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QPR-10642 -- Add instances of structured messages to docs
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‎Docs/UserGuide/structuredmessages.tex‎

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@@ -44,36 +44,323 @@ \section{Structured Messages}\label{sec:structured_messages}
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\subsection{Categories}
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There are two main types/categories of structured messages.
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There are two main types (``categories'') of structured messages:
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\begin{enumerate}
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\item \textbf{Warnings} - Structured warning messages are returned when there is an apparent inconsistency in input values, or when
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amounts are unexpectedly large (or small). If the user intended this, then there may be nothing wrong with the calculation and the
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output can be assumed to be correct.
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\item \textbf{Errors} - Structured error messages are returned when part of a calculation has failed, or when something has gone
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wrong to the extent that continuing the calculation would yield nonsensical results, and hence the calculation is either skipped
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over or failed entirely. ORE will always attempt to complete the calculation so that only results from the failing components are
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missing.
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wrong to the extent that continuing the calculation would likely yield nonsensical results, and hence the calculation is either skipped
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over for that particular component or failed entirely. ORE will always attempt to complete the calculation so that only results from the
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working components are given.
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\end{enumerate}
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Where the distinction between the two can sometimes be unclear, a structured warning will only ever be raised for apparent
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inconsistencies or unusual values, while a structured error would indicate that a component has failed. Depending on the circumstances,
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these can either lead to a larger failure later on in the calculations, or sometimes have no impact on the output reports.
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Where the distinction between a warning and error can sometimes be unclear, a structured warning will only ever be raised for apparent
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inconsistencies or unusual values, while a structured error would indicate some kind of failure. Depending on the circumstances,
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these can either lead to a larger failure later on in the calculations or have no material impact on the output reports.
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% Structured Message Groups
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\subsection{Groups}
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Within each category (i.e.\ warning or error), structured messages are further subdivided into groups, which give an indication of what
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part of ORE is failing. A structured error (warning) has a corresponding \lstinline!message! and usually an \lstinline!exceptionType!
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(\lstinline!warningType!) subfield. Additionally, there may be other subfields based on the structured message group, e.g.\ for
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structured trade error messages, the trade ID and trade type:
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Within each category, structured messages are further subdivided into groups, which indicate the component that the error points to.
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A structured error (warning) has a corresponding \lstinline!message! and usually an \lstinline!exceptionType! (\lstinline!warningType!)
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subfield. Additionally, there may be subfields specific to a group, e.g.\ for structured trade error messages, the trade ID and trade
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type:
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\begin{itemize}
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\item Analytics: \lstinline!analyticType!
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\item Analytics: \lstinline!analyticType! (only for warnings)
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\item Configuration: \lstinline!configurationType!, \lstinline!configurationId!
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\item Model
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\item Curve: \lstinline!curveId!
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\item Trade: \lstinline!tradeId!, \lstinline!tradeType!
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\item Fixing: \lstinline!fixingId!, \lstinline!fixingDate!
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\end{itemize}
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% Interpretation/Meaning
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% Specific Instances of Warnings/Examples
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\subsection{Messages}
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This section gives the list of the structured messages. Variables are denoted by angle brackets (``<>'').
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For brevity, we omit subfields in messages where the subfields are generic and self-explanatory,
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e.g.\ \lstinline!tradeId! and \lstinline!tradeType! in the Trade group will, unless specified otherwise,
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be a given instrument's trade ID and trade type.
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\subsubsection*{Analytics Group}
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\begin{itemize}
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\item \lstinline!analyticType!: XvaAnalytic \\
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\lstinline!warningType!: Inconsistent MPoR period \\
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\lstinline!message!: For netting set <NETTING SET DETAILS>, close-out lag is not consistent with the netting-set's mpor
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\item \lstinline!analyticType!: OREApp::run() \\
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\lstinline!warningType!: Error \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!analyticType!: OREApp::run() \\
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\lstinline!warningType!: Error in ORE analytics: <SUB ERR MSG> \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!exceptionType!: AMC Valuation Engine (multithreaded mode) \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!exceptionType!: Multithreaded Valuation Engine \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!exceptionType!: par sensitivity conversion \\
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\lstinline!message!: skipping par instrument for <CURVE NAME>: <SUB ERR MSG>
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\item \lstinline!exceptionType!: par sensitivity conversion \\
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\lstinline!message!: skipping par instrument for index curve <INDEX NAME>: <SUB ERR MSG>
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\item \lstinline!exceptionType!: par sensitivity conversion \\
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\lstinline!message!: skipping par cap/floor for key <KEY>: <SUB ERR MSG>
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\item \lstinline!exceptionType!: par sensitivity conversion \\
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\lstinline!message!: skipping par instrument for cds <KEY>: <SUB ERR MSG>
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\item \lstinline!exceptionType!: par sensitivity conversion \\
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\lstinline!message!: skipping par instrument for zero inflation index <INDEX NAME>: <SUB ERR MSG>
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\item \lstinline!exceptionType!: par sensitivity conversion \\
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\lstinline!message!: skipping par instrument for yoy index <INDEX NAME>: <SUB ERR MSG>
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\item \lstinline!exceptionType!: par sensitivity conversion \\
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\lstinline!message!: skipping par instrument for yoy cap floor index <INDEX NAME>: <SUB ERR MSG>
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\item \lstinline!exceptionType!: par sensitivity conversion \\
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\lstinline!message!: Transposed Jacobi matrix inversion failed: <SUB ERR MSG>
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\item \lstinline!exceptionType!: par conversion \\
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\lstinline!message!: par factor <FACTOR> not found in factorToIndex map
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\ifdefined\UserGuide
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\else
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\input{structured_messages/analytics}
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\fi
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\end{itemize}
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\subsubsection*{Configuration Group}
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\begin{itemize}
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\item \lstinline!configurationType!: IborFallbackConfig \\
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\lstinline!configurationId!: <IBOR FALLBACK INDEX> \\
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\lstinline!message!: update switch date from <FALLBACK SWITCH DATE> to <TARGET SWITCH DATE>
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\item \lstinline!configurationType!: Netting set manager \\
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\lstinline!configurationId!: <EMPTY> \\
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\lstinline!message!: Netting set definnition failed to parse: <SUB ERR MSG>
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\ifdefined\UserGuide
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\else
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\input{structured_messages/configuration}
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\fi
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\end{itemize}
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\subsubsection*{Model Group}
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\begin{itemize}
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\item \lstinline!exceptionType!: Failed to calibrate FX BS Model \\
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\lstinline!message!: FX BS <INTEGER> calibration error <ERROR VALUE> exceeds tolerance <BOOTSTRAP TOLERANCE>
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% \item \lstinline!exceptionType!: Calibrating FX BS Model \\
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% \lstinline!message!: FX BS <INTEGER> calibration error <SUB ERR MSG> exceeds tolerance <CONFIG BOOSTRAP TOLERANCE>
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\item \lstinline!exceptionType!: Failed to calibrate EQ BS Model \\
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\lstinline!message!: EQ BS <INTEGER> calibration error <ERROR VALUE> exceeds tolerance <BOOTSTRAP TOLERANCE>
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% \item \lstinline!exceptionType!: Calibrating EQ BS Model \\
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% \lstinline!message!: EQ BS <INTEGER> calibration error <SUB ERR MSG> exceeds tolerance <CONFIG BOOSTRAP TOLERANCE>
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% \item \lstinline!exceptionType!: Calibrating INF DK Model \\
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% \lstinline!message!: INF (DK) <INTEGER> calibration error <SUB ERR MSG> exceeds tolerance <CONFIG BOOSTRAP TOLERANCE>
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\item \lstinline!exceptionType!: Failed to calibrate INF DK Model \\
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\lstinline!message!: INF (DK) <INTEGER> calibration error <EROR VALUE> exceeds tolerance <BOOTSTRAP TOLERANCE>
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% \item \lstinline!exceptionType!: Calibrating INF JY Model \\
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% \lstinline!message!: FX BS <INTEGER> calibration error <SUB ERR MSG> exceeds tolerance <BOOTSTRAP TOLERANCE>
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\item \lstinline!exceptionType!: Failed to calibrate INF JY Model \\
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\lstinline!message!: FX BS <INTEGER> calibration error <ERROR VALUE> exceeds tolerance <BOOTSTRAP TOLERANCE>
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\item \lstinline!exceptionType!: Error during LGM calibration: \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!exceptionType!: Failed to calibrate LGM Model \\
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\lstinline!message!: LGM (<QUALIFIER>) calibration error <ERROR VALUE> exceeds tolerance <BOOTSTRAP TOLERANCE>
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% \item \lstinline!exceptionType!: LGM calibration \\
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% \lstinline!message!: LGM (<QUALIFIER>) calibration error <SUB ERR MSG> exceeds tolerance <BOOTSTRAP TOLERANCE>
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\end{itemize}
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\subsubsection*{Curve Group}
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\begin{itemize}
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\item \lstinline!curveId!: <RISK FACTOR KEY>/<CURVE ID> \\
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\lstinline!exceptionType!: skipping this object in scenario sim market \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!curveId!: <RISK FACTOR KEY>/<CURVE ID> \\
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\lstinline!exceptionType!: skipping this object in scenario sim market (scenario data was written for this object.) \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!curveId!: <RISK FACTOR KEY>/<CURVE ID> \\
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\lstinline!exceptionType!: skipping this object in scenario sim market (scenario data was not written for this object.) \\
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\lstinline!message!: <SUB ERR MSG>
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% \item \lstinline!curveId!: <CURVE ID> \\
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% \lstinline!exceptionType!: Curve config was requested under node `<CURVE TYPE>', but could not be parsed. \\
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% \lstinline!message!: <SUB ERR MSG>
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\item \lstinline!exceptionType!: Curve config <CURVE ID> under node `<CURVE TYPE>' was requested, but could not be parsed. \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!curveId!: <CURVE SPEC NAME> \\
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\lstinline!exceptionType!: Failed to Build Curve \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!curveId!: <MARKET OBJECT> (<NAME>) \\
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\lstinline!exceptionType!: Failed to Build Curve \\
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\lstinline!message!: Configuration `<CONFIGURATION>' not known, retry with default configuration.
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\item \lstinline!curveId!: <MARKET OBJECT> (<NAME>) \\
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\lstinline!exceptionType!: Failed to Build Curve \\
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\lstinline!message!: Configuration `default' not known, this is unexpected. Do nothing.
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\ifdefined\UserGuide
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\else
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\input{structured_messages/curve}
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\fi
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\end{itemize}
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\subsubsection*{Trade Group}
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\begin{itemize}
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\item \lstinline!exceptionType!: Error building trade for AMC simulation \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!exceptionType!: Error during trade pricing \\
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\lstinline!message!: <SUB ERR MSG> \\
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\textbf{Meaning}: Failure in NPV report writing.
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\item \lstinline!exceptionType!: Error during cashflow reporting / checking for cashFlowResults \\
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\lstinline!message!: <SUB ERR MSG> \\
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\textbf{Meaning}: Failure in cashflow report writing.
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\item \lstinline!exceptionType!: Error during CashflowNpv calculation. \\
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\lstinline!message!: Cashflow in row <INTEGER> has no ccy. Assuming ccy = baseCcy = <CCY>. \\
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\textbf{Meaning}: Failure in cashflow report writing.
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\item \lstinline!exceptionType!: Error during trade pricing (additional results). \\
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\lstinline!message!: <SUB ERR MSG>. \\
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\textbf{Meaning}: Failure in additional results report writing.
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\item \lstinline!exceptionType!: Error during amc path simulation for trade. \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!exceptionType!: Additional instrument is ignored in AMC simulation \\
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\lstinline!message!: only QuantExt::Payment is handled as additional instrument.
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\item \lstinline!exceptionType!: Error building trade for AMC simulation \\
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\lstinline!message!: <SUB ERRORR MESSAGE>
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\item \lstinline!exceptionType!: ScenarioValuation \\
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\lstinline!message!: T0 valuation error: <SUB ERR MSG>
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\item \lstinline!exceptionType!: ScenarioValuation \\
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\lstinline!message!: date = <DATE>, sample = <SAMPLE NUMBER>, label = <LABEL>: <SUB ERR MSG>
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\item \lstinline!warningType!: Trade build \\
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\lstinline!message!: Found more than 1 payment date. The first one will be used.
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\item \lstinline!tradeId!: <BOND ISSUER ID> \\
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\lstinline!tradeType!: Bond-linked \\
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\lstinline!exceptionType!: update reference data \\
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\lstinline!message!: modifified start date cannot be applied to multiple legs/schedules
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\item \lstinline!tradeId!: <BOND ISSUER ID> \\
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\lstinline!tradeType!: Bond-linked \\
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\lstinline!exceptionType!: update reference data \\
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\lstinline!message!: modified end date cannot be applied to multiple legs/schedules
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\item \lstinline!tradeType!: Synthetic CDO \\
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\lstinline!exceptionType!: Error building trade \\
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\lstinline!message!: Invalid Basket: found a duplicate credit curve <CREDIT CURVE>, skip it. Check the basket data for possible errors.
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\item \lstinline!tradeType!: Synthetic CDO \\
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\lstinline!exceptionType!: Error building trade \\
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\lstinline!message!: Total remaining notional (<REMAINING NOTIONAL>) is greater than total original notional (<ORIGINAL NOTIONAL>), check the basket data for possible errors.
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\item \lstinline!tradeType!: Synthetic CDO \\
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\lstinline!exceptionType!: Error building trade \\
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\lstinline!message!: Expected the total notional (<TOTAL NOTIONAL> = <TOTAL REMAINING NOTIONAL> + <TOTAL PRIOR NOTIONAL>) to equal the total original notional (<ORIGINAL TOTAL NOTIONAL>), check the basket data for possible errors.
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\item \lstinline!exceptionType!: Error building composite trade \\
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\lstinline!message!: Component trade `<TRADE ID>' does not provide notional currency for notional <TRADE NOTIONAL>. Assuming <NPV CURRENCY>.
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\item \lstinline!warningType!: Trade build \\
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\lstinline!message!: Found more than 1 payment date. The first one will be used.
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\item \lstinline!tradeType!: IndexCDS \\
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\lstinline!exceptionType!: Error building trade \\
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\lstinline!message!: Invalid Basket: found a duplicate credit curve <CREDIT CURVE NAME>, skip it. Check the basket data for possible errors.
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\item \lstinline!tradeType!: IndexCDS \\
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\lstinline!exceptionType!: Error building trade \\
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\lstinline!message!: Sum of basket notionals (<BASKET NOTIONAL>) is greater than trade notional (<NOTIONAL>). Check the basket data for possible errors.
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\item \lstinline!warningType!: Could not imply Index CDS term. \\
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\lstinline!message!: Index CDS term could not be derived from start, end date, are these dates correct (credit curve id is `<CREDIT CURVE ID>')
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\item \lstinline!tradeType!: IndexCDSOption \\
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\lstinline!exceptionType!: Error building trade \\
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\lstinline!message!: Invalid Basket: found a duplicate credit curve <CREDIT CURVE NAME>.Skip it. Check the basket data for possible errors.
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\item \lstinline!tradeType!: IndexCDSOption \\
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\lstinline!exceptionType!: Error building trade \\
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\lstinline!message!: Sum of basket notionals (<BASKET NOTIONAL>) is greater than trade notional (<FULL NOTIONAL>). Check the basket data for possible errors.
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\item \lstinline!exceptionType!: Error parsing Trade XML \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!exceptionType!: Error parsing type and envelope \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!exceptionType!: Trade is Matured \\
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\lstinline!message!: <EMPTY>
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\item \lstinline!exceptionType!: Error retrieving underlying indices \\
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\lstinline!message!: <SUB ERR MSG>
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\item \lstinline!exceptionType!: Error building trade for context `<CONTEXT>' \\
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\lstinline!message!: <SUB ERR MSG>
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\ifdefined\UserGuide
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\else
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\input{structured_messages/trade}
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\fi
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\end{itemize}
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\subsubsection*{Fixing Group}
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\begin{itemize}
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\item \lstinline!exceptionType!: Missing fixing \\
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\lstinline!message!: Could not find required fixing id <FIXING ID> for date <FIXING DATE><SUB ERR MSG>
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\ifdefined\UserGuide
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\else
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\input{structured_messages/fixing}
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\fi
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\end{itemize}

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