[050820:144059] [   ] [1-main] Debug started
[050820:144059] [   ] [1-main] beep not set
[050820:144059] [   ] [1-main] external mask set to 31
[050820:144059] [   ] [1-main] flush set
[050820:144059] [   ] [1-main] starting
[050820:144059] [ 16] [1-main] read market
[050820:144059] [ 16] [4-main] setup engine
[050820:144059] [ 16] [6-Curve::setCcy] currency change  -> EUR
[050820:144059] [ 16] [7-Curve::setDate] date change 1901-01-01 -> 2005-08-19
[050820:144059] [  8] [8-Curve::generate] environment variable FLAT_CURVE_A360 not set
[050820:144059] [  8] [8-Curve::generate] using default flat rate 0.050000 A360
[050820:144059] [ 16] [8-Curve::generate] build flat curve ccy EUR asof 2005-08-19
[050820:144059] [ 16] [15-Curve::generate] zero 0.050694 discount 0.950569
[050820:144059] [ 16] [15-Curve::generate] linking curve ok
[050820:144059] [ 16] [15-Curve::generate] zero 0.050694 discount 0.950569
[050820:144059] [ 16] [15-Curve::generate] build depo/swap curve ccy EUR asof 2005-08-19
[050820:144059] [ 16] [16-buildCurve] asof is August 19th, 2005
[050820:144059] [ 16] [16-buildCurve] number of instruments = 0
[050820:144059] [ 16] [16-buildCurve] number of depos = 15
[050820:144059] [ 16] [17-buildCurve] number of depos/swaps = 31
[050820:144059] [ 16] [17-Curve::generate] build swaption vola matrix ccy EUR asof 2005-08-19
[050820:144059] [ 16] [18-Curve::generate] flat curve ccy EUR asof 2005-08-19
[050820:144059] [ 16] [18-Curve::generate] depo/swap curve ccy EUR asof 2005-08-23
[050820:144059] [ 16] [21-Curve::test] completed
[050820:144059] [ 16] [21-Curve::generate] build caplets ccy EUR asof 2005-08-19
[050820:144059] [ 16] [22-Curve::buildCaplets] read flat vols from market
[050820:144059] [ 16] [24-Curve::buildCaplets] Caplet EUR 2006-02-23 2006-08-23  0.0249  0.2071  0.0007  0.2071  0.0007  0.0007
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2006-08-23 2007-02-23  0.0284  0.2258  0.0026  0.2351  0.0024  0.0024
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2007-02-23 2007-08-23  0.0295  0.2442  0.0047  0.2656  0.0025  0.0025
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2007-08-23 2008-02-25  0.0315  0.2424  0.0076  0.2389  0.0040  0.0040
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2008-02-25 2008-08-25  0.0327  0.2330  0.0102  0.2094  0.0035  0.0035
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2008-08-25 2009-02-25  0.0342  0.2251  0.0135  0.1990  0.0046  0.0046
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2009-02-25 2009-08-25  0.0353  0.2190  0.0166  0.1949  0.0043  0.0043
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2009-08-25 2010-02-25  0.0364  0.2128  0.0201  0.1838  0.0050  0.0050
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2010-02-25 2010-08-25  0.0373  0.2068  0.0234  0.1743  0.0045  0.0045
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2010-08-25 2011-02-25  0.0382  0.2012  0.0269  0.1663  0.0050  0.0050
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2011-02-25 2011-08-25  0.0390  0.1961  0.0303  0.1610  0.0047  0.0047
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2011-08-25 2012-02-27  0.0398  0.1913  0.0339  0.1547  0.0052  0.0052
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2012-02-27 2012-08-27  0.0405  0.1870  0.0374  0.1505  0.0048  0.0048
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2012-08-27 2013-02-27  0.0411  0.1830  0.0409  0.1460  0.0049  0.0049
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2013-02-27 2013-08-27  0.0417  0.1793  0.0443  0.1419  0.0046  0.0046
[050820:144059] [ 16] [26-Curve::buildCaplets] Caplet EUR 2013-08-27 2014-02-27  0.0422  0.1758  0.0477  0.1383  0.0048  0.0048
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2014-02-27 2014-08-27  0.0427  0.1727  0.0509  0.1351  0.0045  0.0045
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2014-08-27 2015-02-27  0.0432  0.1697  0.0542  0.1320  0.0045  0.0045
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2015-02-27 2015-08-27  0.0436  0.1669  0.0573  0.1295  0.0043  0.0043
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2015-08-27 2016-02-29  0.0439  0.1643  0.0606  0.1266  0.0043  0.0043
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2016-02-29 2016-08-29  0.0443  0.1619  0.0635  0.1244  0.0040  0.0040
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2016-08-29 2017-02-28  0.0446  0.1596  0.0664  0.1222  0.0039  0.0039
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2017-02-28 2017-08-28  0.0449  0.1574  0.0692  0.1199  0.0037  0.0037
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2017-08-28 2018-02-28  0.0451  0.1554  0.0724  0.1172  0.0039  0.0039
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2018-02-28 2018-08-28  0.0454  0.1534  0.0748  0.1149  0.0037  0.0037
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2018-08-28 2019-02-28  0.0457  0.1515  0.0775  0.1124  0.0036  0.0036
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2019-02-28 2019-08-28  0.0459  0.1497  0.0801  0.1094  0.0034  0.0034
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2019-08-28 2020-02-28  0.0461  0.1478  0.0826  0.1064  0.0033  0.0033
[050820:144100] [ 16] [26-Curve::buildCaplets] Caplet EUR 2020-02-28 2020-08-28  0.0463  0.1461  0.0850  0.1028  0.0031  0.0031
[050820:144100] [ 16] [26-Curve::buildCaplets] cap term 1Y vs caplet 0.00072086 0.00072086
[050820:144100] [ 16] [26-Curve::buildCaplets] cap term 2Y vs caplet 0.00469866 0.00471226
[050820:144100] [ 16] [26-Curve::buildCaplets] cap term 3Y vs caplet 0.01020119 0.01026148
[050820:144100] [ 16] [26-Curve::buildCaplets] cap term 4Y vs caplet 0.01654669 0.01234226
[050820:144100] [ 16] [26-Curve::buildCaplets] cap term 5Y vs caplet 0.02329729 0.01877008
[050820:144100] [ 16] [26-Curve::buildCaplets] cap term 7Y vs caplet 0.03734510 0.03230622
[050820:144100] [ 16] [26-Curve::buildCaplets] cap term 10Y vs caplet 0.05731269 0.05233231
[050820:144100] [ 16] [26-Curve::buildCaplets] cap term 15Y vs caplet 0.08486898 0.08034725
[050820:144100] [ 16] [26-Curve::buildCaplets] avg. rel. error 0.0893
[050820:144100] [ 16] [26-Curve::buildCaplets] caplet volatilities ok
[050820:144100] [ 16] [26-Curve::generate] curves generated
[050820:144100] [ 16] [27-Engine::Engine] pricing model LMM, setup LMM
[050820:144100] [ 16] [31-Engine::Engine] LMM parameters read from file lmm.xml
[050820:144100] [ 16] [31-Engine::Engine] LMM type        DL
[050820:144100] [ 16] [31-Engine::Engine] LMM lowFactor   3
[050820:144100] [ 16] [31-Engine::Engine] LMM volSurface  JR
[050820:144100] [ 16] [31-Engine::Engine] LMM correlation CS
[050820:144100] [ 16] [31-Engine::Engine] LMM nVals       500
[050820:144100] [ 16] [31-Engine::Engine] LMM nPaths      1000
[050820:144100] [ 16] [31-Engine::Engine] LMM volSets     3
[050820:144100] [ 16] [31-Engine::Engine] LMM corSets     2
[050820:144100] [ 16] [31-main] perform basic tests
[050820:144100] [ 16] [32-testCurve] --- test curve ---
[050820:144100] [ 16] [32-testCurve] cal Frankfurt Stock Exchange
[050820:144100] [ 16] [32-testCurve] link to flat curve
[050820:144100] [ 16] [32-testCurve] discount(2005-08-23,4) = 0.9994 (0.05069444)
[050820:144100] [ 16] [32-testCurve] discount(2006-08-21,367) = 0.9503 (0.05069444)
[050820:144100] [ 16] [32-testCurve] discount(2007-08-20,731) = 0.9035 (0.05069444)
[050820:144100] [ 16] [32-testCurve] discount(2008-08-19,1096) = 0.8588 (0.05069444)
[050820:144100] [ 16] [32-testCurve] discount(2009-08-19,1461) = 0.8163 (0.05069444)
[050820:144100] [ 16] [32-testCurve] discount(2010-08-19,1826) = 0.7760 (0.05069444)
[050820:144100] [ 16] [32-testCurve] discount(2011-08-19,2191) = 0.7376 (0.05069444)
[050820:144100] [ 16] [32-testCurve] discount(2012-08-20,2558) = 0.7010 (0.05069444)
[050820:144100] [ 16] [32-testCurve] discount(2013-08-19,2922) = 0.6664 (0.05069444)
[050820:144100] [ 16] [32-testCurve] discount(2014-08-19,3287) = 0.6335 (0.05069444)
[050820:144100] [ 16] [32-testCurve] discount(2015-08-19,3652) = 0.6022 (0.05069444)
[050820:144100] [ 16] [32-testCurve] link to deposit/swap curve
[050820:144100] [ 16] [32-testCurve] discount(2005-08-23,4) = 1.0000 (0.02044594)
[050820:144100] [ 16] [32-testCurve] discount(2006-08-21,367) = 0.9769 (0.02348052)
[050820:144100] [ 16] [32-testCurve] discount(2007-08-20,731) = 0.9463 (0.02773446)
[050820:144100] [ 16] [32-testCurve] discount(2008-08-19,1096) = 0.9112 (0.03108795)
[050820:144100] [ 16] [32-testCurve] discount(2009-08-19,1461) = 0.8735 (0.03386882)
[050820:144100] [ 16] [32-testCurve] discount(2010-08-19,1826) = 0.8349 (0.03615158)
[050820:144100] [ 16] [32-testCurve] discount(2011-08-19,2191) = 0.7960 (0.03807518)
[050820:144100] [ 16] [32-testCurve] discount(2012-08-20,2558) = 0.7570 (0.03978649)
[050820:144100] [ 16] [32-testCurve] discount(2013-08-19,2922) = 0.7194 (0.04119249)
[050820:144100] [ 16] [32-testCurve] discount(2014-08-19,3287) = 0.6828 (0.04241522)
[050820:144100] [ 16] [32-testCurve] discount(2015-08-19,3652) = 0.6477 (0.04344924)
[050820:144100] [ 16] [32-testCurve] index name: Euribor6m act/360
[050820:144100] [ 16] [32-testCurve] finished
[050820:144100] [ 16] [34-testSwap] swap(0.0400,0.0000) = 6.73, fair rate 0.0491 spread -0.0088
[050820:144100] [ 16] [34-testSwap] swap(0.0400,0.0000) = -6.73, fair rate 0.0491 spread -0.0088
[050820:144100] [ 16] [34-testSwap] finished
[050820:144100] [ 16] [34-testCurve] --- test curve ---
[050820:144100] [ 16] [34-testCurve] cal Frankfurt Stock Exchange
[050820:144100] [ 16] [34-testCurve] link to flat curve
[050820:144100] [ 16] [34-testCurve] discount(2005-08-23,4) = 0.9994 (0.05069444)
[050820:144100] [ 16] [34-testCurve] discount(2006-08-21,367) = 0.9503 (0.05069444)
[050820:144100] [ 16] [34-testCurve] discount(2007-08-20,731) = 0.9035 (0.05069444)
[050820:144100] [ 16] [34-testCurve] discount(2008-08-19,1096) = 0.8588 (0.05069444)
[050820:144100] [ 16] [34-testCurve] discount(2009-08-19,1461) = 0.8163 (0.05069444)
[050820:144100] [ 16] [34-testCurve] discount(2010-08-19,1826) = 0.7760 (0.05069444)
[050820:144100] [ 16] [34-testCurve] discount(2011-08-19,2191) = 0.7376 (0.05069444)
[050820:144100] [ 16] [34-testCurve] discount(2012-08-20,2558) = 0.7010 (0.05069444)
[050820:144100] [ 16] [34-testCurve] discount(2013-08-19,2922) = 0.6664 (0.05069444)
[050820:144100] [ 16] [34-testCurve] discount(2014-08-19,3287) = 0.6335 (0.05069444)
[050820:144100] [ 16] [34-testCurve] discount(2015-08-19,3652) = 0.6022 (0.05069444)
[050820:144100] [ 16] [34-testCurve] link to deposit/swap curve
[050820:144100] [ 16] [34-testCurve] discount(2005-08-23,4) = 1.0000 (0.02044594)
[050820:144100] [ 16] [34-testCurve] discount(2006-08-21,367) = 0.9769 (0.02348052)
[050820:144100] [ 16] [34-testCurve] discount(2007-08-20,731) = 0.9463 (0.02773446)
[050820:144100] [ 16] [34-testCurve] discount(2008-08-19,1096) = 0.9112 (0.03108795)
[050820:144100] [ 16] [34-testCurve] discount(2009-08-19,1461) = 0.8735 (0.03386882)
[050820:144100] [ 16] [34-testCurve] discount(2010-08-19,1826) = 0.8349 (0.03615158)
[050820:144100] [ 16] [34-testCurve] discount(2011-08-19,2191) = 0.7960 (0.03807518)
[050820:144100] [ 16] [34-testCurve] discount(2012-08-20,2558) = 0.7570 (0.03978649)
[050820:144100] [ 16] [34-testCurve] discount(2013-08-19,2922) = 0.7194 (0.04119249)
[050820:144100] [ 16] [34-testCurve] discount(2014-08-19,3287) = 0.6828 (0.04241522)
[050820:144100] [ 16] [34-testCurve] discount(2015-08-19,3652) = 0.6477 (0.04344924)
[050820:144100] [ 16] [34-testCurve] index name: Euribor6m act/360
[050820:144100] [ 16] [34-testCurve] finished
[050820:144100] [ 16] [35-testBinomial] starting
[050820:144100] [   ] [35-testBinomial] discount 0.647747
[050820:144100] [   ] [35-testBinomial] start test cases
[050820:144100] [ 16] [37-testBinomial] done
[050820:144100] [ 16] [37-main] read instruments
[050820:144100] [ 16] [51-Engine::price(Instrument&)] instrument (LINEAR), structure type (LINEAR)
[050820:144100] [ 16] [51-Engine::price(Instrument&)] number of legs = 1
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] schedule start end freq = 2005-08-23 2015-08-24 2
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] reference floatleg (start / end / coupon date):
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2005-08-23 2006-02-23 2006-02-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2006-02-23 2006-08-23 2006-08-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2006-08-23 2007-02-23 2007-02-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2007-02-23 2007-08-23 2007-08-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2007-08-23 2008-02-25 2008-02-25
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2008-02-25 2008-08-26 2008-08-26
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2008-08-26 2009-02-23 2009-02-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2009-02-23 2009-08-24 2009-08-24
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2009-08-24 2010-02-23 2010-02-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2010-02-23 2010-08-23 2010-08-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2010-08-23 2011-02-23 2011-02-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2011-02-23 2011-08-23 2011-08-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2011-08-23 2012-02-23 2012-02-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2012-02-23 2012-08-23 2012-08-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2012-08-23 2013-02-25 2013-02-25
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2013-02-25 2013-08-23 2013-08-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2013-08-23 2014-02-24 2014-02-24
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2014-02-24 2014-08-26 2014-08-26
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2014-08-26 2015-02-23 2015-02-23
[050820:144100] [ 16] [52-Engine::setupModel (instrument)] 2015-02-23 2015-08-24 2015-08-24
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] cash flow size = 20
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] dimension n = 20
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] volSurfaceType JR
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] VolSurface, type Jaeckel-Rebonato, a=-2, b=-2, c=1, d=2
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] link to depo/swap curve
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] init deltas, c, libors
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 0 2005-08-19 2005-08-23 2006-02-23 0.0110 0.5041 0.2668 0.0217
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 1 2005-08-19 2006-02-23 2006-08-23 0.5151 0.4959 0.2369 0.0249
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 2 2005-08-19 2006-08-23 2007-02-23 1.0110 0.5041 0.2725 0.0318
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 3 2005-08-19 2007-02-23 2007-08-23 1.5151 0.4959 0.2688 0.0318
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 4 2005-08-19 2007-08-23 2008-02-25 2.0110 0.5096 0.2574 0.0377
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 5 2005-08-19 2008-02-25 2008-08-26 2.5205 0.5014 0.2811 0.0377
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 6 2005-08-19 2008-08-26 2009-02-23 3.0219 0.4959 0.2271 0.0421
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 7 2005-08-19 2009-02-23 2009-08-24 3.5178 0.4986 0.2838 0.0421
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 8 2005-08-19 2009-08-24 2010-02-23 4.0164 0.5014 0.2137 0.0452
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 9 2005-08-19 2010-02-23 2010-08-23 4.5178 0.4959 0.2957 0.0452
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 10 2005-08-19 2010-08-23 2011-02-23 5.0137 0.5041 0.2179 0.0476
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 11 2005-08-19 2011-02-23 2011-08-23 5.5178 0.4959 0.2953 0.0476
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 12 2005-08-19 2011-08-23 2012-02-23 6.0137 0.5041 0.2308 0.0500
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 13 2005-08-19 2012-02-23 2012-08-23 6.5178 0.4986 0.2782 0.0499
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 14 2005-08-19 2012-08-23 2013-02-25 7.0164 0.5096 0.2768 0.0510
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 15 2005-08-19 2013-02-25 2013-08-23 7.5260 0.4904 0.2850 0.0510
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 16 2005-08-19 2013-08-23 2014-02-24 8.0164 0.5068 0.2856 0.0522
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 17 2005-08-19 2014-02-24 2014-08-26 8.5233 0.5014 0.2343 0.0522
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 18 2005-08-19 2014-08-26 2015-02-23 9.0247 0.4959 0.2606 0.0527
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] 19 2005-08-19 2015-02-23 2015-08-24 9.5205 0.4986 0.2796 0.0527
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] lmmCorrType CS
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] Correlations: Coffee-Shoenmakers, alpha=1.8, beta=0.36, r_oo=0.44
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] construct libor factor loadings
[050820:144100] [ 16] [53-Engine::setupModel (cashflow)] Libor factor loading: VolSurface: JR, Correlations: CS
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)] using DL calibrator
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)] Calibrating factor loadings
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)] VolSurface:   JR
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)] Correlations: CS
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)] Dimension:    20
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)] Initial values:
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)]  a      = -2.0000
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)]  b      = -2.0000
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)]  c      = +1.0000
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)]  d      = +2.0000
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)]  alpha  = +1.8000
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)]  beta   = +0.3600
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)]  rho_oo = +0.4400
[050820:144100] [ 16] [54-Engine::setupModel (cashflow)]  avg rel error = 0.00%
[050820:144102] [ 16] [54-Engine::setupModel (cashflow)] Calibration results:
[050820:144102] [ 16] [54-Engine::setupModel (cashflow)]  a      = -1.9678
[050820:144102] [ 16] [54-Engine::setupModel (cashflow)]  b      = -1.9510
[050820:144102] [ 16] [54-Engine::setupModel (cashflow)]  c      = +0.9640
[050820:144102] [ 16] [54-Engine::setupModel (cashflow)]  d      = +2.0323
[050820:144102] [ 16] [54-Engine::setupModel (cashflow)]  alpha  = +1.6958
[050820:144102] [ 16] [54-Engine::setupModel (cashflow)]  beta   = +0.2609
[050820:144102] [ 16] [54-Engine::setupModel (cashflow)]  rho_oo = +0.1631
[050820:144102] [ 16] [54-Engine::setupModel (cashflow)]  avg rel error = 0.61%
[050820:144102] [ 16] [54-Engine::setupModel (cashflow)] construct lmm from factor loadings
[050820:144102] [ 16] [54-Engine::setupModel (cashflow)] done
[050820:144102] [ 16] [54-Engine::setupModel (instrument)] libor market model set up
[050820:144102] [  4] [55-Engine::pathPricer] ENV_LMM_PATHS not set, using default 1000
[050820:144102] [ 16] [56-Engine::cashFlowVector] build float leg id (rec_float)
[050820:144102] [ 16] [57-Engine::pathPricerFloat] LMM dimension n = 20
[050820:144102] [ 16] [57-Engine::pathPricerFloat] T[0] = 0.0110
[050820:144102] [ 16] [57-Engine::pathPricerFloat] T[n] = 10.0192
[050820:144102] [ 16] [57-Engine::pathPricerFloat] final discount (2015-08-24) = 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float date 2015-08-24 amt 2.65 (0.052478) dis 0.6473
[050820:144103] [ 16] [58-Engine::pathPricerFloat] leg rec_float ccy EUR npv 34.35 (using average future rates)
[050820:144103] [ 16] [60-Engine::price(Leg&)] build float leg id (rec_float)
[050820:144103] [ 16] [61-Engine::cashFlowVector] build float leg id (rec_float)
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2006-02-23 amt 512.22 (10.021750 -> 10.021750) dis 0.9890
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2006-08-23 amt 504.03 (10.024901 -> 10.024901) dis 0.9768
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2007-02-23 amt 512.74 (10.031824 -> 10.031824) dis 0.9611
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2007-08-23 amt 504.38 (10.031820 -> 10.031820) dis 0.9460
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2008-02-25 amt 518.61 (10.037659 -> 10.037659) dis 0.9280
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2008-08-26 amt 510.25 (10.037677 -> 10.037677) dis 0.9105
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2009-02-23 amt 504.90 (10.042123 -> 10.042123) dis 0.8916
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2009-08-24 amt 507.69 (10.042125 -> 10.042125) dis 0.8730
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2010-02-23 amt 510.63 (10.045196 -> 10.045196) dis 0.8534
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2010-08-23 amt 505.05 (10.045191 -> 10.045191) dis 0.8345
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2011-02-23 amt 513.55 (10.047620 -> 10.047620) dis 0.8146
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2011-08-23 amt 505.17 (10.047611 -> 10.047611) dis 0.7956
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2012-02-23 amt 513.66 (10.049951 -> 10.049951) dis 0.7758
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2012-08-23 amt 508.08 (10.049945 -> 10.049945) dis 0.7567
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2013-02-25 amt 519.30 (10.051028 -> 10.051028) dis 0.7372
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2013-08-23 amt 499.76 (10.051003 -> 10.051003) dis 0.7190
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2014-02-24 amt 516.57 (10.052175 -> 10.052175) dis 0.7002
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2014-08-26 amt 510.99 (10.052171 -> 10.052171) dis 0.6821
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2015-02-23 amt 505.43 (10.052723 -> 10.052723) dis 0.6645
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float date 2015-08-24 amt 508.22 (10.052727 -> 10.052727) dis 0.6473
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float ccy EUR npv 8385.90 (ignoring formula and cap/floor)
[050820:144103] [ 16] [61-Engine::priceFloatLeg] leg rec_float ccy EUR npv 8385.90 (using adjusted flows)
[050820:144103] [ 16] [61-Engine::price(Leg&)] leg rec_float ccy EUR npv 8385.90
[050820:144103] [ 16] [62-main] nvar = 2
[050820:144103] [ 16] [62-main] npop = 2
[050820:144103] [ 16] [62-main] all done
