Because of the issue
SONARPLUGINS-943, I created a parent "POM" with sub-modules (http://docs.codehaus.org/display/MAVENUSER/Multi-modules+projects)
You can see my folder layout on this url: https://bitbucket.org/grozeille/math-php-test/src
I found the problem: pdepend is not able to create the XML file because the "logs" folder doesn't exist.
Please create the folder before executing the tool.