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jenkins
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git subrepo pull (merge) ore
subrepo: subdir: "ore" merged: "d0c3a422e7" upstream: origin: "git@gitlab.acadiasoft.net:qs/ore.git" branch: "master" commit: "b0fec4cc26" git-subrepo: version: "0.4.6" origin: "https://github.com/ingydotnet/git-subrepo" commit: "110b9eb"
2 parents f10e6e8 + b0fec4c commit a12a2e8

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Lines changed: 3253 additions & 417 deletions

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‎Docker/Dockerfile-Test‎

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@@ -5,7 +5,7 @@ RUN apt-get update \
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&& DEBIAN_FRONTEND=noninteractive apt-get install -y dos2unix python3 python3-pip libxml2-utils xsltproc \
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&& apt-get clean \
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&& rm -rf /var/lib/apt/lists/* \
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&& pip3 install matplotlib pandas nose nose_xunitmp datacompy
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&& pip3 install matplotlib pandas nose nose_xunitmp datacompy jsondiff
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CMD bash
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‎Examples/Example_1/ExpectedOutput/log_progress.json‎

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{ "@timestamp": "2023-10-20T23:28:28.996474", "key": "Running XVA Analytic", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:28.999475", "key": "XVA: Build Today's Market", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:29.261480", "key": "XVA: Build Today's Market", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:29.925485", "key": "XVA: Build Portfolio", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:29.932486", "key": "XVA: Build Portfolio", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:29.952486", "key": "XVA: Building cube", "progress": 0, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.633495", "key": "XVA: Building cube", "progress": 1, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.678496", "key": "XVA: Building cube", "progress": 2, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.710535", "key": "XVA: Building cube", "progress": 3, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.742498", "key": "XVA: Building cube", "progress": 4, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.778497", "key": "XVA: Building cube", "progress": 5, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.808497", "key": "XVA: Building cube", "progress": 6, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.837496", "key": "XVA: Building cube", "progress": 7, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.871498", "key": "XVA: Building cube", "progress": 8, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.901499", "key": "XVA: Building cube", "progress": 9, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.937499", "key": "XVA: Building cube", "progress": 10, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:30.973500", "key": "XVA: Building cube", "progress": 11, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.008500", "key": "XVA: Building cube", "progress": 12, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.045499", "key": "XVA: Building cube", "progress": 13, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.073501", "key": "XVA: Building cube", "progress": 14, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.113499", "key": "XVA: Building cube", "progress": 15, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.145502", "key": "XVA: Building cube", "progress": 16, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.177501", "key": "XVA: Building cube", "progress": 17, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.205502", "key": "XVA: Building cube", "progress": 18, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.249503", "key": "XVA: Building cube", "progress": 19, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.278507", "key": "XVA: Building cube", "progress": 20, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.315504", "key": "XVA: Building cube", "progress": 21, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.349504", "key": "XVA: Building cube", "progress": 22, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.379504", "key": "XVA: Building cube", "progress": 23, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.408503", "key": "XVA: Building cube", "progress": 24, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.452506", "key": "XVA: Building cube", "progress": 25, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.480507", "key": "XVA: Building cube", "progress": 26, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.509509", "key": "XVA: Building cube", "progress": 27, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.539505", "key": "XVA: Building cube", "progress": 28, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.574506", "key": "XVA: Building cube", "progress": 29, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.617511", "key": "XVA: Building cube", "progress": 30, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.652511", "key": "XVA: Building cube", "progress": 31, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.684508", "key": "XVA: Building cube", "progress": 32, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.726510", "key": "XVA: Building cube", "progress": 33, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.758508", "key": "XVA: Building cube", "progress": 34, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.792510", "key": "XVA: Building cube", "progress": 35, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.822511", "key": "XVA: Building cube", "progress": 36, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.853510", "key": "XVA: Building cube", "progress": 37, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.880512", "key": "XVA: Building cube", "progress": 38, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.910511", "key": "XVA: Building cube", "progress": 39, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.956512", "key": "XVA: Building cube", "progress": 40, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:31.990512", "key": "XVA: Building cube", "progress": 41, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.035513", "key": "XVA: Building cube", "progress": 42, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.066513", "key": "XVA: Building cube", "progress": 43, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.097553", "key": "XVA: Building cube", "progress": 44, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.127515", "key": "XVA: Building cube", "progress": 45, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.155513", "key": "XVA: Building cube", "progress": 46, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.192514", "key": "XVA: Building cube", "progress": 47, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.240518", "key": "XVA: Building cube", "progress": 48, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.282517", "key": "XVA: Building cube", "progress": 49, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.323518", "key": "XVA: Building cube", "progress": 50, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:32.350520", "key": "XVA: Aggregation", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:32.395517", "key": "XVA: Aggregation", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:32.396518", "key": "XVA: Reports", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:32.410517", "key": "XVA: Reports", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:32.411518", "key": "Running XVA Analytic", "progress": 1, "total": 1 }

‎Examples/Example_1/Input/ore.xml‎

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<Parameter name="calendarAdjustment">../../Input/calendaradjustment.xml</Parameter>
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<Parameter name="currencyConfiguration">../../Input/currencies.xml</Parameter>
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</Setup>
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<Logging>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">31</Parameter>
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<Parameter name="progressLogFile">my_log_progress_%N.txt</Parameter>
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<Parameter name="progressLogRotationSize">102400</Parameter>
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<Parameter name="progressLogToConsole">N</Parameter>
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<Parameter name="structuredLogFile">my_structured_logs_%N.txt</Parameter>
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<Parameter name="structuredLogRotationSize">102400</Parameter>
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</Logging>
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<Markets>
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<Parameter name="lgmcalibration">libor</Parameter>
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<Parameter name="fxcalibration">libor</Parameter>

‎Examples/Example_10/ExpectedOutput/log_progress.json‎

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{ "@timestamp": "2023-10-20T23:29:25.856733", "key": "Running XVA Analytic", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:25.858733", "key": "XVA: Build Today's Market", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:26.440291", "key": "XVA: Build Today's Market", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:27.045338", "key": "XVA: Load Cubes", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:27.051338", "key": "XVA: Load Cubes", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:27.237343", "key": "XVA: Aggregation", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:29.258365", "key": "XVA: Aggregation", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:29.259364", "key": "XVA: Reports", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:29.306366", "key": "XVA: Reports", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:29:29.306366", "key": "Running XVA Analytic", "progress": 1, "total": 1 }

‎Examples/Example_10/ExpectedOutput/log_structured.json‎

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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(GBP-LIBOR-6M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(GBP)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EURIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(EUR)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(USD-LIBOR-3M)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DiscountCurve(USD)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "IndexCurve(EUR-EONIA)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_BORROW)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "YieldCurve(BANK_EUR_LEND)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DefaultCurve(CPTY_A)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "Securities(CPTY_A)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "DefaultCurve(BANK)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }
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{ "category": "Warning", "group": "Curve", "message": "Configuration 'collateral_eur' not known - check wyh this is used. Will retry with default configuration.", "sub_fields": [ { "name": "curveId", "value": "Securities(BANK)" }, { "name": "exceptionType", "value": "Unknown market configuration." } ] }

‎Examples/Example_11/ExpectedOutput/log_progress.json‎

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{ "@timestamp": "2023-10-20T23:28:31.544505", "key": "Running XVA Analytic", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:31.545506", "key": "XVA: Build Today's Market", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:31.818509", "key": "XVA: Build Today's Market", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:32.521518", "key": "XVA: Build Portfolio", "progress": 0, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:32.523519", "key": "XVA: Build Portfolio", "progress": 1, "total": 1 }
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{ "@timestamp": "2023-10-20T23:28:32.527520", "key": "XVA: Building cube", "progress": 0, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:34.845550", "key": "XVA: Building cube", "progress": 1, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:34.948549", "key": "XVA: Building cube", "progress": 2, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:35.076551", "key": "XVA: Building cube", "progress": 3, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:35.185552", "key": "XVA: Building cube", "progress": 4, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:35.291552", "key": "XVA: Building cube", "progress": 5, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:35.393555", "key": "XVA: Building cube", "progress": 6, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:35.482555", "key": "XVA: Building cube", "progress": 7, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:35.581557", "key": "XVA: Building cube", "progress": 8, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:35.700558", "key": "XVA: Building cube", "progress": 9, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:35.821560", "key": "XVA: Building cube", "progress": 10, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:35.905562", "key": "XVA: Building cube", "progress": 11, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:36.035564", "key": "XVA: Building cube", "progress": 12, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:36.151564", "key": "XVA: Building cube", "progress": 13, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:36.272565", "key": "XVA: Building cube", "progress": 14, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:36.404566", "key": "XVA: Building cube", "progress": 15, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:36.552568", "key": "XVA: Building cube", "progress": 16, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:36.678570", "key": "XVA: Building cube", "progress": 17, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:36.785570", "key": "XVA: Building cube", "progress": 18, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:36.908575", "key": "XVA: Building cube", "progress": 19, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:37.028576", "key": "XVA: Building cube", "progress": 20, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:37.160576", "key": "XVA: Building cube", "progress": 21, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:37.295578", "key": "XVA: Building cube", "progress": 22, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:37.418578", "key": "XVA: Building cube", "progress": 23, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:38.128942", "key": "XVA: Building cube", "progress": 29, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:38.259636", "key": "XVA: Building cube", "progress": 30, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:38.375946", "key": "XVA: Building cube", "progress": 31, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:38.519946", "key": "XVA: Building cube", "progress": 32, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:38.801950", "key": "XVA: Building cube", "progress": 34, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:39.065954", "key": "XVA: Building cube", "progress": 36, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:39.202956", "key": "XVA: Building cube", "progress": 37, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:39.328955", "key": "XVA: Building cube", "progress": 38, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:40.601971", "key": "XVA: Building cube", "progress": 48, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:40.745975", "key": "XVA: Building cube", "progress": 49, "total": 50 }
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{ "@timestamp": "2023-10-20T23:28:41.015978", "key": "Running XVA Analytic", "progress": 1, "total": 1 }

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