUR,SwaptionVolatility/EUR/EUR_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:20.615506] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
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DEBUG [2024-Jan-31 23:32:20.617507] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_inccy'
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DEBUG [2024-Jan-31 23:32:20.619506] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
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DEBUG [2024-Jan-31 23:32:20.630498] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
DEBUG [2024-Jan-31 23:32:20.631499] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
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DEBUG [2024-Jan-31 23:32:20.634496] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:20.635496] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
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DEBUG [2024-Jan-31 23:32:20.640493] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.002, index=Euribor6M Actual/360, strike=3.40282e+38, shift=0
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DATA [2024-Jan-31 23:32:20.676472] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #5 YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) to #1 DiscountCurve(EUR,Yield/EUR/EUR1D)
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DEBUG [2024-Jan-31 23:32:20.686466] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
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DEBUG [2024-Jan-31 23:32:20.688466] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:20.690464] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:20.692463] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for EUR: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:20.693463] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:20.695462] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:20.697460] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR currency EUR
DATA [2024-Jan-31 23:32:20.699459] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #10 IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M) to #0 DiscountCurve(CHF,Yield/CHF/CHF1D)
DEBUG [2024-Jan-31 23:32:20.700459] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
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DATA [2024-Jan-31 23:32:20.721446] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR calibration errors:
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DATA [2024-Jan-31 23:32:20.724445] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:20.725444] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:20.727443] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
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DATA [2024-Jan-31 23:32:20.737437] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
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DATA [2024-Jan-31 23:32:20.746432] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #64 CapFloorVol(EUR,CapFloorVolatility/EUR/EUR_CF_N) to #1 DiscountCurve(EUR,Yield/EUR/EUR1D)
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DATA [2024-Jan-31 23:32:20.752428] OREData/ored/model/lgmbuilder.cpp:391 : 3 6.01096 14 0.02 0.02 10.7106 10.4761 0.005
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DATA [2024-Jan-31 23:32:20.759423] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #68 ZeroInflationCurve(EUHICPXT,Inflation/EUHICPXT/EUHICPXT_ZC_Swaps) to #1 DiscountCurve(EUR,Yield/EUR/EUR1D)
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DATA [2024-Jan-31 23:32:20.764422] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
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DATA [2024-Jan-31 23:32:20.773417] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
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DATA [2024-Jan-31 23:32:20.790402] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:32:20.791402] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #76 ZeroInflationCapFloorVol(USCPI,InflationCapFloorVolatility/USCPI/USCPI_ZC_CF) to #71 ZeroInflationCurve(USCPI,Inflation/USCPI/USCPI_ZC_Swaps)
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DATA [2024-Jan-31 23:32:20.798398] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
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DATA [2024-Jan-31 23:32:20.809392] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #80 EquityCurves(SP5,Equity/USD/SP5) to #4 DiscountCurve(USD,Yield/USD/USD1D)
DATA [2024-Jan-31 23:32:20.810392] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.09294e-15
DEBUG [2024-Jan-31 23:32:20.811391] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
...
DEBUG [2024-Jan-31 23:32:20.813389] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the EUR LGM model
...
DEBUG [2024-Jan-31 23:32:20.814389] 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 23:32:20.815388] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 1 qualifier USD
DATA [2024-Jan-31 23:32:20.816387] 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 23:32:20.817388] 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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NOTICE [2024-Jan-31 23:32:20.819387] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier USD (ccy=USD), configuration is collateral_inccy
...
DEBUG [2024-Jan-31 23:32:20.821386] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:20.822384] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
...
DATA [2024-Jan-31 23:32:20.824385] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #4: DiscountCurve(USD,Yield/USD/USD1D) (not yet built)
DATA [2024-Jan-31 23:32:20.825383] 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)
DEBUG [2024-Jan-31 23:32:20.826383] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
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DEBUG [2024-Jan-31 23:32:20.828382] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD1D
DEBUG [2024-Jan-31 23:32:20.829380] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-FED-FUNDS-CONVENTIONS"
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DATA [2024-Jan-31 23:32:20.832379] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
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DEBUG [2024-Jan-31 23:32:20.836376] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS-CONVENTIONS"
...
DATA [2024-Jan-31 23:32:20.839375] 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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DEBUG [2024-Jan-31 23:32:20.842374] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
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DATA [2024-Jan-31 23:32:20.849369] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #38 FXSpot(EURCHF,FX/EUR/CHF) to #0 DiscountCurve(CHF,Yield/CHF/CHF1D)
DEBUG [2024-Jan-31 23:32:20.850369] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD1D built
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DEBUG [2024-Jan-31 23:32:20.853368] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:20.854367] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD1D to configuration collateral_inccy
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DEBUG [2024-Jan-31 23:32:20.856366] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:20.857365] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:20.857365] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_inccy'
...
DATA [2024-Jan-31 23:32:20.860364] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:20.861362] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (not yet built)
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DATA [2024-Jan-31 23:32:20.866360] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #41 FXSpot(EURUSD,FX/EUR/USD) to #1 DiscountCurve(EUR,Yield/EUR/EUR1D)
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DEBUG [2024-Jan-31 23:32:20.868358] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration collateral_inccy
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DATA [2024-Jan-31 23:32:20.870357] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
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DEBUG [2024-Jan-31 23:32:20.873356] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:20.874356] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DATA [2024-Jan-31 23:32:20.875355] 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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DEBUG [2024-Jan-31 23:32:20.876355] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD3M
DEBUG [2024-Jan-31 23:32:20.878353] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:20.880352] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
...
DATA [2024-Jan-31 23:32:20.883352] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
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DEBUG [2024-Jan-31 23:32:20.886350] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
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DATA [2024-Jan-31 23:32:20.888349] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1M Actual/360' <-> 'USD-LIBOR-1M'
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DATA [2024-Jan-31 23:32:20.891345] 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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DEBUG [2024-Jan-31 23:32:20.896343] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:32:20.897342] 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 23:32:20.898344] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DATA [2024-Jan-31 23:32:20.899340] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #83 EquityVols(FTSE,EquityVolatility/GBP/FTSE) to #78 EquityCurves(FTSE,Equity/GBP/FTSE)
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DEBUG [2024-Jan-31 23:32:20.901342] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA-CONVENTIONS"
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DATA [2024-Jan-31 23:32:20.903341] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:32:20.913335] 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)
DEBUG [2024-Jan-31 23:32:20.914332] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-3M-SWAP-CONVENTIONS"
DATA [2024-Jan-31 23:32:20.915331] 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)
...
DATA [2024-Jan-31 23:32:20.917333] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:20.920331] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 109 edges.
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NOTICE [2024-Jan-31 23:32:20.921330] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_eur
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DATA [2024-Jan-31 23:32:20.925326] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR)
...
DATA [2024-Jan-31 23:32:20.944325] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:20.959309] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 22 instruments
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DEBUG [2024-Jan-31 23:32:20.980294] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD3M built
DEBUG [2024-Jan-31 23:32:20.981295] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD3M" to requiredYieldCurves map
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DEBUG [2024-Jan-31 23:32:20.983295] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD3M to configuration collateral_inccy
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DATA [2024-Jan-31 23:32:20.986291] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:20.988291] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration collateral_inccy
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DATA [2024-Jan-31 23:32:20.991292] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:32:20.993289] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:20.994286] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:20.999286] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:21.005283] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-1Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:32:21.006279] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) in configuration collateral_inccy
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DATA [2024-Jan-31 23:32:21.008282] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:32:21.011277] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:21.012289] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:21.021270] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:21.030266] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-30Y with DiscountingIndex USD-FedFunds
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DEBUG [2024-Jan-31 23:32:21.032534] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-30Y,USD-FedFunds) in configuration collateral_inccy
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DEBUG [2024-Jan-31 23:32:21.037532] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (USD) for asof February 5th, 2016
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NOTICE [2024-Jan-31 23:32:21.040529] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
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DATA [2024-Jan-31 23:32:21.042529] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
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DATA [2024-Jan-31 23:32:21.045527] 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 |
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DATA [2024-Jan-31 23:32:21.053522] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 70: ZeroInflationCurve(UKRPI,Inflation/UKRPI/UKRPI_ZC_Swaps)
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NOTICE [2024-Jan-31 23:32:21.061518] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config USD_SW_N
DATA [2024-Jan-31 23:32:21.062516] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 71: ZeroInflationCurve(USCPI,Inflation/USCPI/USCPI_ZC_Swaps)
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DEBUG [2024-Jan-31 23:32:21.064517] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (USD) with spec SwaptionVolatility/USD/USD_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:21.065515] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(USD,SwaptionVolatility/USD/USD_SW_N) in configuration collateral_inccy
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DEBUG [2024-Jan-31 23:32:21.066514] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 5, error: 0
DEBUG [2024-Jan-31 23:32:21.067518] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:21.068515] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
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DATA [2024-Jan-31 23:32:21.073512] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 75: ZeroInflationCapFloorVol(UKRPI,InflationCapFloorVolatility/UKRPI/UKRPI_ZC_CF)
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DEBUG [2024-Jan-31 23:32:21.077508] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
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DEBUG [2024-Jan-31 23:32:21.079508] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_inccy'
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DEBUG [2024-Jan-31 23:32:21.082507] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
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DEBUG [2024-Jan-31 23:32:21.086504] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.1, index=USDLibor3M Actual/360, strike=3.40282e+38, shift=0
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DEBUG [2024-Jan-31 23:32:21.096499] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 4Y and term 16Y: vol=0.1, index=USDLibor3M Actual/360, strike=3.40282e+38, shift=0
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DEBUG [2024-Jan-31 23:32:21.103493] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 6Y and term 14Y: vol=0.1, index=USDLibor3M Actual/360, strike=3.40282e+38, shift=0
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DATA [2024-Jan-31 23:32:21.105493] 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 23:32:21.126481] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
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DEBUG [2024-Jan-31 23:32:21.128480] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:21.129478] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
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DEBUG [2024-Jan-31 23:32:21.131477] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for USD: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:21.132477] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:21.133476] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
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DEBUG [2024-Jan-31 23:32:21.134477] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier USD currency USD
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DEBUG [2024-Jan-31 23:32:21.137473] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
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DATA [2024-Jan-31 23:32:21.157464] OREData/ored/model/lgmbuilder.cpp:377 : LGM USD calibration errors:
...
DATA [2024-Jan-31 23:32:21.158463] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
...
DEBUG [2024-Jan-31 23:32:21.160462] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:21.162461] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:21.168456] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
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DATA [2024-Jan-31 23:32:21.177451] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #75 ZeroInflationCapFloorVol(UKRPI,InflationCapFloorVolatility/UKRPI/UKRPI_ZC_CF) to #70 ZeroInflationCurve(UKRPI,Inflation/UKRPI/UKRPI_ZC_Swaps)
...
DATA [2024-Jan-31 23:32:21.179450] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
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DATA [2024-Jan-31 23:32:21.185447] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
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DATA [2024-Jan-31 23:32:21.197439] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:32:21.197439] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #80 EquityCurves(SP5,Equity/USD/SP5) to #22 IndexCurve(USD-FedFunds,Yield/USD/USD1D)
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DATA [2024-Jan-31 23:32:21.202437] 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 23:32:21.203437] 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 23:32:21.206434] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:21.221426] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #28 SwapIndexCurve(EUR-CMS-10Y,EUR-EONIA) to #12 IndexCurve(EUR-EONIA,Yield/EUR/EUR1D)
DATA [2024-Jan-31 23:32:21.222425] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 2.71714e-14
DATA [2024-Jan-31 23:32:21.223425] 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)
DEBUG [2024-Jan-31 23:32:21.224424] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
...
DEBUG [2024-Jan-31 23:32:21.227423] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the USD LGM model
...
DEBUG [2024-Jan-31 23:32:21.230421] 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 23:32:21.231420] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 2 qualifier GBP
DATA [2024-Jan-31 23:32:21.232420] OREData/ored/marketdata/dependencygraph.cpp:246 : add edge from vertex #30 SwapIndexCurve(EUR-CMS-2Y,EUR-EONIA) to #12 IndexCurve(EUR-EONIA,Yield/EUR/EUR1D)
...
NOTICE [2024-Jan-31 23:32:21.236418] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier GBP (ccy=GBP), configuration is collateral_inccy
...
DEBUG [2024-Jan-31 23:32:21.238418] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:21.240415] OREData/ored/marketdata/dependencygraph.cpp:252 : add edge from vertex #31 SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) to #16 IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M)
DATA [2024-Jan-31 23:32:21.241415] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:21.242414] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: DiscountCurve(GBP,Yield/GBP/GBP1D) (not yet built)
...
DATA [2024-Jan-31 23:32:21.245413] 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)
DEBUG [2024-Jan-31 23:32:21.246412] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
...
DEBUG [2024-Jan-31 23:32:21.248411] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP1D
DEBUG [2024-Jan-31 23:32:21.249411] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "GBP-OIS-CONVENTIONS"
DATA [2024-Jan-31 23:32:21.251409] 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 23:32:21.252409] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DATA [2024-Jan-31 23:32:21.253408] 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)
...
DEBUG [2024-Jan-31 23:32:21.261404] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
...
DATA [2024-Jan-31 23:32:21.267400] 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)
...
DEBUG [2024-Jan-31 23:32:21.280313] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP1D built
...
DEBUG [2024-Jan-31 23:32:21.283312] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP1D" to requiredYieldCurves map
...
DEBUG [2024-Jan-31 23:32:21.285310] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP1D to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:21.287308] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP1D) in configuration collateral_inccy
DATA [2024-Jan-31 23:32:21.289308] 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)
DEBUG [2024-Jan-31 23:32:21.290306] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
...
DEBUG [2024-Jan-31 23:32:21.292305] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:21.293305] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
...
DATA [2024-Jan-31 23:32:21.296303] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: DiscountCurve(GBP,Yield/GBP/GBP1D) (already built)
...
DEBUG [2024-Jan-31 23:32:21.309296] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
...
DEBUG [2024-Jan-31 23:32:21.312294] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP6M
...
DEBUG [2024-Jan-31 23:32:21.315294] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
...
DEBUG [2024-Jan-31 23:32:21.317291] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
...
DATA [2024-Jan-31 23:32:21.320289] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
DATA [2024-Jan-31 23:32:21.321289] 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 23:32:21.330283] 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 23:32:21.333283] 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 23:32:21.337279] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:21.341277] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
...
DATA [2024-Jan-31 23:32:21.344275] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:21.347274] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "GBP-6M-FRA"
...
DATA [2024-Jan-31 23:32:21.350273] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DATA [2024-Jan-31 23:32:21.352271] 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 23:32:21.355270] 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 23:32:21.363265] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:32:21.365263] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration xois_usd
...
DATA [2024-Jan-31 23:32:21.367264] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF-IN-USD)
...
DEBUG [2024-Jan-31 23:32:21.371259] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "GBP-6M-SWAP-CONVENTIONS"
...
DATA [2024-Jan-31 23:32:21.373260] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:21.408240] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 26 instruments
...
DEBUG [2024-Jan-31 23:32:21.422230] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP6M built
...
DEBUG [2024-Jan-31 23:32:21.425230] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP6M" to requiredYieldCurves map
...
DEBUG [2024-Jan-31 23:32:21.426229] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration collateral_inccy
...
DATA [2024-Jan-31 23:32:21.429226] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:21.431227] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:21.432226] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
...
DEBUG [2024-Jan-31 23:32:21.441221] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP3M
DEBUG [2024-Jan-31 23:32:21.442220] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
...
DEBUG [2024-Jan-31 23:32:21.458210] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
...
DATA [2024-Jan-31 23:32:21.461211] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:21.463209] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
...
DATA [2024-Jan-31 23:32:21.469205] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor2M Actual/365 (Fixed)' <-> 'GBP-LIBOR-2M'
...
DEBUG [2024-Jan-31 23:32:21.471370] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
...
DATA [2024-Jan-31 23:32:21.474369] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:21.476369] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "GBP-LIBOR-3M-6M-BASIS-CONVENTIONS"
...
DATA [2024-Jan-31 23:32:21.486361] 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 23:32:21.505352] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DATA [2024-Jan-31 23:32:21.520345] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:21.537289] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 19 instruments
DATA [2024-Jan-31 23:32:21.538287] 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 23:32:21.539287] 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 23:32:21.563273] 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 23:32:21.575268] 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)
...
DEBUG [2024-Jan-31 23:32:21.577267] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP3M built
DEBUG [2024-Jan-31 23:32:21.578267] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:21.579266] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-3M) with spec Yield/GBP/GBP3M to configuration collateral_inccy
...
DATA [2024-Jan-31 23:32:21.581264] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:21.582264] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) in configuration collateral_inccy
...
DATA [2024-Jan-31 23:32:21.588258] 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 23:32:21.591256] 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 23:32:21.591256] 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 23:32:21.599252] 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)
DEBUG [2024-Jan-31 23:32:21.600253] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-SONIA) with spec Yield/GBP/GBP1D to configuration collateral_inccy
DATA [2024-Jan-31 23:32:21.601251] 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)
...
DATA [2024-Jan-31 23:32:21.603251] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:32:21.604249] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:21.605250] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 95 vertices, 119 edges.
NOTICE [2024-Jan-31 23:32:21.606249] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration libor
DATA [2024-Jan-31 23:32:21.607249] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:32:21.608247] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:21.609246] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:21.611245] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(CHF,Yield/CHF/CHF6M)
...
DATA [2024-Jan-31 23:32:21.616244] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:21.622239] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-1Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:32:21.623238] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-1Y,GBP-SONIA) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:21.625237] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:21.626236] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:21.629235] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 10: IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M)
...
DATA [2024-Jan-31 23:32:21.631235] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:21.637230] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-30Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:32:21.638230] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:21.640230] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (GBP) for asof February 5th, 2016
...
NOTICE [2024-Jan-31 23:32:21.642229] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
...
DATA [2024-Jan-31 23:32:21.646236] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
...
DATA [2024-Jan-31 23:32:21.661228] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.468006 0.642861 0.802119 0.878475 0.880872 0.756155 0.642449 0.545265 0.512265 0.519984 0.519112 |
...
NOTICE [2024-Jan-31 23:32:21.673221] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config GBP_SW_N
DEBUG [2024-Jan-31 23:32:21.674218] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (GBP) with spec SwaptionVolatility/GBP/GBP_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:21.674218] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(GBP,SwaptionVolatility/GBP/GBP_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:21.675210] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:32:21.676219] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:21.677219] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:21.680207] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 39: FXSpot(EURCHF,FX/EUR/CHF)
...
DEBUG [2024-Jan-31 23:32:21.691202] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:32:21.693201] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DATA [2024-Jan-31 23:32:21.694200] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 42: FXSpot(EURUSD,FX/EUR/USD)
...
DEBUG [2024-Jan-31 23:32:21.726190] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.1, index=GBPLibor6M Actual/365 (Fixed), strike=3.40282e+38, shift=0
...
DATA [2024-Jan-31 23:32:21.748178] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(CHF,Yield/CHF/CHF6M) to #12 IndexCurve(CHF-TOIS,Yield/CHF/CHF1D)
...
DEBUG [2024-Jan-31 23:32:21.776087] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 14Y and term 6Y: vol=0.1, index=GBPLibor6M Actual/365 (Fixed), strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:32:21.794076] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 16Y and term 4Y: vol=0.1, index=GBPLibor6M Actual/365 (Fixed), strike=3.40282e+38, shift=0
DATA [2024-Jan-31 23:32:21.795073] 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 23:32:21.796078] 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)
...
DEBUG [2024-Jan-31 23:32:21.807065] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 18Y and term 2Y: vol=0.1, index=GBPLibor6M Actual/365 (Fixed), strike=3.40282e+38, shift=0
...
DATA [2024-Jan-31 23:32:21.816072] 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 23:32:21.826056] 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)
...
DEBUG [2024-Jan-31 23:32:21.828065] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 19Y and term 1Y: vol=0.1, index=GBPLibor3M Actual/365 (Fixed), strike=3.40282e+38, shift=0
DEBUG [2024-Jan-31 23:32:21.829053] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
...
DATA [2024-Jan-31 23:32:21.837060] 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 23:32:21.839049] 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 23:32:21.840058] 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 23:32:21.848053] 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 23:32:21.849052] 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 23:32:21.851042] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 96 vertices, 115 edges.
DEBUG [2024-Jan-31 23:32:21.852051] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:21.853039] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:21.854039] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for GBP: IrLgm1fPiecewiseConstant
NOTICE [2024-Jan-31 23:32:21.855038] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:32:21.856049] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:32:21.857048] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 1.18e+04 ms 1 1.18e+04 ms
...
NOTICE [2024-Jan-31 23:32:21.860046] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 13668.8 ms
DEBUG [2024-Jan-31 23:32:21.861046] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:21.862034] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
NOTICE [2024-Jan-31 23:32:21.863034] OREData/ored/model/crossassetmodelbuilder.cpp:167 : Start building CrossAssetModel
DEBUG [2024-Jan-31 23:32:21.864044] 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 23:32:21.864044] OREData/ored/model/crossassetmodelbuilder.cpp:212 : Defaulting to LGM measure
DEBUG [2024-Jan-31 23:32:21.865043] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 0 qualifier EUR
DEBUG [2024-Jan-31 23:32:21.866043] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier GBP currency GBP
DEBUG [2024-Jan-31 23:32:21.867031] 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 23:32:21.868042] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier EUR (ccy=EUR), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:32:21.869041] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:21.870042] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:21.871039] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:32:21.872028] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DEBUG [2024-Jan-31 23:32:21.872028] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:21.873028] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR1D
DEBUG [2024-Jan-31 23:32:21.874027] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EONIA-CONVENTIONS"
DATA [2024-Jan-31 23:32:21.875027] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
...
DEBUG [2024-Jan-31 23:32:21.877026] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-OIS-CONVENTIONS"
...
DATA [2024-Jan-31 23:32:21.880024] OREData/ored/model/lgmbuilder.cpp:377 : LGM GBP calibration errors:
DATA [2024-Jan-31 23:32:21.881023] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:21.882023] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:21.883022] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:21.884022] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 32 instruments
DATA [2024-Jan-31 23:32:21.886023] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:32:21.896018] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DEBUG [2024-Jan-31 23:32:21.897017] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR1D built
DEBUG [2024-Jan-31 23:32:21.898016] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:21.899015] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:21.900015] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:21.900015] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:21.901023] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:21.902023] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:21.903022] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:32:21.909019] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration collateral_inccy
DATA [2024-Jan-31 23:32:21.910018] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:21.921003] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:32:21.922002] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:32:21.922002] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:21.923001] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:21.924002] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR3M
DEBUG [2024-Jan-31 23:32:21.925000] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-EURIBOR-CONVENTIONS"
DATA [2024-Jan-31 23:32:21.926009] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:21.936993] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.13941e-14
DEBUG [2024-Jan-31 23:32:21.938002] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:32:21.939001] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the GBP LGM model
DEBUG [2024-Jan-31 23:32:21.940001] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
...
DEBUG [2024-Jan-31 23:32:21.942000] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 3 qualifier CHF
DATA [2024-Jan-31 23:32:21.942000] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1W Actual/360' <-> 'EUR-EURIBOR-1W'
...
NOTICE [2024-Jan-31 23:32:21.943999] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier CHF (ccy=CHF), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:32:21.944997] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:21.945997] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:21.946997] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (not yet built)
DEBUG [2024-Jan-31 23:32:21.947996] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:21.948991] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DEBUG [2024-Jan-31 23:32:21.948991] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF1D
DEBUG [2024-Jan-31 23:32:21.949986] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-TOIS-CONVENTIONS"
DATA [2024-Jan-31 23:32:21.950995] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor1M Actual/360' <-> 'EUR-EURIBOR-1M'
...
DEBUG [2024-Jan-31 23:32:21.952993] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
...
DEBUG [2024-Jan-31 23:32:21.954993] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "CHF-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:21.956992] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
...
DEBUG [2024-Jan-31 23:32:21.958982] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:21.959981] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
...
DEBUG [2024-Jan-31 23:32:21.965978] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF1D built
DEBUG [2024-Jan-31 23:32:21.966986] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:21.967985] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:21.968985] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:21.968985] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:21.969974] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:21.970983] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:21.971982] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:32:21.977979] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DATA [2024-Jan-31 23:32:21.978971] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
DEBUG [2024-Jan-31 23:32:21.979970] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF3M
DEBUG [2024-Jan-31 23:32:21.980978] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:21.981970] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
...
DEBUG [2024-Jan-31 23:32:21.984976] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:21.991971] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:21.992971] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-3M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:22.014947] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
...
DEBUG [2024-Jan-31 23:32:22.024941] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF3M built
DEBUG [2024-Jan-31 23:32:22.025940] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:22.026940] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-3M) with spec Yield/CHF/CHF3M to configuration collateral_inccy
DATA [2024-Jan-31 23:32:22.027939] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:22.029088] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:22.033088] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.034087] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:22.037085] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR3M built
DEBUG [2024-Jan-31 23:32:22.038094] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:22.039093] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration collateral_inccy
DATA [2024-Jan-31 23:32:22.039093] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:22.041092] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-3M,Yield/EUR/EUR3M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:22.044090] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.045089] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:22.048088] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLiborSwapIsdaFix1Y 30/360 (US)' <-> 'CHF-CMS-1Y'
...
DEBUG [2024-Jan-31 23:32:22.049079] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-1Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:32:22.050078] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:22.055084] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
...
DEBUG [2024-Jan-31 23:32:22.056075] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF6M
DEBUG [2024-Jan-31 23:32:22.057074] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:22.060070] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
...
DATA [2024-Jan-31 23:32:22.062069] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:22.065078] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:22.066069] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:22.068068] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
...
DEBUG [2024-Jan-31 23:32:22.086058] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-6M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:22.091064] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
...
DEBUG [2024-Jan-31 23:32:22.096061] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:22.102046] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:32:22.103045] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:22.104056] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:22.106046] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:22.109045] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.110053] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:22.113042] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:22.118037] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex EUR-CMS-30Y with DiscountingIndex EUR-EONIA
DEBUG [2024-Jan-31 23:32:22.119047] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(EUR-CMS-30Y,EUR-EONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.120047] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (EUR) for asof February 5th, 2016
...
NOTICE [2024-Jan-31 23:32:22.122034] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
...
DATA [2024-Jan-31 23:32:22.124033] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
...
DATA [2024-Jan-31 23:32:22.126032] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 0.005 |
...
NOTICE [2024-Jan-31 23:32:22.137037] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config EUR_SW_N
DEBUG [2024-Jan-31 23:32:22.138036] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (EUR) with spec SwaptionVolatility/EUR/EUR_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.139036] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(EUR,SwaptionVolatility/EUR/EUR_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.140035] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:32:22.141035] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(EUR) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.142034] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:22.148031] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:32:22.150029] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DATA [2024-Jan-31 23:32:22.151029] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DEBUG [2024-Jan-31 23:32:22.152017] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.002, index=Euribor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:32:22.157026] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
...
DEBUG [2024-Jan-31 23:32:22.165021] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF6M built
DEBUG [2024-Jan-31 23:32:22.166009] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF6M" to requiredYieldCurves map
...
DEBUG [2024-Jan-31 23:32:22.167020] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-6M) with spec Yield/CHF/CHF6M to configuration collateral_inccy
...
DATA [2024-Jan-31 23:32:22.169019] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DEBUG [2024-Jan-31 23:32:22.170007] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:22.172017] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
...
DEBUG [2024-Jan-31 23:32:22.174004] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:22.174004] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:22.175015] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for EUR: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:22.176015] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:22.177014] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:22.178013] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier EUR currency EUR
DEBUG [2024-Jan-31 23:32:22.179002] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.180001] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:22.180001] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
...
DATA [2024-Jan-31 23:32:22.182999] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:22.185997] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-30Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:32:22.185997] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-30Y,CHF-TOIS) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.187997] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (CHF) for asof February 5th, 2016
NOTICE [2024-Jan-31 23:32:22.188996] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
DATA [2024-Jan-31 23:32:22.189995] OREData/ored/model/lgmbuilder.cpp:377 : LGM EUR calibration errors:
DATA [2024-Jan-31 23:32:22.191008] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DATA [2024-Jan-31 23:32:22.191994] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:22.193005] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.193005] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:22.194006] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.007529 0.007587 0.007603 0.006725 0.005853 0.005456 0.006673 0.007006 0.007346 0.007336 0.007335 |
...
NOTICE [2024-Jan-31 23:32:22.205986] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config CHF_SW_N
DEBUG [2024-Jan-31 23:32:22.206985] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (CHF) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration collateral_inccy
DATA [2024-Jan-31 23:32:22.207985] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:32:22.217980] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DEBUG [2024-Jan-31 23:32:22.218979] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.219979] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:32:22.221977] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.222976] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:22.229973] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:22.240967] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DEBUG [2024-Jan-31 23:32:22.241966] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
DEBUG [2024-Jan-31 23:32:22.242965] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.242965] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:22.243964] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DATA [2024-Jan-31 23:32:22.244964] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:22.255959] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.09294e-15
DEBUG [2024-Jan-31 23:32:22.256958] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
DEBUG [2024-Jan-31 23:32:22.257957] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:32:22.258957] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the EUR LGM model
...
DEBUG [2024-Jan-31 23:32:22.259957] 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 23:32:22.260956] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 1 qualifier USD
...
NOTICE [2024-Jan-31 23:32:22.263954] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier USD (ccy=USD), configuration is collateral_inccy
...
DEBUG [2024-Jan-31 23:32:22.265953] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:22.266954] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
...
DATA [2024-Jan-31 23:32:22.268768] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #4: DiscountCurve(USD,Yield/USD/USD1D) (not yet built)
DEBUG [2024-Jan-31 23:32:22.269759] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
...
DEBUG [2024-Jan-31 23:32:22.270758] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD1D
DEBUG [2024-Jan-31 23:32:22.271757] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-FED-FUNDS-CONVENTIONS"
...
DATA [2024-Jan-31 23:32:22.273765] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:32:22.276763] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:22.281752] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:32:22.282749] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:32:22.283759] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:22.284747] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:22.285747] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for CHF: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:22.286746] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:22.286746] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:22.287745] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier CHF currency CHF
DEBUG [2024-Jan-31 23:32:22.288745] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD1D built
DEBUG [2024-Jan-31 23:32:22.289756] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:22.290755] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.291754] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.291754] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:22.292754] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:22.293753] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:22.294753] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (not yet built)
...
DEBUG [2024-Jan-31 23:32:22.299750] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-FedFunds) with spec Yield/USD/USD1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.300750] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:32:22.301740] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:32:22.302740] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-FedFunds,Yield/USD/USD1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.303739] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:22.304738] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD3M
DEBUG [2024-Jan-31 23:32:22.304738] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:22.305738] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:32:22.306737] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DATA [2024-Jan-31 23:32:22.310735] OREData/ored/model/lgmbuilder.cpp:377 : LGM CHF calibration errors:
...
DATA [2024-Jan-31 23:32:22.312744] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:22.313733] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.314731] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:22.315733] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:32:22.316730] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:22.318728] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA-CONVENTIONS"
DATA [2024-Jan-31 23:32:22.319727] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:32:22.330724] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:32:22.331723] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:22.334721] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-3M-SWAP-CONVENTIONS"
DATA [2024-Jan-31 23:32:22.335730] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:22.346723] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:32:22.347722] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:32:22.350712] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:22.361705] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 1.41748e-13
DEBUG [2024-Jan-31 23:32:22.363705] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DATA [2024-Jan-31 23:32:22.364702] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:22.366701] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the CHF LGM model
...
DEBUG [2024-Jan-31 23:32:22.369699] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF) failed: Two or three tokens required in CHF: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:32:22.371698] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 4 qualifier JPY
...
NOTICE [2024-Jan-31 23:32:22.374700] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier JPY (ccy=JPY), configuration is collateral_inccy
...
DEBUG [2024-Jan-31 23:32:22.376698] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:22.378695] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:22.380692] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #3: DiscountCurve(JPY,Yield/JPY/JPY1D) (not yet built)
...
DEBUG [2024-Jan-31 23:32:22.381692] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
...
DEBUG [2024-Jan-31 23:32:22.384690] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY1D
DEBUG [2024-Jan-31 23:32:22.385691] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "JPY-OIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:22.392688] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
...
DEBUG [2024-Jan-31 23:32:22.398685] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY1D built
DEBUG [2024-Jan-31 23:32:22.399684] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:22.400683] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.401682] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.402681] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:22.402681] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:22.403681] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:22.404680] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:32:22.410676] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (JPY) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.411675] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD3M built
DEBUG [2024-Jan-31 23:32:22.412677] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(JPY,SwaptionVolatility/CHF/CHF_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.413674] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:22.414673] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:22.415674] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD3M to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.416673] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.417671] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:22.418671] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:22.422668] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:22.424667] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
DATA [2024-Jan-31 23:32:22.425667] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:32:22.430665] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:32:22.432666] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
DATA [2024-Jan-31 23:32:22.433664] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:22.437662] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-1Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:32:22.437662] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-1Y,USD-FedFunds) in configuration collateral_inccy
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DATA [2024-Jan-31 23:32:22.439661] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
DEBUG [2024-Jan-31 23:32:22.440661] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-FedFunds) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.441660] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:22.446657] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:22.451654] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex USD-CMS-30Y with DiscountingIndex USD-FedFunds
DEBUG [2024-Jan-31 23:32:22.451654] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(USD-CMS-30Y,USD-FedFunds) in configuration collateral_inccy
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DEBUG [2024-Jan-31 23:32:22.453653] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (USD) for asof February 5th, 2016
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NOTICE [2024-Jan-31 23:32:22.455652] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
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DATA [2024-Jan-31 23:32:22.457650] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
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DATA [2024-Jan-31 23:32:22.459649] 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 23:32:22.471848] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config USD_SW_N
DEBUG [2024-Jan-31 23:32:22.472850] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:32:22.473848] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (USD) with spec SwaptionVolatility/USD/USD_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.474848] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:22.475846] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:22.475846] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for JPY: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:22.476846] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(USD,SwaptionVolatility/USD/USD_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.477847] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 5, error: 0
DEBUG [2024-Jan-31 23:32:22.478846] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:22.479843] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:22.480842] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(USD) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.481843] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:22.483842] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier JPY currency JPY
...
DEBUG [2024-Jan-31 23:32:22.488839] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
DEBUG [2024-Jan-31 23:32:22.489838] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
...
DEBUG [2024-Jan-31 23:32:22.491837] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:22.494834] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.1, index=USDLibor3M Actual/360, strike=3.40282e+38, shift=0
...
DATA [2024-Jan-31 23:32:22.499831] OREData/ored/model/lgmbuilder.cpp:377 : LGM JPY calibration errors:
...
DATA [2024-Jan-31 23:32:22.500831] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:22.502831] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.503830] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:22.507830] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
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DATA [2024-Jan-31 23:32:22.518588] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DEBUG [2024-Jan-31 23:32:22.519589] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 10Y and term 10Y: vol=0.1, index=USDLibor3M Actual/360, strike=3.40282e+38, shift=0
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DATA [2024-Jan-31 23:32:22.522589] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
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DATA [2024-Jan-31 23:32:22.532591] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DEBUG [2024-Jan-31 23:32:22.534581] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 14Y and term 6Y: vol=0.1, index=USDLibor3M Actual/360, strike=3.40282e+38, shift=0
...
DATA [2024-Jan-31 23:32:22.537579] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:22.548573] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 1.57328e-13
DEBUG [2024-Jan-31 23:32:22.549573] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 19Y and term 1Y: vol=0.1, index=USDLibor3M Actual/360, strike=3.40282e+38, shift=0
DEBUG [2024-Jan-31 23:32:22.550581] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:32:22.551581] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:32:22.552571] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:22.553580] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:22.554578] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for USD: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:22.555578] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:22.555578] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:22.556577] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier USD currency USD
DEBUG [2024-Jan-31 23:32:22.557577] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the JPY LGM model
DEBUG [2024-Jan-31 23:32:22.558568] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DEBUG [2024-Jan-31 23:32:22.559576] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY) failed: Two or three tokens required in JPY: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:32:22.560566] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 0
NOTICE [2024-Jan-31 23:32:22.561566] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for USDEUR
DATA [2024-Jan-31 23:32:22.562563] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DEBUG [2024-Jan-31 23:32:22.563565] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DATA [2024-Jan-31 23:32:22.564564] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:22.564564] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
...
DEBUG [2024-Jan-31 23:32:22.572568] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:32:22.573567] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:32:22.574566] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration default
DATA [2024-Jan-31 23:32:22.576565] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DATA [2024-Jan-31 23:32:22.582551] OREData/ored/model/lgmbuilder.cpp:377 : LGM USD calibration errors:
...
DATA [2024-Jan-31 23:32:22.584550] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:22.584550] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.585560] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:22.586560] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:22.587548] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD3M) in configuration default
DEBUG [2024-Jan-31 23:32:22.588548] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:22.589547] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-IN-EUR
DEBUG [2024-Jan-31 23:32:22.590546] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX-CONVENTIONS"
DATA [2024-Jan-31 23:32:22.590546] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:32:22.601540] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DEBUG [2024-Jan-31 23:32:22.602540] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:32:22.603539] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:32:22.604539] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS-CONVENTIONS"
DATA [2024-Jan-31 23:32:22.605538] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DATA [2024-Jan-31 23:32:22.607537] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:22.618533] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DATA [2024-Jan-31 23:32:22.619533] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DATA [2024-Jan-31 23:32:22.624529] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:22.639530] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 2.71714e-14
DEBUG [2024-Jan-31 23:32:22.639530] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:32:22.640529] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the USD LGM model
DEBUG [2024-Jan-31 23:32:22.641528] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:32:22.642517] 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 23:32:22.643518] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 2 qualifier GBP
...
NOTICE [2024-Jan-31 23:32:22.645527] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier GBP (ccy=GBP), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:32:22.647525] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:22.648524] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:22.650512] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: DiscountCurve(GBP,Yield/GBP/GBP1D) (not yet built)
DEBUG [2024-Jan-31 23:32:22.651513] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:22.653511] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP1D
DEBUG [2024-Jan-31 23:32:22.654522] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "GBP-OIS-CONVENTIONS"
DATA [2024-Jan-31 23:32:22.655513] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:32:22.660509] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
DEBUG [2024-Jan-31 23:32:22.674498] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP1D built
DEBUG [2024-Jan-31 23:32:22.679497] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:22.681495] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.683494] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.685493] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:22.686492] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:22.687492] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:22.688490] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: DiscountCurve(GBP,Yield/GBP/GBP1D) (already built)
...
DEBUG [2024-Jan-31 23:32:22.694487] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:22.696487] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP6M
DEBUG [2024-Jan-31 23:32:22.697497] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:32:22.699484] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:32:22.700484] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:22.711480] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "GBP-6M-FRA"
...
DEBUG [2024-Jan-31 23:32:22.723482] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "GBP-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:22.746459] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 26 instruments
DEBUG [2024-Jan-31 23:32:22.757454] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP6M built
DEBUG [2024-Jan-31 23:32:22.758453] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:22.759453] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-6M) with spec Yield/GBP/GBP6M to configuration collateral_inccy
DATA [2024-Jan-31 23:32:22.760452] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
DEBUG [2024-Jan-31 23:32:22.761452] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-6M,Yield/GBP/GBP6M) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.762448] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:22.764459] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP3M
DEBUG [2024-Jan-31 23:32:22.765457] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "GBP-DEPOSIT"
DEBUG [2024-Jan-31 23:32:22.767457] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP-LIBOR) failed: parseIborIndex "GBP-LIBOR" not recognized
DATA [2024-Jan-31 23:32:22.768456] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor1W Actual/365 (Fixed)' <-> 'GBP-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:22.779555] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "GBP-LIBOR-3M-6M-BASIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:22.792547] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 19 instruments
DEBUG [2024-Jan-31 23:32:22.822533] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-IN-EUR built
DEBUG [2024-Jan-31 23:32:22.823532] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:22.824531] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:32:22.825531] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:32:22.826529] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 5, error: 0
DEBUG [2024-Jan-31 23:32:22.827531] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:22.828530] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:22.828530] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP3M built
DEBUG [2024-Jan-31 23:32:22.829529] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:22.830538] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-3M) with spec Yield/GBP/GBP3M to configuration collateral_inccy
DATA [2024-Jan-31 23:32:22.831537] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
DATA [2024-Jan-31 23:32:22.832525] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:22.833536] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.834524] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
DEBUG [2024-Jan-31 23:32:22.835523] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-SONIA) with spec Yield/GBP/GBP1D to configuration collateral_inccy
ALERT [2024-Jan-31 23:32:22.836523] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:22.838522] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:22.840532] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
ALERT [2024-Jan-31 23:32:22.841523] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:22.842520] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:22.848529] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) in configuration collateral_inccy
ALERT [2024-Jan-31 23:32:22.848529] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:22.850515] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:32:22.852526] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
...
DEBUG [2024-Jan-31 23:32:22.854515] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
ALERT [2024-Jan-31 23:32:22.855514] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(EURUSD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:22.856513] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:22.857521] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:32:22.860522] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:22.861522] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-LIBOR-3M) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.861522] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:22.862508] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:32:22.863508] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:32:22.869517] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:32:22.870516] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:32:22.876511] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURUSD, assuming defaults
DATA [2024-Jan-31 23:32:22.877511] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
DATA [2024-Jan-31 23:32:22.878502] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
...
NOTICE [2024-Jan-31 23:32:22.880498] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:32:22.881508] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
...
DEBUG [2024-Jan-31 23:32:22.883499] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/USD/EURUSD 1M 0.121699 0.00125789
...
DEBUG [2024-Jan-31 23:32:22.889504] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-1Y with DiscountingIndex GBP-SONIA
DEBUG [2024-Jan-31 23:32:22.890492] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-1Y,GBP-SONIA) in configuration collateral_inccy
...
DATA [2024-Jan-31 23:32:22.893490] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:32:22.894501] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(GBP-SONIA) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.895500] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:22.895500] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/USD/EURUSD 3Y 0.122993 0.0454233
...
DEBUG [2024-Jan-31 23:32:22.898488] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
...
DEBUG [2024-Jan-31 23:32:22.899498] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURUSD) with spec FXVolatility/EUR/USD/EURUSD to configuration default
DEBUG [2024-Jan-31 23:32:22.900497] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURUSD,FXVolatility/EUR/USD/EURUSD) in configuration default
DEBUG [2024-Jan-31 23:32:22.901497] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:22.902496] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:22.903496] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:22.904495] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:22.905494] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:32:22.907485] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper USDEUR 2017-02-05 0.380975 0.120828
DATA [2024-Jan-31 23:32:22.908493] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor6M Actual/365 (Fixed)' <-> 'GBP-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:22.913479] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex GBP-CMS-30Y with DiscountingIndex GBP-SONIA
...
DEBUG [2024-Jan-31 23:32:22.915490] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(GBP-CMS-30Y,GBP-SONIA) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.916480] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (GBP) for asof February 5th, 2016
...
NOTICE [2024-Jan-31 23:32:22.918478] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
...
DEBUG [2024-Jan-31 23:32:22.920486] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:32:22.920486] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DATA [2024-Jan-31 23:32:22.921486] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
DEBUG [2024-Jan-31 23:32:22.922474] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DATA [2024-Jan-31 23:32:22.923476] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.468006 0.642861 0.802119 0.878475 0.880872 0.756155 0.642449 0.545265 0.512265 0.519984 0.519112 |
...
NOTICE [2024-Jan-31 23:32:22.936467] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config GBP_SW_N
DEBUG [2024-Jan-31 23:32:22.937476] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (GBP) with spec SwaptionVolatility/GBP/GBP_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.938476] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(GBP,SwaptionVolatility/GBP/GBP_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:22.939475] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
DEBUG [2024-Jan-31 23:32:22.939475] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(GBP) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:22.940474] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:22.944472] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper USDEUR 2017-02-05 0.380975 0.120828
...
DEBUG [2024-Jan-31 23:32:22.948470] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:32:22.950459] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:22.951469] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper USDEUR 2018-02-05 0.740042 0.120465
...
DEBUG [2024-Jan-31 23:32:22.953459] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.1, index=GBPLibor6M Actual/365 (Fixed), strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:32:22.960454] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 1
NOTICE [2024-Jan-31 23:32:22.961454] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for GBPEUR
...
DATA [2024-Jan-31 23:32:22.963463] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(GBPEUR): 0 / JoinHolidays(TARGET, UK settlement) from convention.
DEBUG [2024-Jan-31 23:32:22.964449] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'default'
DATA [2024-Jan-31 23:32:22.964449] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:22.965449] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:32:22.969446] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 10Y and term 10Y: vol=0.1, index=GBPLibor6M Actual/365 (Fixed), strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:32:22.971449] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-SONIA) with spec Yield/GBP/GBP1D to configuration default
...
DATA [2024-Jan-31 23:32:22.973447] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:32:22.974447] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) in configuration default
...
DEBUG [2024-Jan-31 23:32:22.979442] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-LIBOR-3M) with spec Yield/GBP/GBP3M to configuration default
...
DATA [2024-Jan-31 23:32:22.981451] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'GBPLibor3M Actual/365 (Fixed)' <-> 'GBP-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:22.982439] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) in configuration default
...
DEBUG [2024-Jan-31 23:32:22.984450] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:32:22.985448] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:22.986437] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:22.986437] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:22.987438] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for GBP: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:22.988447] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:22.989446] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:22.990445] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier GBP currency GBP
DEBUG [2024-Jan-31 23:32:22.991445] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP-IN-EUR
DEBUG [2024-Jan-31 23:32:22.991445] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-GBP-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:22.993444] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DEBUG [2024-Jan-31 23:32:22.993444] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:32:22.995432] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:32:22.996432] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-GBP-XCCY-BASIS-CONVENTIONS"
DATA [2024-Jan-31 23:32:22.997431] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DATA [2024-Jan-31 23:32:23.003427] OREData/ored/model/lgmbuilder.cpp:377 : LGM GBP calibration errors:
DATA [2024-Jan-31 23:32:23.004427] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:23.005426] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:23.006426] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.007436] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DATA [2024-Jan-31 23:32:23.009424] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:32:23.020417] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:32:23.024415] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:23.037281] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DEBUG [2024-Jan-31 23:32:23.038278] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP-IN-EUR built
DEBUG [2024-Jan-31 23:32:23.038278] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:23.039268] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:32:23.041267] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR) in configuration default
DATA [2024-Jan-31 23:32:23.042266] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DEBUG [2024-Jan-31 23:32:23.044269] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 4, error: 0
DEBUG [2024-Jan-31 23:32:23.044269] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:23.045277] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:23.046267] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'GBP' to 'EUR': GBP-EUR
DATA [2024-Jan-31 23:32:23.047275] OREData/ored/model/lgmbuilder.cpp:403 : 1 2.00274 0.518347 0.518347 0 0.0817262 0.0817262 5.28744e-15 0.00904701 0 0.00904701
...
DATA [2024-Jan-31 23:32:23.056261] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 3.13941e-14
DEBUG [2024-Jan-31 23:32:23.057261] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
DEBUG [2024-Jan-31 23:32:23.058269] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
ALERT [2024-Jan-31 23:32:23.059260] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:23.061267] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:23.063267] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the GBP LGM model
ALERT [2024-Jan-31 23:32:23.063267] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:23.065265] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:23.070262] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(GBP) failed: Two or three tokens required in GBP: CCY-INDEX or CCY-INDEX-TERM
ALERT [2024-Jan-31 23:32:23.071253] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(GBPEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:23.073260] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:23.074248] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 3 qualifier CHF
ALERT [2024-Jan-31 23:32:23.075251] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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(EURGBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:23.077257] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:23.078257] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #45: FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP) (not yet built)
DEBUG [2024-Jan-31 23:32:23.079257] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:23.080257] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF) failed: Two or three tokens required in CHF: CCY-INDEX or CCY-INDEX-TERM
NOTICE [2024-Jan-31 23:32:23.081247] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier CHF (ccy=CHF), configuration is collateral_inccy
DEBUG [2024-Jan-31 23:32:23.082244] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:32:23.082244] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:32:23.088240] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:32:23.089240] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
DEBUG [2024-Jan-31 23:32:23.095236] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:23.096236] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:23.097247] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (not yet built)
WARNING [2024-Jan-31 23:32:23.098234] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURGBP, assuming defaults
DEBUG [2024-Jan-31 23:32:23.098234] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DATA [2024-Jan-31 23:32:23.099236] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'GBP': EUR-GBP
DEBUG [2024-Jan-31 23:32:23.100235] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF1D
DEBUG [2024-Jan-31 23:32:23.101235] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-TOIS-CONVENTIONS"
NOTICE [2024-Jan-31 23:32:23.102232] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:32:23.103232] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DATA [2024-Jan-31 23:32:23.104231] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:32:23.105242] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/GBP/EURGBP 1M 0.12336 0.00129246
...
DEBUG [2024-Jan-31 23:32:23.109228] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "CHF-OIS-CONVENTIONS"
...
DATA [2024-Jan-31 23:32:23.111227] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
...
DEBUG [2024-Jan-31 23:32:23.117224] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 29 instruments
...
DEBUG [2024-Jan-31 23:32:23.119223] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURGBP) with spec FXVolatility/EUR/GBP/EURGBP to configuration default
DEBUG [2024-Jan-31 23:32:23.120222] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP) in configuration default
DEBUG [2024-Jan-31 23:32:23.122232] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:23.123231] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(GBPEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:23.124230] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:23.127229] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.127229] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:23.128229] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF1D built
DEBUG [2024-Jan-31 23:32:23.129220] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:23.130219] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper GBPEUR 2017-02-05 0.610537 0.12979
DEBUG [2024-Jan-31 23:32:23.131227] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:23.132218] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:23.133217] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
...
DEBUG [2024-Jan-31 23:32:23.134217] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(CHF) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:23.135216] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
...
DATA [2024-Jan-31 23:32:23.137224] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:32:23.143212] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper GBPEUR 2020-02-05 1.19322 0.131088
DEBUG [2024-Jan-31 23:32:23.144220] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
...
DEBUG [2024-Jan-31 23:32:23.146208] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF3M
DEBUG [2024-Jan-31 23:32:23.147210] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:23.149219] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:32:23.149219] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:32:23.150217] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DEBUG [2024-Jan-31 23:32:23.151207] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DATA [2024-Jan-31 23:32:23.152217] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
DEBUG [2024-Jan-31 23:32:23.153206] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper GBPEUR 2017-02-05 0.610537 0.12979
...
DEBUG [2024-Jan-31 23:32:23.161211] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-3M-FRA-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:23.162201] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-3M-SWAP-CONVENTIONS"
...
DATA [2024-Jan-31 23:32:23.164210] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:23.165199] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 2
NOTICE [2024-Jan-31 23:32:23.166208] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for CHFEUR
...
DATA [2024-Jan-31 23:32:23.168208] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(CHFEUR): 0 / JoinHolidays(TARGET, Switzerland) from convention.
DEBUG [2024-Jan-31 23:32:23.168208] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'default'
DATA [2024-Jan-31 23:32:23.169194] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:23.170193] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (not yet built)
...
DATA [2024-Jan-31 23:32:23.174191] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:23.175202] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-TOIS) with spec Yield/CHF/CHF1D to configuration default
...
DEBUG [2024-Jan-31 23:32:23.178189] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) in configuration default
...
DEBUG [2024-Jan-31 23:32:23.182187] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
...
DEBUG [2024-Jan-31 23:32:23.184197] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF-IN-EUR
DEBUG [2024-Jan-31 23:32:23.185185] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-CHF-FX-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:23.187195] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
...
DEBUG [2024-Jan-31 23:32:23.189194] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:32:23.189194] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-CHF-XCCY-BASIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:23.196179] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 14 instruments
...
DEBUG [2024-Jan-31 23:32:23.209171] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF3M built
DEBUG [2024-Jan-31 23:32:23.210171] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:23.210171] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-3M) with spec Yield/CHF/CHF3M to configuration collateral_inccy
...
DATA [2024-Jan-31 23:32:23.212170] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
DEBUG [2024-Jan-31 23:32:23.213169] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-3M,Yield/CHF/CHF3M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:23.215169] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:23.216168] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF-IN-EUR to configuration default
...
DEBUG [2024-Jan-31 23:32:23.218167] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DATA [2024-Jan-31 23:32:23.218167] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
...
DEBUG [2024-Jan-31 23:32:23.220166] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:23.221165] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:23.222164] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'CHF' to 'EUR': CHF-EUR
DATA [2024-Jan-31 23:32:23.223164] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
...
DATA [2024-Jan-31 23:32:23.228161] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
ALERT [2024-Jan-31 23:32:23.229161] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:23.230160] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:23.232159] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor3M Actual/360' <-> 'CHF-LIBOR-3M'
ALERT [2024-Jan-31 23:32:23.233159] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:23.235157] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:23.237156] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLiborSwapIsdaFix1Y 30/360 (US)' <-> 'CHF-CMS-1Y'
DEBUG [2024-Jan-31 23:32:23.238156] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-1Y with DiscountingIndex CHF-TOIS
DEBUG [2024-Jan-31 23:32:23.239156] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwapIndexCurve(CHF-CMS-1Y,CHF-TOIS) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:23.240155] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:23.241154] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.241154] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
...
DEBUG [2024-Jan-31 23:32:23.243153] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF6M
DEBUG [2024-Jan-31 23:32:23.244153] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "CHF-LIBOR-CONVENTIONS"
ALERT [2024-Jan-31 23:32:23.245152] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(CHFEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:23.247150] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:23.248151] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
ALERT [2024-Jan-31 23:32:23.249150] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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(EURCHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:23.251149] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:23.252148] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #44: FXVol(EURCHF,FXVolatility/EUR/CHF/EURCHF) (not yet built)
DEBUG [2024-Jan-31 23:32:23.253147] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DATA [2024-Jan-31 23:32:23.254147] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor1W Actual/360' <-> 'CHF-LIBOR-1W'
DEBUG [2024-Jan-31 23:32:23.254147] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:32:23.255147] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:32:23.263141] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:32:23.264140] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:32:23.271136] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURCHF, assuming defaults
DATA [2024-Jan-31 23:32:23.272135] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'CHF': EUR-CHF
DEBUG [2024-Jan-31 23:32:23.273135] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
NOTICE [2024-Jan-31 23:32:23.274146] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 9 ATM vols
DEBUG [2024-Jan-31 23:32:23.274146] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:32:23.275134] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/CHF/EURCHF 1M 0.077042 0.000504108
...
DEBUG [2024-Jan-31 23:32:23.289919] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURCHF) with spec FXVolatility/EUR/CHF/EURCHF to configuration default
DEBUG [2024-Jan-31 23:32:23.290919] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURCHF,FXVolatility/EUR/CHF/EURCHF) in configuration default
DEBUG [2024-Jan-31 23:32:23.290919] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:23.291918] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(CHFEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:23.292917] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:23.294916] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.295915] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DATA [2024-Jan-31 23:32:23.296916] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor2W Actual/360' <-> 'CHF-LIBOR-2W'
DEBUG [2024-Jan-31 23:32:23.297906] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper CHFEUR 2017-02-05 1.17894 0.0928951
DEBUG [2024-Jan-31 23:32:23.297906] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
...
DEBUG [2024-Jan-31 23:32:23.307909] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:32:23.307909] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DATA [2024-Jan-31 23:32:23.308898] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor2M Actual/360' <-> 'CHF-LIBOR-2M'
DEBUG [2024-Jan-31 23:32:23.309899] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:23.310898] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF-LIBOR) failed: parseIborIndex "CHF-LIBOR" not recognized
DEBUG [2024-Jan-31 23:32:23.311898] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper CHFEUR 2017-02-05 1.17894 0.0928951
...
DEBUG [2024-Jan-31 23:32:23.318903] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "CHF-6M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:23.322891] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 3
NOTICE [2024-Jan-31 23:32:23.323900] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for JPYEUR
...
DATA [2024-Jan-31 23:32:23.325890] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(JPYEUR): 0 / JoinHolidays(TARGET, Japan) from convention.
DEBUG [2024-Jan-31 23:32:23.326898] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'default'
DATA [2024-Jan-31 23:32:23.327897] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:23.327897] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (not yet built)
...
DEBUG [2024-Jan-31 23:32:23.329886] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-TONAR) with spec Yield/JPY/JPY1D to configuration default
DATA [2024-Jan-31 23:32:23.330895] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
...
DEBUG [2024-Jan-31 23:32:23.332895] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) in configuration default
DEBUG [2024-Jan-31 23:32:23.333894] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
...
DEBUG [2024-Jan-31 23:32:23.334893] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY6M
DEBUG [2024-Jan-31 23:32:23.335884] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "JPY-LIBOR-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:23.337883] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY-LIBOR) failed: parseIborIndex "JPY-LIBOR" not recognized
DEBUG [2024-Jan-31 23:32:23.338891] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "CHF-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:23.350875] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "JPY-LIBOR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:23.366864] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 27 instruments
...
DEBUG [2024-Jan-31 23:32:23.374862] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF6M built
DEBUG [2024-Jan-31 23:32:23.374862] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:23.375870] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-LIBOR-6M) with spec Yield/CHF/CHF6M to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:23.376869] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 18 instruments
DATA [2024-Jan-31 23:32:23.377860] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DEBUG [2024-Jan-31 23:32:23.378859] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-LIBOR-6M,Yield/CHF/CHF6M) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:23.380856] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(CHF-TOIS) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:23.381855] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:23.383853] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHFLibor6M Actual/360' <-> 'CHF-LIBOR-6M'
DEBUG [2024-Jan-31 23:32:23.384853] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY6M built
DEBUG [2024-Jan-31 23:32:23.385853] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY6M" to requiredYieldCurves map
...
DEBUG [2024-Jan-31 23:32:23.387863] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY6M to configuration default
DEBUG [2024-Jan-31 23:32:23.387863] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:32:23.388851] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
...
DEBUG [2024-Jan-31 23:32:23.390861] OREData/ored/marketdata/todaysmarket.cpp:276 : Added SwapIndex CHF-CMS-30Y with DiscountingIndex CHF-TOIS
...
DEBUG [2024-Jan-31 23:32:23.392860] OREData/ored/marketdata/todaysmarket.cpp:401 : Building Swaption Volatility (CHF) for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:23.393860] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:23.394847] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:23.394847] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'JPY' to 'EUR': JPY-EUR
NOTICE [2024-Jan-31 23:32:23.395847] OREData/ored/marketdata/genericyieldvolcurve.cpp:172 : GenericYieldVolCurve: read 154 vols and 0 shift quotes
...
DATA [2024-Jan-31 23:32:23.397846] OREData/ored/marketdata/genericyieldvolcurve.cpp:217 : built atm surface with vols:
ALERT [2024-Jan-31 23:32:23.398857] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:23.400844] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:23.401844] OREData/ored/marketdata/genericyieldvolcurve.cpp:218 : | 0.007529 0.007587 0.007603 0.006725 0.005853 0.005456 0.006673 0.007006 0.007346 0.007336 0.007335 |
...
DEBUG [2024-Jan-31 23:32:23.414836] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_eur'
NOTICE [2024-Jan-31 23:32:23.415835] OREData/ored/marketdata/genericyieldvolcurve.cpp:235 : Returning ATM surface for config CHF_SW_N
ALERT [2024-Jan-31 23:32:23.416837] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:23.418834] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (CHF) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:23.419835] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:23.422832] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(CHF,SwaptionVolatility/CHF/CHF_SW_N) in configuration collateral_inccy
...
DEBUG [2024-Jan-31 23:32:23.423831] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 6, error: 0
...
ALERT [2024-Jan-31 23:32:23.429828] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(JPYEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:23.432826] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
ALERT [2024-Jan-31 23:32:23.436824] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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(EURJPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:23.439822] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:23.440821] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #46: FXVol(EURJPY,FXVolatility/EUR/JPY/EURJPY) (not yet built)
DEBUG [2024-Jan-31 23:32:23.441821] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
DEBUG [2024-Jan-31 23:32:23.442821] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:23.443819] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:23.444820] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.444820] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:23.445819] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:32:23.446820] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:32:23.454815] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:32:23.455814] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:32:23.462810] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURJPY, assuming defaults
DEBUG [2024-Jan-31 23:32:23.463810] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
DATA [2024-Jan-31 23:32:23.464808] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'JPY': EUR-JPY
NOTICE [2024-Jan-31 23:32:23.465809] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 9 ATM vols
DEBUG [2024-Jan-31 23:32:23.466808] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
...
DEBUG [2024-Jan-31 23:32:23.468806] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/JPY/EURJPY 1M 0.137438 0.00160429
...
DEBUG [2024-Jan-31 23:32:23.471970] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 4Y and term 16Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:32:23.476968] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 6Y and term 14Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:32:23.480966] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 8Y and term 12Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
...
DEBUG [2024-Jan-31 23:32:23.488962] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURJPY) with spec FXVolatility/EUR/JPY/EURJPY to configuration default
DEBUG [2024-Jan-31 23:32:23.489962] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURJPY,FXVolatility/EUR/JPY/EURJPY) in configuration default
DEBUG [2024-Jan-31 23:32:23.490960] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
...
DEBUG [2024-Jan-31 23:32:23.492960] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(JPYEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:23.493959] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:23.494958] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.495957] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:23.496957] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 16Y and term 4Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
DEBUG [2024-Jan-31 23:32:23.497957] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper JPYEUR 2017-02-05 0.00796599 0.137665
...
DEBUG [2024-Jan-31 23:32:23.501955] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
...
DEBUG [2024-Jan-31 23:32:23.502954] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:23.503953] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:23.504953] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for CHF: IrLgm1fPiecewiseConstant
...
DEBUG [2024-Jan-31 23:32:23.506951] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:23.507952] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:23.508951] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier CHF currency CHF
...
DEBUG [2024-Jan-31 23:32:23.509951] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
...
DEBUG [2024-Jan-31 23:32:23.511949] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:32:23.512948] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:32:23.514947] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DATA [2024-Jan-31 23:32:23.523987] OREData/ored/model/lgmbuilder.cpp:377 : LGM CHF calibration errors:
...
DATA [2024-Jan-31 23:32:23.525987] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:23.526978] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:23.527977] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.528976] OREData/ored/model/crossassetmodelbuilder.cpp:441 : CrossAssetModelBuilder: adding correlations.
DEBUG [2024-Jan-31 23:32:23.529975] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,GBP,0}) = 0.
...
DATA [2024-Jan-31 23:32:23.532974] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:32:23.542967] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DEBUG [2024-Jan-31 23:32:23.543977] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,GBP,0},{IR,USD,0}) = 0.
...
DATA [2024-Jan-31 23:32:23.548965] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:23.558967] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DEBUG [2024-Jan-31 23:32:23.559967] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({FX,GBPEUR,0},{FX,USDEUR,0}) = 0.
DATA [2024-Jan-31 23:32:23.560958] OREData/ored/model/crossassetmodelbuilder.cpp:450 : CAM correlation matrix:
DATA [2024-Jan-31 23:32:23.561957] OREData/ored/model/crossassetmodelbuilder.cpp:451 : | 1 0 0 0 0 0 0 0 0 |
...
DATA [2024-Jan-31 23:32:23.570950] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:23.581954] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 1.41748e-13
DEBUG [2024-Jan-31 23:32:23.582944] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DEBUG [2024-Jan-31 23:32:23.583953] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the CHF LGM model
DEBUG [2024-Jan-31 23:32:23.584953] OREData/ored/model/crossassetmodelbuilder.cpp:465 : IR Calibration 0
...
DEBUG [2024-Jan-31 23:32:23.588939] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
DEBUG [2024-Jan-31 23:32:23.589938] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(CHF) failed: Two or three tokens required in CHF: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:32:23.590949] OREData/ored/model/crossassetmodelbuilder.cpp:229 : IR Parametrization 4 qualifier JPY
ALERT [2024-Jan-31 23:32:23.591949] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:23.592937] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.593936] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for EUR for FX calibration
DEBUG [2024-Jan-31 23:32:23.594936] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY) failed: Two or three tokens required in JPY: CCY-INDEX or CCY-INDEX-TERM
...
NOTICE [2024-Jan-31 23:32:23.596947] OREData/ored/model/lgmbuilder.cpp:183 : LgmCalibration for qualifier JPY (ccy=JPY), configuration is collateral_inccy
ALERT [2024-Jan-31 23:32:23.597937] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:23.599944] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:23.600944] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DEBUG [2024-Jan-31 23:32:23.601935] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for USD for FX calibration
...
DATA [2024-Jan-31 23:32:23.603942] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #3: DiscountCurve(JPY,Yield/JPY/JPY1D) (not yet built)
ALERT [2024-Jan-31 23:32:23.604933] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:23.605941] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.606940] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for GBP for FX calibration
...
ALERT [2024-Jan-31 23:32:23.608939] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:23.610938] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.611938] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for CHF for FX calibration
...
DEBUG [2024-Jan-31 23:32:23.612937] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
ALERT [2024-Jan-31 23:32:23.613928] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:23.615935] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.616923] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for JPY for FX calibration
DEBUG [2024-Jan-31 23:32:23.616923] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 0
DEBUG [2024-Jan-31 23:32:23.617927] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY1D
DEBUG [2024-Jan-31 23:32:23.618925] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "JPY-OIS-CONVENTIONS"
DATA [2024-Jan-31 23:32:23.619924] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
DEBUG [2024-Jan-31 23:32:23.623922] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 20 instruments
DEBUG [2024-Jan-31 23:32:23.630927] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY1D built
DEBUG [2024-Jan-31 23:32:23.631918] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY1D" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:23.632917] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY1D to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:23.633916] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY1D) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:23.634916] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:23.635915] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_inccy'
DATA [2024-Jan-31 23:32:23.635915] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:23.636914] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(CHF,Yield/CHF/CHF1D) (already built)
...
DEBUG [2024-Jan-31 23:32:23.642911] OREData/ored/marketdata/todaysmarket.cpp:413 : Adding SwaptionVol (JPY) with spec SwaptionVolatility/CHF/CHF_SW_N to configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:23.643910] OREData/ored/marketdata/todaysmarket.cpp:914 : built node SwaptionVol(JPY,SwaptionVolatility/CHF/CHF_SW_N) in configuration collateral_inccy
DEBUG [2024-Jan-31 23:32:23.644909] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:23.645909] OREData/ored/marketdata/todaysmarket.cpp:823 : market object SwaptionVol(JPY) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:23.646908] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:23.655912] OREData/ored/model/lgmbuilder.cpp:544 : build swaption basket
...
DEBUG [2024-Jan-31 23:32:23.659910] OREData/ored/model/lgmbuilder.cpp:560 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:23.662908] OREData/ored/model/lgmbuilder.cpp:155 : Created swaption helper with expiry 1Y and term 19Y: vol=0.002, index=CHFLibor6M Actual/360, strike=3.40282e+38, shift=0
DEBUG [2024-Jan-31 23:32:23.663898] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX USD calibration errors:
...
DATA [2024-Jan-31 23:32:23.673895] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
...
DEBUG [2024-Jan-31 23:32:23.679887] OREData/ored/model/lgmbuilder.cpp:228 : overriding alpha time grid with swaption expiries, set all initial values to first given value
DEBUG [2024-Jan-31 23:32:23.680889] OREData/ored/model/lgmbuilder.cpp:259 : before calibration: alpha times = [ 1.00548; 2.00274; 4.00274; 6.01096; 8.00548; 10.0082; 12.0137; 14.011; 16.011; 18.0164 ] values = [ 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01; 0.01 ]
DEBUG [2024-Jan-31 23:32:23.681888] OREData/ored/model/lgmbuilder.cpp:260 : before calibration: h times = [ ] values = [ 0 ]
DEBUG [2024-Jan-31 23:32:23.682887] OREData/ored/model/lgmbuilder.cpp:269 : IR parametrization for JPY: IrLgm1fPiecewiseConstant
DEBUG [2024-Jan-31 23:32:23.682887] OREData/ored/model/lgmbuilder.cpp:280 : alpha times size: 10
DEBUG [2024-Jan-31 23:32:23.683886] OREData/ored/model/lgmbuilder.cpp:281 : lambda times size: 0
DEBUG [2024-Jan-31 23:32:23.684886] OREData/ored/model/lgmbuilder.cpp:314 : Recalibrate LGM model for qualifier JPY currency JPY
DEBUG [2024-Jan-31 23:32:23.685885] OREData/ored/model/lgmbuilder.cpp:356 : call calibrateVolatilitiesIterative for volatility calibration (bootstrap)
DATA [2024-Jan-31 23:32:23.686885] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:32:23.695879] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 2.49396e-14
DEBUG [2024-Jan-31 23:32:23.696878] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 1
DATA [2024-Jan-31 23:32:23.701876] OREData/ored/model/lgmbuilder.cpp:377 : LGM JPY calibration errors:
DATA [2024-Jan-31 23:32:23.702876] OREData/ored/model/lgmbuilder.cpp:388 : Basket details:
DEBUG [2024-Jan-31 23:32:23.703875] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'collateral_inccy'
DEBUG [2024-Jan-31 23:32:23.704874] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:23.711869] OREData/ored/model/lgmbuilder.cpp:391 : # expiry swapLength strike atmForward annuity vega vol
...
DATA [2024-Jan-31 23:32:23.726862] OREData/ored/model/lgmbuilder.cpp:395 : Calibration details (with time grid = calibration swaption expiries):
DATA [2024-Jan-31 23:32:23.730858] OREData/ored/model/lgmbuilder.cpp:398 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:23.741854] OREData/ored/model/lgmbuilder.cpp:402 : Parameter details (with parameter time grid)
DEBUG [2024-Jan-31 23:32:23.742854] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX GBP calibration errors:
DATA [2024-Jan-31 23:32:23.745852] OREData/ored/model/lgmbuilder.cpp:403 : # time modelVol marketVol (diff) modelValue marketValue (diff) irlgm1fAlpha irlgm1fKappa irlgm1fHwSigma
...
DATA [2024-Jan-31 23:32:23.756844] OREData/ored/model/lgmbuilder.cpp:404 : rmse = 1.57328e-13
DEBUG [2024-Jan-31 23:32:23.757844] OREData/ored/model/lgmbuilder.cpp:435 : Apply shift horizon and scale (if not 0.0 and 1.0 respectively)
DATA [2024-Jan-31 23:32:23.757844] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DEBUG [2024-Jan-31 23:32:23.758842] OREData/ored/model/lgmbuilder.cpp:443 : Apply shift horizon 20 (C=-20) to the JPY LGM model
DEBUG [2024-Jan-31 23:32:23.759841] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY) failed: Two or three tokens required in JPY: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:32:23.760841] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 0
NOTICE [2024-Jan-31 23:32:23.761840] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for USDEUR
DATA [2024-Jan-31 23:32:23.762839] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(USDEUR): 0 / JoinHolidays(TARGET, US settlement, UK settlement) from convention.
DEBUG [2024-Jan-31 23:32:23.763840] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DATA [2024-Jan-31 23:32:23.764838] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:23.765838] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (not yet built)
...
DATA [2024-Jan-31 23:32:23.769837] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:32:23.776668] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 1.04581e-13
DEBUG [2024-Jan-31 23:32:23.776668] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:32:23.777669] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 2
DEBUG [2024-Jan-31 23:32:23.778668] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:32:23.779668] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-3M) with spec Yield/EUR/EUR3M to configuration default
DATA [2024-Jan-31 23:32:23.780668] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:23.787664] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:23.788663] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-IN-EUR
DEBUG [2024-Jan-31 23:32:23.789662] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:23.790662] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:32:23.791661] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:32:23.791661] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS-CONVENTIONS"
DATA [2024-Jan-31 23:32:23.792661] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:23.808651] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
DEBUG [2024-Jan-31 23:32:23.813646] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX CHF calibration errors:
DATA [2024-Jan-31 23:32:23.826641] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:32:23.844629] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:32:23.855632] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 1.47246e-13
DEBUG [2024-Jan-31 23:32:23.857632] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 3
DEBUG [2024-Jan-31 23:32:23.911590] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX JPY calibration errors:
DATA [2024-Jan-31 23:32:23.920587] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:32:23.932578] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:32:23.939574] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 1.12362e-13
DEBUG [2024-Jan-31 23:32:23.940573] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:23.940573] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.941573] OREData/ored/model/crossassetmodelbuilder.cpp:548 : Relinked discounting curve for EUR for EQ calibration
...
DEBUG [2024-Jan-31 23:32:23.959563] OREData/ored/model/crossassetmodelbuilder.cpp:619 : Relinked discounting curve for EUR for INF calibration
...
ALERT [2024-Jan-31 23:32:23.973557] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:23.975555] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.977563] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for EUR as final model curves
...
ALERT [2024-Jan-31 23:32:23.979552] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:23.982553] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.983552] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for USD as final model curves
...
ALERT [2024-Jan-31 23:32:23.984551] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:23.986548] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.987550] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for GBP as final model curves
...
ALERT [2024-Jan-31 23:32:23.989545] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:23.991547] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.992547] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for CHF as final model curves
DEBUG [2024-Jan-31 23:32:23.992547] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-IN-EUR built
...
DEBUG [2024-Jan-31 23:32:23.994543] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-IN-EUR" to requiredYieldCurves map
ALERT [2024-Jan-31 23:32:23.995545] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:23.997552] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:23.998552] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for JPY as final model curves
DEBUG [2024-Jan-31 23:32:23.999551] OREData/ored/model/crossassetmodelbuilder.cpp:656 : Building CrossAssetModel done
DEBUG [2024-Jan-31 23:32:23.999551] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:32:24.000542] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:32:24.001541] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 5, error: 0
DEBUG [2024-Jan-31 23:32:24.002538] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:24.003541] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.004540] OREData/ored/portfolio/portfolio.cpp:58 : Parsing trade id:BermSwp
DATA [2024-Jan-31 23:32:24.005548] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'USD' to 'EUR': USD-EUR
DEBUG [2024-Jan-31 23:32:24.006539] OREData/ored/portfolio/portfolio.cpp:68 : Added Trade BermSwp (BermSwp) type:Swaption
...
DEBUG [2024-Jan-31 23:32:24.007547] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
...
ALERT [2024-Jan-31 23:32:24.010533] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:24.012535] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.013534] OREData/ored/portfolio/portfolio.cpp:68 : Added Trade Swap_USD (Swap_USD) type:Swap
NOTICE [2024-Jan-31 23:32:24.014532] OREData/ored/portfolio/portfolio.cpp:95 : Finished Parsing XML doc
...
NOTICE [2024-Jan-31 23:32:24.015531] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
ALERT [2024-Jan-31 23:32:24.016530] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:24.018529] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:32:24.021528] OREData/ored/portfolio/enginefactory.cpp:234 : adding 6 extra engine builders
...
NOTICE [2024-Jan-31 23:32:24.024402] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 3 for context = 'amc-val-engine'
DEBUG [2024-Jan-31 23:32:24.025403] OREData/ored/portfolio/swaption.cpp:65 : Swaption::build() for BermSwp: build underlying swap
ALERT [2024-Jan-31 23:32:24.026403] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:24.028402] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
DEBUG [2024-Jan-31 23:32:24.029401] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade
...
ALERT [2024-Jan-31 23:32:24.031398] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(EURUSD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:24.035395] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
...
DATA [2024-Jan-31 23:32:24.036395] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:32:24.041392] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:24.042393] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DEBUG [2024-Jan-31 23:32:24.042393] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:32:24.043391] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:32:24.049389] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:32:24.050388] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
DATA [2024-Jan-31 23:32:24.056385] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
WARNING [2024-Jan-31 23:32:24.057383] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURUSD, assuming defaults
DATA [2024-Jan-31 23:32:24.058384] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'USD': EUR-USD
DEBUG [2024-Jan-31 23:32:24.058384] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:32:24.059382] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
NOTICE [2024-Jan-31 23:32:24.060381] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:32:24.061382] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:32:24.062381] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DEBUG [2024-Jan-31 23:32:24.063379] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/USD/EURUSD 1M 0.121699 0.00125789
...
DATA [2024-Jan-31 23:32:24.071386] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
DEBUG [2024-Jan-31 23:32:24.072376] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
...
DEBUG [2024-Jan-31 23:32:24.077374] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
DEBUG [2024-Jan-31 23:32:24.078385] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURUSD) with spec FXVolatility/EUR/USD/EURUSD to configuration default
DEBUG [2024-Jan-31 23:32:24.078385] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURUSD,FXVolatility/EUR/USD/EURUSD) in configuration default
DEBUG [2024-Jan-31 23:32:24.079373] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DEBUG [2024-Jan-31 23:32:24.080373] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:24.081371] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(USDEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:24.082380] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:24.084379] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.084379] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DATA [2024-Jan-31 23:32:24.085378] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
DEBUG [2024-Jan-31 23:32:24.086366] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DEBUG [2024-Jan-31 23:32:24.087366] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper USDEUR 2017-02-05 0.380975 0.120828
...
DEBUG [2024-Jan-31 23:32:24.090375] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
...
DEBUG [2024-Jan-31 23:32:24.092374] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+06 EUR
DEBUG [2024-Jan-31 23:32:24.093362] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
...
DEBUG [2024-Jan-31 23:32:24.094362] OREData/ored/portfolio/builders/swap.cpp:51 : Building AMC Swap engine for ccy EUR (from externally given CAM)
...
DEBUG [2024-Jan-31 23:32:24.096361] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:32:24.098359] OREData/ored/portfolio/swaption.cpp:73 : Swaption::build() for BermSwp: build exercise
...
DEBUG [2024-Jan-31 23:32:24.100360] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:32:24.101371] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:32:24.102370] OREData/ored/portfolio/optiondata.cpp:165 : Got notice date 2026-02-25 using notice period 0D, convention Unadjusted, calendar Null from exercise date February 25th, 2026
DEBUG [2024-Jan-31 23:32:24.102370] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:32:24.106368] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper USDEUR 2017-02-05 0.380975 0.120828
...
DEBUG [2024-Jan-31 23:32:24.116352] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:24.117360] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:24.119359] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.120358] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper USDEUR 2021-02-05 0.700974 0.130753
DEBUG [2024-Jan-31 23:32:24.121349] OREData/ored/portfolio/swaption.cpp:156 : Swaption::build() for BermSwp: type: isCrossCcy = false, isOis = false, isBma = false, isStandard = true
DEBUG [2024-Jan-31 23:32:24.122350] OREData/ored/portfolio/swaption.cpp:381 : found ibor / ois index 'Euribor6M Actual/360'
...
DEBUG [2024-Jan-31 23:32:24.123350] OREData/ored/portfolio/swaption.cpp:405 : calibration strike for ex date 2026-02-25 is 0.020000 (fixed rate 0.020000, spread 0.000000)
...
DEBUG [2024-Jan-31 23:32:24.125356] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 1
...
NOTICE [2024-Jan-31 23:32:24.128354] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for GBPEUR
...
DATA [2024-Jan-31 23:32:24.131352] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(GBPEUR): 0 / JoinHolidays(TARGET, UK settlement) from convention.
...
DEBUG [2024-Jan-31 23:32:24.133351] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(GBP) required for configuration 'default'
...
DATA [2024-Jan-31 23:32:24.135341] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:24.135341] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:32:24.140347] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(GBP-SONIA) with spec Yield/GBP/GBP1D to configuration default
DEBUG [2024-Jan-31 23:32:24.141336] OREData/ored/portfolio/swaption.cpp:405 : calibration strike for ex date 2034-02-25 is 0.020000 (fixed rate 0.020000, spread 0.000000)
DATA [2024-Jan-31 23:32:24.142337] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SoniaON Actual/365 (Fixed)' <-> 'GBP-SONIA'
DEBUG [2024-Jan-31 23:32:24.143345] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-SONIA,Yield/GBP/GBP1D) in configuration default
...
DEBUG [2024-Jan-31 23:32:24.149330] OREData/ored/portfolio/builders/swaption.cpp:251 : Building AMC Bermudan Swaption engine for key EUR-EURIBOR-6M, ccy EUR (from externally given CAM)
DEBUG [2024-Jan-31 23:32:24.150330] OREData/ored/portfolio/builders/swaption.cpp:259 : Build engine (configuration collateral_eur)
...
DEBUG [2024-Jan-31 23:32:24.152340] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(GBP-LIBOR-3M,Yield/GBP/GBP3M) in configuration default
DEBUG [2024-Jan-31 23:32:24.153340] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:24.154339] OREData/ored/portfolio/swaption.cpp:426 : Swaption model calibration time: 0.005479 s
DEBUG [2024-Jan-31 23:32:24.155327] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/GBP/GBP-IN-EUR
DEBUG [2024-Jan-31 23:32:24.156338] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-GBP-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:24.156338] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:32:24.157326] OREData/ored/portfolio/swaption.cpp:563 : Added leg with start date 2026-03-02 for exercise 2026-02-25
DEBUG [2024-Jan-31 23:32:24.158325] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:32:24.159336] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-GBP-XCCY-BASIS-CONVENTIONS"
...
DATA [2024-Jan-31 23:32:24.161323] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:24.174327] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 15 instruments
...
DEBUG [2024-Jan-31 23:32:24.183314] OREData/ored/portfolio/swaption.cpp:449 : Building Bermudan Swaption done
DATA [2024-Jan-31 23:32:24.184313] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade BermSwp:
DATA [2024-Jan-31 23:32:24.186311] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:32:24.205298] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/GBP/GBP-IN-EUR built
DEBUG [2024-Jan-31 23:32:24.205298] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/GBP/GBP-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:24.206309] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(GBP) with spec Yield/GBP/GBP-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:32:24.207308] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(GBP,Yield/GBP/GBP-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:32:24.208308] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 4, error: 0
DEBUG [2024-Jan-31 23:32:24.209307] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:24.210307] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:24.210307] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'GBP' to 'EUR': GBP-EUR
NOTICE [2024-Jan-31 23:32:24.211306] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade FX_CALL_OPTION
NOTICE [2024-Jan-31 23:32:24.212294] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to FxOption for trade FX_CALL_OPTION
DEBUG [2024-Jan-31 23:32:24.213294] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
DEBUG [2024-Jan-31 23:32:24.214296] OREData/ored/portfolio/builders/fxoption.cpp:45 : Building AMC FX option engine for ccys EUR_USD (from externally given CAM)
ALERT [2024-Jan-31 23:32:24.215295] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:24.217294] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:32:24.219293] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade FX_CALL_OPTION:
ALERT [2024-Jan-31 23:32:24.219293] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:24.221292] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:24.222291] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:32:24.223290] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_USD
...
DEBUG [2024-Jan-31 23:32:24.227288] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
...
DATA [2024-Jan-31 23:32:24.229287] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
ALERT [2024-Jan-31 23:32:24.230285] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(GBPEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:24.232284] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DEBUG [2024-Jan-31 23:32:24.233282] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:32:24.234283] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
ALERT [2024-Jan-31 23:32:24.235281] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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(EURGBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:24.237281] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:24.238280] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #45: FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP) (not yet built)
DEBUG [2024-Jan-31 23:32:24.238280] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DEBUG [2024-Jan-31 23:32:24.240278] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
ALERT [2024-Jan-31 23:32:24.241279] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:24.243277] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:32:24.244278] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:32:24.250272] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:32:24.251274] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
DEBUG [2024-Jan-31 23:32:24.257270] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
WARNING [2024-Jan-31 23:32:24.257270] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURGBP, assuming defaults
DEBUG [2024-Jan-31 23:32:24.258269] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:32:24.259271] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'GBP': EUR-GBP
DATA [2024-Jan-31 23:32:24.260270] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
NOTICE [2024-Jan-31 23:32:24.262267] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 7 ATM vols
DEBUG [2024-Jan-31 23:32:24.263268] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
...
DEBUG [2024-Jan-31 23:32:24.265266] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/GBP/EURGBP 1M 0.12336 0.00129246
...
DEBUG [2024-Jan-31 23:32:24.268265] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = USD
...
DEBUG [2024-Jan-31 23:32:24.272263] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 USD
DEBUG [2024-Jan-31 23:32:24.273271] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
...
DEBUG [2024-Jan-31 23:32:24.279076] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURGBP) with spec FXVolatility/EUR/GBP/EURGBP to configuration default
DEBUG [2024-Jan-31 23:32:24.280075] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURGBP,FXVolatility/EUR/GBP/EURGBP) in configuration default
DEBUG [2024-Jan-31 23:32:24.280075] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:24.281065] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(GBPEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:24.282073] OREData/ored/portfolio/builders/swap.cpp:51 : Building AMC Swap engine for ccy USD (from externally given CAM)
DEBUG [2024-Jan-31 23:32:24.283073] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:24.285063] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.286063] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:32:24.287072] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Swap_USD:
DEBUG [2024-Jan-31 23:32:24.287072] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:24.290068] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper GBPEUR 2017-02-05 0.610537 0.12979
...
DATA [2024-Jan-31 23:32:24.296057] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:32:24.355021] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper GBPEUR 2019-02-05 1.19989 0.130472
...
NOTICE [2024-Jan-31 23:32:24.366027] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 3, size now 3, built 0 failed trades, context is amc-val-engine
DEBUG [2024-Jan-31 23:32:24.366027] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper GBPEUR 2020-02-05 1.19322 0.131088
NOTICE [2024-Jan-31 23:32:24.367016] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building AMC Cube... 0 out of 4 steps (0%) completed
...
DEBUG [2024-Jan-31 23:32:24.371012] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
NOTICE [2024-Jan-31 23:32:24.372014] OREAnalytics/orea/engine/amcvaluationengine.cpp:169 : Collect information for aggregation scenario data...
DEBUG [2024-Jan-31 23:32:24.373023] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-3M) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:24.374024] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.375020] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
...
DATA [2024-Jan-31 23:32:24.376011] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:24.377021] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #12: IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) (not yet built)
DEBUG [2024-Jan-31 23:32:24.378020] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:24.379019] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EONIA) with spec Yield/EUR/EUR1D to configuration default
DEBUG [2024-Jan-31 23:32:24.380006] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper GBPEUR 2017-02-05 0.610537 0.12979
DATA [2024-Jan-31 23:32:24.381019] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'EoniaON Actual/360' <-> 'EUR-EONIA'
DEBUG [2024-Jan-31 23:32:24.382005] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EONIA,Yield/EUR/EUR1D) in configuration default
DEBUG [2024-Jan-31 23:32:24.383004] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
...
DEBUG [2024-Jan-31 23:32:24.384004] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:24.385003] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:32:24.387006] OREAnalytics/orea/engine/amcvaluationengine.cpp:200 : Extract AMC Calculators...
...
DEBUG [2024-Jan-31 23:32:24.392004] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 2
NOTICE [2024-Jan-31 23:32:24.393004] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for CHFEUR
DATA [2024-Jan-31 23:32:24.394002] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(CHFEUR): 0 / JoinHolidays(TARGET, Switzerland) from convention.
DEBUG [2024-Jan-31 23:32:24.395001] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(CHF) required for configuration 'default'
DATA [2024-Jan-31 23:32:24.396001] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:24.397997] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #11: IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) (not yet built)
...
DEBUG [2024-Jan-31 23:32:24.405004] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(CHF-TOIS) with spec Yield/CHF/CHF1D to configuration default
DATA [2024-Jan-31 23:32:24.407002] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'CHF-TOISTN Actual/360' <-> 'CHF-TOIS'
DEBUG [2024-Jan-31 23:32:24.408002] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(CHF-TOIS,Yield/CHF/CHF1D) in configuration default
...
DEBUG [2024-Jan-31 23:32:24.414990] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:24.414990] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/CHF/CHF-IN-EUR
DEBUG [2024-Jan-31 23:32:24.415989] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-CHF-FX-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:24.416988] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:32:24.417987] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:32:24.418987] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-CHF-XCCY-BASIS-CONVENTIONS"
DATA [2024-Jan-31 23:32:24.419986] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor3M Actual/360' <-> 'EUR-EURIBOR-3M'
...
DEBUG [2024-Jan-31 23:32:24.424980] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 10 instruments
DEBUG [2024-Jan-31 23:32:24.433975] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/CHF/CHF-IN-EUR built
DEBUG [2024-Jan-31 23:32:24.434974] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/CHF/CHF-IN-EUR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:24.436977] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(CHF) with spec Yield/CHF/CHF-IN-EUR to configuration default
DEBUG [2024-Jan-31 23:32:24.436977] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(CHF,Yield/CHF/CHF-IN-EUR) in configuration default
DEBUG [2024-Jan-31 23:32:24.437976] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 3, error: 0
DEBUG [2024-Jan-31 23:32:24.438975] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:24.439975] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:24.440974] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'CHF' to 'EUR': CHF-EUR
...
ALERT [2024-Jan-31 23:32:24.442973] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:24.443973] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:32:24.454974] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(CHFEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:24.457972] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:32:24.460963] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:24.461962] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #44: FXVol(EURCHF,FXVolatility/EUR/CHF/EURCHF) (not yet built)
DEBUG [2024-Jan-31 23:32:24.462961] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:24.463958] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:32:24.465968] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:32:24.478144] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:32:24.479143] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:32:24.488129] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURCHF, assuming defaults
DATA [2024-Jan-31 23:32:24.489128] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'CHF': EUR-CHF
NOTICE [2024-Jan-31 23:32:24.490128] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 9 ATM vols
DEBUG [2024-Jan-31 23:32:24.491128] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:32:24.492127] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/CHF/EURCHF 1M 0.077042 0.000504108
...
DEBUG [2024-Jan-31 23:32:24.511125] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURCHF) with spec FXVolatility/EUR/CHF/EURCHF to configuration default
DEBUG [2024-Jan-31 23:32:24.512124] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURCHF,FXVolatility/EUR/CHF/EURCHF) in configuration default
DEBUG [2024-Jan-31 23:32:24.514113] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:24.515115] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(CHFEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:24.516123] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:24.519120] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.520120] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:24.522118] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper CHFEUR 2017-02-05 1.17894 0.0928951
...
DEBUG [2024-Jan-31 23:32:24.528107] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:32:24.529106] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:32:24.532301] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:32:24.544293] OREData/ored/model/crossassetmodelbuilder.cpp:286 : FX Parametrization 3
NOTICE [2024-Jan-31 23:32:24.546281] OREData/ored/model/fxbsbuilder.cpp:51 : Start building FxBs model for JPYEUR
DATA [2024-Jan-31 23:32:24.547281] OREData/ored/utilities/marketdata.cpp:188 : getFxIndexConvention(JPYEUR): 0 / JoinHolidays(TARGET, Japan) from convention.
DEBUG [2024-Jan-31 23:32:24.548283] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(JPY) required for configuration 'default'
DATA [2024-Jan-31 23:32:24.549281] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:24.550281] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #21: IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) (not yet built)
...
DEBUG [2024-Jan-31 23:32:24.551280] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(JPY-TONAR) with spec Yield/JPY/JPY1D to configuration default
DATA [2024-Jan-31 23:32:24.552280] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'TONARON Actual/365 (Fixed)' <-> 'JPY-TONAR'
DEBUG [2024-Jan-31 23:32:24.553279] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(JPY-TONAR,Yield/JPY/JPY1D) in configuration default
DEBUG [2024-Jan-31 23:32:24.554277] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:24.555279] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/JPY/JPY6M
DEBUG [2024-Jan-31 23:32:24.556278] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "JPY-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:24.557277] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(JPY-LIBOR) failed: parseIborIndex "JPY-LIBOR" not recognized
DATA [2024-Jan-31 23:32:24.558276] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'JPYLibor1W Actual/360' <-> 'JPY-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:24.566273] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "JPY-LIBOR-6M-SWAP-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:24.584261] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 18 instruments
DEBUG [2024-Jan-31 23:32:24.591257] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/JPY/JPY6M built
DEBUG [2024-Jan-31 23:32:24.592257] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/JPY/JPY6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:24.594254] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(JPY) with spec Yield/JPY/JPY6M to configuration default
DEBUG [2024-Jan-31 23:32:24.595265] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(JPY,Yield/JPY/JPY6M) in configuration default
DEBUG [2024-Jan-31 23:32:24.596263] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:32:24.597253] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:24.598254] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DATA [2024-Jan-31 23:32:24.599253] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'JPY' to 'EUR': JPY-EUR
...
ALERT [2024-Jan-31 23:32:24.601252] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:24.603251] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
ALERT [2024-Jan-31 23:32:24.611244] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "FXVol(JPYEUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:24.613243] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:32:24.616243] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:24.617243] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #46: FXVol(EURJPY,FXVolatility/EUR/JPY/EURJPY) (not yet built)
DEBUG [2024-Jan-31 23:32:24.618242] OREData/ored/marketdata/todaysmarket.cpp:378 : Building FXVolatility for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:24.619242] OREData/ored/marketdata/fxvolcurve.cpp:830 : expiries in configuration:
DEBUG [2024-Jan-31 23:32:24.620241] OREData/ored/marketdata/fxvolcurve.cpp:832 : 1M
...
DEBUG [2024-Jan-31 23:32:24.627237] OREData/ored/marketdata/fxvolcurve.cpp:835 : expiries after removing duplicate expiry dates and sorting:
DEBUG [2024-Jan-31 23:32:24.628236] OREData/ored/marketdata/fxvolcurve.cpp:837 : 1M
...
WARNING [2024-Jan-31 23:32:24.635230] OREData/ored/marketdata/fxvolcurve.cpp:864 : no fx option conventions given in fxvol curve config for EURJPY, assuming defaults
DATA [2024-Jan-31 23:32:24.636230] OREData/ored/marketdata/fxtriangulation.cpp:335 : FXTriangulation: found path of length 1 from 'EUR' to 'JPY': EUR-JPY
NOTICE [2024-Jan-31 23:32:24.637229] OREData/ored/marketdata/fxvolcurve.cpp:453 : FXVolCurve: read 9 ATM vols
DEBUG [2024-Jan-31 23:32:24.638229] OREData/ored/marketdata/fxvolcurve.cpp:496 : Spec Tenor Vol Variance
DEBUG [2024-Jan-31 23:32:24.639228] OREData/ored/marketdata/fxvolcurve.cpp:500 : FXVolatility/EUR/JPY/EURJPY 1M 0.137438 0.00160429
...
DEBUG [2024-Jan-31 23:32:24.656222] OREData/ored/marketdata/todaysmarket.cpp:387 : Adding FXVol (EURJPY) with spec FXVolatility/EUR/JPY/EURJPY to configuration default
DEBUG [2024-Jan-31 23:32:24.657221] OREData/ored/marketdata/todaysmarket.cpp:914 : built node FXVol(EURJPY,FXVolatility/EUR/JPY/EURJPY) in configuration default
DEBUG [2024-Jan-31 23:32:24.658217] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:24.659220] OREData/ored/marketdata/todaysmarket.cpp:823 : market object FXVol(JPYEUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:24.660219] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:32:24.661218] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.662218] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
DEBUG [2024-Jan-31 23:32:24.663217] OREData/ored/model/fxbsbuilder.cpp:217 : Added FxEqOptionHelper JPYEUR 2017-02-05 0.00796599 0.137665
...
DEBUG [2024-Jan-31 23:32:24.673210] OREData/ored/model/fxbsbuilder.cpp:95 : sigmaTimes before calibration: [ 1.00274; 2.00274; 3.00274; 4.00274; 5.00548 ]
DEBUG [2024-Jan-31 23:32:24.675210] OREData/ored/model/fxbsbuilder.cpp:96 : sigma before calibration: [ 0.1; 0.1; 0.1; 0.1; 0.1; 0.1 ]
DEBUG [2024-Jan-31 23:32:24.677207] OREData/ored/model/fxbsbuilder.cpp:192 : build reference date grid ''
...
DEBUG [2024-Jan-31 23:32:24.687204] OREData/ored/model/crossassetmodelbuilder.cpp:441 : CrossAssetModelBuilder: adding correlations.
DEBUG [2024-Jan-31 23:32:24.688203] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,GBP,0}) = 0.
...
DATA [2024-Jan-31 23:32:24.702192] OREData/ored/model/crossassetmodelbuilder.cpp:450 : CAM correlation matrix:
DATA [2024-Jan-31 23:32:24.703191] OREData/ored/model/crossassetmodelbuilder.cpp:451 : | 1 0 0 0 0 0 0 0 0 |
...
DEBUG [2024-Jan-31 23:32:24.711187] OREData/ored/model/crossassetmodelbuilder.cpp:465 : IR Calibration 0
...
DEBUG [2024-Jan-31 23:32:24.716195] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:24.717187] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:24.719186] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.720184] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for EUR for FX calibration
...
ALERT [2024-Jan-31 23:32:24.722183] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:24.724181] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.725181] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for USD for FX calibration
...
ALERT [2024-Jan-31 23:32:24.726180] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:24.728179] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.729179] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for GBP for FX calibration
...
ALERT [2024-Jan-31 23:32:24.731187] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:24.734185] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.735185] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for CHF for FX calibration
...
ALERT [2024-Jan-31 23:32:24.738182] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:24.740181] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:24.741170] OREData/ored/model/crossassetmodelbuilder.cpp:481 : Relinked discounting curve for JPY for FX calibration
DEBUG [2024-Jan-31 23:32:24.742169] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 0
DEBUG [2024-Jan-31 23:32:24.786955] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX USD calibration errors:
DATA [2024-Jan-31 23:32:24.794951] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:32:24.805941] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:32:24.812938] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 2.49396e-14
DEBUG [2024-Jan-31 23:32:24.813937] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 1
DEBUG [2024-Jan-31 23:32:24.847920] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX GBP calibration errors:
DATA [2024-Jan-31 23:32:24.856914] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:32:24.868906] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:32:24.874903] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 1.04581e-13
DEBUG [2024-Jan-31 23:32:24.875903] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 2
DEBUG [2024-Jan-31 23:32:24.910885] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX CHF calibration errors:
DATA [2024-Jan-31 23:32:24.919876] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:32:24.929871] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:32:24.936869] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 1.47246e-13
DEBUG [2024-Jan-31 23:32:24.937868] OREData/ored/model/crossassetmodelbuilder.cpp:496 : FX Calibration 3
DEBUG [2024-Jan-31 23:32:24.975845] OREData/ored/model/crossassetmodelbuilder.cpp:516 : FX JPY calibration errors:
DATA [2024-Jan-31 23:32:24.984845] OREData/ored/model/crossassetmodelbuilder.cpp:520 : Calibration details:
DATA [2024-Jan-31 23:32:24.996834] OREData/ored/model/crossassetmodelbuilder.cpp:522 : # time modelVol marketVol (diff) modelValue marketValue (diff) fxbsSigma
...
DATA [2024-Jan-31 23:32:25.004834] OREData/ored/model/crossassetmodelbuilder.cpp:523 : rmse = 1.12362e-13
DEBUG [2024-Jan-31 23:32:25.005833] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DEBUG [2024-Jan-31 23:32:25.006833] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:25.007832] OREData/ored/model/crossassetmodelbuilder.cpp:548 : Relinked discounting curve for EUR for EQ calibration
...
DEBUG [2024-Jan-31 23:32:25.023007] OREData/ored/model/crossassetmodelbuilder.cpp:619 : Relinked discounting curve for EUR for INF calibration
...
ALERT [2024-Jan-31 23:32:25.035996] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:25.038991] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:25.040996] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for EUR as final model curves
...
ALERT [2024-Jan-31 23:32:25.043992] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:25.047992] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:25.048992] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for USD as final model curves
...
ALERT [2024-Jan-31 23:32:25.050991] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:25.052986] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:25.053986] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for GBP as final model curves
...
ALERT [2024-Jan-31 23:32:25.057986] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(CHF)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:25.060980] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:25.061980] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for CHF as final model curves
...
ALERT [2024-Jan-31 23:32:25.062978] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(JPY)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DEBUG [2024-Jan-31 23:32:25.064981] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:25.065981] OREData/ored/model/crossassetmodelbuilder.cpp:649 : Relinked discounting curve for JPY as final model curves
DEBUG [2024-Jan-31 23:32:25.066982] OREData/ored/model/crossassetmodelbuilder.cpp:656 : Building CrossAssetModel done
DEBUG [2024-Jan-31 23:32:25.070979] OREData/ored/portfolio/portfolio.cpp:58 : Parsing trade id:CC_SWAP_EUR_USD
DEBUG [2024-Jan-31 23:32:25.071979] OREData/ored/portfolio/portfolio.cpp:68 : Added Trade CC_SWAP_EUR_USD (CC_SWAP_EUR_USD) type:Swap
...
NOTICE [2024-Jan-31 23:32:25.074978] OREData/ored/portfolio/portfolio.cpp:95 : Finished Parsing XML doc
NOTICE [2024-Jan-31 23:32:25.075976] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
DEBUG [2024-Jan-31 23:32:25.077976] OREData/ored/portfolio/enginefactory.cpp:234 : adding 6 extra engine builders
NOTICE [2024-Jan-31 23:32:25.078973] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 2 for context = 'amc-val-engine'
DEBUG [2024-Jan-31 23:32:25.079973] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade CC_SWAP_EUR_USD
DEBUG [2024-Jan-31 23:32:25.080970] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:25.081967] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(USD-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:25.084970] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:25.085968] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:32:25.090965] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:32:25.091964] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD6M
DEBUG [2024-Jan-31 23:32:25.093965] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-LIBOR-CONVENTIONS"
DEBUG [2024-Jan-31 23:32:25.095966] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:32:25.097961] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor1W Actual/360' <-> 'USD-LIBOR-1W'
...
DEBUG [2024-Jan-31 23:32:25.113951] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-6M-FRA-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:25.117952] OREData/ored/marketdata/yieldcurve.cpp:1859 : Adding Segment Tenor Basis Swap with conventions "USD-LIBOR-3M-6M-BASIS-CONVENTIONS"
...
DEBUG [2024-Jan-31 23:32:25.125949] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 21 instruments
DEBUG [2024-Jan-31 23:32:25.156927] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD6M built
DEBUG [2024-Jan-31 23:32:25.157925] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:32:25.158925] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-6M) with spec Yield/USD/USD6M to configuration default
DATA [2024-Jan-31 23:32:25.159924] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor6M Actual/360' <-> 'USD-LIBOR-6M'
DEBUG [2024-Jan-31 23:32:25.160922] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-6M,Yield/USD/USD6M) in configuration default
DEBUG [2024-Jan-31 23:32:25.161923] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:25.162923] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:32:25.164925] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:32:25.167924] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DEBUG [2024-Jan-31 23:32:25.172925] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:25.173919] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EURIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
...
DATA [2024-Jan-31 23:32:25.175919] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:32:25.176918] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:32:25.177916] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DATA [2024-Jan-31 23:32:25.179917] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:32:25.180912] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:32:25.181918] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:32:25.182916] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:32:25.183917] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:32:25.187913] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
...
DEBUG [2024-Jan-31 23:32:25.192906] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+08 USD
DEBUG [2024-Jan-31 23:32:25.193906] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:32:25.194906] OREData/ored/portfolio/builders/currencyswap.cpp:52 : Building multi leg option engine for ccys USD_USD_EUR_USD_EUR (from externally given CAM)
DEBUG [2024-Jan-31 23:32:25.195904] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:32:25.196907] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade CC_SWAP_EUR_USD:
DATA [2024-Jan-31 23:32:25.201898] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:32:25.246880] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Swap_EUR
DEBUG [2024-Jan-31 23:32:25.248872] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:32:25.249871] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:32:25.251869] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = EUR
DEBUG [2024-Jan-31 23:32:25.252871] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:32:25.253871] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:32:25.255869] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:32:25.256867] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:32:25.257867] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:32:25.262868] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = EUR
DEBUG [2024-Jan-31 23:32:25.263867] OREData/ored/portfolio/swap.cpp:142 : Notional is 1e+07 EUR
DEBUG [2024-Jan-31 23:32:25.264869] OREData/ored/portfolio/swap.cpp:146 : npv currency is EUR
DEBUG [2024-Jan-31 23:32:25.265868] OREData/ored/portfolio/builders/swap.cpp:51 : Building AMC Swap engine for ccy EUR (from externally given CAM)
DEBUG [2024-Jan-31 23:32:25.267869] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:32:25.268867] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Swap_EUR:
DATA [2024-Jan-31 23:32:25.273862] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:32:25.321938] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 2, size now 2, built 0 failed trades, context is amc-val-engine
NOTICE [2024-Jan-31 23:32:25.322938] OREAnalytics/orea/engine/amcvaluationengine.cpp:195 : No asd object set, won't write aggregation scenario data...
NOTICE [2024-Jan-31 23:32:25.323940] OREAnalytics/orea/engine/amcvaluationengine.cpp:200 : Extract AMC Calculators...
NOTICE [2024-Jan-31 23:32:28.886771] OREAnalytics/orea/engine/amcvaluationengine.cpp:230 : AMCCalculator extracted for "CC_SWAP_EUR_USD"
NOTICE [2024-Jan-31 23:32:28.887775] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building AMC Cube... 1 out of 7 steps (14%) completed
...
NOTICE [2024-Jan-31 23:32:33.753913] OREAnalytics/orea/engine/amcvaluationengine.cpp:305 : Extracted 2 AMCCalculators for 2 source trades
NOTICE [2024-Jan-31 23:32:33.866010] OREAnalytics/orea/engine/amcvaluationengine.cpp:334 : Write ASD, fill internal fx and irState buffers...
...
NOTICE [2024-Jan-31 23:32:43.949031] OREAnalytics/orea/engine/amcvaluationengine.cpp:305 : Extracted 3 AMCCalculators for 3 source trades
NOTICE [2024-Jan-31 23:32:44.059038] OREAnalytics/orea/engine/amcvaluationengine.cpp:334 : Write ASD, fill internal fx and irState buffers...
NOTICE [2024-Jan-31 23:32:46.814556] OREAnalytics/orea/engine/amcvaluationengine.cpp:407 : Run simulation...
...
NOTICE [2024-Jan-31 23:32:48.992483] OREAnalytics/orea/engine/amcvaluationengine.cpp:532 : calibration time : 8.42862 sec
NOTICE [2024-Jan-31 23:32:48.993486] OREAnalytics/orea/engine/amcvaluationengine.cpp:533 : asd time : 0 sec
NOTICE [2024-Jan-31 23:32:48.994482] OREAnalytics/orea/engine/amcvaluationengine.cpp:534 : buffer time : 2.27151 sec
NOTICE [2024-Jan-31 23:32:48.994482] OREAnalytics/orea/engine/amcvaluationengine.cpp:535 : path generation time : 10.6214 sec
NOTICE [2024-Jan-31 23:32:48.995481] OREAnalytics/orea/engine/amcvaluationengine.cpp:536 : valuation time : 2.17618 sec
NOTICE [2024-Jan-31 23:32:48.996481] OREAnalytics/orea/engine/amcvaluationengine.cpp:537 : residual time : 0.171166 sec
NOTICE [2024-Jan-31 23:32:48.997480] OREAnalytics/orea/engine/amcvaluationengine.cpp:538 : total time : 23.6689 sec
NOTICE [2024-Jan-31 23:32:48.998479] OREAnalytics/orea/engine/amcvaluationengine.cpp:539 : AMCValuationEngine finished for one of possibly multiple threads.
NOTICE [2024-Jan-31 23:32:48.999479] OREAnalytics/orea/engine/amcvaluationengine.cpp:540 : RandomVariableStats :
NOTICE [2024-Jan-31 23:32:49.000478] OREAnalytics/orea/engine/amcvaluationengine.cpp:541 : Data Ops : 0 MOPS
NOTICE [2024-Jan-31 23:32:49.001478] OREAnalytics/orea/engine/amcvaluationengine.cpp:542 : Calc Ops : 0 MOPS
NOTICE [2024-Jan-31 23:32:49.002477] OREAnalytics/orea/engine/amcvaluationengine.cpp:543 : Data Timer : 8e-07 sec
NOTICE [2024-Jan-31 23:32:49.002477] OREAnalytics/orea/engine/amcvaluationengine.cpp:544 : Calc Timer : 8e-07 sec
NOTICE [2024-Jan-31 23:32:49.003477] OREAnalytics/orea/engine/amcvaluationengine.cpp:547 : Data Performace : 0 MFLOPS
NOTICE [2024-Jan-31 23:32:49.004476] OREAnalytics/orea/engine/amcvaluationengine.cpp:550 : Calc Performace : 0 MFLOPS
NOTICE [2024-Jan-31 23:32:49.005476] OREAnalytics/orea/engine/amcvaluationengine.cpp:551 : MC Other Timer : 0.0005096 sec
NOTICE [2024-Jan-31 23:32:49.006475] OREAnalytics/orea/engine/amcvaluationengine.cpp:552 : MC Path Timer : 3.48947 sec
NOTICE [2024-Jan-31 23:32:49.007474] OREAnalytics/orea/engine/amcvaluationengine.cpp:553 : MC Calc Timer : 4.91531 sec
NOTICE [2024-Jan-31 23:32:49.038264] OREAnalytics/orea/engine/amcvaluationengine.cpp:800 : Thread 1 successfully finished.
NOTICE [2024-Jan-31 23:33:00.445269] OREAnalytics/orea/engine/amcvaluationengine.cpp:407 : Run simulation...
NOTICE [2024-Jan-31 23:33:01.506900] OREData/ored/utilities/progressbar.cpp:107 : XVA: Building AMC Cube... 8 out of 7 steps (114%) completed
...
NOTICE [2024-Jan-31 23:33:04.995359] OREAnalytics/orea/engine/amcvaluationengine.cpp:532 : calibration time : 19.5613 sec
NOTICE [2024-Jan-31 23:33:04.996357] OREAnalytics/orea/engine/amcvaluationengine.cpp:533 : asd time : 6.66539 sec
NOTICE [2024-Jan-31 23:33:04.997357] OREAnalytics/orea/engine/amcvaluationengine.cpp:534 : buffer time : 1.39566 sec
NOTICE [2024-Jan-31 23:33:04.998346] OREAnalytics/orea/engine/amcvaluationengine.cpp:535 : path generation time : 8.2771 sec
NOTICE [2024-Jan-31 23:33:04.999345] OREAnalytics/orea/engine/amcvaluationengine.cpp:536 : valuation time : 4.54895 sec
NOTICE [2024-Jan-31 23:33:05.000344] OREAnalytics/orea/engine/amcvaluationengine.cpp:537 : residual time : 0.175409 sec
NOTICE [2024-Jan-31 23:33:05.001344] OREAnalytics/orea/engine/amcvaluationengine.cpp:538 : total time : 40.6238 sec
NOTICE [2024-Jan-31 23:33:05.002344] OREAnalytics/orea/engine/amcvaluationengine.cpp:539 : AMCValuationEngine finished for one of possibly multiple threads.
NOTICE [2024-Jan-31 23:33:05.002344] OREAnalytics/orea/engine/amcvaluationengine.cpp:540 : RandomVariableStats :
NOTICE [2024-Jan-31 23:33:05.003342] OREAnalytics/orea/engine/amcvaluationengine.cpp:541 : Data Ops : 0 MOPS
NOTICE [2024-Jan-31 23:33:05.004342] OREAnalytics/orea/engine/amcvaluationengine.cpp:542 : Calc Ops : 0 MOPS
NOTICE [2024-Jan-31 23:33:05.005341] OREAnalytics/orea/engine/amcvaluationengine.cpp:543 : Data Timer : 7e-07 sec
NOTICE [2024-Jan-31 23:33:05.006341] OREAnalytics/orea/engine/amcvaluationengine.cpp:544 : Calc Timer : 8e-07 sec
NOTICE [2024-Jan-31 23:33:05.007340] OREAnalytics/orea/engine/amcvaluationengine.cpp:547 : Data Performace : 0 MFLOPS
NOTICE [2024-Jan-31 23:33:05.007340] OREAnalytics/orea/engine/amcvaluationengine.cpp:550 : Calc Performace : 0 MFLOPS
NOTICE [2024-Jan-31 23:33:05.008340] OREAnalytics/orea/engine/amcvaluationengine.cpp:551 : MC Other Timer : 0.0010791 sec
NOTICE [2024-Jan-31 23:33:05.009339] OREAnalytics/orea/engine/amcvaluationengine.cpp:552 : MC Path Timer : 3.60221 sec
NOTICE [2024-Jan-31 23:33:05.010339] OREAnalytics/orea/engine/amcvaluationengine.cpp:553 : MC Calc Timer : 15.9255 sec
NOTICE [2024-Jan-31 23:33:05.041269] OREAnalytics/orea/engine/amcvaluationengine.cpp:800 : Thread 0 successfully finished.
NOTICE [2024-Jan-31 23:33:05.049265] OREAnalytics/orea/engine/amcvaluationengine.cpp:848 : Finished multi-threaded AMCValuationEngine run.
NOTICE [2024-Jan-31 23:33:05.067585] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:501 : XVA: amcRun completed
NOTICE [2024-Jan-31 23:33:05.068587] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:677 : We have generated an AMC cube only
NOTICE [2024-Jan-31 23:33:05.068587] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:683 : NPV cube generation completed
NOTICE [2024-Jan-31 23:33:05.069586] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:689 : Classic portfolio size 0
NOTICE [2024-Jan-31 23:33:05.070586] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:690 : AMC portfolio size 5
NOTICE [2024-Jan-31 23:33:05.071586] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:696 : Total portfolio size 5
MEMORY [2024-Jan-31 23:33:05.072585] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:725 : 805199872|262340608
NOTICE [2024-Jan-31 23:33:05.073584] OREAnalytics/orea/app/reportwriter.cpp:1420 : Writing cube report
NOTICE [2024-Jan-31 23:33:15.844405] OREAnalytics/orea/app/reportwriter.cpp:1485 : Cube report written
NOTICE [2024-Jan-31 23:33:15.846724] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:66 : For netting-set CPTY_ACSA flag is 0
ALERT [2024-Jan-31 23:33:15.848329] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:553 : dim calculator not set, create RegressionDynamicInitialMarginCalculator
WARNING [2024-Jan-31 23:33:15.849442] OREAnalytics/orea/aggregation/dimcalculator.cpp:70 : cube holds no mpor flows, will assume no flows in the dim calculation
NOTICE [2024-Jan-31 23:33:19.278041] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:565 : baseCurrency EUR
DEBUG [2024-Jan-31 23:33:19.279040] OREData/ored/utilities/correlationmatrix.cpp:105 : Added correlation: ({IR,EUR,0},{IR,GBP,0}) = 0.
...
NOTICE [2024-Jan-31 23:33:19.288424] OREAnalytics/orea/aggregation/postprocess.cpp:89 : cube storage is regular: 0
NOTICE [2024-Jan-31 23:33:19.288424] OREAnalytics/orea/aggregation/postprocess.cpp:90 : cube dates: 88
NOTICE [2024-Jan-31 23:33:19.290605] OREAnalytics/orea/aggregation/postprocess.cpp:137 : Compute netting set NPVs as of today and netting set maturity
NOTICE [2024-Jan-31 23:33:19.291732] OREAnalytics/orea/aggregation/postprocess.cpp:140 : AsOfDate = 2016-02-05
NOTICE [2024-Jan-31 23:33:19.291732] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:100 : DIM Analysis by polynomial regression
WARNING [2024-Jan-31 23:33:19.293819] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:364 : T0 IM Estimation - The estimation time horizon from grid is not sufficiently close to t0+MPOR - 2016-05-06, the T0 IM estimate might be inaccurate. Consider inserting a first grid tenor closer to the dim horizon
NOTICE [2024-Jan-31 23:33:19.295830] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:397 : T0 IM (Reg) - {CPTY_A} = 3.95932e+06
NOTICE [2024-Jan-31 23:33:19.296829] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:398 : T0 IM (Simple) - {CPTY_A} = 4.21113e+06
NOTICE [2024-Jan-31 23:33:19.297829] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:400 : T0 IM Calculations Completed
NOTICE [2024-Jan-31 23:33:19.297829] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:108 : DIM regression polynom order = 2
NOTICE [2024-Jan-31 23:33:19.298828] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:111 : DIM regression dimension = 1
NOTICE [2024-Jan-31 23:33:19.300841] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:120 : DIM confidence level 2.32635
NOTICE [2024-Jan-31 23:33:19.300841] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:127 : Process netting set CPTY_A
NOTICE [2024-Jan-31 23:33:19.301842] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:139 : External IM evolution for netting set CPTY_A has size 0
NOTICE [2024-Jan-31 23:33:19.302841] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:177 : Netting set DIM scaling factor: 1
NOTICE [2024-Jan-31 23:33:19.318832] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 0: x-shift = [ 3.655888e+07 ] x-multiplier = [ 2.299760e-07 ] y-shift = -8.110800e+12 y-multiplier = 1.188669e-13
NOTICE [2024-Jan-31 23:33:19.319832] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 0: [ -0.000865; 0.092769; 0.000865 ]
...
NOTICE [2024-Jan-31 23:33:19.709904] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:270 : Negative variance regression for date 12, sample 2402, regressor = [ -7.25636e+07 ]
...
NOTICE [2024-Jan-31 23:33:19.748882] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 13: x-shift = [ 2.896132e+07 ] x-multiplier = [ 6.773891e-08 ] y-shift = -3.347167e+12 y-multiplier = 1.815025e-13
NOTICE [2024-Jan-31 23:33:19.749883] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 13: [ -0.033000; 0.247850; 0.033000 ]
...
NOTICE [2024-Jan-31 23:33:19.830802] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:270 : Negative variance regression for date 15, sample 181, regressor = [ -7.41301e+07 ]
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NOTICE [2024-Jan-31 23:33:19.878773] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 16: x-shift = [ 2.795510e+07 ] x-multiplier = [ 6.061258e-08 ] y-shift = -3.254014e+12 y-multiplier = 1.805460e-13
NOTICE [2024-Jan-31 23:33:19.879772] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 16: [ -0.009640; 0.267631; 0.009640 ]
...
NOTICE [2024-Jan-31 23:33:19.931744] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 17: x-shift = [ 2.709054e+07 ] x-multiplier = [ 5.918927e-08 ] y-shift = -3.269677e+12 y-multiplier = 1.790123e-13
NOTICE [2024-Jan-31 23:33:19.932744] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 17: [ -0.017474; 0.286023; 0.017474 ]
...
NOTICE [2024-Jan-31 23:33:19.986713] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 18: x-shift = [ 2.726107e+07 ] x-multiplier = [ 5.812281e-08 ] y-shift = -3.191777e+12 y-multiplier = 1.830747e-13
NOTICE [2024-Jan-31 23:33:19.987713] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 18: [ -0.016961; 0.277934; 0.016961 ]
...
NOTICE [2024-Jan-31 23:33:20.030511] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 19: x-shift = [ 2.634873e+07 ] x-multiplier = [ 5.673765e-08 ] y-shift = -2.487549e+12 y-multiplier = 2.387724e-13
NOTICE [2024-Jan-31 23:33:20.031511] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 19: [ -0.006422; 0.283318; 0.006422 ]
...
NOTICE [2024-Jan-31 23:33:20.108468] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 20: x-shift = [ 2.616086e+07 ] x-multiplier = [ 5.515670e-08 ] y-shift = -2.592843e+12 y-multiplier = 2.277862e-13
NOTICE [2024-Jan-31 23:33:20.109465] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 20: [ -0.016076; 0.292325; 0.016076 ]
...
NOTICE [2024-Jan-31 23:33:20.192419] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 21: x-shift = [ 2.539498e+07 ] x-multiplier = [ 5.476837e-08 ] y-shift = -2.571733e+12 y-multiplier = 2.295090e-13
NOTICE [2024-Jan-31 23:33:20.193419] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 21: [ 0.010166; 0.316166; -0.010166 ]
...
NOTICE [2024-Jan-31 23:33:20.368336] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 22: x-shift = [ 2.547066e+07 ] x-multiplier = [ 5.309953e-08 ] y-shift = -2.571658e+12 y-multiplier = 2.299643e-13
NOTICE [2024-Jan-31 23:33:20.370334] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 22: [ -0.008282; 0.309255; 0.008282 ]
...
NOTICE [2024-Jan-31 23:33:20.483503] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 23: x-shift = [ 2.467505e+07 ] x-multiplier = [ 5.251007e-08 ] y-shift = -2.792676e+12 y-multiplier = 2.043627e-13
NOTICE [2024-Jan-31 23:33:20.484503] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 23: [ 0.001240; 0.312735; -0.001240 ]
...
NOTICE [2024-Jan-31 23:33:20.631315] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 24: x-shift = [ 2.449424e+07 ] x-multiplier = [ 5.149295e-08 ] y-shift = -2.601457e+12 y-multiplier = 2.214770e-13
NOTICE [2024-Jan-31 23:33:20.632313] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 24: [ -0.020635; 0.297751; 0.020635 ]
...
NOTICE [2024-Jan-31 23:33:20.694278] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 25: x-shift = [ 2.375245e+07 ] x-multiplier = [ 5.087317e-08 ] y-shift = -2.622762e+12 y-multiplier = 2.125287e-13
NOTICE [2024-Jan-31 23:33:20.696276] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 25: [ -0.025389; 0.318510; 0.025389 ]
...
NOTICE [2024-Jan-31 23:33:20.771234] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 26: x-shift = [ 2.391440e+07 ] x-multiplier = [ 5.006414e-08 ] y-shift = -2.633236e+12 y-multiplier = 2.173439e-13
NOTICE [2024-Jan-31 23:33:20.772232] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 26: [ -0.004444; 0.331980; 0.004444 ]
...
NOTICE [2024-Jan-31 23:33:20.921936] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 27: x-shift = [ 2.316427e+07 ] x-multiplier = [ 4.956736e-08 ] y-shift = -2.811384e+12 y-multiplier = 2.015352e-13
NOTICE [2024-Jan-31 23:33:20.923935] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 27: [ -0.009056; 0.335024; 0.009056 ]
...
NOTICE [2024-Jan-31 23:33:21.102772] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 28: x-shift = [ 2.296664e+07 ] x-multiplier = [ 4.873457e-08 ] y-shift = -2.666958e+12 y-multiplier = 2.111640e-13
NOTICE [2024-Jan-31 23:33:21.104769] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 28: [ -0.015297; 0.329725; 0.015297 ]
...
NOTICE [2024-Jan-31 23:33:21.202714] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 29: x-shift = [ 2.227723e+07 ] x-multiplier = [ 4.838219e-08 ] y-shift = -2.619446e+12 y-multiplier = 2.112859e-13
NOTICE [2024-Jan-31 23:33:21.203715] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 29: [ -0.005913; 0.336767; 0.005913 ]
...
NOTICE [2024-Jan-31 23:33:21.357334] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 30: x-shift = [ 2.237163e+07 ] x-multiplier = [ 4.778520e-08 ] y-shift = -2.641754e+12 y-multiplier = 2.106410e-13
NOTICE [2024-Jan-31 23:33:21.358336] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 30: [ 0.014587; 0.358099; -0.014587 ]
...
NOTICE [2024-Jan-31 23:33:21.727239] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 31: x-shift = [ 2.166724e+07 ] x-multiplier = [ 4.734424e-08 ] y-shift = -2.835139e+12 y-multiplier = 1.878397e-13
NOTICE [2024-Jan-31 23:33:21.728236] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 31: [ -0.009729; 0.343044; 0.009729 ]
...
NOTICE [2024-Jan-31 23:33:21.897065] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 32: x-shift = [ 2.152610e+07 ] x-multiplier = [ 4.667068e-08 ] y-shift = -2.685976e+12 y-multiplier = 1.995042e-13
NOTICE [2024-Jan-31 23:33:21.899061] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 32: [ -0.012574; 0.345953; 0.012574 ]
...
NOTICE [2024-Jan-31 23:33:22.084988] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 33: x-shift = [ 2.081141e+07 ] x-multiplier = [ 4.606094e-08 ] y-shift = -2.647811e+12 y-multiplier = 2.049980e-13
NOTICE [2024-Jan-31 23:33:22.085987] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 33: [ 0.002932; 0.352716; -0.002932 ]
...
NOTICE [2024-Jan-31 23:33:22.281723] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 34: x-shift = [ 2.092108e+07 ] x-multiplier = [ 4.542535e-08 ] y-shift = -2.708095e+12 y-multiplier = 1.990216e-13
NOTICE [2024-Jan-31 23:33:22.282724] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 34: [ -0.006622; 0.364590; 0.006622 ]
...
NOTICE [2024-Jan-31 23:33:22.540647] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 35: x-shift = [ 2.020932e+07 ] x-multiplier = [ 4.485277e-08 ] y-shift = -2.657552e+12 y-multiplier = 2.062498e-13
NOTICE [2024-Jan-31 23:33:22.541645] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 35: [ 0.011282; 0.370862; -0.011282 ]
...
NOTICE [2024-Jan-31 23:33:22.827513] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 36: x-shift = [ 2.004161e+07 ] x-multiplier = [ 4.416947e-08 ] y-shift = -2.775317e+12 y-multiplier = 1.918685e-13
NOTICE [2024-Jan-31 23:33:22.828512] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 36: [ -0.010463; 0.375443; 0.010463 ]
...
NOTICE [2024-Jan-31 23:33:23.080456] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 37: x-shift = [ 1.942287e+07 ] x-multiplier = [ 4.357311e-08 ] y-shift = -2.728952e+12 y-multiplier = 1.977305e-13
NOTICE [2024-Jan-31 23:33:23.081456] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 37: [ 0.013980; 0.391399; -0.013980 ]
...
NOTICE [2024-Jan-31 23:33:23.401110] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 38: x-shift = [ 1.957212e+07 ] x-multiplier = [ 4.318264e-08 ] y-shift = -2.715315e+12 y-multiplier = 1.910293e-13
NOTICE [2024-Jan-31 23:33:23.402112] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 38: [ 0.005486; 0.370777; -0.005486 ]
...
NOTICE [2024-Jan-31 23:33:23.727075] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 39: x-shift = [ -4.239127e+05 ] x-multiplier = [ 5.111276e-07 ] y-shift = -1.848494e+10 y-multiplier = 2.774858e-11
NOTICE [2024-Jan-31 23:33:23.728074] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 39: [ -0.129474; -0.236511; 0.129474 ]
...
NOTICE [2024-Jan-31 23:33:24.200738] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:270 : Negative variance regression for date 53, sample 0, regressor = [ 283791 ]
...
NOTICE [2024-Jan-31 23:33:25.920917] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:246 : DIM data normalisation at time step 54: x-shift = [ -6.602511e+04 ] x-multiplier = [ 7.486876e-07 ] y-shift = -6.808687e+09 y-multiplier = 7.430246e-11
NOTICE [2024-Jan-31 23:33:25.921918] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:248 : DIM regression coefficients at time step 54: [ -0.080550; -0.127830; 0.080550 ]
...
NOTICE [2024-Jan-31 23:33:26.807739] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:235 : DIM: Zero std dev estimation at step 80
...
NOTICE [2024-Jan-31 23:33:26.883696] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:298 : DIM by polynomial regression done
NOTICE [2024-Jan-31 23:33:26.884695] OREAnalytics/orea/aggregation/exposurecalculator.cpp:72 : Compute trade exposure profiles, regular (flipViewXVA = N)
NOTICE [2024-Jan-31 23:33:26.885694] OREAnalytics/orea/aggregation/exposurecalculator.cpp:78 : Aggregate exposure for trade BermSwp
DEBUG [2024-Jan-31 23:33:26.903012] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:33:26.904026] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:26.905024] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:33:27.817942] OREAnalytics/orea/aggregation/exposurecalculator.cpp:78 : Aggregate exposure for trade CC_SWAP_EUR_USD
...
ALERT [2024-Jan-31 23:33:27.819941] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:27.821940] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:33:28.613570] OREAnalytics/orea/aggregation/exposurecalculator.cpp:78 : Aggregate exposure for trade FX_CALL_OPTION
...
ALERT [2024-Jan-31 23:33:28.615568] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:28.617567] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:33:29.417735] OREAnalytics/orea/aggregation/exposurecalculator.cpp:78 : Aggregate exposure for trade Swap_EUR
...
ALERT [2024-Jan-31 23:33:29.419734] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:29.421733] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:33:30.339430] OREAnalytics/orea/aggregation/exposurecalculator.cpp:78 : Aggregate exposure for trade Swap_USD
...
ALERT [2024-Jan-31 23:33:30.342428] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:30.346426] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:33:31.322388] OREAnalytics/orea/aggregation/nettedexposurecalculator.cpp:96 : Compute netting set exposure profiles
NOTICE [2024-Jan-31 23:33:31.342375] OREAnalytics/orea/aggregation/nettedexposurecalculator.cpp:154 : Aggregate exposure for netting set CPTY_A
NOTICE [2024-Jan-31 23:33:31.344349] OREAnalytics/orea/aggregation/nettedexposurecalculator.cpp:405 : CSA missing or inactive for netting set CPTY_A
DEBUG [2024-Jan-31 23:33:31.344349] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:33:31.345351] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:31.347349] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:33:31.465282] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade BermSwp, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:33:31.467281] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:31.469280] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:33:31.470279] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:33:31.472742] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:33:31.473742] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_BORROW
DEBUG [2024-Jan-31 23:33:31.475739] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-ZERO-CONVENTIONS-TENOR-BASED
DEBUG [2024-Jan-31 23:33:31.477738] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_BORROW built
DEBUG [2024-Jan-31 23:33:31.478737] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_BORROW" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:33:31.479737] 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 23:33:31.480736] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_BORROW,Yield/EUR/BANK_EUR_BORROW) in configuration default
DEBUG [2024-Jan-31 23:33:31.482738] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:33:31.483734] 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 23:33:31.484734] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:33:31.485733] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_BORROW) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:33:31.486732] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:31.488731] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:33:31.494729] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:33:31.495728] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(EUR,Yield/EUR/EUR1D) (already built)
...
DEBUG [2024-Jan-31 23:33:31.498726] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 5th, 2016
DEBUG [2024-Jan-31 23:33:31.499725] OREData/ored/marketdata/yieldcurve.cpp:258 : Building ZeroSpreadedCurve Yield/EUR/BANK_EUR_LEND
DEBUG [2024-Jan-31 23:33:31.500725] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/BANK_EUR_LEND built
DEBUG [2024-Jan-31 23:33:31.501724] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/BANK_EUR_LEND" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:33:31.502723] 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 23:33:31.504722] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(BANK_EUR_LEND,Yield/EUR/BANK_EUR_LEND) in configuration default
DEBUG [2024-Jan-31 23:33:31.505722] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:33:31.506721] 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 23:33:31.507721] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:33:31.509720] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(BANK_EUR_LEND) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:33:31.511719] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:31.514717] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:33:31.518715] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:33:31.519715] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #56: DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) (not yet built)
DEBUG [2024-Jan-31 23:33:31.521715] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:33:31.523649] OREData/ored/marketdata/defaultcurve.cpp:554 : Start building default curve of type HazardRate for curve CPTY_A_SR_USD
DEBUG [2024-Jan-31 23:33:31.524648] OREData/ored/configuration/conventions.cpp:2587 : Building Convention CDS-STANDARD-CONVENTIONS
NOTICE [2024-Jan-31 23:33:31.525647] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve CPTY_A_SR_USD
DATA [2024-Jan-31 23:33:31.527647] 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 23:33:31.539640] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve CPTY_A_SR_USD using 11 default quotes of 11 requested quotes.
NOTICE [2024-Jan-31 23:33:31.540639] OREData/ored/marketdata/defaultcurve.cpp:586 : DefaultCurve: set up interpolated hazard rate curve
DEBUG [2024-Jan-31 23:33:31.543637] OREData/ored/marketdata/defaultcurve.cpp:593 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:33:31.544639] OREData/ored/marketdata/defaultcurve.cpp:604 : Finished building default curve of type HazardRate for curve CPTY_A_SR_USD
DEBUG [2024-Jan-31 23:33:31.545639] 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 23:33:31.546637] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(CPTY_A,Default/USD/CPTY_A_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:33:31.548636] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:33:31.549634] OREData/ored/marketdata/todaysmarket.cpp:823 : market object Securities(CPTY_A) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:33:31.550633] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:31.552632] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DATA [2024-Jan-31 23:33:31.557631] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:33:31.558630] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #22: IndexCurve(USD-FedFunds,Yield/USD/USD1D) (already built)
...
DEBUG [2024-Jan-31 23:33:31.561628] OREData/ored/marketdata/todaysmarket.cpp:509 : Building DefaultCurve for asof February 5th, 2016
NOTICE [2024-Jan-31 23:33:31.562628] OREData/ored/marketdata/defaultcurve.cpp:309 : Start building default curve of type SpreadCDS for curve BANK_SR_USD
NOTICE [2024-Jan-31 23:33:31.563628] OREData/ored/marketdata/defaultcurve.cpp:176 : Loading explicit quotes for default curve BANK_SR_USD
DATA [2024-Jan-31 23:33:31.564627] 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 23:33:31.573620] OREData/ored/marketdata/defaultcurve.cpp:202 : DefaultCurve BANK_SR_USD using 7 default quotes of 7 requested quotes.
DATA [2024-Jan-31 23:33:31.579618] OREData/ored/marketdata/defaultcurve.cpp:526 : 2016-12-20,0.985311623
...
DEBUG [2024-Jan-31 23:33:31.589612] OREData/ored/marketdata/defaultcurve.cpp:541 : DefaultCurve: Enabled Extrapolation
NOTICE [2024-Jan-31 23:33:31.590612] OREData/ored/marketdata/defaultcurve.cpp:548 : Finished building default curve of type SpreadCDS for curve BANK_SR_USD
DEBUG [2024-Jan-31 23:33:31.592609] OREData/ored/marketdata/todaysmarket.cpp:515 : Adding DefaultCurve (BANK) with spec Default/USD/BANK_SR_USD to configuration default
DEBUG [2024-Jan-31 23:33:31.593609] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DefaultCurve(BANK,Default/USD/BANK_SR_USD) in configuration default
DEBUG [2024-Jan-31 23:33:31.594608] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:33:31.595607] OREData/ored/marketdata/todaysmarket.cpp:823 : market object Securities(BANK) required for configuration 'collateral_eur'
ALERT [2024-Jan-31 23:33:31.596607] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:31.598606] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:31.602603] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:33:34.545298] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade CC_SWAP_EUR_USD, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:33:34.547296] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:34.549293] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:33:34.550295] 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 23:33:34.551293] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:34.553293] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:34.555292] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:34.561288] 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 23:33:34.562288] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:34.564287] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:34.566286] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:34.574281] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:34.578279] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:34.582276] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:34.588270] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:33:37.388778] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade FX_CALL_OPTION, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:33:37.390777] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:37.391776] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:33:37.392775] 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 23:33:37.393775] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:37.395774] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:37.397772] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:37.401770] 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 23:33:37.402769] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:37.403769] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:37.405768] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:37.412764] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:37.415762] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:37.419760] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:37.422758] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:33:40.303911] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade Swap_EUR, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:33:40.305910] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:40.307909] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:33:40.308908] 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 23:33:40.309908] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:40.310907] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:40.312906] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:40.316904] 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 23:33:40.317903] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:40.319902] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:40.320902] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:40.327898] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:40.331895] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:40.334894] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:40.337892] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:33:43.258776] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade Swap_USD, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:33:43.261775] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:43.263771] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:33:43.264774] 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 23:33:43.265773] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:43.268768] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:43.272768] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:43.281996] 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 23:33:43.282993] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:43.284992] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:43.286991] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:43.299986] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:43.304983] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:43.311976] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:43.318972] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:33:46.346912] OREAnalytics/orea/aggregation/xvacalculator.cpp:371 : Update XVA for netting set CPTY_A, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:33:46.346912] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:46.346912] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:46.346912] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:46.346912] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:46.362538] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:46.362538] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:33:46.362538] 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 23:33:46.362538] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:46.362538] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:46.378172] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:46.378172] 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 23:33:46.378172] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:46.378172] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:46.378172] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:33:50.331919] OREAnalytics/orea/aggregation/exposureallocator.cpp:44 : Compute allocated trade exposures
NOTICE [2024-Jan-31 23:33:50.332931] OREAnalytics/orea/aggregation/exposureallocator.cpp:64 : Completed calculating allocated trade exposures
...
ALERT [2024-Jan-31 23:33:50.333931] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:50.335929] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:33:50.336928] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade BermSwp, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:33:50.337928] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:50.339927] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:33:50.340926] 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 23:33:50.341926] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:50.343924] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:50.344924] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:50.349922] 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 23:33:50.349922] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:50.351920] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:50.353919] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:50.359916] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:50.363902] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:50.367900] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:50.370898] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:33:53.274946] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade CC_SWAP_EUR_USD, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:33:53.277933] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:53.280931] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:33:53.282930] 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 23:33:53.283930] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:53.285928] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:53.287929] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:53.294934] 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 23:33:53.296929] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:53.300920] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:53.303929] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:53.312912] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:53.317912] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:53.322910] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:53.326906] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:33:56.318972] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade FX_CALL_OPTION, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:33:56.320971] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:56.321970] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:33:56.322970] 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 23:33:56.323969] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:56.325968] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:56.326967] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:56.331964] 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 23:33:56.331964] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:56.333952] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:56.335962] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:56.342958] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:56.345956] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:56.348955] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:56.352944] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:33:59.242429] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade Swap_EUR, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:33:59.244428] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:59.246427] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:33:59.246427] 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 23:33:59.247426] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:59.249425] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:59.251425] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:59.255422] 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 23:33:59.256422] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:33:59.258421] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:33:59.259420] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:59.266415] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:59.269403] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:33:59.273175] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:33:59.276173] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:34:02.095236] OREAnalytics/orea/aggregation/xvacalculator.cpp:288 : Update XVA for trade Swap_USD, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:34:02.097235] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:34:02.098235] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:34:02.099234] 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 23:34:02.100234] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:34:02.102233] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:34:02.103232] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:34:02.108230] 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 23:34:02.108230] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:34:02.110228] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:34:02.112227] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:34:02.118223] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:34:02.122222] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:34:02.125219] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:34:02.129217] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:34:05.209979] OREAnalytics/orea/aggregation/xvacalculator.cpp:371 : Update XVA for netting set CPTY_A, regular (flipViewXVA = N)
...
ALERT [2024-Jan-31 23:34:05.210980] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:34:05.212979] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:34:05.215977] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:34:05.219975] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:34:05.222974] OREData/ored/marketdata/todaysmarket.cpp:874 : not found, do nothing
...
DEBUG [2024-Jan-31 23:34:05.226973] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:34:05.226973] 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 23:34:05.227971] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_BORROW' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:34:05.229968] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:34:05.231967] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:34:05.235965] 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 23:34:05.236964] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'BANK_EUR_LEND' - look for a genuine yield curve
...
ALERT [2024-Jan-31 23:34:05.237963] OREData/ored/marketdata/todaysmarket.cpp:831 : StructuredMessage { "category": "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 23:34:05.239963] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:34:08.753005] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:582 : post done
NOTICE [2024-Jan-31 23:34:08.754004] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:767 : Generating XVA reports and cube outputs
NOTICE [2024-Jan-31 23:34:08.756663] OREAnalytics/orea/app/reportwriter.cpp:1420 : Writing cube report
NOTICE [2024-Jan-31 23:34:09.597786] OREAnalytics/orea/app/reportwriter.cpp:1485 : Cube report written
NOTICE [2024-Jan-31 23:34:09.598786] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:423 : Export DIM evolution for netting set CPTY_A
NOTICE [2024-Jan-31 23:34:09.622325] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:446 : Exporting expected DIM through time done
NOTICE [2024-Jan-31 23:34:09.624002] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:458 : Export DIM by sample for netting set CPTY_A and time step 0
NOTICE [2024-Jan-31 23:34:09.633013] OREAnalytics/orea/aggregation/dimregressioncalculator.cpp:514 : Exporting DIM by Sample done for
WARNING [2024-Jan-31 23:34:09.635009] OREAnalytics/orea/app/analytic.cpp:86 : 3102400512|3102396416
NOTICE [2024-Jan-31 23:34:09.636008] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'XVA' finished.
DEBUG [2024-Jan-31 23:34:09.637007] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve EUR1D for label as it has already been added
...
DEBUG [2024-Jan-31 23:34:09.647001] OREAnalytics/orea/app/marketcalibrationreport.cpp:302 : Skipping curve EURUSD for label as it has already been added
DEBUG [2024-Jan-31 23:34:09.648001] OREAnalytics/orea/app/marketcalibrationreport.cpp:395 : Skipping curve SwaptionVolatility/EUR/EUR_SW_N for label as it has already been added
NOTICE [2024-Jan-31 23:34:09.649001] OREAnalytics/orea/app/reportwriter.cpp:1399 : Writing Pricing stats report
NOTICE [2024-Jan-31 23:34:09.650229] OREAnalytics/orea/app/reportwriter.cpp:1415 : Pricing stats report written
NOTICE [2024-Jan-31 23:34:09.651250] OREAnalytics/orea/app/analyticsmanager.cpp:239 : report name cashflow occurs 1 times
...
NOTICE [2024-Jan-31 23:34:09.669449] OREData/ored/report/csvreport.cpp:107 : Opening CSV file report 'Output/flows.csv'
NOTICE [2024-Jan-31 23:34:09.674615] OREData/ored/report/csvreport.cpp:190 : CSV file report 'Output/flows.csv' closed.
NOTICE [2024-Jan-31 23:34:09.675615] OREAnalytics/orea/app/analyticsmanager.cpp:282 : report cashflow written to Output/flows.csv
...
NOTICE [2024-Jan-31 23:34:50.550812] OREAnalytics/orea/app/oreapp.cpp:263 : write npv cube cube
NOTICE [2024-Jan-31 23:34:50.551810] OREAnalytics/orea/app/oreapp.cpp:266 : write npv cube cube to file Output/cube.csv.gz
NOTICE [2024-Jan-31 23:35:19.815450] OREAnalytics/orea/app/oreapp.cpp:276 : write market cube scenariodata to file Output/scenariodata.csv.gz
WARNING [2024-Jan-31 23:35:37.768888] OREAnalytics/orea/app/oreapp.cpp:290 : 3102564352|3102560256
NOTICE [2024-Jan-31 23:35:37.769881] OREAnalytics/orea/app/oreapp.cpp:291 : ORE analytics done
NOTICE [2024-Jan-31 23:35:37.771878] OREAnalytics/orea/app/oreapp.cpp:397 : ORE done.