NOTICE [2024-Jan-31 23:35:38.992076] OREAnalytics/orea/app/parameters.cpp:133 : Parameters:
NOTICE [2024-Jan-31 23:35:38.994088] OREAnalytics/orea/app/parameters.cpp:136 : group = markets : fxcalibration = default
...
NOTICE [2024-Jan-31 23:35:39.014069] OREAnalytics/orea/app/oreapp.cpp:462 : buildInputParameters called
WARNING [2024-Jan-31 23:35:39.015076] OREAnalytics/orea/app/oreapp.cpp:484 : Calendar adjustments not found, using defaults
WARNING [2024-Jan-31 23:35:39.016075] OREAnalytics/orea/app/oreapp.cpp:495 : Currency configurations not found, using defaults
NOTICE [2024-Jan-31 23:35:39.017075] OREAnalytics/orea/app/oreapp.cpp:555 : Observation Mode is None
WARNING [2024-Jan-31 23:35:39.018074] OREAnalytics/orea/app/oreapp.cpp:568 : Reference data not found
WARNING [2024-Jan-31 23:35:39.019073] OREAnalytics/orea/app/oreapp.cpp:578 : Script library not loaded
NOTICE [2024-Jan-31 23:35:39.019073] OREAnalytics/orea/app/oreapp.cpp:583 : Loading conventions from file: Input/conventions.xml
DEBUG [2024-Jan-31 23:35:39.030881] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention JPY-3M-FRA
...
DEBUG [2024-Jan-31 23:35:39.041875] OREData/ored/configuration/conventions.cpp:2449 : Building Convention USD-JPY-FX
...
WARNING [2024-Jan-31 23:35:39.047871] OREAnalytics/orea/app/oreapp.cpp:594 : Using default Ibor fallback config
NOTICE [2024-Jan-31 23:35:39.048871] OREAnalytics/orea/app/oreapp.cpp:599 : Load curve configurations from file:
NOTICE [2024-Jan-31 23:35:39.064650] OREAnalytics/orea/app/oreapp.cpp:608 : Load pricing engine data from file: Input/pricingengine.xml
DEBUG [2024-Jan-31 23:35:39.074163] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:35:39.075162] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngine
NOTICE [2024-Jan-31 23:35:39.075162] OREAnalytics/orea/app/oreapp.cpp:617 : Loading today's market parameters from fileInput/todaysmarket.xml
DEBUG [2024-Jan-31 23:35:39.086469] OREData/ored/marketdata/todaysmarketparameters.cpp:322 : TodaysMarketParameters, add market objects of type DiscountCurve: default USD Yield/USD/USD-FedFunds
...
NOTICE [2024-Jan-31 23:35:39.090467] OREAnalytics/orea/app/inputparameters.cpp:143 : Loading portfolio from file: Input/portfolio.xml
DEBUG [2024-Jan-31 23:35:39.102030] OREData/ored/portfolio/portfolio.cpp:58 : Parsing trade id:Composite_Equity_Swap
WARNING [2024-Jan-31 23:35:39.104543] OREData/ored/portfolio/compositetrade.cpp:140 : Empty component trade id being overwritten in composite trade Composite_Equity_Swap.
DEBUG [2024-Jan-31 23:35:39.105654] OREData/ored/portfolio/compositetrade.cpp:143 : Parsing composite trade Composite_Equity_Swap node 0 with id: Composite_Equity_Swap_0
DEBUG [2024-Jan-31 23:35:39.108202] OREData/ored/portfolio/compositetrade.cpp:154 : Added Trade Composite_Equity_Swap_0 (Composite_Equity_Swap_0) type:EquitySwap to composite trade Composite_Equity_Swap.
...
NOTICE [2024-Jan-31 23:35:39.111202] OREData/ored/portfolio/compositetrade.cpp:159 : Finished Parsing XML doc
DEBUG [2024-Jan-31 23:35:39.112202] OREData/ored/portfolio/portfolio.cpp:68 : Added Trade Composite_Equity_Swap (Composite_Equity_Swap) type:CompositeTrade
NOTICE [2024-Jan-31 23:35:39.113201] OREData/ored/portfolio/portfolio.cpp:95 : Finished Parsing XML doc
NOTICE [2024-Jan-31 23:35:39.114200] OREAnalytics/orea/app/oreapp.cpp:636 : MarketContext::fxcalibration = default
...
NOTICE [2024-Jan-31 23:35:39.117202] OREAnalytics/orea/app/oreapp.cpp:1398 : buildInputParameters done
NOTICE [2024-Jan-31 23:35:39.118201] OREAnalytics/orea/app/inputparameters.cpp:463 : OutputFileNameMap called
NOTICE [2024-Jan-31 23:35:39.119200] OREAnalytics/orea/app/inputparameters.cpp:527 : OutputFileNameMap complete
NOTICE [2024-Jan-31 23:35:39.120733] OREAnalytics/orea/app/oreapp.cpp:221 : ORE analytics starting
WARNING [2024-Jan-31 23:35:39.120733] OREAnalytics/orea/app/oreapp.cpp:222 : 7774208|7770112
DEBUG [2024-Jan-31 23:35:39.121739] OREData/ored/marketdata/market.cpp:98 : Building default PseudoCurrencyMarketParameters
DEBUG [2024-Jan-31 23:35:39.122738] OREData/ored/marketdata/market.cpp:100 : PseudoCurrencyMarketParameters { TreatAsFX:True, BaseCurrency:}
...
WARNING [2024-Jan-31 23:35:39.125736] OREAnalytics/orea/app/oreapp.cpp:210 : dividend data file not found
NOTICE [2024-Jan-31 23:35:39.126735] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/market.txt
DATA [2024-Jan-31 23:35:39.138552] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum EQUITY_FWD/PRICE/RIC:.SPX/USD/2021-03-04
...
NOTICE [2024-Jan-31 23:35:39.266489] OREData/ored/marketdata/csvloader.cpp:166 : CSVLoader completed processing Input/market.txt
NOTICE [2024-Jan-31 23:35:39.267488] OREData/ored/marketdata/csvloader.cpp:78 : CSVLoader loaded 133 market data points for February 25th, 2021
NOTICE [2024-Jan-31 23:35:39.268488] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/fixings.txt
...
NOTICE [2024-Jan-31 23:35:39.279424] OREData/ored/marketdata/csvloader.cpp:83 : CSVLoader loaded 1 fixings
NOTICE [2024-Jan-31 23:35:39.280423] OREData/ored/marketdata/csvloader.cpp:88 : CSVLoader loaded 0 dividends
NOTICE [2024-Jan-31 23:35:39.281422] OREData/ored/marketdata/csvloader.cpp:90 : CSVLoader complete.
NOTICE [2024-Jan-31 23:35:39.282421] OREAnalytics/orea/app/analyticsmanager.cpp:77 : register analytic with label 'MARKETDATA' and sub-analytics MARKETDATA
...
NOTICE [2024-Jan-31 23:35:39.284420] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:48 : XvaAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:35:39.288418] OREAnalytics/orea/app/analytics/scenariostatisticsanalytic.cpp:42 : ScenarioStatisticsAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:35:39.289417] 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 23:35:39.291418] OREAnalytics/orea/app/oreapp.cpp:242 : Requested analytics: NPV
NOTICE [2024-Jan-31 23:35:39.292417] OREAnalytics/orea/app/analyticsmanager.cpp:142 : AnalyticsManager::runAnalytics: requireMarketData Y
NOTICE [2024-Jan-31 23:35:39.293415] OREAnalytics/orea/app/analyticsmanager.cpp:147 : AnalyticsManager::runAnalytics: populate loader
NOTICE [2024-Jan-31 23:35:39.294414] OREAnalytics/orea/app/marketdatacsvloader.cpp:78 : MarketDataCsvLoader::retrieveFixings called: all fixings ? Y
NOTICE [2024-Jan-31 23:35:39.294414] OREAnalytics/orea/app/marketdataloader.cpp:264 : Adding the loaded fixings to the IndexManager
WARNING [2024-Jan-31 23:35:39.296414] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 25th, 2021, using conventions from null date
DATA [2024-Jan-31 23:35:39.298412] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DATA [2024-Jan-31 23:35:39.299412] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-3M (2021-02-18) value:0.0018238
NOTICE [2024-Jan-31 23:35:39.300411] OREData/ored/marketdata/fixings.cpp:68 : Added 1 of 1 fixings in 0.003919 seconds
NOTICE [2024-Jan-31 23:35:39.300411] OREAnalytics/orea/app/marketdataloader.cpp:268 : Generating market datum set
DEBUG [2024-Jan-31 23:35:39.301410] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/USD/USD-FedFunds
...
NOTICE [2024-Jan-31 23:35:39.400182] OREAnalytics/orea/app/marketdataloader.cpp:286 : CurveConfigs require 53 quotes
DATA [2024-Jan-31 23:35:39.401182] OREData/ored/marketdata/inmemoryloader.cpp:113 : Added MarketDatum BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/10Y
...
NOTICE [2024-Jan-31 23:35:39.518307] OREAnalytics/orea/app/marketdataloader.cpp:293 : Got market data
NOTICE [2024-Jan-31 23:35:39.519306] OREAnalytics/orea/app/reportwriter.cpp:1324 : Writing MarketData report
NOTICE [2024-Jan-31 23:35:39.524069] OREAnalytics/orea/app/reportwriter.cpp:1363 : MarketData report written
NOTICE [2024-Jan-31 23:35:39.525081] OREAnalytics/orea/app/reportwriter.cpp:1368 : Writing Fixings report
NOTICE [2024-Jan-31 23:35:39.526080] OREAnalytics/orea/app/reportwriter.cpp:1377 : Fixings report written
NOTICE [2024-Jan-31 23:35:39.526080] OREAnalytics/orea/app/reportwriter.cpp:1382 : Writing Dividends report
NOTICE [2024-Jan-31 23:35:39.527860] OREAnalytics/orea/app/reportwriter.cpp:1394 : Dividends report written
NOTICE [2024-Jan-31 23:35:39.527860] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'PRICING'
WARNING [2024-Jan-31 23:35:39.528872] OREAnalytics/orea/app/analytic.cpp:83 : 9289728|9285632
NOTICE [2024-Jan-31 23:35:39.529873] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:35:39.530862] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
WARNING [2024-Jan-31 23:35:39.531861] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 25th, 2021, using conventions from null date
DATA [2024-Jan-31 23:35:39.532861] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DATA [2024-Jan-31 23:35:39.533859] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-LIBOR-3M (2021-02-18) value:0.0018238
NOTICE [2024-Jan-31 23:35:39.534859] OREData/ored/marketdata/fixings.cpp:68 : Added 1 of 1 fixings in 0.003014 seconds
NOTICE [2024-Jan-31 23:35:39.535859] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:35:39.536858] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:35:39.537857] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:35:39.538857] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
NOTICE [2024-Jan-31 23:35:39.538857] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 0 quotes, 0 currencies.
NOTICE [2024-Jan-31 23:35:39.539856] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
WARNING [2024-Jan-31 23:35:39.540856] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 25th, 2021, using conventions from null date
DATA [2024-Jan-31 23:35:39.541855] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(USD,Yield/USD/USD-FedFunds)
...
DATA [2024-Jan-31 23:35:39.545850] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #2 IndexCurve(USD-LIBOR-3M,Yield/USD/USD-LIBOR-3M) to #0 DiscountCurve(USD,Yield/USD/USD-FedFunds)
...
DEBUG [2024-Jan-31 23:35:39.547850] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 4 vertices, 2 edges.
NOTICE [2024-Jan-31 23:35:39.548860] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration inccy
WARNING [2024-Jan-31 23:35:39.549860] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 25th, 2021, using conventions from null date
DATA [2024-Jan-31 23:35:39.549860] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(USD,Yield/USD/USD-FedFunds)
...
DATA [2024-Jan-31 23:35:39.553857] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #2 IndexCurve(USD-LIBOR-3M,Yield/USD/USD-LIBOR-3M) to #0 DiscountCurve(USD,Yield/USD/USD-FedFunds)
...
DEBUG [2024-Jan-31 23:35:39.554856] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 4 vertices, 2 edges.
NOTICE [2024-Jan-31 23:35:39.555855] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:35:39.556854] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:35:39.557854] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 3.88 ms 1 3.88 ms
...
NOTICE [2024-Jan-31 23:35:39.560853] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 21.5064 ms
NOTICE [2024-Jan-31 23:35:39.561852] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 0.031069 sec
NOTICE [2024-Jan-31 23:35:39.563840] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 1
NOTICE [2024-Jan-31 23:35:39.564851] OREAnalytics/orea/app/analytic.cpp:209 : Build the portfolio
NOTICE [2024-Jan-31 23:35:39.565849] OREAnalytics/orea/app/analytic.cpp:138 : Analytic::engineFactory() called
NOTICE [2024-Jan-31 23:35:39.566849] OREAnalytics/orea/app/analytic.cpp:148 : MarketContext::pricing = default
NOTICE [2024-Jan-31 23:35:39.567848] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:35:39.568848] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 1 for context = 'analytic/PRICING'
DEBUG [2024-Jan-31 23:35:39.570597] OREData/ored/portfolio/compositetrade.cpp:34 : Building Composite Trade: Composite_Equity_Swap
DEBUG [2024-Jan-31 23:35:39.571709] OREData/ored/portfolio/equityswap.cpp:50 : EquitySwap::build() called for Composite_Equity_Swap_0
DEBUG [2024-Jan-31 23:35:39.573178] OREData/ored/portfolio/equityswap.cpp:66 : adding indexing information from equity leg to funding leg
DEBUG [2024-Jan-31 23:35:39.574191] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.SPX) required for configuration 'default'
DATA [2024-Jan-31 23:35:39.575185] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:35:39.576191] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(USD,Yield/USD/USD-FedFunds) (not yet built)
...
WARNING [2024-Jan-31 23:35:39.577189] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for February 25th, 2021, using conventions from null date
DEBUG [2024-Jan-31 23:35:39.578189] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 25th, 2021
DEBUG [2024-Jan-31 23:35:39.580182] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-FedFunds
DEBUG [2024-Jan-31 23:35:39.581190] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-ON-DEPOSIT"
...
DEBUG [2024-Jan-31 23:35:39.583186] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-ON-DEPOSIT
...
DATA [2024-Jan-31 23:35:39.585184] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:35:39.587183] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-OIS"
...
DEBUG [2024-Jan-31 23:35:39.589182] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-OIS
...
DATA [2024-Jan-31 23:35:39.591181] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:35:39.593179] OREData/ored/marketdata/loader.cpp:76 : Could not find quote for ID IR_SWAP/RATE/USD/2D/1D/1W with as of date 2021-02-25.
...
DEBUG [2024-Jan-31 23:35:39.596178] OREData/ored/marketdata/yieldcurve.cpp:1777 : Adding Segment Average OIS with conventions "USD-AVERAGE-OIS"
DEBUG [2024-Jan-31 23:35:39.597178] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-AVERAGE-OIS
DATA [2024-Jan-31 23:35:39.598548] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'FedFundsON Actual/360' <-> 'USD-FedFunds'
...
DEBUG [2024-Jan-31 23:35:39.608031] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 23 instruments
DEBUG [2024-Jan-31 23:35:39.617045] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-FedFunds built
DEBUG [2024-Jan-31 23:35:39.618060] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-FedFunds" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:35:39.619058] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-FedFunds to configuration default
DEBUG [2024-Jan-31 23:35:39.620058] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-FedFunds) in configuration default
DEBUG [2024-Jan-31 23:35:39.621057] OREData/ored/marketdata/todaysmarket.cpp:644 : Building EquityCurve for asof February 25th, 2021
DEBUG [2024-Jan-31 23:35:39.623357] OREData/ored/marketdata/equitycurve.cpp:111 : Wild card quote specified for RIC:.SPX
DEBUG [2024-Jan-31 23:35:39.623357] OREData/ored/marketdata/equitycurve.cpp:138 : EquityCurve Forward Price found for quote: EQUITY_FWD/PRICE/RIC:.SPX/USD/2021-03-11
...
DEBUG [2024-Jan-31 23:35:39.634364] OREData/ored/marketdata/equitycurve.cpp:223 : EquityCurve: read 13 quotes of type ForwardPrice
DEBUG [2024-Jan-31 23:35:39.635363] OREData/ored/marketdata/equitycurve.cpp:224 : EquityCurve: ignored 0 expired quotes.
DEBUG [2024-Jan-31 23:35:39.636362] OREData/ored/marketdata/equitycurve.cpp:266 : Building Equity Dividend Yield curve from Forward/Future prices
DEBUG [2024-Jan-31 23:35:39.639175] OREData/ored/marketdata/todaysmarket.cpp:652 : Adding EquityCurve (RIC:.SPX) with spec Equity/USD/RIC:.SPX to configuration default
DATA [2024-Jan-31 23:35:39.639175] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.SPX' <-> 'EQ-RIC:.SPX'
DEBUG [2024-Jan-31 23:35:39.640188] OREData/ored/marketdata/todaysmarket.cpp:914 : built node EquityCurves(RIC:.SPX,Equity/USD/RIC:.SPX) in configuration default
DEBUG [2024-Jan-31 23:35:39.641187] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:35:39.642955] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:35:39.642955] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:35:39.647434] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Composite_Equity_Swap_0
DEBUG [2024-Jan-31 23:35:39.648446] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'default'
DATA [2024-Jan-31 23:35:39.648446] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:35:39.649445] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(USD,Yield/USD/USD-FedFunds) (already built)
...
DEBUG [2024-Jan-31 23:35:39.651444] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof February 25th, 2021
DEBUG [2024-Jan-31 23:35:39.652443] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-LIBOR-3M
DEBUG [2024-Jan-31 23:35:39.653443] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-DEPOSIT"
DEBUG [2024-Jan-31 23:35:39.654443] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-DEPOSIT
DEBUG [2024-Jan-31 23:35:39.655441] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(USD-LIBOR) failed: parseIborIndex "USD-LIBOR" not recognized
DATA [2024-Jan-31 23:35:39.655441] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:35:39.656441] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "USD-3M-FRA"
...
DEBUG [2024-Jan-31 23:35:39.667435] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "USD-LIBOR-3M-SWAP"
DEBUG [2024-Jan-31 23:35:39.668435] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-LIBOR-3M-SWAP
...
DEBUG [2024-Jan-31 23:35:39.695408] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 26 instruments
DEBUG [2024-Jan-31 23:35:39.721393] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-LIBOR-3M built
DEBUG [2024-Jan-31 23:35:39.722393] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-LIBOR-3M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:35:39.723392] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-LIBOR-3M) with spec Yield/USD/USD-LIBOR-3M to configuration default
DATA [2024-Jan-31 23:35:39.724391] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
DEBUG [2024-Jan-31 23:35:39.725391] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-LIBOR-3M,Yield/USD/USD-LIBOR-3M) in configuration default
DEBUG [2024-Jan-31 23:35:39.725391] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:35:39.726390] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:35:39.727390] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:35:39.731391] OREData/ored/portfolio/legdata.cpp:2627 : apply indexing (index='EQ-RIC:.SPX') to leg of type Floating
DEBUG [2024-Jan-31 23:35:39.731391] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.SPX) required for configuration 'default'
DEBUG [2024-Jan-31 23:35:39.732399] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:35:39.734950] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DEBUG [2024-Jan-31 23:35:39.739960] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:35:39.739960] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:35:39.742958] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = USD
DEBUG [2024-Jan-31 23:35:39.743957] OREData/ored/portfolio/swap.cpp:142 : Notional is 1 USD
DEBUG [2024-Jan-31 23:35:39.744956] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:35:39.746348] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:35:39.746348] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:35:39.747360] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DEBUG [2024-Jan-31 23:35:39.750015] OREData/ored/portfolio/equityswap.cpp:50 : EquitySwap::build() called for Composite_Equity_Swap_1
DEBUG [2024-Jan-31 23:35:39.750015] OREData/ored/portfolio/equityswap.cpp:66 : adding indexing information from equity leg to funding leg
DEBUG [2024-Jan-31 23:35:39.751027] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.SPX) required for configuration 'default'
DEBUG [2024-Jan-31 23:35:39.752026] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:35:39.753026] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:35:39.754025] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:35:39.756024] OREData/ored/portfolio/swap.cpp:46 : Swap::build() called for trade Composite_Equity_Swap_1
DEBUG [2024-Jan-31 23:35:39.757023] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-LIBOR-3M) required for configuration 'default'
DEBUG [2024-Jan-31 23:35:39.758023] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:35:39.759022] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:35:39.760022] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:35:39.763020] OREData/ored/portfolio/legdata.cpp:2627 : apply indexing (index='EQ-RIC:.SPX') to leg of type Floating
DEBUG [2024-Jan-31 23:35:39.764010] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.SPX) required for configuration 'default'
DEBUG [2024-Jan-31 23:35:39.765019] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:35:39.766011] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[0] = USD
...
DEBUG [2024-Jan-31 23:35:39.771015] OREData/ored/utilities/parsers.hpp:413 : tryParse: attempting to parse
DATA [2024-Jan-31 23:35:39.772015] OREData/ored/utilities/parsers.hpp:417 : String could not be parsed
...
DEBUG [2024-Jan-31 23:35:39.774014] OREData/ored/portfolio/swap.cpp:90 : Swap::build(): currency[1] = USD
DEBUG [2024-Jan-31 23:35:39.775013] OREData/ored/portfolio/swap.cpp:142 : Notional is 1 USD
DEBUG [2024-Jan-31 23:35:39.776012] OREData/ored/portfolio/swap.cpp:146 : npv currency is USD
DEBUG [2024-Jan-31 23:35:39.777012] OREData/ored/portfolio/swap.cpp:166 : Set instrument wrapper
DATA [2024-Jan-31 23:35:39.778011] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade Composite_Equity_Swap:
DATA [2024-Jan-31 23:35:39.779000] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:35:39.785984] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 1, size now 1, built 0 failed trades, context is analytic/PRICING
NOTICE [2024-Jan-31 23:35:39.786983] OREAnalytics/orea/app/analytic.cpp:218 : Filter trades that expire before February 25th, 2021
NOTICE [2024-Jan-31 23:35:39.788981] OREAnalytics/orea/app/reportwriter.cpp:81 : portfolio valuation
NOTICE [2024-Jan-31 23:35:39.790193] OREAnalytics/orea/app/reportwriter.cpp:144 : NPV file written
WARNING [2024-Jan-31 23:35:39.791195] OREAnalytics/orea/app/analytic.cpp:86 : 13021184|12193792
NOTICE [2024-Jan-31 23:35:39.791195] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'PRICING' finished.
DEBUG [2024-Jan-31 23:35:39.793197] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve USD-FedFunds for label as it has already been added
NOTICE [2024-Jan-31 23:35:39.794196] OREAnalytics/orea/app/reportwriter.cpp:1399 : Writing Pricing stats report
NOTICE [2024-Jan-31 23:35:39.795196] OREAnalytics/orea/app/reportwriter.cpp:1415 : Pricing stats report written
NOTICE [2024-Jan-31 23:35:39.796195] OREAnalytics/orea/app/analyticsmanager.cpp:239 : report name dividends occurs 1 times
...
NOTICE [2024-Jan-31 23:35:39.801201] OREData/ored/report/csvreport.cpp:107 : Opening CSV file report 'Output/dividends.csv'
NOTICE [2024-Jan-31 23:35:39.802704] OREData/ored/report/csvreport.cpp:190 : CSV file report 'Output/dividends.csv' closed.
NOTICE [2024-Jan-31 23:35:39.803706] OREAnalytics/orea/app/analyticsmanager.cpp:282 : report dividends written to Output/dividends.csv
...
WARNING [2024-Jan-31 23:35:39.832691] OREAnalytics/orea/app/oreapp.cpp:290 : 13021184|12365824
NOTICE [2024-Jan-31 23:35:39.833690] OREAnalytics/orea/app/oreapp.cpp:291 : ORE analytics done
NOTICE [2024-Jan-31 23:35:39.836688] OREAnalytics/orea/app/oreapp.cpp:397 : ORE done.