I have a MIDI cable that has IN and OUT interfaces.

I want to connect my piano (Yamaha P95) with the laptop (running Ubuntu), so I can record midi songs.
I connected the cable between piano and laptop like in the following scheme:
Yamaha P95
+-- OUT :: IN-----------\
+-- IN :: OUT-----------\------USB :: USB--+Laptop
No software can detect piano events.
What are the ways to debug the problem? Have I done something wrong?
Relevant output:
ionicabizau@laptop:~$ lsusb
Bus 002 Device 002: ID 8087:8000 Intel Corp.
Bus 002 Device 001: ID 1d6b:0002 Linux Foundation 2.0 root hub
Bus 001 Device 002: ID 8087:8008 Intel Corp.
Bus 001 Device 001: ID 1d6b:0002 Linux Foundation 2.0 root hub
Bus 004 Device 001: ID 1d6b:0003 Linux Foundation 3.0 root hub
Bus 003 Device 004: ID 0bda:0139 Realtek Semiconductor Corp. RTS5139 Card Reader Controller
Bus 003 Device 003: ID 04f2:b3fd Chicony Electronics Co., Ltd
Bus 003 Device 001: ID 1d6b:0002 Linux Foundation 2.0 root hub
ionicabizau@laptop:~$ modprobe snd-usb-audio
modprobe: ERROR: could not insert 'snd_usb_audio': Operation not permitted
ionicabizau@laptop:~$ sudo modprobe snd-usb-audio
[sudo] password for ionicabizau:
ionicabizau@laptop:~$ lsusb
Bus 002 Device 002: ID 8087:8000 Intel Corp.
Bus 002 Device 001: ID 1d6b:0002 Linux Foundation 2.0 root hub
Bus 001 Device 002: ID 8087:8008 Intel Corp.
Bus 001 Device 001: ID 1d6b:0002 Linux Foundation 2.0 root hub
Bus 004 Device 001: ID 1d6b:0003 Linux Foundation 3.0 root hub
Bus 003 Device 004: ID 0bda:0139 Realtek Semiconductor Corp. RTS5139 Card Reader Controller
Bus 003 Device 003: ID 04f2:b3fd Chicony Electronics Co., Ltd
Bus 003 Device 001: ID 1d6b:0002 Linux Foundation 2.0 root hub
ionicabizau@laptop:~$ arecordmidi -l
Port Client name Port name
14:0 Midi Through Midi Through Port-0