NOTICE [2025-Jun-06 12:19:12.246841] (OREAnalytics\orea\app\oreapp.cpp:427) : initFromInputs done, requested analytics:PORTFOLIO_DETAILS NOTICE [2025-Jun-06 12:19:12.261462] (OREAnalytics\orea\app\oreapp.cpp:516) : ORE analytics starting WARNING [2025-Jun-06 12:19:12.269035] (OREAnalytics\orea\app\oreapp.cpp:518) : Starting OREApp::run(): 172216320|134914048 (peakMemoryUsage (bytes) | memoryUsage (bytes)) DEBUG [2025-Jun-06 12:19:12.275662] (OREData\ored\marketdata\market.cpp:62) : Building PseudoCurrencyMarketParameters from PricingEngine GlobalParameters NOTICE [2025-Jun-06 12:19:12.284453] (OREData\ored\marketdata\market.cpp:87) : No Default Correlation present DEBUG [2025-Jun-06 12:19:12.289070] (OREData\ored\marketdata\market.cpp:101) : PseudoCurrencyMarketParameters { TreatAsFX:False, BaseCurrency:USD} NOTICE [2025-Jun-06 12:19:12.297274] (...lytics\orea\app\analyticsmanager.cpp:51) : register analytic with label 'PORTFOLIO_DETAILS' and sub-analytics NOTICE [2025-Jun-06 12:19:12.297274] (OREAnalytics\orea\app\oreapp.cpp:536) : Available analytics: NOTICE [2025-Jun-06 12:19:12.311543] (OREAnalytics\orea\app\oreapp.cpp:539) : Requested analytics: PORTFOLIO_DETAILS NOTICE [2025-Jun-06 12:19:12.318272] (...ytics\orea\app\analyticsmanager.cpp:143) : run analytic with label 'PORTFOLIO_DETAILS' WARNING [2025-Jun-06 12:19:12.324515] (OREAnalytics\orea\app\analytic.cpp:96) : Starting PORTFOLIO_DETAILS Analytic::runAnalytic(): 172216320|135086080 (peakMemoryUsage (bytes) | memoryUsage (bytes)) NOTICE [2025-Jun-06 12:19:12.331999] (...ta\ored\portfolio\enginefactory.cpp:187) : Building EngineFactory NOTICE [2025-Jun-06 12:19:12.337056] (OREData\ored\portfolio\portfolio.cpp:131) : Building Portfolio of size 3 for context = 'portfolio-analyzer' DEBUG [2025-Jun-06 12:19:12.345000] (OREData\ored\portfolio\fxforward.cpp:146) : Build FxForward with maturity date 2030-06-06 and pay date 2030-06-10 DEBUG [2025-Jun-06 12:19:12.345847] (OREData\ored\portfolio\swap.cpp:46) : Swap::build() called for trade 2_USD-FedFunds_USD-LIBOR-3M_SWAP DEBUG [2025-Jun-06 12:19:12.382932] (OREData\ored\portfolio\swap.cpp:172) : Notional is 1000 USD DEBUG [2025-Jun-06 12:19:12.382932] (OREData\ored\portfolio\swap.cpp:176) : npv currency is USD DEBUG [2025-Jun-06 12:19:12.395506] (...cs\orea\engine\dependencymarket.cpp:199) : Parsing 'USD' to check that we have a valid currency DEBUG [2025-Jun-06 12:19:12.434015] (OREData\ored\portfolio\swap.cpp:189) : Swap::build(): currency[0] = USD DEBUG [2025-Jun-06 12:19:12.435102] (...cs\orea\engine\dependencymarket.cpp:199) : Parsing 'USD' to check that we have a valid currency DEBUG [2025-Jun-06 12:19:12.447453] (...cs\orea\engine\dependencymarket.cpp:230) : Adding rfr fallback index 'USD-SOFR' for ibor index 'USD-LIBOR-3M' DEBUG [2025-Jun-06 12:19:12.447453] (OREData\ored\portfolio\swap.cpp:189) : Swap::build(): currency[1] = USD DEBUG [2025-Jun-06 12:19:12.464198] (OREData\ored\portfolio\swap.cpp:226) : Set instrument wrapper WARNING [2025-Jun-06 12:19:12.470120] (...ata\ored\portfolio\equityforward.cpp:67) : No Strike Currency provided for trade 3_RIC:.STOXX50_EQ_FORWARD, assuming payment currency EUR NOTICE [2025-Jun-06 12:19:12.476841] (OREData\ored\portfolio\portfolio.cpp:159) : Built Portfolio. Initial size = 3, size now 3, built 0 failed trades, context is portfolio-analyzer NOTICE [2025-Jun-06 12:19:12.483042] (OREData\ored\portfolio\portfolio.cpp:160) : Build stats: NOTICE [2025-Jun-06 12:19:12.484885] (OREData\ored\portfolio\portfolio.cpp:164) : EquityForward 1 6.45 ms (avg = 6.45) NOTICE [2025-Jun-06 12:19:12.494615] (OREData\ored\portfolio\portfolio.cpp:164) : FxForward 1 10.2 ms (avg = 10.2) NOTICE [2025-Jun-06 12:19:12.495436] (OREData\ored\portfolio\portfolio.cpp:164) : Swap 1 116 ms (avg = 116) DEBUG [2025-Jun-06 12:19:12.510646] (...ytics\orea\app\portfolioanalyser.cpp:58) : PortfolioAnalyser: portfolio built DEBUG [2025-Jun-06 12:19:12.517318] (...tics\orea\app\portfolioanalyser.cpp:104) : PortfolioAnalyser: Setting market Objects DEBUG [2025-Jun-06 12:19:12.523738] (...tics\orea\app\portfolioanalyser.cpp:111) : Start adding dependent curves DEBUG [2025-Jun-06 12:19:12.530427] (...ata\ored\utilities\dependencies.cpp:336) : Get dependencies for DiscountCurve EUR in configuration default DEBUG [2025-Jun-06 12:19:12.532593] (...ata\ored\utilities\dependencies.cpp:336) : Get dependencies for DiscountCurve USD in configuration default DEBUG [2025-Jun-06 12:19:12.544595] (...ata\ored\utilities\dependencies.cpp:468) : Get the swap index discount curve for currency 'USD' DEBUG [2025-Jun-06 12:19:12.545263] (...ata\ored\utilities\dependencies.cpp:336) : Get dependencies for IndexCurve USD-FedFunds in configuration default DEBUG [2025-Jun-06 12:19:12.545263] (...ata\ored\utilities\dependencies.cpp:336) : Get dependencies for IndexCurve USD-LIBOR-3M in configuration default DEBUG [2025-Jun-06 12:19:12.563362] (...ata\ored\utilities\dependencies.cpp:336) : Get dependencies for IndexCurve USD-SOFR in configuration default DEBUG [2025-Jun-06 12:19:12.570540] (...ata\ored\utilities\dependencies.cpp:336) : Get dependencies for FXSpot EURUSD in configuration default DEBUG [2025-Jun-06 12:19:12.576631] (...ata\ored\utilities\dependencies.cpp:336) : Get dependencies for FXSpot USDEUR in configuration default DEBUG [2025-Jun-06 12:19:12.582975] (...ata\ored\utilities\dependencies.cpp:336) : Get dependencies for EquityCurves RIC:.STOXX50 in configuration default DEBUG [2025-Jun-06 12:19:12.587599] (...tics\orea\app\portfolioanalyser.cpp:113) : Finished adding dependent curves WARNING [2025-Jun-06 12:19:12.595505] (OREAnalytics\orea\app\analytic.cpp:101) : Finishing PORTFOLIO_DETAILS Analytic::runAnalytic(): 172216320|135450624 (peakMemoryUsage (bytes) | memoryUsage (bytes)) NOTICE [2025-Jun-06 12:19:12.595505] (...ytics\orea\app\analyticsmanager.cpp:152) : run analytic with label 'PORTFOLIO_DETAILS' finished. NOTICE [2025-Jun-06 12:19:12.595505] (...nalytics\orea\app\reportwriter.cpp:1137) : Writing Pricing stats report NOTICE [2025-Jun-06 12:19:12.617331] (...nalytics\orea\app\reportwriter.cpp:1153) : Pricing stats report written NOTICE [2025-Jun-06 12:19:12.623421] (...nalytics\orea\app\reportwriter.cpp:1158) : Writing runtimes report NOTICE [2025-Jun-06 12:19:12.630666] (...nalytics\orea\app\reportwriter.cpp:1182) : Finished writing runtimes report WARNING [2025-Jun-06 12:19:12.635719] (OREAnalytics\orea\app\oreapp.cpp:551) : Finishing OREApp::run(): 172216320|135528448 (peakMemoryUsage (bytes) | memoryUsage (bytes)) NOTICE [2025-Jun-06 12:19:12.635719] (OREAnalytics\orea\app\oreapp.cpp:565) : ORE analytics done DEBUG [2025-Jun-06 12:19:15.785752] (...ata\ored\utilities\dependencies.cpp:468) : Get the swap index discount curve for currency 'USD' DEBUG [2025-Jun-06 12:19:15.797550] (...rketdata\todaysmarketparameters.cpp:330) : TodaysMarketParameters, add market objects of type DiscountCurve: default EUR Yield/EUR/EUR-IN-USD DEBUG [2025-Jun-06 12:19:15.810560] (...rketdata\todaysmarketparameters.cpp:330) : TodaysMarketParameters, add market objects of type DiscountCurve: default USD Yield/USD/USD-FedFunds DEBUG [2025-Jun-06 12:19:15.822697] (...rketdata\todaysmarketparameters.cpp:330) : TodaysMarketParameters, add market objects of type IndexCurve: default EUR-EONIA Yield/EUR/EUR-EONIA DEBUG [2025-Jun-06 12:19:15.833698] (...rketdata\todaysmarketparameters.cpp:330) : TodaysMarketParameters, add market objects of type IndexCurve: default EUR-ESTER Yield/EUR/EUR-ESTER DEBUG [2025-Jun-06 12:19:15.848327] (...rketdata\todaysmarketparameters.cpp:330) : TodaysMarketParameters, add market objects of type IndexCurve: default USD-FedFunds Yield/USD/USD-FedFunds DEBUG [2025-Jun-06 12:19:15.883039] (...rketdata\todaysmarketparameters.cpp:330) : TodaysMarketParameters, add market objects of type IndexCurve: default USD-LIBOR-3M Yield/USD/USD-LIBOR-3M DEBUG [2025-Jun-06 12:19:15.902167] (...rketdata\todaysmarketparameters.cpp:330) : TodaysMarketParameters, add market objects of type IndexCurve: default USD-SOFR Yield/USD/USD-SOFR DEBUG [2025-Jun-06 12:19:15.914754] (...rketdata\todaysmarketparameters.cpp:330) : TodaysMarketParameters, add market objects of type FXSpot: default EURUSD FX/EUR/USD DEBUG [2025-Jun-06 12:19:15.927726] (...rketdata\todaysmarketparameters.cpp:330) : TodaysMarketParameters, add market objects of type FXSpot: default USDEUR FX/USD/EUR DEBUG [2025-Jun-06 12:19:15.941481] (...rketdata\todaysmarketparameters.cpp:330) : TodaysMarketParameters, add market objects of type EquityCurves: default RIC:.STOXX50 Equity/EUR/RIC:.STOXX50 NOTICE [2025-Jun-06 12:19:15.966626] (...ytics\orea\app\marketdataloader.cpp:165) : Asking portfolio for its required fixings NOTICE [2025-Jun-06 12:19:15.982662] (...ytics\orea\app\marketdataloader.cpp:172) : The portfolio depends on fixings from 2 indices NOTICE [2025-Jun-06 12:19:15.994009] (...ytics\orea\app\marketdataloader.cpp:177) : Add fixings possibly required for bootstrapping TodaysMarket NOTICE [2025-Jun-06 12:19:15.998140] (OREData\ored\portfolio\fixingdates.cpp:825) : Start adding market fixing dates for configuration 'default' DEBUG [2025-Jun-06 12:19:16.013877] (OREData\ored\portfolio\fixingdates.cpp:835) : Start adding market fixing dates for interest rate indices. DEBUG [2025-Jun-06 12:19:16.026145] (OREData\ored\utilities\indexparser.cpp:247) : tryParseIborIndex(EUR-IN-USD) failed: parseIborIndex "EUR-IN-USD" not recognized DEBUG [2025-Jun-06 12:19:16.037203] (OREData\ored\portfolio\fixingdates.cpp:909) : Finished adding market fixing dates for interest rate indices. NOTICE [2025-Jun-06 12:19:16.046200] (...ata\ored\portfolio\fixingdates.cpp:1022) : Finished adding market fixing dates for configuration 'default' NOTICE [2025-Jun-06 12:19:16.048354] (...ytics\orea\app\marketdataloader.cpp:181) : Add fixing possibly required for equity index delta risk decomposition NOTICE [2025-Jun-06 12:19:16.062469] (...ytics\orea\app\marketdataloader.cpp:187) : Adjust inflation fixing dates to the end of the month before the request NOTICE [2025-Jun-06 12:19:16.064538] (OREData\ored\marketdata\fixings.cpp:68) : Added 0 of 0 fixings in 0.000010 seconds WARNING [2025-Jun-06 12:19:16.081712] (OREData\ored\utilities\log.cpp:213) : StructuredMessage { "category": "Warning", "group": "Fixing", "message": "Could not find required fixing ID.", "sub_fields": [ { "name": "exceptionType", "value": "Missing fixing" }, { "name": "fixingDate", "value": "2025-06-04" }, { "name": "fixingId", "value": "USD-FedFunds" } ] } WARNING [2025-Jun-06 12:19:16.091707] (OREData\ored\utilities\log.cpp:213) : StructuredMessage { "category": "Warning", "group": "Fixing", "message": "Could not find required fixing ID.", "sub_fields": [ { "name": "exceptionType", "value": "Missing fixing" }, { "name": "fixingDate", "value": "2025-06-05" }, { "name": "fixingId", "value": "USD-FedFunds" } ] } WARNING [2025-Jun-06 12:19:16.098321] (OREData\ored\utilities\log.cpp:213) : StructuredMessage { "category": "Warning", "group": "Fixing", "message": "Could not find required fixing ID.", "sub_fields": [ { "name": "exceptionType", "value": "Missing fixing" }, { "name": "fixingDate", "value": "2025-06-06" }, { "name": "fixingId", "value": "USD-FedFunds" } ] } WARNING [2025-Jun-06 12:19:16.098321] (OREData\ored\utilities\log.cpp:213) : StructuredMessage { "category": "Warning", "group": "Fixing", "message": "Could not find required fixing ID.", "sub_fields": [ { "name": "exceptionType", "value": "Missing fixing" }, { "name": "fixingDate", "value": "2025-06-04" }, { "name": "fixingId", "value": "USD-SOFR" } ] } WARNING [2025-Jun-06 12:19:16.114461] (OREData\ored\utilities\log.cpp:213) : StructuredMessage { "category": "Warning", "group": "Fixing", "message": "Could not find required fixing ID.", "sub_fields": [ { "name": "exceptionType", "value": "Missing fixing" }, { "name": "fixingDate", "value": "2025-06-05" }, { "name": "fixingId", "value": "USD-SOFR" } ] } WARNING [2025-Jun-06 12:19:16.122111] (OREData\ored\utilities\log.cpp:213) : StructuredMessage { "category": "Warning", "group": "Fixing", "message": "Could not find required fixing ID.", "sub_fields": [ { "name": "exceptionType", "value": "Missing fixing" }, { "name": "fixingDate", "value": "2025-06-06" }, { "name": "fixingId", "value": "USD-SOFR" } ] } NOTICE [2025-Jun-06 12:19:16.131589] (...ytics\orea\app\marketdataloader.cpp:257) : Adding the loaded fixings to the IndexManager NOTICE [2025-Jun-06 12:19:16.138673] (...ytics\orea\app\marketdataloader.cpp:258) : Fixings size = 5 NOTICE [2025-Jun-06 12:19:16.150495] (...ytics\orea\app\marketdataloader.cpp:261) : Generating market datum set DEBUG [2025-Jun-06 12:19:16.161596] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/EUR/EUR-IN-USD DEBUG [2025-Jun-06 12:19:16.176559] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/USD/USD-FedFunds DEBUG [2025-Jun-06 12:19:16.183613] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/EUR/EUR-EONIA DEBUG [2025-Jun-06 12:19:16.193299] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/EUR/EUR-ESTER DEBUG [2025-Jun-06 12:19:16.201436] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/USD/USD-FedFunds DEBUG [2025-Jun-06 12:19:16.213950] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/USD/USD-LIBOR-3M DEBUG [2025-Jun-06 12:19:16.224860] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/USD/USD-SOFR DEBUG [2025-Jun-06 12:19:16.233848] (...rketdata\todaysmarketparameters.cpp:270) : Add spec FX/EUR/USD DEBUG [2025-Jun-06 12:19:16.241247] (...rketdata\todaysmarketparameters.cpp:270) : Add spec FX/USD/EUR DEBUG [2025-Jun-06 12:19:16.248760] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Equity/EUR/RIC:.STOXX50 DEBUG [2025-Jun-06 12:19:16.255881] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/EUR/EUR-IN-USD DEBUG [2025-Jun-06 12:19:16.267863] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/USD/USD-FedFunds DEBUG [2025-Jun-06 12:19:16.276275] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/EUR/EUR-EONIA DEBUG [2025-Jun-06 12:19:16.284412] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/EUR/EUR-ESTER DEBUG [2025-Jun-06 12:19:16.293282] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/USD/USD-FedFunds DEBUG [2025-Jun-06 12:19:16.300423] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/USD/USD-LIBOR-3M DEBUG [2025-Jun-06 12:19:16.307091] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Yield/USD/USD-SOFR DEBUG [2025-Jun-06 12:19:16.313385] (...rketdata\todaysmarketparameters.cpp:270) : Add spec FX/EUR/USD DEBUG [2025-Jun-06 12:19:16.320957] (...rketdata\todaysmarketparameters.cpp:270) : Add spec FX/USD/EUR DEBUG [2025-Jun-06 12:19:16.327957] (...rketdata\todaysmarketparameters.cpp:270) : Add spec Equity/EUR/RIC:.STOXX50 NOTICE [2025-Jun-06 12:19:16.336719] (...ytics\orea\app\marketdataloader.cpp:279) : CurveConfigs require 137 quotes NOTICE [2025-Jun-06 12:19:16.348967] (...ytics\orea\app\marketdataloader.cpp:287) : Got market data