NOTICE [2024-Jan-31 23:35:39.888005] OREAnalytics/orea/app/parameters.cpp:133 : Parameters:
NOTICE [2024-Jan-31 23:35:39.890007] OREAnalytics/orea/app/parameters.cpp:136 : group = cashflow : active = Y
...
NOTICE [2024-Jan-31 23:35:39.917991] OREAnalytics/orea/app/oreapp.cpp:462 : buildInputParameters called
WARNING [2024-Jan-31 23:35:39.918993] OREAnalytics/orea/app/oreapp.cpp:484 : Calendar adjustments not found, using defaults
WARNING [2024-Jan-31 23:35:39.919992] OREAnalytics/orea/app/oreapp.cpp:495 : Currency configurations not found, using defaults
NOTICE [2024-Jan-31 23:35:39.920991] OREAnalytics/orea/app/oreapp.cpp:555 : Observation Mode is None
WARNING [2024-Jan-31 23:35:39.921991] OREAnalytics/orea/app/oreapp.cpp:568 : Reference data not found
NOTICE [2024-Jan-31 23:35:39.922988] OREAnalytics/orea/app/oreapp.cpp:574 : Loading script library from file: Input/scriptlibrary.xml
DATA [2024-Jan-31 23:35:40.012666] OREData/ored/portfolio/scriptedtrade.cpp:650 : loaded script 'EuropeanOption' (purpose='', productTag='')
...
NOTICE [2024-Jan-31 23:35:40.015577] OREAnalytics/orea/app/oreapp.cpp:583 : Loading conventions from file: Input/conventions.xml
DEBUG [2024-Jan-31 23:35:40.015577] OREData/ored/configuration/conventions.cpp:2459 : Reading Convention USD-DEPOSIT
...
DEBUG [2024-Jan-31 23:35:40.062448] OREData/ored/configuration/conventions.cpp:2449 : Building Convention EUR-USD-FX
...
WARNING [2024-Jan-31 23:35:40.078074] OREAnalytics/orea/app/oreapp.cpp:594 : Using default Ibor fallback config
NOTICE [2024-Jan-31 23:35:40.078074] OREAnalytics/orea/app/oreapp.cpp:599 : Load curve configurations from file:
NOTICE [2024-Jan-31 23:35:40.078074] OREAnalytics/orea/app/oreapp.cpp:608 : Load pricing engine data from file: Input/pricingengine.xml
DEBUG [2024-Jan-31 23:35:40.093700] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=Swap model=DiscountedCashflows
DEBUG [2024-Jan-31 23:35:40.093700] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=Swap engine=DiscountingSwapEngine
...
DEBUG [2024-Jan-31 23:35:40.109332] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=EquityOptionAmerican paramName=Scheme paramValue=Douglas
...
DEBUG [2024-Jan-31 23:35:40.109332] OREData/ored/portfolio/enginedata.cpp:50 : EngineData product=ScriptedTrade model=Generic
DEBUG [2024-Jan-31 23:35:40.109332] OREData/ored/portfolio/enginedata.cpp:59 : EngineData product=ScriptedTrade paramName=BaseCcy paramValue=EUR
...
DEBUG [2024-Jan-31 23:35:40.109332] OREData/ored/portfolio/enginedata.cpp:64 : EngineData product=ScriptedTrade engine=Generic
DEBUG [2024-Jan-31 23:35:40.109332] OREData/ored/portfolio/enginedata.cpp:73 : EngineData product=ScriptedTrade paramName=Interactive paramValue=false
...
NOTICE [2024-Jan-31 23:35:40.124955] OREAnalytics/orea/app/oreapp.cpp:617 : Loading today's market parameters from fileInput/todaysmarket.xml
DEBUG [2024-Jan-31 23:35:40.124955] OREData/ored/marketdata/todaysmarketparameters.cpp:322 : TodaysMarketParameters, add market objects of type YieldCurve: default ESTER Yield/EUR/EUR-ESTER
...
NOTICE [2024-Jan-31 23:35:40.156204] OREAnalytics/orea/app/inputparameters.cpp:143 : Loading portfolio from file: Input/portfolio.xml
DEBUG [2024-Jan-31 23:35:40.218691] OREData/ored/portfolio/portfolio.cpp:58 : Parsing trade id:1:EquityOption:AN
WARNING [2024-Jan-31 23:35:40.218691] OREData/ored/portfolio/equityoption.cpp:188 : EquityOption::fromXML: node StrikeCurrency is deprecated, please use StrikeData node
DEBUG [2024-Jan-31 23:35:40.218691] OREData/ored/portfolio/portfolio.cpp:68 : Added Trade 1:EquityOption:AN (1:EquityOption:AN) type:EquityOption
...
NOTICE [2024-Jan-31 23:35:40.234323] OREData/ored/portfolio/portfolio.cpp:95 : Finished Parsing XML doc
NOTICE [2024-Jan-31 23:35:40.234323] OREAnalytics/orea/app/oreapp.cpp:636 : MarketContext::eqcalibration = default
...
NOTICE [2024-Jan-31 23:35:40.234323] OREAnalytics/orea/app/oreapp.cpp:1398 : buildInputParameters done
NOTICE [2024-Jan-31 23:35:40.234323] OREAnalytics/orea/app/inputparameters.cpp:463 : OutputFileNameMap called
NOTICE [2024-Jan-31 23:35:40.234323] OREAnalytics/orea/app/inputparameters.cpp:527 : OutputFileNameMap complete
NOTICE [2024-Jan-31 23:35:40.234323] OREAnalytics/orea/app/oreapp.cpp:221 : ORE analytics starting
WARNING [2024-Jan-31 23:35:40.234323] OREAnalytics/orea/app/oreapp.cpp:222 : 7831552|7819264
DEBUG [2024-Jan-31 23:35:40.234323] OREData/ored/marketdata/market.cpp:98 : Building default PseudoCurrencyMarketParameters
DEBUG [2024-Jan-31 23:35:40.234323] OREData/ored/marketdata/market.cpp:100 : PseudoCurrencyMarketParameters { TreatAsFX:True, BaseCurrency:}
...
WARNING [2024-Jan-31 23:35:40.249936] OREAnalytics/orea/app/oreapp.cpp:210 : dividend data file not found
NOTICE [2024-Jan-31 23:35:40.249936] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/market.csv
DATA [2024-Jan-31 23:35:40.265573] OREData/ored/marketdata/csvloader.cpp:133 : Added MarketDatum BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/10Y
...
NOTICE [2024-Jan-31 23:35:49.876257] OREData/ored/marketdata/csvloader.cpp:166 : CSVLoader completed processing Input/market.csv
NOTICE [2024-Jan-31 23:35:49.879256] OREData/ored/marketdata/csvloader.cpp:78 : CSVLoader loaded 10880 market data points for August 7th, 2023
NOTICE [2024-Jan-31 23:35:49.881256] OREData/ored/marketdata/csvloader.cpp:94 : CSVLoader loading from Input/fixings.csv
...
NOTICE [2024-Jan-31 23:35:49.892727] OREData/ored/marketdata/csvloader.cpp:83 : CSVLoader loaded 58 fixings
NOTICE [2024-Jan-31 23:35:49.893726] OREData/ored/marketdata/csvloader.cpp:88 : CSVLoader loaded 0 dividends
NOTICE [2024-Jan-31 23:35:49.894726] OREData/ored/marketdata/csvloader.cpp:90 : CSVLoader complete.
NOTICE [2024-Jan-31 23:35:49.894726] OREAnalytics/orea/app/analyticsmanager.cpp:77 : register analytic with label 'MARKETDATA' and sub-analytics MARKETDATA
...
NOTICE [2024-Jan-31 23:35:49.897724] OREAnalytics/orea/app/analytics/xvaanalytic.cpp:48 : XvaAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:35:49.900722] OREAnalytics/orea/app/analytics/scenariostatisticsanalytic.cpp:42 : ScenarioStatisticsAnalytic::setUpConfigurations() called
...
NOTICE [2024-Jan-31 23:35:49.902721] 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 23:35:49.904710] OREAnalytics/orea/app/oreapp.cpp:242 : Requested analytics: CASHFLOW,NPV
NOTICE [2024-Jan-31 23:35:49.905711] OREAnalytics/orea/app/analyticsmanager.cpp:142 : AnalyticsManager::runAnalytics: requireMarketData Y
NOTICE [2024-Jan-31 23:35:49.905711] OREAnalytics/orea/app/analyticsmanager.cpp:147 : AnalyticsManager::runAnalytics: populate loader
NOTICE [2024-Jan-31 23:35:49.906711] OREAnalytics/orea/app/marketdatacsvloader.cpp:78 : MarketDataCsvLoader::retrieveFixings called: all fixings ? Y
NOTICE [2024-Jan-31 23:35:49.907710] OREAnalytics/orea/app/marketdataloader.cpp:264 : Adding the loaded fixings to the IndexManager
WARNING [2024-Jan-31 23:35:49.908709] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for August 7th, 2023, using conventions from null date
DATA [2024-Jan-31 23:35:49.910709] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SOFRON Actual/360' <-> 'USD-SOFR'
DATA [2024-Jan-31 23:35:49.911708] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-SOFR (2023-05-15) value:0.0506
...
WARNING [2024-Jan-31 23:35:49.968999] OREData/ored/marketdata/fixings.cpp:63 : Error during adding fixing for USD-SOFR: At least one invalid fixing provided: Saturday August 5th, 2023, 0.053
NOTICE [2024-Jan-31 23:35:49.968999] OREData/ored/marketdata/fixings.cpp:68 : Added 57 of 58 fixings in 0.060585 seconds
NOTICE [2024-Jan-31 23:35:49.971000] OREAnalytics/orea/app/marketdataloader.cpp:268 : Generating market datum set
DEBUG [2024-Jan-31 23:35:49.971000] OREData/ored/marketdata/todaysmarketparameters.cpp:262 : Add spec Yield/EUR/EUR-ESTER
...
NOTICE [2024-Jan-31 23:35:50.432357] OREAnalytics/orea/app/marketdataloader.cpp:286 : CurveConfigs require 121 quotes
DATA [2024-Jan-31 23:35:50.434356] OREData/ored/marketdata/inmemoryloader.cpp:113 : Added MarketDatum BASIS_SWAP/BASIS_SPREAD/3M/1D/USD/10Y
...
NOTICE [2024-Jan-31 23:35:59.949898] OREAnalytics/orea/app/marketdataloader.cpp:293 : Got market data
NOTICE [2024-Jan-31 23:35:59.950898] OREAnalytics/orea/app/reportwriter.cpp:1324 : Writing MarketData report
NOTICE [2024-Jan-31 23:35:59.970887] OREAnalytics/orea/app/reportwriter.cpp:1363 : MarketData report written
NOTICE [2024-Jan-31 23:35:59.971886] OREAnalytics/orea/app/reportwriter.cpp:1368 : Writing Fixings report
NOTICE [2024-Jan-31 23:35:59.972885] OREAnalytics/orea/app/reportwriter.cpp:1377 : Fixings report written
NOTICE [2024-Jan-31 23:35:59.973885] OREAnalytics/orea/app/reportwriter.cpp:1382 : Writing Dividends report
NOTICE [2024-Jan-31 23:35:59.973885] OREAnalytics/orea/app/reportwriter.cpp:1394 : Dividends report written
NOTICE [2024-Jan-31 23:35:59.974884] OREAnalytics/orea/app/analyticsmanager.cpp:172 : run analytic with label 'PRICING'
WARNING [2024-Jan-31 23:35:59.975884] OREAnalytics/orea/app/analytic.cpp:83 : 35393536|35389440
NOTICE [2024-Jan-31 23:35:59.976883] OREAnalytics/orea/app/analytic.cpp:156 : Analytic::buildMarket called
NOTICE [2024-Jan-31 23:35:59.977874] OREData/ored/marketdata/todaysmarket.cpp:113 : Todays Market Loading Fixings
WARNING [2024-Jan-31 23:35:59.978875] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for August 7th, 2023, using conventions from null date
DATA [2024-Jan-31 23:35:59.979873] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SOFRON Actual/360' <-> 'USD-SOFR'
DATA [2024-Jan-31 23:35:59.980873] OREData/ored/marketdata/fixings.cpp:60 : Added fixing for USD-SOFR (2023-05-15) value:0.0506
...
WARNING [2024-Jan-31 23:36:00.041978] OREData/ored/marketdata/fixings.cpp:63 : Error during adding fixing for USD-SOFR: At least one invalid fixing provided: Saturday August 5th, 2023, 0.053
NOTICE [2024-Jan-31 23:36:00.042978] OREData/ored/marketdata/fixings.cpp:68 : Added 57 of 58 fixings in 0.064323 seconds
NOTICE [2024-Jan-31 23:36:00.043977] OREData/ored/marketdata/todaysmarket.cpp:117 : Todays Market Loading Fixing done.
NOTICE [2024-Jan-31 23:36:00.044977] OREData/ored/marketdata/todaysmarket.cpp:122 : Todays Market Loading Dividends
NOTICE [2024-Jan-31 23:36:00.045979] OREData/ored/marketdata/todaysmarket.cpp:126 : Todays Market Loading Dividends done.
NOTICE [2024-Jan-31 23:36:00.046980] OREData/ored/marketdata/fxtriangulation.cpp:64 : FXTriangulation: initializing
DATA [2024-Jan-31 23:36:00.047978] OREData/ored/marketdata/fxtriangulation.cpp:73 : FXTriangulation: adding quote EURUSD
NOTICE [2024-Jan-31 23:36:00.048977] OREData/ored/marketdata/fxtriangulation.cpp:111 : FXTriangulation: initialized with 1 quotes, 2 currencies.
NOTICE [2024-Jan-31 23:36:00.049976] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration default
WARNING [2024-Jan-31 23:36:00.050976] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for August 7th, 2023, using conventions from null date
DATA [2024-Jan-31 23:36:00.051975] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(EUR,Yield/EUR/EUR-IN-USD)
...
DATA [2024-Jan-31 23:36:00.062966] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #0 DiscountCurve(EUR,Yield/EUR/EUR-IN-USD) to #2 YieldCurve(ESTER,Yield/EUR/EUR-ESTER)
...
DATA [2024-Jan-31 23:36:00.068963] OREData/ored/marketdata/dependencygraph.cpp:291 : add edge from vertex #0 DiscountCurve(EUR,Yield/EUR/EUR-IN-USD) to #1 DiscountCurve(USD,Yield/USD/USD-SOFR)
...
DATA [2024-Jan-31 23:36:00.070962] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #10 FXSpot(USDEUR,FX/USD/EUR) to #0 DiscountCurve(EUR,Yield/EUR/EUR-IN-USD)
...
DATA [2024-Jan-31 23:36:00.071961] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #12 EquityVols(RIC:.STOXX50E,EquityVolatility/EUR/RIC:.STOXX50E) to #0 DiscountCurve(EUR,Yield/EUR/EUR-IN-USD)
DATA [2024-Jan-31 23:36:00.072960] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #12 EquityVols(RIC:.STOXX50E,EquityVolatility/EUR/RIC:.STOXX50E) to #11 EquityCurves(RIC:.STOXX50E,Equity/EUR/RIC:.STOXX50E)
DEBUG [2024-Jan-31 23:36:00.073960] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 13 vertices, 13 edges.
NOTICE [2024-Jan-31 23:36:00.074959] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration inccy
WARNING [2024-Jan-31 23:36:00.075959] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for August 7th, 2023, using conventions from null date
DATA [2024-Jan-31 23:36:00.076958] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(EUR,Yield/EUR/EUR-ESTER)
...
DATA [2024-Jan-31 23:36:00.087953] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #3 YieldCurve(EUR-IN-USD,Yield/EUR/EUR-IN-USD) to #0 DiscountCurve(EUR,Yield/EUR/EUR-ESTER)
...
DATA [2024-Jan-31 23:36:00.091950] OREData/ored/marketdata/dependencygraph.cpp:291 : add edge from vertex #3 YieldCurve(EUR-IN-USD,Yield/EUR/EUR-IN-USD) to #1 DiscountCurve(USD,Yield/USD/USD-SOFR)
DATA [2024-Jan-31 23:36:00.092950] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #10 FXSpot(USDEUR,FX/USD/EUR) to #0 DiscountCurve(EUR,Yield/EUR/EUR-ESTER)
...
DATA [2024-Jan-31 23:36:00.093949] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #12 EquityVols(RIC:.STOXX50E,EquityVolatility/EUR/RIC:.STOXX50E) to #0 DiscountCurve(EUR,Yield/EUR/EUR-ESTER)
DATA [2024-Jan-31 23:36:00.094948] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #12 EquityVols(RIC:.STOXX50E,EquityVolatility/EUR/RIC:.STOXX50E) to #11 EquityCurves(RIC:.STOXX50E,Equity/EUR/RIC:.STOXX50E)
DEBUG [2024-Jan-31 23:36:00.095949] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 13 vertices, 10 edges.
NOTICE [2024-Jan-31 23:36:00.096948] OREData/ored/marketdata/dependencygraph.cpp:39 : Build dependency graph for TodaysMarket configuration single
WARNING [2024-Jan-31 23:36:00.097947] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for August 7th, 2023, using conventions from null date
DATA [2024-Jan-31 23:36:00.098946] OREData/ored/marketdata/dependencygraph.cpp:58 : add vertex # 0: DiscountCurve(EUR,Yield/EUR/EUR6M-SINGLE)
...
DATA [2024-Jan-31 23:36:00.109940] OREData/ored/marketdata/dependencygraph.cpp:82 : add edge from vertex #3 YieldCurve(EUR-IN-USD,Yield/EUR/EUR-IN-USD) to #2 YieldCurve(ESTER,Yield/EUR/EUR-ESTER)
...
DATA [2024-Jan-31 23:36:00.113938] OREData/ored/marketdata/dependencygraph.cpp:291 : add edge from vertex #3 YieldCurve(EUR-IN-USD,Yield/EUR/EUR-IN-USD) to #1 DiscountCurve(USD,Yield/USD/USD-SOFR)
DATA [2024-Jan-31 23:36:00.114937] OREData/ored/marketdata/dependencygraph.cpp:419 : add edge from vertex #10 FXSpot(USDEUR,FX/USD/EUR) to #0 DiscountCurve(EUR,Yield/EUR/EUR6M-SINGLE)
...
DATA [2024-Jan-31 23:36:00.116947] OREData/ored/marketdata/dependencygraph.cpp:315 : add edge from vertex #12 EquityVols(RIC:.STOXX50E,EquityVolatility/EUR/RIC:.STOXX50E) to #0 DiscountCurve(EUR,Yield/EUR/EUR6M-SINGLE)
DATA [2024-Jan-31 23:36:00.116947] OREData/ored/marketdata/dependencygraph.cpp:321 : add edge from vertex #12 EquityVols(RIC:.STOXX50E,EquityVolatility/EUR/RIC:.STOXX50E) to #11 EquityCurves(RIC:.STOXX50E,Equity/EUR/RIC:.STOXX50E)
DEBUG [2024-Jan-31 23:36:00.117946] OREData/ored/marketdata/dependencygraph.cpp:437 : Dependency graph built with 13 vertices, 10 edges.
NOTICE [2024-Jan-31 23:36:00.118945] OREData/ored/marketdata/todaysmarket.cpp:227 : Build objects in TodaysMarket lazily, i.e. when requested.
NOTICE [2024-Jan-31 23:36:00.119944] OREData/ored/marketdata/todaysmarket.cpp:232 : TodaysMarket build stats:
NOTICE [2024-Jan-31 23:36:00.120944] OREData/ored/marketdata/todaysmarket.cpp:238 : 1 load fixings : 65.2 ms 1 65.2 ms
...
NOTICE [2024-Jan-31 23:36:00.123942] OREData/ored/marketdata/todaysmarket.cpp:241 : Total build time : 137.106 ms
NOTICE [2024-Jan-31 23:36:00.124942] OREAnalytics/orea/app/analytic.cpp:186 : Market Build time 0.146984 sec
NOTICE [2024-Jan-31 23:36:00.126930] OREData/ored/portfolio/portfolio.cpp:44 : Reset portfolio of size 8
NOTICE [2024-Jan-31 23:36:00.127940] OREAnalytics/orea/app/analytic.cpp:209 : Build the portfolio
NOTICE [2024-Jan-31 23:36:00.128941] OREAnalytics/orea/app/analytic.cpp:138 : Analytic::engineFactory() called
NOTICE [2024-Jan-31 23:36:00.129939] OREAnalytics/orea/app/analytic.cpp:148 : MarketContext::pricing = inccy
NOTICE [2024-Jan-31 23:36:00.129939] OREData/ored/portfolio/enginefactory.cpp:152 : Building EngineFactory
NOTICE [2024-Jan-31 23:36:00.131938] OREData/ored/portfolio/portfolio.cpp:123 : Building Portfolio of size 8 for context = 'analytic/PRICING'
DEBUG [2024-Jan-31 23:36:00.133423] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'inccy'
DATA [2024-Jan-31 23:36:00.133423] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:36:00.134424] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(EUR,Yield/EUR/EUR-ESTER) (not yet built)
...
WARNING [2024-Jan-31 23:36:00.136423] OREData/ored/configuration/conventions.cpp:87 : InstrumentConventions: Could not find conventions for August 7th, 2023, using conventions from null date
DEBUG [2024-Jan-31 23:36:00.137422] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof August 7th, 2023
DEBUG [2024-Jan-31 23:36:00.138422] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR-ESTER
DEBUG [2024-Jan-31 23:36:00.139421] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-ON-DEPOSIT-ESTER"
...
DEBUG [2024-Jan-31 23:36:00.141420] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-ON-DEPOSIT-ESTER
...
DATA [2024-Jan-31 23:36:00.143432] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ESTRON Actual/360' <-> 'EUR-ESTER'
...
DEBUG [2024-Jan-31 23:36:00.146430] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "EUR-ESTER-OIS"
...
DEBUG [2024-Jan-31 23:36:00.148427] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-ESTER-OIS
...
DEBUG [2024-Jan-31 23:36:00.155423] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 37 instruments
DEBUG [2024-Jan-31 23:36:00.165417] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR-ESTER built
DEBUG [2024-Jan-31 23:36:00.166417] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR-ESTER" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:36:00.167416] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR-ESTER to configuration inccy
DEBUG [2024-Jan-31 23:36:00.168416] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR-ESTER) in configuration inccy
DEBUG [2024-Jan-31 23:36:00.169415] OREData/ored/marketdata/todaysmarket.cpp:644 : Building EquityCurve for asof August 7th, 2023
DEBUG [2024-Jan-31 23:36:00.170415] OREData/ored/marketdata/equitycurve.cpp:223 : EquityCurve: read 0 quotes of type NoDividends
DEBUG [2024-Jan-31 23:36:00.170415] OREData/ored/marketdata/equitycurve.cpp:224 : EquityCurve: ignored 0 expired quotes.
DEBUG [2024-Jan-31 23:36:00.171414] OREData/ored/marketdata/equitycurve.cpp:394 : Building flat Equity Dividend Yield curve as no quotes provided
DEBUG [2024-Jan-31 23:36:00.172413] OREData/ored/marketdata/todaysmarket.cpp:652 : Adding EquityCurve (RIC:.STOXX50E) with spec Equity/EUR/RIC:.STOXX50E to configuration inccy
DATA [2024-Jan-31 23:36:00.173413] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.174405] OREData/ored/marketdata/todaysmarket.cpp:914 : built node EquityCurves(RIC:.STOXX50E,Equity/EUR/RIC:.STOXX50E) in configuration inccy
DEBUG [2024-Jan-31 23:36:00.175404] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:36:00.176403] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:00.177403] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:36:00.178399] OREData/ored/portfolio/vanillaoption.cpp:154 : Build VanillaOption for trade 1:EquityOption:AN
NOTICE [2024-Jan-31 23:36:00.178399] OREData/ored/portfolio/vanillaoption.cpp:202 : tradeTypeBuilder set to EquityOption for trade 1:EquityOption:AN
...
DATA [2024-Jan-31 23:36:00.180496] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:36:00.181501] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #0: DiscountCurve(EUR,Yield/EUR/EUR-ESTER) (already built)
...
NOTICE [2024-Jan-31 23:36:00.184499] OREData/ored/marketdata/todaysmarket.cpp:671 : Building EquityVol for asof August 7th, 2023
DEBUG [2024-Jan-31 23:36:00.185499] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:00.186498] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
NOTICE [2024-Jan-31 23:36:00.186498] OREData/ored/marketdata/equityvolcurve.cpp:66 : EquityVolCurve: start building equity volatility structure with ID RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:00.187497] OREData/ored/marketdata/equityvolcurve.cpp:79 : EquityVolCurve: Attempting to build equity vol curve from volatilityConfig, 1 volatility configs provided.
DEBUG [2024-Jan-31 23:36:00.189505] OREData/ored/marketdata/equityvolcurve.cpp:325 : EquityVolCurve: start building 2-D strike volatility surface
DEBUG [2024-Jan-31 23:36:00.201961] OREData/ored/marketdata/equityvolcurve.cpp:443 : EquityVolCurve: RIC:.STOXX50E: Found 2606, call quotes and 2606 put quotes using wildcard.
DATA [2024-Jan-31 23:36:00.202961] OREData/ored/marketdata/equityvolcurve.cpp:457 : EquityVolCurve: Strike extrapolation has been set to flat.
DATA [2024-Jan-31 23:36:00.203961] OREData/ored/marketdata/equityvolcurve.cpp:464 : EquityVolCurve: Time extrapolation switched to using interpolator.
DEBUG [2024-Jan-31 23:36:00.204960] OREData/ored/marketdata/equityvolcurve.cpp:495 : EquityVolCurve: Building a option price surface for calls and puts
DEBUG [2024-Jan-31 23:36:00.208299] OREData/ored/marketdata/equityvolcurve.cpp:501 : EquityVolCurve: CallSurface contains 28 expiries.
DEBUG [2024-Jan-31 23:36:00.209298] OREData/ored/marketdata/equityvolcurve.cpp:503 : EquityVolCurve: Stripping equity volatility surface from the option premium surfaces
DEBUG [2024-Jan-31 23:36:00.384770] OREData/ored/marketdata/equityvolcurve.cpp:542 : EquityVolCurve: Setting BlackVarianceSurfaceSparse extrapolation to true
DEBUG [2024-Jan-31 23:36:00.385782] OREData/ored/marketdata/equityvolcurve.cpp:545 : EquityVolCurve: EquityVolCurve: finished building 2-D strike volatility surface
NOTICE [2024-Jan-31 23:36:00.385782] OREData/ored/marketdata/equityvolcurve.cpp:126 : EquityVolCurve: finished building equity volatility structure with ID RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:00.387617] OREData/ored/marketdata/equityvolcurve.cpp:1083 : EquityVolCurve: Building calibration info for eq vol surface
DEBUG [2024-Jan-31 23:36:00.387617] OREData/ored/marketdata/equityvolcurve.cpp:1285 : EquityVolCurve: Building calibration info for eq vol surface completed.
DEBUG [2024-Jan-31 23:36:00.389525] OREData/ored/marketdata/todaysmarket.cpp:688 : Adding EquityVol (RIC:.STOXX50E) with spec EquityVolatility/EUR/RIC:.STOXX50E to configuration inccy
DEBUG [2024-Jan-31 23:36:00.389525] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:00.390537] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:36:00.396211] OREData/ored/marketdata/todaysmarket.cpp:914 : built node EquityVols(RIC:.STOXX50E,EquityVolatility/EUR/RIC:.STOXX50E) in configuration inccy
DEBUG [2024-Jan-31 23:36:00.396211] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
...
DATA [2024-Jan-31 23:36:00.406218] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade 1:EquityOption:AN:
DATA [2024-Jan-31 23:36:00.406218] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
DEBUG [2024-Jan-31 23:36:00.407217] OREData/ored/portfolio/scriptedtrade.cpp:42 : ScriptedTrade::build() called for trade 2:EquityOption
NOTICE [2024-Jan-31 23:36:00.409206] OREData/ored/portfolio/builders/scriptedtrade.cpp:82 : Building engine for scripted trade 2:EquityOption
DATA [2024-Jan-31 23:36:00.411535] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
NOTICE [2024-Jan-31 23:36:00.413087] OREData/ored/portfolio/builders/scriptedtrade.cpp:437 : SIMM product class is set to Equity
NOTICE [2024-Jan-31 23:36:00.413087] OREData/ored/portfolio/builders/scriptedtrade.cpp:438 : IM Schedule product class is set to Equity
DEBUG [2024-Jan-31 23:36:00.415169] OREData/ored/scripting/utilities.cpp:116 : get script for purpose '' (fallBackOnEmptyPurpose=false) from inline script in scripted trade
DEBUG [2024-Jan-31 23:36:00.416306] OREData/ored/portfolio/builders/scriptedtrade.cpp:97 : got product tag '', resolved product tag is '
DEBUG [2024-Jan-31 23:36:00.417851] OREData/ored/portfolio/builders/scriptedtrade.cpp:443 : Retrieve model and engine parameters using product tag ''
DEBUG [2024-Jan-31 23:36:00.417851] OREData/ored/portfolio/builders/scriptedtrade.cpp:485 : Retrieve model / engine specific parameters for BlackScholes / MC
...
DEBUG [2024-Jan-31 23:36:00.423457] OREData/ored/scripting/utilities.cpp:123 : parsing script (size 197)
DEBUG [2024-Jan-31 23:36:00.423457] OREData/ored/scripting/utilities.cpp:125 : successfully parsed the script
DEBUG [2024-Jan-31 23:36:00.426311] OREData/ored/portfolio/builders/scriptedtrade.cpp:120 : built ast:
...
DATA [2024-Jan-31 23:36:00.465437] OREData/ored/scripting/utilities.cpp:170 : make context
DATA [2024-Jan-31 23:36:00.466522] OREData/ored/scripting/utilities.cpp:177 : adding event Expiry
...
DATA [2024-Jan-31 23:36:00.467648] OREData/ored/scripting/utilities.cpp:256 : adding number Strike
...
DATA [2024-Jan-31 23:36:00.471837] OREData/ored/scripting/utilities.cpp:272 : adding index Underlying
DATA [2024-Jan-31 23:36:00.472836] OREData/ored/scripting/utilities.cpp:287 : adding currency PayCcy
DEBUG [2024-Jan-31 23:36:00.473836] OREData/ored/scripting/utilities.cpp:316 : context built with 8 scalars and 0 arrays.
DEBUG [2024-Jan-31 23:36:00.473836] OREData/ored/portfolio/builders/scriptedtrade.cpp:1543 : adding amc date grid (0) to context as _AMC_SimDates
DEBUG [2024-Jan-31 23:36:00.474835] OREData/ored/portfolio/builders/scriptedtrade.cpp:130 : Built initial context:
DEBUG [2024-Jan-31 23:36:00.477128] OREData/ored/portfolio/builders/scriptedtrade.cpp:131 : Expiry (Event ) const November 7th, 2023
...
DATA [2024-Jan-31 23:36:00.484137] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.485136] OREData/ored/scripting/utilities.cpp:745 : add calibration strike for index 'EQ-RIC:.STOXX50E': 4350
DEBUG [2024-Jan-31 23:36:00.486136] OREData/ored/portfolio/builders/scriptedtrade.cpp:139 : Run static analyser on script
DEBUG [2024-Jan-31 23:36:00.488134] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L3:34:10
...
DEBUG [2024-Jan-31 23:36:00.490123] OREData/ored/scripting/staticanalyser.cpp:138 : varEvaluation(Underlying, Expiry, ) at L3:34:18
DEBUG [2024-Jan-31 23:36:00.491125] OREData/ored/scripting/staticanalyser.cpp:144 : got index EQ-RIC:.STOXX50E at L3:34:18
DEBUG [2024-Jan-31 23:36:00.492132] OREData/ored/scripting/staticanalyser.cpp:146 : got date November 7th, 2023 at L3:34:18
...
DEBUG [2024-Jan-31 23:36:00.495122] OREData/ored/scripting/staticanalyser.cpp:175 : pay(Expiry,Settlement,PayCcy) at L4:23:73
DEBUG [2024-Jan-31 23:36:00.496131] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date November 7th, 2023 at L4:23:73
DEBUG [2024-Jan-31 23:36:00.497129] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date November 7th, 2023 at L4:23:73
DEBUG [2024-Jan-31 23:36:00.498129] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L4:23:73
DEBUG [2024-Jan-31 23:36:00.499129] OREData/ored/scripting/staticanalyser.cpp:430 : Static analyser finished without errors.
DEBUG [2024-Jan-31 23:36:00.500127] OREData/ored/portfolio/builders/scriptedtrade.cpp:345 : Extract indices from script:
DATA [2024-Jan-31 23:36:00.500127] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.501127] OREData/ored/portfolio/builders/scriptedtrade.cpp:365 : got index 'EQ-RIC:.STOXX50E', type EQ, index name 'RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.502127] OREData/ored/portfolio/builders/scriptedtrade.cpp:539 : Populate fixing map
...
DEBUG [2024-Jan-31 23:36:00.505117] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'default'
DATA [2024-Jan-31 23:36:00.506116] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:36:00.507116] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: YieldCurve(ESTER,Yield/EUR/EUR-ESTER) (not yet built)
...
DEBUG [2024-Jan-31 23:36:00.509114] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(ESTER) with spec Yield/EUR/EUR-ESTER to configuration default
DEBUG [2024-Jan-31 23:36:00.510114] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(ESTER,Yield/EUR/EUR-ESTER) in configuration default
DEBUG [2024-Jan-31 23:36:00.510114] OREData/ored/marketdata/todaysmarket.cpp:652 : Adding EquityCurve (RIC:.STOXX50E) with spec Equity/EUR/RIC:.STOXX50E to configuration default
DATA [2024-Jan-31 23:36:00.511113] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
...
DEBUG [2024-Jan-31 23:36:00.513112] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:36:00.514111] OREData/ored/portfolio/builders/scriptedtrade.cpp:613 : added 1 fixings for 'EQ-RIC:.STOXX50E' (from eval op, prob fcts)
DEBUG [2024-Jan-31 23:36:00.515111] OREData/ored/portfolio/builders/scriptedtrade.cpp:628 : Extract pay ccys and determine the model's base ccy
DEBUG [2024-Jan-31 23:36:00.516110] OREData/ored/portfolio/builders/scriptedtrade.cpp:631 : got pay currency EUR
DEBUG [2024-Jan-31 23:36:00.517110] OREData/ored/portfolio/builders/scriptedtrade.cpp:649 : add base ccy candidate EUR from pay ccys
DEBUG [2024-Jan-31 23:36:00.518109] OREData/ored/portfolio/builders/scriptedtrade.cpp:663 : base ccy is EUR
DEBUG [2024-Jan-31 23:36:00.518109] OREData/ored/portfolio/builders/scriptedtrade.cpp:688 : Compile the model currencies list
DEBUG [2024-Jan-31 23:36:00.519108] OREData/ored/portfolio/builders/scriptedtrade.cpp:756 : model ccy EUR added
DEBUG [2024-Jan-31 23:36:00.520919] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:00.521930] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:00.523107] OREData/ored/portfolio/builders/scriptedtrade.cpp:172 : curve for EUR added.
...
DEBUG [2024-Jan-31 23:36:00.525119] OREData/ored/portfolio/builders/scriptedtrade.cpp:763 : added model index EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:00.526118] OREData/ored/portfolio/builders/scriptedtrade.cpp:899 : last relevant date: November 7th, 2023
DATA [2024-Jan-31 23:36:00.527118] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.528117] OREData/ored/portfolio/builders/scriptedtrade.cpp:860 : adding correlations for indices:
DEBUG [2024-Jan-31 23:36:00.529118] OREData/ored/portfolio/builders/scriptedtrade.cpp:862 : model index 'EQ-RIC:.STOXX50E' lookup name 'EQ-RIC:.STOXX50E'
...
DEBUG [2024-Jan-31 23:36:00.530594] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:00.531607] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:36:00.539602] OREData/ored/portfolio/builders/scriptedtrade.cpp:919 : added process for equity RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:00.540601] OREData/ored/portfolio/builders/scriptedtrade.cpp:987 : compile simulation and additional dates...
DATA [2024-Jan-31 23:36:00.541601] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.541601] OREData/ored/portfolio/builders/scriptedtrade.cpp:1014 : added 1 simulation dates for 'EQ-RIC:.STOXX50E' (from eval op obs dates)
DEBUG [2024-Jan-31 23:36:00.542600] OREData/ored/portfolio/builders/scriptedtrade.cpp:1042 : added 1 additional dates for 'EUR' (from pay() obs dates)
DEBUG [2024-Jan-31 23:36:00.543600] OREData/ored/portfolio/builders/scriptedtrade.cpp:1047 : added 0 simulation dates (from npv() regression dates)
DEBUG [2024-Jan-31 23:36:00.544599] OREData/ored/portfolio/builders/scriptedtrade.cpp:1051 : added 1 additional dates for 'EUR' (from pay() pay dates)
DATA [2024-Jan-31 23:36:00.546581] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.548056] OREData/ored/portfolio/builders/scriptedtrade.cpp:239 : built model : BlackScholes / MC
DEBUG [2024-Jan-31 23:36:00.548056] OREData/ored/portfolio/builders/scriptedtrade.cpp:240 : useCg = false
DEBUG [2024-Jan-31 23:36:00.549068] OREData/ored/portfolio/builders/scriptedtrade.cpp:241 : useAd = false
DEBUG [2024-Jan-31 23:36:00.550067] OREData/ored/portfolio/builders/scriptedtrade.cpp:242 : useExternalDevice = false
DEBUG [2024-Jan-31 23:36:00.551067] OREData/ored/portfolio/builders/scriptedtrade.cpp:243 : externalDevice = na
DEBUG [2024-Jan-31 23:36:00.552060] OREData/ored/portfolio/builders/scriptedtrade.cpp:244 : calibration = Deal
DEBUG [2024-Jan-31 23:36:00.553058] OREData/ored/portfolio/builders/scriptedtrade.cpp:245 : base ccy = EUR
DEBUG [2024-Jan-31 23:36:00.554066] OREData/ored/portfolio/builders/scriptedtrade.cpp:246 : model base (npv) ccy = EUR
DEBUG [2024-Jan-31 23:36:00.555065] OREData/ored/portfolio/builders/scriptedtrade.cpp:247 : ccys = 1
DEBUG [2024-Jan-31 23:36:00.556064] OREData/ored/portfolio/builders/scriptedtrade.cpp:248 : eq,fx,com indices = 1
DEBUG [2024-Jan-31 23:36:00.557064] OREData/ored/portfolio/builders/scriptedtrade.cpp:249 : ir indices = 0
DEBUG [2024-Jan-31 23:36:00.557064] OREData/ored/portfolio/builders/scriptedtrade.cpp:250 : inf indices = 0
DEBUG [2024-Jan-31 23:36:00.558063] OREData/ored/portfolio/builders/scriptedtrade.cpp:251 : sim dates = 1
DEBUG [2024-Jan-31 23:36:00.559062] OREData/ored/portfolio/builders/scriptedtrade.cpp:252 : add dates = 1
DEBUG [2024-Jan-31 23:36:00.560062] OREData/ored/portfolio/builders/scriptedtrade.cpp:253 : timeStepsPerYear = 24
DEBUG [2024-Jan-31 23:36:00.561061] OREData/ored/portfolio/builders/scriptedtrade.cpp:254 : fullDynamicFx = false
DEBUG [2024-Jan-31 23:36:00.562052] OREData/ored/portfolio/builders/scriptedtrade.cpp:256 : seed = 42
DEBUG [2024-Jan-31 23:36:00.563061] OREData/ored/portfolio/builders/scriptedtrade.cpp:257 : paths = 10000
DEBUG [2024-Jan-31 23:36:00.564049] OREData/ored/portfolio/builders/scriptedtrade.cpp:258 : regressionOrder = 2
DEBUG [2024-Jan-31 23:36:00.565049] OREData/ored/portfolio/builders/scriptedtrade.cpp:259 : sequence type = SobolBrownianBridge
DEBUG [2024-Jan-31 23:36:00.566059] OREData/ored/portfolio/builders/scriptedtrade.cpp:260 : polynom type = Monomial
DEBUG [2024-Jan-31 23:36:00.567058] OREData/ored/portfolio/builders/scriptedtrade.cpp:266 : sobol bb ordering = Steps
DEBUG [2024-Jan-31 23:36:00.568058] OREData/ored/portfolio/builders/scriptedtrade.cpp:267 : sobol direction int. = JoeKuoD7
NOTICE [2024-Jan-31 23:36:00.569612] OREData/ored/portfolio/builders/scriptedtrade.cpp:316 : engine built for model BlackScholes / MC, modelSize = 10000, interactive = 0, amcEnabled = 0, generateAdditionalResults = 1
DATA [2024-Jan-31 23:36:00.570777] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DATA [2024-Jan-31 23:36:00.570777] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade 2:EquityOption:
DATA [2024-Jan-31 23:36:00.571789] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:36:00.573787] OREData/ored/portfolio/scriptedtrade.cpp:42 : ScriptedTrade::build() called for trade 3:EquityOption:FD
NOTICE [2024-Jan-31 23:36:00.574786] OREData/ored/portfolio/builders/scriptedtrade.cpp:82 : Building engine for scripted trade 3:EquityOption:FD
DATA [2024-Jan-31 23:36:00.575786] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
NOTICE [2024-Jan-31 23:36:00.576786] OREData/ored/portfolio/builders/scriptedtrade.cpp:437 : SIMM product class is set to Equity
NOTICE [2024-Jan-31 23:36:00.577785] OREData/ored/portfolio/builders/scriptedtrade.cpp:438 : IM Schedule product class is set to Equity
DEBUG [2024-Jan-31 23:36:00.578785] OREData/ored/scripting/utilities.cpp:116 : get script for purpose '' (fallBackOnEmptyPurpose=false) from inline script in scripted trade
DEBUG [2024-Jan-31 23:36:00.579784] OREData/ored/portfolio/builders/scriptedtrade.cpp:97 : got product tag 'SingleAssetOptionBwd({AssetClass})', resolved product tag is 'SingleAssetOptionBwd(EQ)
DEBUG [2024-Jan-31 23:36:00.580783] OREData/ored/portfolio/builders/scriptedtrade.cpp:443 : Retrieve model and engine parameters using product tag 'SingleAssetOptionBwd(EQ)'
DEBUG [2024-Jan-31 23:36:00.581783] OREData/ored/portfolio/builders/scriptedtrade.cpp:485 : Retrieve model / engine specific parameters for BlackScholes / FD
...
DEBUG [2024-Jan-31 23:36:00.583782] OREData/ored/portfolio/builders/scriptedtrade.cpp:116 : retrieved ast from cache
DATA [2024-Jan-31 23:36:00.583782] OREData/ored/scripting/utilities.cpp:170 : make context
DATA [2024-Jan-31 23:36:00.584781] OREData/ored/scripting/utilities.cpp:177 : adding event Expiry
...
DATA [2024-Jan-31 23:36:00.586780] OREData/ored/scripting/utilities.cpp:256 : adding number Strike
...
DATA [2024-Jan-31 23:36:00.589778] OREData/ored/scripting/utilities.cpp:272 : adding index Underlying
DATA [2024-Jan-31 23:36:00.590777] OREData/ored/scripting/utilities.cpp:287 : adding currency PayCcy
DEBUG [2024-Jan-31 23:36:00.591777] OREData/ored/scripting/utilities.cpp:316 : context built with 8 scalars and 0 arrays.
DEBUG [2024-Jan-31 23:36:00.592776] OREData/ored/portfolio/builders/scriptedtrade.cpp:1543 : adding amc date grid (0) to context as _AMC_SimDates
DEBUG [2024-Jan-31 23:36:00.593776] OREData/ored/portfolio/builders/scriptedtrade.cpp:130 : Built initial context:
DEBUG [2024-Jan-31 23:36:00.594775] OREData/ored/portfolio/builders/scriptedtrade.cpp:131 : Expiry (Event ) const November 7th, 2023
...
DATA [2024-Jan-31 23:36:00.601761] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.602760] OREData/ored/scripting/utilities.cpp:745 : add calibration strike for index 'EQ-RIC:.STOXX50E': 4350
DEBUG [2024-Jan-31 23:36:00.603759] OREData/ored/portfolio/builders/scriptedtrade.cpp:139 : Run static analyser on script
DEBUG [2024-Jan-31 23:36:00.604759] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L3:34:10
...
DEBUG [2024-Jan-31 23:36:00.606758] OREData/ored/scripting/staticanalyser.cpp:138 : varEvaluation(Underlying, Expiry, ) at L3:34:18
DEBUG [2024-Jan-31 23:36:00.606758] OREData/ored/scripting/staticanalyser.cpp:144 : got index EQ-RIC:.STOXX50E at L3:34:18
DEBUG [2024-Jan-31 23:36:00.607757] OREData/ored/scripting/staticanalyser.cpp:146 : got date November 7th, 2023 at L3:34:18
...
DEBUG [2024-Jan-31 23:36:00.611755] OREData/ored/scripting/staticanalyser.cpp:175 : pay(Expiry,Settlement,PayCcy) at L4:23:73
DEBUG [2024-Jan-31 23:36:00.612754] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date November 7th, 2023 at L4:23:73
DEBUG [2024-Jan-31 23:36:00.613754] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date November 7th, 2023 at L4:23:73
DEBUG [2024-Jan-31 23:36:00.614753] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L4:23:73
DEBUG [2024-Jan-31 23:36:00.615753] OREData/ored/scripting/staticanalyser.cpp:430 : Static analyser finished without errors.
DEBUG [2024-Jan-31 23:36:00.615753] OREData/ored/portfolio/builders/scriptedtrade.cpp:345 : Extract indices from script:
DATA [2024-Jan-31 23:36:00.616752] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.617764] OREData/ored/portfolio/builders/scriptedtrade.cpp:365 : got index 'EQ-RIC:.STOXX50E', type EQ, index name 'RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.618762] OREData/ored/portfolio/builders/scriptedtrade.cpp:539 : Populate fixing map
...
DEBUG [2024-Jan-31 23:36:00.621760] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'default'
DEBUG [2024-Jan-31 23:36:00.621760] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:00.622759] OREData/ored/portfolio/builders/scriptedtrade.cpp:613 : added 1 fixings for 'EQ-RIC:.STOXX50E' (from eval op, prob fcts)
DEBUG [2024-Jan-31 23:36:00.623759] OREData/ored/portfolio/builders/scriptedtrade.cpp:628 : Extract pay ccys and determine the model's base ccy
DEBUG [2024-Jan-31 23:36:00.624759] OREData/ored/portfolio/builders/scriptedtrade.cpp:631 : got pay currency EUR
DEBUG [2024-Jan-31 23:36:00.625758] OREData/ored/portfolio/builders/scriptedtrade.cpp:649 : add base ccy candidate EUR from pay ccys
DEBUG [2024-Jan-31 23:36:00.626757] OREData/ored/portfolio/builders/scriptedtrade.cpp:663 : base ccy is EUR
DEBUG [2024-Jan-31 23:36:00.627756] OREData/ored/portfolio/builders/scriptedtrade.cpp:688 : Compile the model currencies list
DEBUG [2024-Jan-31 23:36:00.628746] OREData/ored/portfolio/builders/scriptedtrade.cpp:756 : model ccy EUR added
DEBUG [2024-Jan-31 23:36:00.629756] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:00.629756] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:00.630755] OREData/ored/portfolio/builders/scriptedtrade.cpp:172 : curve for EUR added.
...
DEBUG [2024-Jan-31 23:36:00.633745] OREData/ored/portfolio/builders/scriptedtrade.cpp:763 : added model index EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:00.634744] OREData/ored/portfolio/builders/scriptedtrade.cpp:899 : last relevant date: November 7th, 2023
DATA [2024-Jan-31 23:36:00.635744] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.636743] OREData/ored/portfolio/builders/scriptedtrade.cpp:860 : adding correlations for indices:
DEBUG [2024-Jan-31 23:36:00.637743] OREData/ored/portfolio/builders/scriptedtrade.cpp:862 : model index 'EQ-RIC:.STOXX50E' lookup name 'EQ-RIC:.STOXX50E'
...
DEBUG [2024-Jan-31 23:36:00.638742] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:00.639742] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:36:00.647746] OREData/ored/portfolio/builders/scriptedtrade.cpp:919 : added process for equity RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:00.648745] OREData/ored/portfolio/builders/scriptedtrade.cpp:987 : compile simulation and additional dates...
DATA [2024-Jan-31 23:36:00.649744] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.650744] OREData/ored/portfolio/builders/scriptedtrade.cpp:1014 : added 1 simulation dates for 'EQ-RIC:.STOXX50E' (from eval op obs dates)
DEBUG [2024-Jan-31 23:36:00.651742] OREData/ored/portfolio/builders/scriptedtrade.cpp:1042 : added 1 additional dates for 'EUR' (from pay() obs dates)
DEBUG [2024-Jan-31 23:36:00.652742] OREData/ored/portfolio/builders/scriptedtrade.cpp:1047 : added 0 simulation dates (from npv() regression dates)
DEBUG [2024-Jan-31 23:36:00.652742] OREData/ored/portfolio/builders/scriptedtrade.cpp:1051 : added 1 additional dates for 'EUR' (from pay() pay dates)
DATA [2024-Jan-31 23:36:00.653742] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.654742] OREData/ored/portfolio/builders/scriptedtrade.cpp:239 : built model : BlackScholes / FD
DEBUG [2024-Jan-31 23:36:00.655740] OREData/ored/portfolio/builders/scriptedtrade.cpp:240 : useCg = false
DEBUG [2024-Jan-31 23:36:00.656740] OREData/ored/portfolio/builders/scriptedtrade.cpp:241 : useAd = false
DEBUG [2024-Jan-31 23:36:00.657739] OREData/ored/portfolio/builders/scriptedtrade.cpp:242 : useExternalDevice = false
DEBUG [2024-Jan-31 23:36:00.658739] OREData/ored/portfolio/builders/scriptedtrade.cpp:243 : externalDevice = na
DEBUG [2024-Jan-31 23:36:00.659739] OREData/ored/portfolio/builders/scriptedtrade.cpp:244 : calibration = Deal
DEBUG [2024-Jan-31 23:36:00.660738] OREData/ored/portfolio/builders/scriptedtrade.cpp:245 : base ccy = EUR
DEBUG [2024-Jan-31 23:36:00.660738] OREData/ored/portfolio/builders/scriptedtrade.cpp:246 : model base (npv) ccy = EUR
DEBUG [2024-Jan-31 23:36:00.661728] OREData/ored/portfolio/builders/scriptedtrade.cpp:247 : ccys = 1
DEBUG [2024-Jan-31 23:36:00.662737] OREData/ored/portfolio/builders/scriptedtrade.cpp:248 : eq,fx,com indices = 1
DEBUG [2024-Jan-31 23:36:00.663728] OREData/ored/portfolio/builders/scriptedtrade.cpp:249 : ir indices = 0
DEBUG [2024-Jan-31 23:36:00.664727] OREData/ored/portfolio/builders/scriptedtrade.cpp:250 : inf indices = 0
DEBUG [2024-Jan-31 23:36:00.665727] OREData/ored/portfolio/builders/scriptedtrade.cpp:251 : sim dates = 1
DEBUG [2024-Jan-31 23:36:00.666726] OREData/ored/portfolio/builders/scriptedtrade.cpp:252 : add dates = 1
DEBUG [2024-Jan-31 23:36:00.667725] OREData/ored/portfolio/builders/scriptedtrade.cpp:253 : timeStepsPerYear = 24
DEBUG [2024-Jan-31 23:36:00.668725] OREData/ored/portfolio/builders/scriptedtrade.cpp:254 : fullDynamicFx = false
DEBUG [2024-Jan-31 23:36:00.669724] OREData/ored/portfolio/builders/scriptedtrade.cpp:269 : stateGridPoints = 100
DEBUG [2024-Jan-31 23:36:00.670724] OREData/ored/portfolio/builders/scriptedtrade.cpp:270 : mesherEpsilon = 0.0001
DEBUG [2024-Jan-31 23:36:00.670724] OREData/ored/portfolio/builders/scriptedtrade.cpp:271 : mesherScaling = 1.5
DEBUG [2024-Jan-31 23:36:00.671723] OREData/ored/portfolio/builders/scriptedtrade.cpp:272 : mesherConcentration = 0.1
DEBUG [2024-Jan-31 23:36:00.672723] OREData/ored/portfolio/builders/scriptedtrade.cpp:273 : mesherMaxConcentrPts = 9999
DEBUG [2024-Jan-31 23:36:00.673722] OREData/ored/portfolio/builders/scriptedtrade.cpp:274 : mesherIsStatic = false
NOTICE [2024-Jan-31 23:36:00.674721] OREData/ored/portfolio/builders/scriptedtrade.cpp:316 : engine built for model BlackScholes / FD, modelSize = 100, interactive = 0, amcEnabled = 0, generateAdditionalResults = 1
DATA [2024-Jan-31 23:36:00.675721] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DATA [2024-Jan-31 23:36:00.676720] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade 3:EquityOption:FD:
DATA [2024-Jan-31 23:36:00.677720] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:36:00.679717] OREData/ored/portfolio/scriptedtrade.cpp:42 : ScriptedTrade::build() called for trade 4:EquityOption
NOTICE [2024-Jan-31 23:36:00.681716] OREData/ored/portfolio/builders/scriptedtrade.cpp:82 : Building engine for scripted trade 4:EquityOption
DATA [2024-Jan-31 23:36:00.683714] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
NOTICE [2024-Jan-31 23:36:00.684714] OREData/ored/portfolio/builders/scriptedtrade.cpp:437 : SIMM product class is set to Equity
NOTICE [2024-Jan-31 23:36:00.685714] OREData/ored/portfolio/builders/scriptedtrade.cpp:438 : IM Schedule product class is set to Equity
DEBUG [2024-Jan-31 23:36:00.686713] OREData/ored/scripting/utilities.cpp:112 : get script 'EuropeanOption' for purpose '' (fallBackOnEmptyPurpose=false) from script library
DEBUG [2024-Jan-31 23:36:00.687715] OREData/ored/portfolio/builders/scriptedtrade.cpp:97 : got product tag '', resolved product tag is '
DEBUG [2024-Jan-31 23:36:00.688711] OREData/ored/portfolio/builders/scriptedtrade.cpp:443 : Retrieve model and engine parameters using product tag ''
DEBUG [2024-Jan-31 23:36:00.689712] OREData/ored/portfolio/builders/scriptedtrade.cpp:485 : Retrieve model / engine specific parameters for BlackScholes / MC
...
DEBUG [2024-Jan-31 23:36:00.691710] OREData/ored/scripting/utilities.cpp:123 : parsing script (size 270)
DEBUG [2024-Jan-31 23:36:00.692709] OREData/ored/scripting/utilities.cpp:125 : successfully parsed the script
DEBUG [2024-Jan-31 23:36:00.693709] OREData/ored/portfolio/builders/scriptedtrade.cpp:120 : built ast:
...
DATA [2024-Jan-31 23:36:00.743679] OREData/ored/scripting/utilities.cpp:170 : make context
DATA [2024-Jan-31 23:36:00.743679] OREData/ored/scripting/utilities.cpp:177 : adding event Expiry
...
DATA [2024-Jan-31 23:36:00.745681] OREData/ored/scripting/utilities.cpp:256 : adding number Strike
...
DATA [2024-Jan-31 23:36:00.749677] OREData/ored/scripting/utilities.cpp:272 : adding index Underlying
DATA [2024-Jan-31 23:36:00.750676] OREData/ored/scripting/utilities.cpp:287 : adding currency PayCcy
DEBUG [2024-Jan-31 23:36:00.750676] OREData/ored/scripting/utilities.cpp:316 : context built with 8 scalars and 0 arrays.
DEBUG [2024-Jan-31 23:36:00.751676] OREData/ored/portfolio/builders/scriptedtrade.cpp:1543 : adding amc date grid (0) to context as _AMC_SimDates
DEBUG [2024-Jan-31 23:36:00.752675] OREData/ored/portfolio/builders/scriptedtrade.cpp:130 : Built initial context:
DEBUG [2024-Jan-31 23:36:00.753674] OREData/ored/portfolio/builders/scriptedtrade.cpp:131 : Expiry (Event ) const November 7th, 2023
...
DATA [2024-Jan-31 23:36:00.761670] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.762670] OREData/ored/scripting/utilities.cpp:745 : add calibration strike for index 'EQ-RIC:.STOXX50E': 4350
DEBUG [2024-Jan-31 23:36:00.763670] OREData/ored/portfolio/builders/scriptedtrade.cpp:139 : Run static analyser on script
DEBUG [2024-Jan-31 23:36:00.764668] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L3:31:10
...
DEBUG [2024-Jan-31 23:36:00.765668] OREData/ored/scripting/staticanalyser.cpp:138 : varEvaluation(Underlying, Expiry, ) at L3:31:18
DEBUG [2024-Jan-31 23:36:00.766667] OREData/ored/scripting/staticanalyser.cpp:144 : got index EQ-RIC:.STOXX50E at L3:31:18
DEBUG [2024-Jan-31 23:36:00.767666] OREData/ored/scripting/staticanalyser.cpp:146 : got date November 7th, 2023 at L3:31:18
...
DEBUG [2024-Jan-31 23:36:00.770665] OREData/ored/scripting/staticanalyser.cpp:175 : pay(Expiry,Settlement,PayCcy) at L4:20:91
DEBUG [2024-Jan-31 23:36:00.771664] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date November 7th, 2023 at L4:20:91
DEBUG [2024-Jan-31 23:36:00.772664] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date November 7th, 2023 at L4:20:91
DEBUG [2024-Jan-31 23:36:00.774567] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L4:20:91
DEBUG [2024-Jan-31 23:36:00.775567] OREData/ored/scripting/staticanalyser.cpp:430 : Static analyser finished without errors.
DEBUG [2024-Jan-31 23:36:00.776566] OREData/ored/portfolio/builders/scriptedtrade.cpp:345 : Extract indices from script:
DATA [2024-Jan-31 23:36:00.777565] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.778567] OREData/ored/portfolio/builders/scriptedtrade.cpp:365 : got index 'EQ-RIC:.STOXX50E', type EQ, index name 'RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.779565] OREData/ored/portfolio/builders/scriptedtrade.cpp:539 : Populate fixing map
...
DEBUG [2024-Jan-31 23:36:00.781563] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'default'
DEBUG [2024-Jan-31 23:36:00.782562] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:00.783562] OREData/ored/portfolio/builders/scriptedtrade.cpp:613 : added 1 fixings for 'EQ-RIC:.STOXX50E' (from eval op, prob fcts)
DEBUG [2024-Jan-31 23:36:00.784561] OREData/ored/portfolio/builders/scriptedtrade.cpp:628 : Extract pay ccys and determine the model's base ccy
DEBUG [2024-Jan-31 23:36:00.785561] OREData/ored/portfolio/builders/scriptedtrade.cpp:631 : got pay currency EUR
DEBUG [2024-Jan-31 23:36:00.786561] OREData/ored/portfolio/builders/scriptedtrade.cpp:649 : add base ccy candidate EUR from pay ccys
DEBUG [2024-Jan-31 23:36:00.787560] OREData/ored/portfolio/builders/scriptedtrade.cpp:663 : base ccy is EUR
DEBUG [2024-Jan-31 23:36:00.787560] OREData/ored/portfolio/builders/scriptedtrade.cpp:688 : Compile the model currencies list
DEBUG [2024-Jan-31 23:36:00.788559] OREData/ored/portfolio/builders/scriptedtrade.cpp:756 : model ccy EUR added
DEBUG [2024-Jan-31 23:36:00.789558] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:00.790558] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:00.791559] OREData/ored/portfolio/builders/scriptedtrade.cpp:172 : curve for EUR added.
...
DEBUG [2024-Jan-31 23:36:00.794556] OREData/ored/portfolio/builders/scriptedtrade.cpp:763 : added model index EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:00.795555] OREData/ored/portfolio/builders/scriptedtrade.cpp:899 : last relevant date: November 7th, 2023
DATA [2024-Jan-31 23:36:00.796565] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.796565] OREData/ored/portfolio/builders/scriptedtrade.cpp:860 : adding correlations for indices:
DEBUG [2024-Jan-31 23:36:00.797564] OREData/ored/portfolio/builders/scriptedtrade.cpp:862 : model index 'EQ-RIC:.STOXX50E' lookup name 'EQ-RIC:.STOXX50E'
...
DEBUG [2024-Jan-31 23:36:00.799563] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:00.800562] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:36:00.807558] OREData/ored/portfolio/builders/scriptedtrade.cpp:919 : added process for equity RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:00.808558] OREData/ored/portfolio/builders/scriptedtrade.cpp:987 : compile simulation and additional dates...
DATA [2024-Jan-31 23:36:00.809557] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.810556] OREData/ored/portfolio/builders/scriptedtrade.cpp:1014 : added 1 simulation dates for 'EQ-RIC:.STOXX50E' (from eval op obs dates)
DEBUG [2024-Jan-31 23:36:00.811556] OREData/ored/portfolio/builders/scriptedtrade.cpp:1042 : added 1 additional dates for 'EUR' (from pay() obs dates)
DEBUG [2024-Jan-31 23:36:00.812545] OREData/ored/portfolio/builders/scriptedtrade.cpp:1047 : added 0 simulation dates (from npv() regression dates)
DEBUG [2024-Jan-31 23:36:00.813555] OREData/ored/portfolio/builders/scriptedtrade.cpp:1051 : added 1 additional dates for 'EUR' (from pay() pay dates)
DATA [2024-Jan-31 23:36:00.814554] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:00.814554] OREData/ored/portfolio/builders/scriptedtrade.cpp:239 : built model : BlackScholes / MC
DEBUG [2024-Jan-31 23:36:00.815554] OREData/ored/portfolio/builders/scriptedtrade.cpp:240 : useCg = false
DEBUG [2024-Jan-31 23:36:00.816553] OREData/ored/portfolio/builders/scriptedtrade.cpp:241 : useAd = false
DEBUG [2024-Jan-31 23:36:00.817552] OREData/ored/portfolio/builders/scriptedtrade.cpp:242 : useExternalDevice = false
DEBUG [2024-Jan-31 23:36:00.818552] OREData/ored/portfolio/builders/scriptedtrade.cpp:243 : externalDevice = na
DEBUG [2024-Jan-31 23:36:00.819551] OREData/ored/portfolio/builders/scriptedtrade.cpp:244 : calibration = Deal
DEBUG [2024-Jan-31 23:36:00.820551] OREData/ored/portfolio/builders/scriptedtrade.cpp:245 : base ccy = EUR
DEBUG [2024-Jan-31 23:36:00.821550] OREData/ored/portfolio/builders/scriptedtrade.cpp:246 : model base (npv) ccy = EUR
DEBUG [2024-Jan-31 23:36:00.822551] OREData/ored/portfolio/builders/scriptedtrade.cpp:247 : ccys = 1
DEBUG [2024-Jan-31 23:36:00.822551] OREData/ored/portfolio/builders/scriptedtrade.cpp:248 : eq,fx,com indices = 1
DEBUG [2024-Jan-31 23:36:00.823549] OREData/ored/portfolio/builders/scriptedtrade.cpp:249 : ir indices = 0
DEBUG [2024-Jan-31 23:36:00.824548] OREData/ored/portfolio/builders/scriptedtrade.cpp:250 : inf indices = 0
DEBUG [2024-Jan-31 23:36:00.825548] OREData/ored/portfolio/builders/scriptedtrade.cpp:251 : sim dates = 1
DEBUG [2024-Jan-31 23:36:00.826547] OREData/ored/portfolio/builders/scriptedtrade.cpp:252 : add dates = 1
DEBUG [2024-Jan-31 23:36:00.827547] OREData/ored/portfolio/builders/scriptedtrade.cpp:253 : timeStepsPerYear = 24
DEBUG [2024-Jan-31 23:36:00.828535] OREData/ored/portfolio/builders/scriptedtrade.cpp:254 : fullDynamicFx = false
DEBUG [2024-Jan-31 23:36:00.829546] OREData/ored/portfolio/builders/scriptedtrade.cpp:256 : seed = 42
DEBUG [2024-Jan-31 23:36:00.830545] OREData/ored/portfolio/builders/scriptedtrade.cpp:257 : paths = 10000
DEBUG [2024-Jan-31 23:36:00.830545] OREData/ored/portfolio/builders/scriptedtrade.cpp:258 : regressionOrder = 2
DEBUG [2024-Jan-31 23:36:00.831544] OREData/ored/portfolio/builders/scriptedtrade.cpp:259 : sequence type = SobolBrownianBridge
DEBUG [2024-Jan-31 23:36:00.832544] OREData/ored/portfolio/builders/scriptedtrade.cpp:260 : polynom type = Monomial
DEBUG [2024-Jan-31 23:36:00.833543] OREData/ored/portfolio/builders/scriptedtrade.cpp:266 : sobol bb ordering = Steps
DEBUG [2024-Jan-31 23:36:00.834543] OREData/ored/portfolio/builders/scriptedtrade.cpp:267 : sobol direction int. = JoeKuoD7
NOTICE [2024-Jan-31 23:36:00.835542] OREData/ored/portfolio/builders/scriptedtrade.cpp:316 : engine built for model BlackScholes / MC, modelSize = 10000, interactive = 0, amcEnabled = 0, generateAdditionalResults = 1
DATA [2024-Jan-31 23:36:00.836542] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DATA [2024-Jan-31 23:36:00.837542] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade 4:EquityOption:
DATA [2024-Jan-31 23:36:00.838541] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:36:00.839540] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'default'
DEBUG [2024-Jan-31 23:36:00.840539] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DATA [2024-Jan-31 23:36:00.851215] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade 5:EquityBarrierOption:AN:
DATA [2024-Jan-31 23:36:00.858224] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:36:00.914181] OREData/ored/portfolio/scriptedtrade.cpp:42 : ScriptedTrade::build() called for trade 6:EquityBarrierOption
NOTICE [2024-Jan-31 23:36:00.915180] OREData/ored/portfolio/builders/scriptedtrade.cpp:82 : Building engine for scripted trade 6:EquityBarrierOption
DATA [2024-Jan-31 23:36:00.916180] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
NOTICE [2024-Jan-31 23:36:00.917179] OREData/ored/portfolio/builders/scriptedtrade.cpp:437 : SIMM product class is set to Equity
NOTICE [2024-Jan-31 23:36:00.918178] OREData/ored/portfolio/builders/scriptedtrade.cpp:438 : IM Schedule product class is set to Equity
DEBUG [2024-Jan-31 23:36:00.919178] OREData/ored/scripting/utilities.cpp:112 : get script 'SingleBarrierOption' for purpose '' (fallBackOnEmptyPurpose=false) from script library
DEBUG [2024-Jan-31 23:36:00.920177] OREData/ored/portfolio/builders/scriptedtrade.cpp:97 : got product tag '', resolved product tag is '
DEBUG [2024-Jan-31 23:36:00.921177] OREData/ored/portfolio/builders/scriptedtrade.cpp:443 : Retrieve model and engine parameters using product tag ''
DEBUG [2024-Jan-31 23:36:00.922176] OREData/ored/portfolio/builders/scriptedtrade.cpp:485 : Retrieve model / engine specific parameters for BlackScholes / MC
...
DEBUG [2024-Jan-31 23:36:00.930171] OREData/ored/scripting/utilities.cpp:123 : parsing script (size 1834)
DEBUG [2024-Jan-31 23:36:00.931171] OREData/ored/scripting/utilities.cpp:125 : successfully parsed the script
DEBUG [2024-Jan-31 23:36:00.932170] OREData/ored/portfolio/builders/scriptedtrade.cpp:120 : built ast:
...
DATA [2024-Jan-31 23:36:01.199890] OREData/ored/scripting/utilities.cpp:170 : make context
DATA [2024-Jan-31 23:36:01.200890] OREData/ored/scripting/utilities.cpp:177 : adding event StartDate
...
DATA [2024-Jan-31 23:36:01.203892] OREData/ored/scripting/utilities.cpp:256 : adding number Strike
...
DATA [2024-Jan-31 23:36:01.212895] OREData/ored/scripting/utilities.cpp:272 : adding index Underlying
DATA [2024-Jan-31 23:36:01.213893] OREData/ored/scripting/utilities.cpp:287 : adding currency PayCcy
...
DEBUG [2024-Jan-31 23:36:01.214893] OREData/ored/scripting/utilities.cpp:316 : context built with 16 scalars and 1 arrays.
DEBUG [2024-Jan-31 23:36:01.215892] OREData/ored/portfolio/builders/scriptedtrade.cpp:1543 : adding amc date grid (0) to context as _AMC_SimDates
DEBUG [2024-Jan-31 23:36:01.216891] OREData/ored/portfolio/builders/scriptedtrade.cpp:130 : Built initial context:
DEBUG [2024-Jan-31 23:36:01.220889] OREData/ored/portfolio/builders/scriptedtrade.cpp:131 : Amount (Number ) const 0
...
DATA [2024-Jan-31 23:36:01.297640] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:01.298651] OREData/ored/scripting/utilities.cpp:745 : add calibration strike for index 'EQ-RIC:.STOXX50E': 4350
...
DEBUG [2024-Jan-31 23:36:01.300649] OREData/ored/portfolio/builders/scriptedtrade.cpp:139 : Run static analyser on script
DEBUG [2024-Jan-31 23:36:01.301649] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L8:15:10
...
DEBUG [2024-Jan-31 23:36:01.302649] OREData/ored/scripting/staticanalyser.cpp:138 : varEvaluation(Underlying, BarrierMonitoringDates, ) at L8:15:37
DEBUG [2024-Jan-31 23:36:01.303648] OREData/ored/scripting/staticanalyser.cpp:144 : got index EQ-RIC:.STOXX50E at L8:15:37
DEBUG [2024-Jan-31 23:36:01.304647] OREData/ored/scripting/staticanalyser.cpp:146 : got date August 7th, 2023 at L8:15:37
...
DEBUG [2024-Jan-31 23:36:01.366604] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(BarrierMonitoringDates) at L21:58:25
...
DEBUG [2024-Jan-31 23:36:01.369602] OREData/ored/scripting/staticanalyser.cpp:175 : pay(BarrierMonitoringDates,BarrierMonitoringDates,BarrierRebateCurrency) at L21:26:109
DEBUG [2024-Jan-31 23:36:01.370601] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date August 7th, 2023 at L21:26:109
...
DEBUG [2024-Jan-31 23:36:01.434562] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date August 7th, 2023 at L21:26:109
...
DEBUG [2024-Jan-31 23:36:01.497750] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L21:26:109
DEBUG [2024-Jan-31 23:36:01.497750] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(BarrierMonitoringDates) at L23:58:25
...
DEBUG [2024-Jan-31 23:36:01.500748] OREData/ored/scripting/staticanalyser.cpp:175 : pay(BarrierMonitoringDates,Settlement,BarrierRebateCurrency) at L23:26:94
DEBUG [2024-Jan-31 23:36:01.501748] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date August 7th, 2023 at L23:26:94
...
DEBUG [2024-Jan-31 23:36:01.563554] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date November 7th, 2023 at L23:26:94
DEBUG [2024-Jan-31 23:36:01.564553] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L23:26:94
DEBUG [2024-Jan-31 23:36:01.565552] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Settlement) at L39:63:10
...
DEBUG [2024-Jan-31 23:36:01.568540] OREData/ored/scripting/staticanalyser.cpp:175 : pay(Settlement,Settlement,BarrierRebateCurrency) at L39:31:79
DEBUG [2024-Jan-31 23:36:01.568540] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date November 7th, 2023 at L39:31:79
DEBUG [2024-Jan-31 23:36:01.569540] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date November 7th, 2023 at L39:31:79
DEBUG [2024-Jan-31 23:36:01.571540] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L39:31:79
DEBUG [2024-Jan-31 23:36:01.572549] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Expiry) at L43:101:6
...
DEBUG [2024-Jan-31 23:36:01.576546] OREData/ored/scripting/staticanalyser.cpp:175 : pay(Expiry,Settlement,PayCcy) at L43:24:105
DEBUG [2024-Jan-31 23:36:01.576546] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date November 7th, 2023 at L43:24:105
DEBUG [2024-Jan-31 23:36:01.577546] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date November 7th, 2023 at L43:24:105
DEBUG [2024-Jan-31 23:36:01.578545] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L43:24:105
DEBUG [2024-Jan-31 23:36:01.579534] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L43:70:10
...
DEBUG [2024-Jan-31 23:36:01.581543] OREData/ored/scripting/staticanalyser.cpp:138 : varEvaluation(Underlying, Expiry, ) at L43:70:18
DEBUG [2024-Jan-31 23:36:01.582543] OREData/ored/scripting/staticanalyser.cpp:144 : got index EQ-RIC:.STOXX50E at L43:70:18
DEBUG [2024-Jan-31 23:36:01.583542] OREData/ored/scripting/staticanalyser.cpp:146 : got date November 7th, 2023 at L43:70:18
...
DEBUG [2024-Jan-31 23:36:01.586540] OREData/ored/scripting/staticanalyser.cpp:175 : pay(Expiry,Settlement,PayCcy) at L46:24:53
DEBUG [2024-Jan-31 23:36:01.587540] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date November 7th, 2023 at L46:24:53
DEBUG [2024-Jan-31 23:36:01.588539] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date November 7th, 2023 at L46:24:53
DEBUG [2024-Jan-31 23:36:01.589539] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L46:24:53
DEBUG [2024-Jan-31 23:36:01.590538] OREData/ored/scripting/staticanalyser.cpp:430 : Static analyser finished without errors.
DEBUG [2024-Jan-31 23:36:01.590538] OREData/ored/portfolio/builders/scriptedtrade.cpp:345 : Extract indices from script:
DATA [2024-Jan-31 23:36:01.591537] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:01.592537] OREData/ored/portfolio/builders/scriptedtrade.cpp:365 : got index 'EQ-RIC:.STOXX50E', type EQ, index name 'RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:01.593536] OREData/ored/portfolio/builders/scriptedtrade.cpp:539 : Populate fixing map
...
DEBUG [2024-Jan-31 23:36:01.596524] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'default'
DEBUG [2024-Jan-31 23:36:01.597535] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:01.597535] OREData/ored/portfolio/builders/scriptedtrade.cpp:613 : added 67 fixings for 'EQ-RIC:.STOXX50E' (from eval op, prob fcts)
DEBUG [2024-Jan-31 23:36:01.598533] OREData/ored/portfolio/builders/scriptedtrade.cpp:628 : Extract pay ccys and determine the model's base ccy
DEBUG [2024-Jan-31 23:36:01.599533] OREData/ored/portfolio/builders/scriptedtrade.cpp:631 : got pay currency EUR
DEBUG [2024-Jan-31 23:36:01.600533] OREData/ored/portfolio/builders/scriptedtrade.cpp:649 : add base ccy candidate EUR from pay ccys
DEBUG [2024-Jan-31 23:36:01.601532] OREData/ored/portfolio/builders/scriptedtrade.cpp:663 : base ccy is EUR
DEBUG [2024-Jan-31 23:36:01.602531] OREData/ored/portfolio/builders/scriptedtrade.cpp:688 : Compile the model currencies list
DEBUG [2024-Jan-31 23:36:01.603530] OREData/ored/portfolio/builders/scriptedtrade.cpp:756 : model ccy EUR added
DEBUG [2024-Jan-31 23:36:01.604530] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:01.605529] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:01.605529] OREData/ored/portfolio/builders/scriptedtrade.cpp:172 : curve for EUR added.
...
DEBUG [2024-Jan-31 23:36:01.608528] OREData/ored/portfolio/builders/scriptedtrade.cpp:763 : added model index EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:01.609527] OREData/ored/portfolio/builders/scriptedtrade.cpp:899 : last relevant date: November 7th, 2023
DATA [2024-Jan-31 23:36:01.610527] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:01.611526] OREData/ored/portfolio/builders/scriptedtrade.cpp:860 : adding correlations for indices:
DEBUG [2024-Jan-31 23:36:01.612517] OREData/ored/portfolio/builders/scriptedtrade.cpp:862 : model index 'EQ-RIC:.STOXX50E' lookup name 'EQ-RIC:.STOXX50E'
...
DEBUG [2024-Jan-31 23:36:01.613526] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:01.614524] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:36:01.622519] OREData/ored/portfolio/builders/scriptedtrade.cpp:919 : added process for equity RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:01.623520] OREData/ored/portfolio/builders/scriptedtrade.cpp:987 : compile simulation and additional dates...
DATA [2024-Jan-31 23:36:01.623520] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:01.624518] OREData/ored/portfolio/builders/scriptedtrade.cpp:1014 : added 67 simulation dates for 'EQ-RIC:.STOXX50E' (from eval op obs dates)
DEBUG [2024-Jan-31 23:36:01.625518] OREData/ored/portfolio/builders/scriptedtrade.cpp:1042 : added 67 additional dates for 'EUR' (from pay() obs dates)
DEBUG [2024-Jan-31 23:36:01.626517] OREData/ored/portfolio/builders/scriptedtrade.cpp:1047 : added 0 simulation dates (from npv() regression dates)
DEBUG [2024-Jan-31 23:36:01.627517] OREData/ored/portfolio/builders/scriptedtrade.cpp:1051 : added 67 additional dates for 'EUR' (from pay() pay dates)
DATA [2024-Jan-31 23:36:01.628516] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:01.629516] OREData/ored/portfolio/builders/scriptedtrade.cpp:239 : built model : BlackScholes / MC
DEBUG [2024-Jan-31 23:36:01.630515] OREData/ored/portfolio/builders/scriptedtrade.cpp:240 : useCg = false
DEBUG [2024-Jan-31 23:36:01.631515] OREData/ored/portfolio/builders/scriptedtrade.cpp:241 : useAd = false
DEBUG [2024-Jan-31 23:36:01.632514] OREData/ored/portfolio/builders/scriptedtrade.cpp:242 : useExternalDevice = false
DEBUG [2024-Jan-31 23:36:01.633513] OREData/ored/portfolio/builders/scriptedtrade.cpp:243 : externalDevice = na
DEBUG [2024-Jan-31 23:36:01.634513] OREData/ored/portfolio/builders/scriptedtrade.cpp:244 : calibration = Deal
DEBUG [2024-Jan-31 23:36:01.634513] OREData/ored/portfolio/builders/scriptedtrade.cpp:245 : base ccy = EUR
DEBUG [2024-Jan-31 23:36:01.635512] OREData/ored/portfolio/builders/scriptedtrade.cpp:246 : model base (npv) ccy = EUR
DEBUG [2024-Jan-31 23:36:01.636512] OREData/ored/portfolio/builders/scriptedtrade.cpp:247 : ccys = 1
DEBUG [2024-Jan-31 23:36:01.637511] OREData/ored/portfolio/builders/scriptedtrade.cpp:248 : eq,fx,com indices = 1
DEBUG [2024-Jan-31 23:36:01.638511] OREData/ored/portfolio/builders/scriptedtrade.cpp:249 : ir indices = 0
DEBUG [2024-Jan-31 23:36:01.639510] OREData/ored/portfolio/builders/scriptedtrade.cpp:250 : inf indices = 0
DEBUG [2024-Jan-31 23:36:01.640510] OREData/ored/portfolio/builders/scriptedtrade.cpp:251 : sim dates = 67
DEBUG [2024-Jan-31 23:36:01.641509] OREData/ored/portfolio/builders/scriptedtrade.cpp:252 : add dates = 67
DEBUG [2024-Jan-31 23:36:01.641509] OREData/ored/portfolio/builders/scriptedtrade.cpp:253 : timeStepsPerYear = 24
DEBUG [2024-Jan-31 23:36:01.642509] OREData/ored/portfolio/builders/scriptedtrade.cpp:254 : fullDynamicFx = false
DEBUG [2024-Jan-31 23:36:01.643508] OREData/ored/portfolio/builders/scriptedtrade.cpp:256 : seed = 42
DEBUG [2024-Jan-31 23:36:01.644507] OREData/ored/portfolio/builders/scriptedtrade.cpp:257 : paths = 10000
DEBUG [2024-Jan-31 23:36:01.645507] OREData/ored/portfolio/builders/scriptedtrade.cpp:258 : regressionOrder = 2
DEBUG [2024-Jan-31 23:36:01.646506] OREData/ored/portfolio/builders/scriptedtrade.cpp:259 : sequence type = SobolBrownianBridge
DEBUG [2024-Jan-31 23:36:01.647506] OREData/ored/portfolio/builders/scriptedtrade.cpp:260 : polynom type = Monomial
DEBUG [2024-Jan-31 23:36:01.648495] OREData/ored/portfolio/builders/scriptedtrade.cpp:266 : sobol bb ordering = Steps
DEBUG [2024-Jan-31 23:36:01.649494] OREData/ored/portfolio/builders/scriptedtrade.cpp:267 : sobol direction int. = JoeKuoD7
NOTICE [2024-Jan-31 23:36:01.650493] OREData/ored/portfolio/builders/scriptedtrade.cpp:316 : engine built for model BlackScholes / MC, modelSize = 10000, interactive = 0, amcEnabled = 0, generateAdditionalResults = 1
DATA [2024-Jan-31 23:36:01.651493] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
...
DATA [2024-Jan-31 23:36:01.714458] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade 6:EquityBarrierOption:
DATA [2024-Jan-31 23:36:01.720454] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:36:01.777463] OREData/ored/portfolio/scriptedtrade.cpp:42 : ScriptedTrade::build() called for trade 7:EquityBarrierOption
NOTICE [2024-Jan-31 23:36:01.778462] OREData/ored/portfolio/builders/scriptedtrade.cpp:82 : Building engine for scripted trade 7:EquityBarrierOption
DATA [2024-Jan-31 23:36:01.779452] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
NOTICE [2024-Jan-31 23:36:01.780461] OREData/ored/portfolio/builders/scriptedtrade.cpp:437 : SIMM product class is set to Equity
NOTICE [2024-Jan-31 23:36:01.780461] OREData/ored/portfolio/builders/scriptedtrade.cpp:438 : IM Schedule product class is set to Equity
DEBUG [2024-Jan-31 23:36:01.781460] OREData/ored/scripting/utilities.cpp:112 : get script 'SingleContinuousBarrierOption' for purpose '' (fallBackOnEmptyPurpose=false) from script library
DEBUG [2024-Jan-31 23:36:01.782459] OREData/ored/portfolio/builders/scriptedtrade.cpp:97 : got product tag '', resolved product tag is '
DEBUG [2024-Jan-31 23:36:01.783459] OREData/ored/portfolio/builders/scriptedtrade.cpp:443 : Retrieve model and engine parameters using product tag ''
DEBUG [2024-Jan-31 23:36:01.784458] OREData/ored/portfolio/builders/scriptedtrade.cpp:485 : Retrieve model / engine specific parameters for BlackScholes / MC
...
DEBUG [2024-Jan-31 23:36:01.800449] OREData/ored/scripting/utilities.cpp:123 : parsing script (size 2656)
DEBUG [2024-Jan-31 23:36:01.801449] OREData/ored/scripting/utilities.cpp:125 : successfully parsed the script
DEBUG [2024-Jan-31 23:36:01.802448] OREData/ored/portfolio/builders/scriptedtrade.cpp:120 : built ast:
...
DATA [2024-Jan-31 23:36:02.191040] OREData/ored/scripting/utilities.cpp:170 : make context
DATA [2024-Jan-31 23:36:02.192039] OREData/ored/scripting/utilities.cpp:177 : adding event StartDate
...
DATA [2024-Jan-31 23:36:02.195037] OREData/ored/scripting/utilities.cpp:256 : adding number Strike
...
DATA [2024-Jan-31 23:36:02.204021] OREData/ored/scripting/utilities.cpp:272 : adding index Underlying
DATA [2024-Jan-31 23:36:02.205021] OREData/ored/scripting/utilities.cpp:287 : adding currency PayCcy
...
DEBUG [2024-Jan-31 23:36:02.206020] OREData/ored/scripting/utilities.cpp:316 : context built with 16 scalars and 1 arrays.
DEBUG [2024-Jan-31 23:36:02.207019] OREData/ored/portfolio/builders/scriptedtrade.cpp:1543 : adding amc date grid (0) to context as _AMC_SimDates
DEBUG [2024-Jan-31 23:36:02.208019] OREData/ored/portfolio/builders/scriptedtrade.cpp:130 : Built initial context:
DEBUG [2024-Jan-31 23:36:02.212016] OREData/ored/portfolio/builders/scriptedtrade.cpp:131 : Amount (Number ) const 0
...
DATA [2024-Jan-31 23:36:02.286982] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:02.286982] OREData/ored/scripting/utilities.cpp:745 : add calibration strike for index 'EQ-RIC:.STOXX50E': 4350
...
DEBUG [2024-Jan-31 23:36:02.288981] OREData/ored/portfolio/builders/scriptedtrade.cpp:139 : Run static analyser on script
DEBUG [2024-Jan-31 23:36:02.289981] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L9:15:10
...
DEBUG [2024-Jan-31 23:36:02.291979] OREData/ored/scripting/staticanalyser.cpp:138 : varEvaluation(Underlying, BarrierMonitoringDates, ) at L9:15:37
DEBUG [2024-Jan-31 23:36:02.291979] OREData/ored/scripting/staticanalyser.cpp:144 : got index EQ-RIC:.STOXX50E at L9:15:37
DEBUG [2024-Jan-31 23:36:02.292979] OREData/ored/scripting/staticanalyser.cpp:146 : got date August 7th, 2023 at L9:15:37
...
DEBUG [2024-Jan-31 23:36:02.354943] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(BarrierMonitoringDates) at L22:58:25
...
DEBUG [2024-Jan-31 23:36:02.356942] OREData/ored/scripting/staticanalyser.cpp:175 : pay(BarrierMonitoringDates,BarrierMonitoringDates,BarrierRebateCurrency) at L22:26:109
DEBUG [2024-Jan-31 23:36:02.357942] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date August 7th, 2023 at L22:26:109
...
DEBUG [2024-Jan-31 23:36:02.418907] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date August 7th, 2023 at L22:26:109
...
DEBUG [2024-Jan-31 23:36:02.481137] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L22:26:109
DEBUG [2024-Jan-31 23:36:02.482136] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(BarrierMonitoringDates) at L24:58:25
...
DEBUG [2024-Jan-31 23:36:02.485134] OREData/ored/scripting/staticanalyser.cpp:175 : pay(BarrierMonitoringDates,Settlement,BarrierRebateCurrency) at L24:26:94
DEBUG [2024-Jan-31 23:36:02.486134] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date August 7th, 2023 at L24:26:94
...
DEBUG [2024-Jan-31 23:36:02.546924] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date November 7th, 2023 at L24:26:94
DEBUG [2024-Jan-31 23:36:02.547923] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L24:26:94
DEBUG [2024-Jan-31 23:36:02.548922] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L32:46:10
...
DEBUG [2024-Jan-31 23:36:02.551921] OREData/ored/scripting/staticanalyser.cpp:313 : prob(Underlying,StartDate,BarrierMonitoringDates at L32:36:73
DEBUG [2024-Jan-31 23:36:02.551921] OREData/ored/scripting/staticanalyser.cpp:315 : got index EQ-RIC:.STOXX50E at L32:36:73
DEBUG [2024-Jan-31 23:36:02.552920] OREData/ored/scripting/staticanalyser.cpp:317 : got obs date 1 August 7th, 2023 at L32:36:73
DEBUG [2024-Jan-31 23:36:02.553919] OREData/ored/scripting/staticanalyser.cpp:319 : got obs date 2 August 7th, 2023 at L32:36:73
...
DATA [2024-Jan-31 23:36:02.616264] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:02.617493] OREData/ored/scripting/staticanalyser.cpp:352 : adding prob fixing dates from 2023-08-07 to 2023-11-07 for EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:02.617493] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L34:46:10
...
DEBUG [2024-Jan-31 23:36:02.620504] OREData/ored/scripting/staticanalyser.cpp:313 : prob(Underlying,BarrierMonitoringDates,BarrierMonitoringDates at L34:36:91
DEBUG [2024-Jan-31 23:36:02.621503] OREData/ored/scripting/staticanalyser.cpp:315 : got index EQ-RIC:.STOXX50E at L34:36:91
DEBUG [2024-Jan-31 23:36:02.622503] OREData/ored/scripting/staticanalyser.cpp:317 : got obs date 1 August 7th, 2023 at L34:36:91
...
DEBUG [2024-Jan-31 23:36:02.686458] OREData/ored/scripting/staticanalyser.cpp:319 : got obs date 2 August 7th, 2023 at L34:36:91
...
DATA [2024-Jan-31 23:36:02.748420] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:02.749420] OREData/ored/scripting/staticanalyser.cpp:352 : adding prob fixing dates from 2023-08-07 to 2023-11-07 for EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:02.750419] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L40:46:10
...
DEBUG [2024-Jan-31 23:36:02.752419] OREData/ored/scripting/staticanalyser.cpp:313 : prob(Underlying,StartDate,BarrierMonitoringDates at L40:36:73
DEBUG [2024-Jan-31 23:36:02.753418] OREData/ored/scripting/staticanalyser.cpp:315 : got index EQ-RIC:.STOXX50E at L40:36:73
DEBUG [2024-Jan-31 23:36:02.754417] OREData/ored/scripting/staticanalyser.cpp:317 : got obs date 1 August 7th, 2023 at L40:36:73
DEBUG [2024-Jan-31 23:36:02.755416] OREData/ored/scripting/staticanalyser.cpp:319 : got obs date 2 August 7th, 2023 at L40:36:73
...
DATA [2024-Jan-31 23:36:02.817274] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:02.818274] OREData/ored/scripting/staticanalyser.cpp:352 : adding prob fixing dates from 2023-08-07 to 2023-11-07 for EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:02.819274] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L42:46:10
...
DEBUG [2024-Jan-31 23:36:02.821273] OREData/ored/scripting/staticanalyser.cpp:313 : prob(Underlying,BarrierMonitoringDates,BarrierMonitoringDates at L42:36:91
DEBUG [2024-Jan-31 23:36:02.822271] OREData/ored/scripting/staticanalyser.cpp:315 : got index EQ-RIC:.STOXX50E at L42:36:91
DEBUG [2024-Jan-31 23:36:02.823271] OREData/ored/scripting/staticanalyser.cpp:317 : got obs date 1 August 7th, 2023 at L42:36:91
...
DEBUG [2024-Jan-31 23:36:02.884237] OREData/ored/scripting/staticanalyser.cpp:319 : got obs date 2 August 7th, 2023 at L42:36:91
...
DATA [2024-Jan-31 23:36:02.945190] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:02.946190] OREData/ored/scripting/staticanalyser.cpp:352 : adding prob fixing dates from 2023-08-07 to 2023-11-07 for EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:02.947189] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Settlement) at L56:63:10
...
DEBUG [2024-Jan-31 23:36:02.950187] OREData/ored/scripting/staticanalyser.cpp:175 : pay(Settlement,Settlement,BarrierRebateCurrency) at L56:31:79
DEBUG [2024-Jan-31 23:36:02.951187] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date November 7th, 2023 at L56:31:79
DEBUG [2024-Jan-31 23:36:02.951187] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date November 7th, 2023 at L56:31:79
DEBUG [2024-Jan-31 23:36:02.952186] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L56:31:79
DEBUG [2024-Jan-31 23:36:02.953186] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Expiry) at L60:109:6
...
DEBUG [2024-Jan-31 23:36:02.956184] OREData/ored/scripting/staticanalyser.cpp:175 : pay(Expiry,Settlement,PayCcy) at L60:32:105
DEBUG [2024-Jan-31 23:36:02.957183] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date November 7th, 2023 at L60:32:105
DEBUG [2024-Jan-31 23:36:02.957183] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date November 7th, 2023 at L60:32:105
DEBUG [2024-Jan-31 23:36:02.958183] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L60:32:105
DEBUG [2024-Jan-31 23:36:02.959182] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L60:78:10
...
DEBUG [2024-Jan-31 23:36:02.961182] OREData/ored/scripting/staticanalyser.cpp:138 : varEvaluation(Underlying, Expiry, ) at L60:78:18
DEBUG [2024-Jan-31 23:36:02.962181] OREData/ored/scripting/staticanalyser.cpp:144 : got index EQ-RIC:.STOXX50E at L60:78:18
DEBUG [2024-Jan-31 23:36:02.962181] OREData/ored/scripting/staticanalyser.cpp:146 : got date November 7th, 2023 at L60:78:18
...
DEBUG [2024-Jan-31 23:36:02.966178] OREData/ored/scripting/staticanalyser.cpp:175 : pay(Expiry,Settlement,PayCcy) at L63:32:53
DEBUG [2024-Jan-31 23:36:02.967178] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date November 7th, 2023 at L63:32:53
DEBUG [2024-Jan-31 23:36:02.968177] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date November 7th, 2023 at L63:32:53
DEBUG [2024-Jan-31 23:36:02.969177] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L63:32:53
DEBUG [2024-Jan-31 23:36:02.969177] OREData/ored/scripting/staticanalyser.cpp:430 : Static analyser finished without errors.
DEBUG [2024-Jan-31 23:36:02.970176] OREData/ored/portfolio/builders/scriptedtrade.cpp:345 : Extract indices from script:
DATA [2024-Jan-31 23:36:02.971175] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:02.972175] OREData/ored/portfolio/builders/scriptedtrade.cpp:365 : got index 'EQ-RIC:.STOXX50E', type EQ, index name 'RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:02.973174] OREData/ored/portfolio/builders/scriptedtrade.cpp:539 : Populate fixing map
...
DEBUG [2024-Jan-31 23:36:02.975173] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'default'
DEBUG [2024-Jan-31 23:36:02.976173] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:02.977172] OREData/ored/portfolio/builders/scriptedtrade.cpp:613 : added 160 fixings for 'EQ-RIC:.STOXX50E' (from eval op, prob fcts)
DEBUG [2024-Jan-31 23:36:02.978171] OREData/ored/portfolio/builders/scriptedtrade.cpp:628 : Extract pay ccys and determine the model's base ccy
DEBUG [2024-Jan-31 23:36:02.979171] OREData/ored/portfolio/builders/scriptedtrade.cpp:631 : got pay currency EUR
DEBUG [2024-Jan-31 23:36:02.980175] OREData/ored/portfolio/builders/scriptedtrade.cpp:649 : add base ccy candidate EUR from pay ccys
DEBUG [2024-Jan-31 23:36:02.981171] OREData/ored/portfolio/builders/scriptedtrade.cpp:663 : base ccy is EUR
DEBUG [2024-Jan-31 23:36:02.982169] OREData/ored/portfolio/builders/scriptedtrade.cpp:688 : Compile the model currencies list
DEBUG [2024-Jan-31 23:36:02.983169] OREData/ored/portfolio/builders/scriptedtrade.cpp:756 : model ccy EUR added
DEBUG [2024-Jan-31 23:36:02.984168] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:02.984168] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:02.985167] OREData/ored/portfolio/builders/scriptedtrade.cpp:172 : curve for EUR added.
...
DEBUG [2024-Jan-31 23:36:02.988166] OREData/ored/portfolio/builders/scriptedtrade.cpp:763 : added model index EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:02.989165] OREData/ored/portfolio/builders/scriptedtrade.cpp:899 : last relevant date: November 7th, 2023
DATA [2024-Jan-31 23:36:02.990165] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:02.990165] OREData/ored/portfolio/builders/scriptedtrade.cpp:860 : adding correlations for indices:
DEBUG [2024-Jan-31 23:36:02.991164] OREData/ored/portfolio/builders/scriptedtrade.cpp:862 : model index 'EQ-RIC:.STOXX50E' lookup name 'EQ-RIC:.STOXX50E'
...
DEBUG [2024-Jan-31 23:36:02.993163] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:02.994162] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:36:03.001169] OREData/ored/portfolio/builders/scriptedtrade.cpp:919 : added process for equity RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:03.002169] OREData/ored/portfolio/builders/scriptedtrade.cpp:987 : compile simulation and additional dates...
DATA [2024-Jan-31 23:36:03.003168] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:03.004168] OREData/ored/portfolio/builders/scriptedtrade.cpp:1014 : added 67 simulation dates for 'EQ-RIC:.STOXX50E' (from eval op obs dates)
DEBUG [2024-Jan-31 23:36:03.005167] OREData/ored/portfolio/builders/scriptedtrade.cpp:1042 : added 67 additional dates for 'EUR' (from pay() obs dates)
DEBUG [2024-Jan-31 23:36:03.006166] OREData/ored/portfolio/builders/scriptedtrade.cpp:1047 : added 0 simulation dates (from npv() regression dates)
DEBUG [2024-Jan-31 23:36:03.007166] OREData/ored/portfolio/builders/scriptedtrade.cpp:1051 : added 67 additional dates for 'EUR' (from pay() pay dates)
DATA [2024-Jan-31 23:36:03.008165] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:03.009165] OREData/ored/portfolio/builders/scriptedtrade.cpp:239 : built model : BlackScholes / MC
DEBUG [2024-Jan-31 23:36:03.010164] OREData/ored/portfolio/builders/scriptedtrade.cpp:240 : useCg = false
DEBUG [2024-Jan-31 23:36:03.011164] OREData/ored/portfolio/builders/scriptedtrade.cpp:241 : useAd = false
DEBUG [2024-Jan-31 23:36:03.011164] OREData/ored/portfolio/builders/scriptedtrade.cpp:242 : useExternalDevice = false
DEBUG [2024-Jan-31 23:36:03.012163] OREData/ored/portfolio/builders/scriptedtrade.cpp:243 : externalDevice = na
DEBUG [2024-Jan-31 23:36:03.013163] OREData/ored/portfolio/builders/scriptedtrade.cpp:244 : calibration = Deal
DEBUG [2024-Jan-31 23:36:03.014163] OREData/ored/portfolio/builders/scriptedtrade.cpp:245 : base ccy = EUR
DEBUG [2024-Jan-31 23:36:03.015161] OREData/ored/portfolio/builders/scriptedtrade.cpp:246 : model base (npv) ccy = EUR
DEBUG [2024-Jan-31 23:36:03.016160] OREData/ored/portfolio/builders/scriptedtrade.cpp:247 : ccys = 1
DEBUG [2024-Jan-31 23:36:03.017160] OREData/ored/portfolio/builders/scriptedtrade.cpp:248 : eq,fx,com indices = 1
DEBUG [2024-Jan-31 23:36:03.018159] OREData/ored/portfolio/builders/scriptedtrade.cpp:249 : ir indices = 0
DEBUG [2024-Jan-31 23:36:03.019159] OREData/ored/portfolio/builders/scriptedtrade.cpp:250 : inf indices = 0
DEBUG [2024-Jan-31 23:36:03.019159] OREData/ored/portfolio/builders/scriptedtrade.cpp:251 : sim dates = 67
DEBUG [2024-Jan-31 23:36:03.020158] OREData/ored/portfolio/builders/scriptedtrade.cpp:252 : add dates = 67
DEBUG [2024-Jan-31 23:36:03.021158] OREData/ored/portfolio/builders/scriptedtrade.cpp:253 : timeStepsPerYear = 24
DEBUG [2024-Jan-31 23:36:03.022157] OREData/ored/portfolio/builders/scriptedtrade.cpp:254 : fullDynamicFx = false
DEBUG [2024-Jan-31 23:36:03.023159] OREData/ored/portfolio/builders/scriptedtrade.cpp:256 : seed = 42
DEBUG [2024-Jan-31 23:36:03.024158] OREData/ored/portfolio/builders/scriptedtrade.cpp:257 : paths = 10000
DEBUG [2024-Jan-31 23:36:03.025159] OREData/ored/portfolio/builders/scriptedtrade.cpp:258 : regressionOrder = 2
DEBUG [2024-Jan-31 23:36:03.026155] OREData/ored/portfolio/builders/scriptedtrade.cpp:259 : sequence type = SobolBrownianBridge
DEBUG [2024-Jan-31 23:36:03.027011] OREData/ored/portfolio/builders/scriptedtrade.cpp:260 : polynom type = Monomial
DEBUG [2024-Jan-31 23:36:03.028022] OREData/ored/portfolio/builders/scriptedtrade.cpp:266 : sobol bb ordering = Steps
DEBUG [2024-Jan-31 23:36:03.029021] OREData/ored/portfolio/builders/scriptedtrade.cpp:267 : sobol direction int. = JoeKuoD7
NOTICE [2024-Jan-31 23:36:03.030021] OREData/ored/portfolio/builders/scriptedtrade.cpp:316 : engine built for model BlackScholes / MC, modelSize = 10000, interactive = 0, amcEnabled = 0, generateAdditionalResults = 1
DATA [2024-Jan-31 23:36:03.031020] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
...
DATA [2024-Jan-31 23:36:03.087976] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade 7:EquityBarrierOption:
DATA [2024-Jan-31 23:36:03.094983] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
DEBUG [2024-Jan-31 23:36:03.150941] OREData/ored/portfolio/scriptedtrade.cpp:42 : ScriptedTrade::build() called for trade 8:EquityAccumulator
NOTICE [2024-Jan-31 23:36:03.151940] OREData/ored/portfolio/builders/scriptedtrade.cpp:82 : Building engine for scripted trade 8:EquityAccumulator
DATA [2024-Jan-31 23:36:03.152939] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
NOTICE [2024-Jan-31 23:36:03.153951] OREData/ored/portfolio/builders/scriptedtrade.cpp:437 : SIMM product class is set to Equity
NOTICE [2024-Jan-31 23:36:03.154949] OREData/ored/portfolio/builders/scriptedtrade.cpp:438 : IM Schedule product class is set to Equity
DEBUG [2024-Jan-31 23:36:03.155948] OREData/ored/scripting/utilities.cpp:112 : get script 'Accumulator' for purpose '' (fallBackOnEmptyPurpose=false) from script library
DEBUG [2024-Jan-31 23:36:03.156948] OREData/ored/portfolio/builders/scriptedtrade.cpp:97 : got product tag '', resolved product tag is '
DEBUG [2024-Jan-31 23:36:03.157947] OREData/ored/portfolio/builders/scriptedtrade.cpp:443 : Retrieve model and engine parameters using product tag ''
DEBUG [2024-Jan-31 23:36:03.157947] OREData/ored/portfolio/builders/scriptedtrade.cpp:485 : Retrieve model / engine specific parameters for BlackScholes / MC
...
DEBUG [2024-Jan-31 23:36:03.169941] OREData/ored/scripting/utilities.cpp:123 : parsing script (size 2388)
DEBUG [2024-Jan-31 23:36:03.170931] OREData/ored/scripting/utilities.cpp:125 : successfully parsed the script
DEBUG [2024-Jan-31 23:36:03.171939] OREData/ored/portfolio/builders/scriptedtrade.cpp:120 : built ast:
...
DATA [2024-Jan-31 23:36:03.504103] OREData/ored/scripting/utilities.cpp:170 : make context
DATA [2024-Jan-31 23:36:03.504103] OREData/ored/scripting/utilities.cpp:177 : adding event StartDate
...
DATA [2024-Jan-31 23:36:03.508074] OREData/ored/scripting/utilities.cpp:256 : adding number Strike
...
DATA [2024-Jan-31 23:36:03.517081] OREData/ored/scripting/utilities.cpp:272 : adding index Underlying
DATA [2024-Jan-31 23:36:03.517081] OREData/ored/scripting/utilities.cpp:287 : adding currency PayCcy
DEBUG [2024-Jan-31 23:36:03.518991] OREData/ored/scripting/utilities.cpp:316 : context built with 10 scalars and 5 arrays.
DEBUG [2024-Jan-31 23:36:03.520002] OREData/ored/portfolio/builders/scriptedtrade.cpp:1543 : adding amc date grid (0) to context as _AMC_SimDates
DEBUG [2024-Jan-31 23:36:03.522000] OREData/ored/portfolio/builders/scriptedtrade.cpp:130 : Built initial context:
DEBUG [2024-Jan-31 23:36:03.524998] OREData/ored/portfolio/builders/scriptedtrade.cpp:131 : AmericanKO (Number ) const -1
...
DATA [2024-Jan-31 23:36:03.550974] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:03.550974] OREData/ored/scripting/utilities.cpp:745 : add calibration strike for index 'EQ-RIC:.STOXX50E': 4400
...
DEBUG [2024-Jan-31 23:36:03.552971] OREData/ored/portfolio/builders/scriptedtrade.cpp:139 : Run static analyser on script
DEBUG [2024-Jan-31 23:36:03.553971] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L6:23:10
...
DEBUG [2024-Jan-31 23:36:03.555981] OREData/ored/scripting/staticanalyser.cpp:138 : varEvaluation(Underlying, FixingDates, ) at L6:23:26
DEBUG [2024-Jan-31 23:36:03.556980] OREData/ored/scripting/staticanalyser.cpp:144 : got index EQ-RIC:.STOXX50E at L6:23:26
DEBUG [2024-Jan-31 23:36:03.557980] OREData/ored/scripting/staticanalyser.cpp:146 : got date August 9th, 2024 at L6:23:26
...
DEBUG [2024-Jan-31 23:36:03.561977] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L13:58:10
...
DEBUG [2024-Jan-31 23:36:03.564970] OREData/ored/scripting/staticanalyser.cpp:313 : prob(Underlying,StartDate,FixingDates at L13:48:63
DEBUG [2024-Jan-31 23:36:03.565975] OREData/ored/scripting/staticanalyser.cpp:315 : got index EQ-RIC:.STOXX50E at L13:48:63
DEBUG [2024-Jan-31 23:36:03.566975] OREData/ored/scripting/staticanalyser.cpp:317 : got obs date 1 August 9th, 2023 at L13:48:63
DEBUG [2024-Jan-31 23:36:03.567974] OREData/ored/scripting/staticanalyser.cpp:319 : got obs date 2 August 9th, 2024 at L13:48:63
...
DATA [2024-Jan-31 23:36:03.571972] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:03.572971] OREData/ored/scripting/staticanalyser.cpp:352 : adding prob fixing dates from 2023-08-09 to 2028-08-09 for EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:03.574970] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L15:58:10
...
DEBUG [2024-Jan-31 23:36:03.576969] OREData/ored/scripting/staticanalyser.cpp:313 : prob(Underlying,FixingDates,FixingDates at L15:48:70
DEBUG [2024-Jan-31 23:36:03.577968] OREData/ored/scripting/staticanalyser.cpp:315 : got index EQ-RIC:.STOXX50E at L15:48:70
DEBUG [2024-Jan-31 23:36:03.578968] OREData/ored/scripting/staticanalyser.cpp:317 : got obs date 1 August 9th, 2024 at L15:48:70
...
DEBUG [2024-Jan-31 23:36:03.583965] OREData/ored/scripting/staticanalyser.cpp:319 : got obs date 2 August 9th, 2024 at L15:48:70
...
DATA [2024-Jan-31 23:36:03.587963] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:03.588962] OREData/ored/scripting/staticanalyser.cpp:352 : adding prob fixing dates from 2024-08-09 to 2028-08-09 for EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:03.589961] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L21:58:10
...
DEBUG [2024-Jan-31 23:36:03.592959] OREData/ored/scripting/staticanalyser.cpp:313 : prob(Underlying,StartDate,FixingDates at L21:48:63
DEBUG [2024-Jan-31 23:36:03.592959] OREData/ored/scripting/staticanalyser.cpp:315 : got index EQ-RIC:.STOXX50E at L21:48:63
DEBUG [2024-Jan-31 23:36:03.593959] OREData/ored/scripting/staticanalyser.cpp:317 : got obs date 1 August 9th, 2023 at L21:48:63
DEBUG [2024-Jan-31 23:36:03.594959] OREData/ored/scripting/staticanalyser.cpp:319 : got obs date 2 August 9th, 2024 at L21:48:63
...
DATA [2024-Jan-31 23:36:03.599955] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:03.600954] OREData/ored/scripting/staticanalyser.cpp:352 : adding prob fixing dates from 2023-08-09 to 2028-08-09 for EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:03.601954] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(Underlying) at L23:58:10
...
DEBUG [2024-Jan-31 23:36:03.603954] OREData/ored/scripting/staticanalyser.cpp:313 : prob(Underlying,FixingDates,FixingDates at L23:48:70
DEBUG [2024-Jan-31 23:36:03.604952] OREData/ored/scripting/staticanalyser.cpp:315 : got index EQ-RIC:.STOXX50E at L23:48:70
DEBUG [2024-Jan-31 23:36:03.605952] OREData/ored/scripting/staticanalyser.cpp:317 : got obs date 1 August 9th, 2024 at L23:48:70
...
DEBUG [2024-Jan-31 23:36:03.610940] OREData/ored/scripting/staticanalyser.cpp:319 : got obs date 2 August 9th, 2024 at L23:48:70
...
DATA [2024-Jan-31 23:36:03.614947] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:03.615946] OREData/ored/scripting/staticanalyser.cpp:352 : adding prob fixing dates from 2024-08-09 to 2028-08-09 for EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:03.616946] OREData/ored/scripting/staticanalyser.cpp:81 : getVariableName(FixingDates) at L45:48:14
...
DEBUG [2024-Jan-31 23:36:03.619944] OREData/ored/scripting/staticanalyser.cpp:175 : pay(FixingDates,SettlementDates,PayCcy) at L44:41-L45:91
DEBUG [2024-Jan-31 23:36:03.620943] OREData/ored/scripting/staticanalyser.cpp:177 : got obs date August 9th, 2024 at L44:41-L45:91
...
DEBUG [2024-Jan-31 23:36:03.625940] OREData/ored/scripting/staticanalyser.cpp:179 : got pay date August 9th, 2024 at L44:41-L45:91
...
DEBUG [2024-Jan-31 23:36:03.629938] OREData/ored/scripting/staticanalyser.cpp:181 : got currency EUR at L44:41-L45:91
DEBUG [2024-Jan-31 23:36:03.631929] OREData/ored/scripting/staticanalyser.cpp:430 : Static analyser finished without errors.
DEBUG [2024-Jan-31 23:36:03.631929] OREData/ored/portfolio/builders/scriptedtrade.cpp:345 : Extract indices from script:
DATA [2024-Jan-31 23:36:03.632937] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:03.633936] OREData/ored/portfolio/builders/scriptedtrade.cpp:365 : got index 'EQ-RIC:.STOXX50E', type EQ, index name 'RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:03.634924] OREData/ored/portfolio/builders/scriptedtrade.cpp:539 : Populate fixing map
...
DEBUG [2024-Jan-31 23:36:03.637933] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'default'
DEBUG [2024-Jan-31 23:36:03.638933] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:03.640932] OREData/ored/portfolio/builders/scriptedtrade.cpp:613 : added 1834 fixings for 'EQ-RIC:.STOXX50E' (from eval op, prob fcts)
DEBUG [2024-Jan-31 23:36:03.641932] OREData/ored/portfolio/builders/scriptedtrade.cpp:628 : Extract pay ccys and determine the model's base ccy
DEBUG [2024-Jan-31 23:36:03.641932] OREData/ored/portfolio/builders/scriptedtrade.cpp:631 : got pay currency EUR
DEBUG [2024-Jan-31 23:36:03.642932] OREData/ored/portfolio/builders/scriptedtrade.cpp:649 : add base ccy candidate EUR from pay ccys
DEBUG [2024-Jan-31 23:36:03.643930] OREData/ored/portfolio/builders/scriptedtrade.cpp:663 : base ccy is EUR
DEBUG [2024-Jan-31 23:36:03.644929] OREData/ored/portfolio/builders/scriptedtrade.cpp:688 : Compile the model currencies list
DEBUG [2024-Jan-31 23:36:03.645929] OREData/ored/portfolio/builders/scriptedtrade.cpp:756 : model ccy EUR added
DEBUG [2024-Jan-31 23:36:03.646930] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:03.647928] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:03.648928] OREData/ored/portfolio/builders/scriptedtrade.cpp:172 : curve for EUR added.
...
DEBUG [2024-Jan-31 23:36:03.650916] OREData/ored/portfolio/builders/scriptedtrade.cpp:763 : added model index EQ-RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:03.651926] OREData/ored/portfolio/builders/scriptedtrade.cpp:899 : last relevant date: August 9th, 2028
DATA [2024-Jan-31 23:36:03.652925] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:03.653925] OREData/ored/portfolio/builders/scriptedtrade.cpp:860 : adding correlations for indices:
DEBUG [2024-Jan-31 23:36:03.654924] OREData/ored/portfolio/builders/scriptedtrade.cpp:862 : model index 'EQ-RIC:.STOXX50E' lookup name 'EQ-RIC:.STOXX50E'
...
DEBUG [2024-Jan-31 23:36:03.656923] OREData/ored/marketdata/todaysmarket.cpp:823 : market object EquityCurves(RIC:.STOXX50E) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:03.656923] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
DEBUG [2024-Jan-31 23:36:03.664919] OREData/ored/portfolio/builders/scriptedtrade.cpp:919 : added process for equity RIC:.STOXX50E
DEBUG [2024-Jan-31 23:36:03.665918] OREData/ored/portfolio/builders/scriptedtrade.cpp:987 : compile simulation and additional dates...
DATA [2024-Jan-31 23:36:03.666908] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:03.667916] OREData/ored/portfolio/builders/scriptedtrade.cpp:1014 : added 6 simulation dates for 'EQ-RIC:.STOXX50E' (from eval op obs dates)
DEBUG [2024-Jan-31 23:36:03.668916] OREData/ored/portfolio/builders/scriptedtrade.cpp:1042 : added 5 additional dates for 'EUR' (from pay() obs dates)
DEBUG [2024-Jan-31 23:36:03.669915] OREData/ored/portfolio/builders/scriptedtrade.cpp:1047 : added 0 simulation dates (from npv() regression dates)
DEBUG [2024-Jan-31 23:36:03.670915] OREData/ored/portfolio/builders/scriptedtrade.cpp:1051 : added 5 additional dates for 'EUR' (from pay() pay dates)
DATA [2024-Jan-31 23:36:03.671914] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:03.671914] OREData/ored/portfolio/builders/scriptedtrade.cpp:239 : built model : BlackScholes / MC
DEBUG [2024-Jan-31 23:36:03.672914] OREData/ored/portfolio/builders/scriptedtrade.cpp:240 : useCg = false
DEBUG [2024-Jan-31 23:36:03.673913] OREData/ored/portfolio/builders/scriptedtrade.cpp:241 : useAd = false
DEBUG [2024-Jan-31 23:36:03.674913] OREData/ored/portfolio/builders/scriptedtrade.cpp:242 : useExternalDevice = false
DEBUG [2024-Jan-31 23:36:03.675912] OREData/ored/portfolio/builders/scriptedtrade.cpp:243 : externalDevice = na
DEBUG [2024-Jan-31 23:36:03.676912] OREData/ored/portfolio/builders/scriptedtrade.cpp:244 : calibration = Deal
DEBUG [2024-Jan-31 23:36:03.677911] OREData/ored/portfolio/builders/scriptedtrade.cpp:245 : base ccy = EUR
DEBUG [2024-Jan-31 23:36:03.679899] OREData/ored/portfolio/builders/scriptedtrade.cpp:246 : model base (npv) ccy = EUR
DEBUG [2024-Jan-31 23:36:03.682900] OREData/ored/portfolio/builders/scriptedtrade.cpp:247 : ccys = 1
DEBUG [2024-Jan-31 23:36:03.683897] OREData/ored/portfolio/builders/scriptedtrade.cpp:248 : eq,fx,com indices = 1
DEBUG [2024-Jan-31 23:36:03.685896] OREData/ored/portfolio/builders/scriptedtrade.cpp:249 : ir indices = 0
DEBUG [2024-Jan-31 23:36:03.686896] OREData/ored/portfolio/builders/scriptedtrade.cpp:250 : inf indices = 0
DEBUG [2024-Jan-31 23:36:03.687898] OREData/ored/portfolio/builders/scriptedtrade.cpp:251 : sim dates = 6
DEBUG [2024-Jan-31 23:36:03.688897] OREData/ored/portfolio/builders/scriptedtrade.cpp:252 : add dates = 5
DEBUG [2024-Jan-31 23:36:03.689896] OREData/ored/portfolio/builders/scriptedtrade.cpp:253 : timeStepsPerYear = 24
DEBUG [2024-Jan-31 23:36:03.690896] OREData/ored/portfolio/builders/scriptedtrade.cpp:254 : fullDynamicFx = false
DEBUG [2024-Jan-31 23:36:03.691895] OREData/ored/portfolio/builders/scriptedtrade.cpp:256 : seed = 42
DEBUG [2024-Jan-31 23:36:03.692894] OREData/ored/portfolio/builders/scriptedtrade.cpp:257 : paths = 10000
DEBUG [2024-Jan-31 23:36:03.692894] OREData/ored/portfolio/builders/scriptedtrade.cpp:258 : regressionOrder = 2
DEBUG [2024-Jan-31 23:36:03.693894] OREData/ored/portfolio/builders/scriptedtrade.cpp:259 : sequence type = SobolBrownianBridge
DEBUG [2024-Jan-31 23:36:03.694903] OREData/ored/portfolio/builders/scriptedtrade.cpp:260 : polynom type = Monomial
DEBUG [2024-Jan-31 23:36:03.695900] OREData/ored/portfolio/builders/scriptedtrade.cpp:266 : sobol bb ordering = Steps
DEBUG [2024-Jan-31 23:36:03.696901] OREData/ored/portfolio/builders/scriptedtrade.cpp:267 : sobol direction int. = JoeKuoD7
NOTICE [2024-Jan-31 23:36:03.697900] OREData/ored/portfolio/builders/scriptedtrade.cpp:316 : engine built for model BlackScholes / MC, modelSize = 10000, interactive = 0, amcEnabled = 0, generateAdditionalResults = 1
DATA [2024-Jan-31 23:36:03.698889] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
...
DATA [2024-Jan-31 23:36:04.985983] OREData/ored/portfolio/portfolio.cpp:275 : Required Fixings for trade 8:EquityAccumulator:
DATA [2024-Jan-31 23:36:05.118840] OREData/ored/portfolio/portfolio.cpp:276 : IndexName FixingDate PayDate AlwaysAddIfPaysOnSettlement
...
NOTICE [2024-Jan-31 23:36:06.231669] OREData/ored/portfolio/portfolio.cpp:141 : Built Portfolio. Initial size = 8, size now 8, built 0 failed trades, context is analytic/PRICING
NOTICE [2024-Jan-31 23:36:06.232665] OREAnalytics/orea/app/analytic.cpp:218 : Filter trades that expire before August 7th, 2023
NOTICE [2024-Jan-31 23:36:06.236663] OREAnalytics/orea/app/reportwriter.cpp:154 : Writing cashflow report for August 7th, 2023
DEBUG [2024-Jan-31 23:36:06.238662] OREData/ored/scripting/models/blackscholesbase.cpp:102 : BlackScholesBase correlation matrix:
DEBUG [2024-Jan-31 23:36:06.240662] OREData/ored/scripting/models/blackscholesbase.cpp:103 : | 1 |
DATA [2024-Jan-31 23:36:06.242661] OREData/ored/scripting/models/blackscholes.cpp:88 : calibration strike for index 'index 'EQ-RIC:.STOXX50E', type EQ, index name 'RIC:.STOXX50E'' is 4350
DEBUG [2024-Jan-31 23:36:06.257652] OREData/ored/scripting/scriptengine.cpp:1172 : run script engine, context before run is:
DEBUG [2024-Jan-31 23:36:06.258652] OREData/ored/scripting/scriptengine.cpp:1173 : Expiry (Event ) const November 7th, 2023
...
DATA [2024-Jan-31 23:36:06.271077] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:06.274074] OREData/ored/scripting/scriptengine.cpp:1188 : script engine successfully finished, context after run is:
DEBUG [2024-Jan-31 23:36:06.275074] OREData/ored/scripting/scriptengine.cpp:1220 : Expiry (Event ) const November 7th, 2023
...
DEBUG [2024-Jan-31 23:36:06.286068] OREData/ored/scripting/scriptengine.cpp:1221 : Script engine running time: 0.003584s wall, 0.000000s user + 0.000000s system = 0.000000s CPU (n/a%)
DEBUG [2024-Jan-31 23:36:06.287067] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:120 : got NPV = 154663 EUR
DATA [2024-Jan-31 23:36:06.290066] OREData/ored/scripting/models/fdblackscholesbase.cpp:213 : calibration strike for index 'index 'EQ-RIC:.STOXX50E', type EQ, index name 'RIC:.STOXX50E'' is 4350
DATA [2024-Jan-31 23:36:06.292064] OREData/ored/scripting/models/fdblackscholesbase.cpp:233 : added critical point at strike 4350 with concentration 0.1
DEBUG [2024-Jan-31 23:36:06.295063] OREData/ored/scripting/scriptengine.cpp:1172 : run script engine, context before run is:
DEBUG [2024-Jan-31 23:36:06.296062] OREData/ored/scripting/scriptengine.cpp:1173 : Expiry (Event ) const November 7th, 2023
...
DATA [2024-Jan-31 23:36:06.307055] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:06.310056] OREData/ored/scripting/scriptengine.cpp:1188 : script engine successfully finished, context after run is:
DEBUG [2024-Jan-31 23:36:06.312054] OREData/ored/scripting/scriptengine.cpp:1220 : Expiry (Event ) const November 7th, 2023
...
DEBUG [2024-Jan-31 23:36:06.326046] OREData/ored/scripting/scriptengine.cpp:1221 : Script engine running time: 0.002650s wall, 0.000000s user + 0.000000s system = 0.000000s CPU (n/a%)
DEBUG [2024-Jan-31 23:36:06.329043] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:120 : got NPV = 156248 EUR
DEBUG [2024-Jan-31 23:36:06.330045] OREData/ored/scripting/models/blackscholesbase.cpp:102 : BlackScholesBase correlation matrix:
DEBUG [2024-Jan-31 23:36:06.331044] OREData/ored/scripting/models/blackscholesbase.cpp:103 : | 1 |
DATA [2024-Jan-31 23:36:06.333043] OREData/ored/scripting/models/blackscholes.cpp:88 : calibration strike for index 'index 'EQ-RIC:.STOXX50E', type EQ, index name 'RIC:.STOXX50E'' is 4350
DEBUG [2024-Jan-31 23:36:06.346034] OREData/ored/scripting/scriptengine.cpp:1172 : run script engine, context before run is:
DEBUG [2024-Jan-31 23:36:06.348036] OREData/ored/scripting/scriptengine.cpp:1173 : Expiry (Event ) const November 7th, 2023
...
DATA [2024-Jan-31 23:36:06.357029] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
DEBUG [2024-Jan-31 23:36:06.358029] OREData/ored/scripting/scriptengine.cpp:1188 : script engine successfully finished, context after run is:
DEBUG [2024-Jan-31 23:36:06.359028] OREData/ored/scripting/scriptengine.cpp:1220 : CurrentNotional (Number ) 4.35e+06
...
DEBUG [2024-Jan-31 23:36:06.372018] OREData/ored/scripting/scriptengine.cpp:1221 : Script engine running time: 0.001283s wall, 0.000000s user + 0.000000s system = 0.000000s CPU (n/a%)
DEBUG [2024-Jan-31 23:36:06.373017] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:120 : got NPV = 154663 EUR
DEBUG [2024-Jan-31 23:36:06.374017] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:133 : got additional result 'CurrentNotional' referencing script variable 'CurrentNotional'
...
DEBUG [2024-Jan-31 23:36:06.376896] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:200 : got cashflow 2023-11-07 EUR156135 EUR-EUR 1 discount(EUR) 0.990574
DEBUG [2024-Jan-31 23:36:06.377899] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:06.378898] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:06.380898] OREData/ored/scripting/models/blackscholesbase.cpp:102 : BlackScholesBase correlation matrix:
DEBUG [2024-Jan-31 23:36:06.381898] OREData/ored/scripting/models/blackscholesbase.cpp:103 : | 1 |
DATA [2024-Jan-31 23:36:06.382895] OREData/ored/scripting/models/blackscholes.cpp:88 : calibration strike for index 'index 'EQ-RIC:.STOXX50E', type EQ, index name 'RIC:.STOXX50E'' is 4350
DEBUG [2024-Jan-31 23:36:06.564970] OREData/ored/scripting/scriptengine.cpp:1172 : run script engine, context before run is:
DEBUG [2024-Jan-31 23:36:06.568969] OREData/ored/scripting/scriptengine.cpp:1173 : Amount (Number ) const 0
...
DATA [2024-Jan-31 23:36:06.641927] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
...
DEBUG [2024-Jan-31 23:36:06.753165] OREData/ored/scripting/scriptengine.cpp:1188 : script engine successfully finished, context after run is:
DEBUG [2024-Jan-31 23:36:06.757162] OREData/ored/scripting/scriptengine.cpp:1220 : Active (Number ) 0.9216 (avg)
...
DEBUG [2024-Jan-31 23:36:06.845284] OREData/ored/scripting/scriptengine.cpp:1221 : Script engine running time: 0.111150s wall, 0.031250s user + 0.062500s system = 0.093750s CPU (84.3%)
DEBUG [2024-Jan-31 23:36:06.846283] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:120 : got NPV = 100482 EUR
DEBUG [2024-Jan-31 23:36:06.847284] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:133 : got additional result 'CurrentNotional' referencing script variable 'CurrentNotional'
...
DEBUG [2024-Jan-31 23:36:06.851281] OREData/ored/scripting/models/blackscholesbase.cpp:102 : BlackScholesBase correlation matrix:
DEBUG [2024-Jan-31 23:36:06.852280] OREData/ored/scripting/models/blackscholesbase.cpp:103 : | 1 |
DATA [2024-Jan-31 23:36:06.853279] OREData/ored/scripting/models/blackscholes.cpp:88 : calibration strike for index 'index 'EQ-RIC:.STOXX50E', type EQ, index name 'RIC:.STOXX50E'' is 4350
DEBUG [2024-Jan-31 23:36:07.059056] OREData/ored/scripting/scriptengine.cpp:1172 : run script engine, context before run is:
DEBUG [2024-Jan-31 23:36:07.063054] OREData/ored/scripting/scriptengine.cpp:1173 : Amount (Number ) const 0
...
DATA [2024-Jan-31 23:36:07.134015] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
...
DEBUG [2024-Jan-31 23:36:07.536690] OREData/ored/scripting/scriptengine.cpp:1188 : script engine successfully finished, context after run is:
DEBUG [2024-Jan-31 23:36:07.540687] OREData/ored/scripting/scriptengine.cpp:1220 : Active (Number ) 0.9216 (avg)
...
DEBUG [2024-Jan-31 23:36:07.619651] OREData/ored/scripting/scriptengine.cpp:1221 : Script engine running time: 0.402322s wall, 0.187500s user + 0.218750s system = 0.406250s CPU (101.0%)
DEBUG [2024-Jan-31 23:36:07.620651] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:120 : got NPV = 94270.7 EUR
DEBUG [2024-Jan-31 23:36:07.621650] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:133 : got additional result 'CurrentNotional' referencing script variable 'CurrentNotional'
...
DEBUG [2024-Jan-31 23:36:07.625648] OREData/ored/scripting/models/blackscholesbase.cpp:102 : BlackScholesBase correlation matrix:
DEBUG [2024-Jan-31 23:36:07.626647] OREData/ored/scripting/models/blackscholesbase.cpp:103 : | 1 |
DATA [2024-Jan-31 23:36:07.627647] OREData/ored/scripting/models/blackscholes.cpp:88 : calibration strike for index 'index 'EQ-RIC:.STOXX50E', type EQ, index name 'RIC:.STOXX50E'' is 4400
DEBUG [2024-Jan-31 23:36:07.648635] OREData/ored/scripting/scriptengine.cpp:1172 : run script engine, context before run is:
DEBUG [2024-Jan-31 23:36:07.650625] OREData/ored/scripting/scriptengine.cpp:1173 : AmericanKO (Number ) const -1
...
DATA [2024-Jan-31 23:36:07.673621] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'RIC:.STOXX50E' <-> 'EQ-RIC:.STOXX50E'
...
DEBUG [2024-Jan-31 23:36:07.695608] OREData/ored/scripting/scriptengine.cpp:1188 : script engine successfully finished, context after run is:
DEBUG [2024-Jan-31 23:36:07.696607] OREData/ored/scripting/scriptengine.cpp:1220 : Alive (Number ) 0.3729 (avg)
...
DEBUG [2024-Jan-31 23:36:07.730589] OREData/ored/scripting/scriptengine.cpp:1221 : Script engine running time: 0.021447s wall, 0.031250s user + 0.000000s system = 0.031250s CPU (145.7%)
DEBUG [2024-Jan-31 23:36:07.731588] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:120 : got NPV = 71911.7 EUR
DEBUG [2024-Jan-31 23:36:07.732587] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:133 : got additional result 'CurrentNotional' referencing script variable 'CurrentNotional'
...
DEBUG [2024-Jan-31 23:36:07.735586] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:162 : got additional result 'Fixing' referencing script variable 'Fixing' vector of size 5
DEBUG [2024-Jan-31 23:36:07.737585] OREData/ored/scripting/engines/scriptedinstrumentpricingengine.cpp:200 : got cashflow 2024-08-09 EUR79151.9 EUR-EUR 1 discount(EUR) 0.962845
...
DEBUG [2024-Jan-31 23:36:07.744580] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'inccy'
DEBUG [2024-Jan-31 23:36:07.744580] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
...
NOTICE [2024-Jan-31 23:36:07.752568] OREAnalytics/orea/app/reportwriter.cpp:596 : Cashflow report written
NOTICE [2024-Jan-31 23:36:07.754564] OREAnalytics/orea/app/reportwriter.cpp:81 : portfolio valuation
ALERT [2024-Jan-31 23:36:07.757261] OREData/ored/portfolio/scriptedtrade.cpp:163 : error when retrieving notional ccy: notionalCurrency not provided, return empty string
ALERT [2024-Jan-31 23:36:07.757261] OREData/ored/portfolio/scriptedtrade.cpp:142 : error when retrieving notional: currentNotional not provided, return null
...
NOTICE [2024-Jan-31 23:36:07.771266] OREAnalytics/orea/app/reportwriter.cpp:144 : NPV file written
NOTICE [2024-Jan-31 23:36:07.772265] OREAnalytics/orea/app/reportwriter.cpp:1192 : Writing AdditionalResults report
NOTICE [2024-Jan-31 23:36:07.775851] OREAnalytics/orea/app/reportwriter.cpp:1313 : AdditionalResults report written
NOTICE [2024-Jan-31 23:36:07.778544] OREAnalytics/orea/app/analytics/pricinganalytic.cpp:107 : Write curves report
DEBUG [2024-Jan-31 23:36:07.779546] OREData/ored/utilities/dategrid.cpp:173 : DateGrid constructed, size = 240
DEBUG [2024-Jan-31 23:36:07.780544] OREData/ored/utilities/dategrid.cpp:176 : [ 0] Tenor:1M, Date:2023-09-07, Valuation:1, CloseOut:0
...
NOTICE [2024-Jan-31 23:36:08.000420] OREAnalytics/orea/app/reportwriter.cpp:662 : Write curves...
DEBUG [2024-Jan-31 23:36:08.001420] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - EUR
DEBUG [2024-Jan-31 23:36:08.002419] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(EUR) required for configuration 'default'
DATA [2024-Jan-31 23:36:08.002419] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:36:08.003418] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: YieldCurve(ESTER,Yield/EUR/EUR-ESTER) (already built)
...
DEBUG [2024-Jan-31 23:36:08.006416] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof August 7th, 2023
DEBUG [2024-Jan-31 23:36:08.007416] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/USD/USD-SOFR
DEBUG [2024-Jan-31 23:36:08.007416] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "USD-ON-SOFR-DEPOSIT"
DEBUG [2024-Jan-31 23:36:08.008415] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-ON-SOFR-DEPOSIT
DATA [2024-Jan-31 23:36:08.009415] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SOFRON Actual/360' <-> 'USD-SOFR'
...
DEBUG [2024-Jan-31 23:36:08.011414] OREData/ored/marketdata/yieldcurve.cpp:1489 : Adding Segment Future with conventions "USD-SOFR-3M-FUTURES"
...
DATA [2024-Jan-31 23:36:08.016771] OREData/ored/marketdata/yieldcurve.cpp:1551 : adding OI future helper: price=94.8575 start=May 17th, 2023 end=August 16th, 2023 nettingType=Compounding
...
DEBUG [2024-Jan-31 23:36:08.040762] OREData/ored/marketdata/yieldcurve.cpp:1638 : Adding Segment OIS with conventions "USD-SOFR-OIS"
DEBUG [2024-Jan-31 23:36:08.040762] OREData/ored/configuration/conventions.cpp:2587 : Building Convention USD-SOFR-OIS
...
DEBUG [2024-Jan-31 23:36:08.047757] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 30 instruments
DEBUG [2024-Jan-31 23:36:08.055178] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/USD/USD-SOFR built
DEBUG [2024-Jan-31 23:36:08.056192] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/USD/USD-SOFR" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:36:08.057190] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-SOFR to configuration default
DEBUG [2024-Jan-31 23:36:08.058190] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-SOFR) in configuration default
DEBUG [2024-Jan-31 23:36:08.059189] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof August 7th, 2023
DEBUG [2024-Jan-31 23:36:08.060189] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR-IN-USD
DEBUG [2024-Jan-31 23:36:08.060189] OREData/ored/marketdata/yieldcurve.cpp:2109 : Adding Segment FX Forward with conventions "EUR-USD-FX"
DEBUG [2024-Jan-31 23:36:08.061188] OREData/ored/marketdata/yieldcurve.cpp:2152 : YieldCurve::addFXForwards No discount curve provided for building curve Yield/EUR/EUR-IN-USD, looking up the inccy curve in the market.
DEBUG [2024-Jan-31 23:36:08.062188] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'inccy'
DATA [2024-Jan-31 23:36:08.063188] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:36:08.064186] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #1: DiscountCurve(USD,Yield/USD/USD-SOFR) (not yet built)
DEBUG [2024-Jan-31 23:36:08.065186] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(USD) with spec Yield/USD/USD-SOFR to configuration inccy
DEBUG [2024-Jan-31 23:36:08.065186] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(USD,Yield/USD/USD-SOFR) in configuration inccy
DEBUG [2024-Jan-31 23:36:08.066185] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:36:08.067184] OREData/ored/marketdata/yieldcurve.cpp:2167 : YieldCurve::addFXForwards(), create FX forward quotes and helpers
DEBUG [2024-Jan-31 23:36:08.069184] OREData/ored/marketdata/yieldcurve.cpp:2268 : YieldCurve::addFXForwards() done
DEBUG [2024-Jan-31 23:36:08.070186] OREData/ored/marketdata/yieldcurve.cpp:2274 : Adding Segment Cross Currency Basis Swap with conventions "EUR-USD-XCCY-BASIS"
DEBUG [2024-Jan-31 23:36:08.071183] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-USD-XCCY-BASIS
DATA [2024-Jan-31 23:36:08.072182] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'USDLibor3M Actual/360' <-> 'USD-LIBOR-3M'
...
DEBUG [2024-Jan-31 23:36:08.085176] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 23 instruments
DEBUG [2024-Jan-31 23:36:08.104163] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR-IN-USD built
DEBUG [2024-Jan-31 23:36:08.105163] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR-IN-USD" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:36:08.106163] OREData/ored/marketdata/todaysmarket.cpp:311 : Adding DiscountCurve(EUR) with spec Yield/EUR/EUR-IN-USD to configuration default
DEBUG [2024-Jan-31 23:36:08.107163] OREData/ored/marketdata/todaysmarket.cpp:914 : built node DiscountCurve(EUR,Yield/EUR/EUR-IN-USD) in configuration default
DEBUG [2024-Jan-31 23:36:08.108161] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 2, error: 0
DEBUG [2024-Jan-31 23:36:08.109161] OREAnalytics/orea/app/reportwriter.cpp:682 : discount curve - USD
DEBUG [2024-Jan-31 23:36:08.110160] OREData/ored/marketdata/todaysmarket.cpp:823 : market object DiscountCurve(USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:36:08.111149] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:08.112148] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - ESTER
...
DEBUG [2024-Jan-31 23:36:08.114147] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(ESTER) failed: Two or three tokens required in ESTER: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:36:08.115146] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'ESTER' - look for a genuine yield curve
...
DEBUG [2024-Jan-31 23:36:08.118145] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - EUR-IN-USD
...
DATA [2024-Jan-31 23:36:08.119144] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:36:08.120143] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: YieldCurve(ESTER,Yield/EUR/EUR-ESTER) (already built)
...
DEBUG [2024-Jan-31 23:36:08.123142] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(EUR-IN-USD) with spec Yield/EUR/EUR-IN-USD to configuration default
DEBUG [2024-Jan-31 23:36:08.123142] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(EUR-IN-USD,Yield/EUR/EUR-IN-USD) in configuration default
DEBUG [2024-Jan-31 23:36:08.124141] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:36:08.125141] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-IN-USD) failed: parseIborIndex "EUR-IN-USD" not recognized
DEBUG [2024-Jan-31 23:36:08.126140] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'EUR-IN-USD' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:36:08.127153] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(EUR-IN-USD) required for configuration 'default'
DEBUG [2024-Jan-31 23:36:08.128150] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:08.129149] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - EURIBOR-6M
...
DATA [2024-Jan-31 23:36:08.131768] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:36:08.131768] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: YieldCurve(ESTER,Yield/EUR/EUR-ESTER) (already built)
...
DEBUG [2024-Jan-31 23:36:08.133768] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof August 7th, 2023
DEBUG [2024-Jan-31 23:36:08.134768] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M
DEBUG [2024-Jan-31 23:36:08.135767] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-DEPOSIT"
DEBUG [2024-Jan-31 23:36:08.136767] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-DEPOSIT
DEBUG [2024-Jan-31 23:36:08.137766] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:36:08.138765] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:36:08.139765] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA"
...
DEBUG [2024-Jan-31 23:36:08.146772] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-EURIBOR-6M-SWAP"
DEBUG [2024-Jan-31 23:36:08.147772] OREData/ored/configuration/conventions.cpp:2587 : Building Convention EUR-EURIBOR-6M-SWAP
...
DEBUG [2024-Jan-31 23:36:08.168761] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 24 instruments
DEBUG [2024-Jan-31 23:36:08.179753] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M built
DEBUG [2024-Jan-31 23:36:08.180752] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:36:08.180752] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DEBUG [2024-Jan-31 23:36:08.181752] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:36:08.182751] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:36:08.183750] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EURIBOR-6M) failed: parseIborIndex "EURIBOR-6M" not recognized
DEBUG [2024-Jan-31 23:36:08.184751] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'EURIBOR-6M' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:36:08.185749] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(EURIBOR-6M) required for configuration 'default'
DEBUG [2024-Jan-31 23:36:08.186749] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:08.186749] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - EURIBOR-6M-SINGLE
...
DATA [2024-Jan-31 23:36:08.188748] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:36:08.189747] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #5: YieldCurve(EURIBOR-6M-SINGLE,Yield/EUR/EUR6M-SINGLE) (not yet built)
DEBUG [2024-Jan-31 23:36:08.190748] OREData/ored/marketdata/todaysmarket.cpp:296 : Building YieldCurve for asof August 7th, 2023
DEBUG [2024-Jan-31 23:36:08.191747] OREData/ored/marketdata/yieldcurve.cpp:279 : Bootstrapping YieldCurve Yield/EUR/EUR6M-SINGLE
DEBUG [2024-Jan-31 23:36:08.192745] OREData/ored/marketdata/yieldcurve.cpp:1418 : Adding Segment Deposit with conventions "EUR-DEPOSIT"
DEBUG [2024-Jan-31 23:36:08.193745] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EUR-EURIBOR) failed: parseIborIndex "EUR-EURIBOR" not recognized
DATA [2024-Jan-31 23:36:08.194744] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:36:08.195744] OREData/ored/marketdata/yieldcurve.cpp:1587 : Adding Segment FRA with conventions "EUR-6M-FRA"
...
DEBUG [2024-Jan-31 23:36:08.203739] OREData/ored/marketdata/yieldcurve.cpp:1720 : Adding Segment Swap with conventions "EUR-EURIBOR-6M-SWAP"
...
DEBUG [2024-Jan-31 23:36:08.221729] OREData/ored/marketdata/yieldcurve.cpp:1016 : Bootstrapping with 25 instruments
DEBUG [2024-Jan-31 23:36:08.230723] OREData/ored/marketdata/yieldcurve.cpp:318 : Yield curve Yield/EUR/EUR6M-SINGLE built
DEBUG [2024-Jan-31 23:36:08.231723] OREData/ored/marketdata/todaysmarket.cpp:302 : Added YieldCurve "Yield/EUR/EUR6M-SINGLE" to requiredYieldCurves map
DEBUG [2024-Jan-31 23:36:08.232722] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(EURIBOR-6M-SINGLE) with spec Yield/EUR/EUR6M-SINGLE to configuration default
DEBUG [2024-Jan-31 23:36:08.233722] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(EURIBOR-6M-SINGLE,Yield/EUR/EUR6M-SINGLE) in configuration default
DEBUG [2024-Jan-31 23:36:08.234723] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:36:08.235721] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(EURIBOR-6M-SINGLE) failed: parseIborIndex "EURIBOR-6M-SINGLE" not recognized
DEBUG [2024-Jan-31 23:36:08.236720] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'EURIBOR-6M-SINGLE' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:36:08.236720] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(EURIBOR-6M-SINGLE) required for configuration 'default'
DEBUG [2024-Jan-31 23:36:08.237720] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:08.238720] OREAnalytics/orea/app/reportwriter.cpp:695 : yield curve - SOFR
...
DATA [2024-Jan-31 23:36:08.240719] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:36:08.241718] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #6: YieldCurve(SOFR,Yield/USD/USD-SOFR) (not yet built)
DEBUG [2024-Jan-31 23:36:08.241718] OREData/ored/marketdata/todaysmarket.cpp:316 : Adding YieldCurve(SOFR) with spec Yield/USD/USD-SOFR to configuration default
DEBUG [2024-Jan-31 23:36:08.242717] OREData/ored/marketdata/todaysmarket.cpp:914 : built node YieldCurve(SOFR,Yield/USD/USD-SOFR) in configuration default
DEBUG [2024-Jan-31 23:36:08.243717] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:36:08.244716] OREData/ored/utilities/indexparser.cpp:248 : tryParseIborIndex(SOFR) failed: Two or three tokens required in SOFR: CCY-INDEX or CCY-INDEX-TERM
DEBUG [2024-Jan-31 23:36:08.245715] OREData/ored/marketdata/marketimpl.cpp:83 : no ibor index found under 'SOFR' - look for a genuine yield curve
DEBUG [2024-Jan-31 23:36:08.246715] OREData/ored/marketdata/todaysmarket.cpp:823 : market object YieldCurve(SOFR) required for configuration 'default'
DEBUG [2024-Jan-31 23:36:08.246715] OREData/ored/marketdata/todaysmarket.cpp:881 : node already built, do nothing.
DEBUG [2024-Jan-31 23:36:08.248728] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-ESTER
...
DATA [2024-Jan-31 23:36:08.249740] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:36:08.250740] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #7: IndexCurve(EUR-ESTER,Yield/EUR/EUR-ESTER) (not yet built)
DEBUG [2024-Jan-31 23:36:08.251740] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-ESTER) with spec Yield/EUR/EUR-ESTER to configuration default
DATA [2024-Jan-31 23:36:08.252739] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'ESTRON Actual/360' <-> 'EUR-ESTER'
DEBUG [2024-Jan-31 23:36:08.253738] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-ESTER,Yield/EUR/EUR-ESTER) in configuration default
DEBUG [2024-Jan-31 23:36:08.254738] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:36:08.254738] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - EUR-EURIBOR-6M
DEBUG [2024-Jan-31 23:36:08.255737] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(EUR-EURIBOR-6M) required for configuration 'default'
DATA [2024-Jan-31 23:36:08.256736] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:36:08.257736] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #2: YieldCurve(ESTER,Yield/EUR/EUR-ESTER) (already built)
...
DEBUG [2024-Jan-31 23:36:08.259734] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(EUR-EURIBOR-6M) with spec Yield/EUR/EUR6M to configuration default
DATA [2024-Jan-31 23:36:08.259734] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'Euribor6M Actual/360' <-> 'EUR-EURIBOR-6M'
DEBUG [2024-Jan-31 23:36:08.260734] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(EUR-EURIBOR-6M,Yield/EUR/EUR6M) in configuration default
DEBUG [2024-Jan-31 23:36:08.261734] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
DEBUG [2024-Jan-31 23:36:08.262733] OREAnalytics/orea/app/reportwriter.cpp:708 : index curve - USD-SOFR
DEBUG [2024-Jan-31 23:36:08.263732] OREData/ored/marketdata/todaysmarket.cpp:823 : market object IndexCurve(USD-SOFR) required for configuration 'default'
DATA [2024-Jan-31 23:36:08.264731] OREData/ored/marketdata/todaysmarket.cpp:902 : Can build objects in the following order:
DATA [2024-Jan-31 23:36:08.264731] OREData/ored/marketdata/todaysmarket.cpp:904 : vertex #9: IndexCurve(USD-SOFR,Yield/USD/USD-SOFR) (not yet built)
DEBUG [2024-Jan-31 23:36:08.265731] OREData/ored/marketdata/todaysmarket.cpp:321 : Adding Index(USD-SOFR) with spec Yield/USD/USD-SOFR to configuration default
DATA [2024-Jan-31 23:36:08.266730] OREData/ored/utilities/indexnametranslator.cpp:46 : IndexNameTranslator: adding 'SOFRON Actual/360' <-> 'USD-SOFR'
DEBUG [2024-Jan-31 23:36:08.267719] OREData/ored/marketdata/todaysmarket.cpp:914 : built node IndexCurve(USD-SOFR,Yield/USD/USD-SOFR) in configuration default
DEBUG [2024-Jan-31 23:36:08.268731] OREData/ored/marketdata/todaysmarket.cpp:926 : Loaded CurvesSpecs: success: 1, error: 0
WARNING [2024-Jan-31 23:36:08.270448] OREAnalytics/orea/app/analytic.cpp:86 : 46374912|42635264
NOTICE [2024-Jan-31 23:36:08.271460] OREAnalytics/orea/app/analyticsmanager.cpp:174 : run analytic with label 'PRICING' finished.
DEBUG [2024-Jan-31 23:36:08.272458] OREAnalytics/orea/app/marketcalibrationreport.cpp:182 : Skipping curve EUR-IN-USD for label as it has already been added
...
NOTICE [2024-Jan-31 23:36:08.277455] OREAnalytics/orea/app/reportwriter.cpp:1399 : Writing Pricing stats report
NOTICE [2024-Jan-31 23:36:08.278455] OREAnalytics/orea/app/reportwriter.cpp:1415 : Pricing stats report written
NOTICE [2024-Jan-31 23:36:08.279453] OREAnalytics/orea/app/analyticsmanager.cpp:239 : report name additional_results occurs 1 times
...
NOTICE [2024-Jan-31 23:36:08.288440] OREData/ored/report/csvreport.cpp:107 : Opening CSV file report 'Output/flows.csv'
NOTICE [2024-Jan-31 23:36:08.289999] OREData/ored/report/csvreport.cpp:190 : CSV file report 'Output/flows.csv' closed.
NOTICE [2024-Jan-31 23:36:08.291006] OREAnalytics/orea/app/analyticsmanager.cpp:282 : report cashflow written to Output/flows.csv
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WARNING [2024-Jan-31 23:36:08.358962] OREAnalytics/orea/app/oreapp.cpp:290 : 46374912|42745856
NOTICE [2024-Jan-31 23:36:08.359962] OREAnalytics/orea/app/oreapp.cpp:291 : ORE analytics done
NOTICE [2024-Jan-31 23:36:08.362966] OREAnalytics/orea/app/oreapp.cpp:397 : ORE done.