//Calculation of the collateral inclusive BVA at the termainal of each simulated path of montle carlo simulation
Real BVA_calculator::Coll_incl_BVA_cal(pair<Real,Real> forward_pv,char CVA_DVA_ind, Real own_LGD, Real cpt_LGD)
{
Real CVADVA = 0;
Real forw = forward_pv.first;
Real col_v = forward_pv.second;
//For the equations below, please refer to chapter 13 of Brigo's book on page 314 with the assumption that the exposure is measure in mid-market
if(CVA_DVA_ind == 'c') //Collateral inclusive CVA
CVADVA = cpt_LGD*(maximun((maximun(forw,0)-maximun(col_v,0)),0))+cpty_collateral_LGD*(maximun(minimun(forw,0)-minimun(col_v,0),0));
if(CVA_DVA_ind == 'd')//Collateral inclusive DVA
CVADVA = own_LGD*(minimun((minimun(forw,0)-minimun(col_v,0)),0))+own_collateral_LGD*(minimun(maximun(forw,0)-maximun(col_v,0),0));
return CVADVA;
}
int main()
{
int num1, num2, num3;
printf("enter three integers:");
scanf("%d%d%d", &num1, &num2, &num3);
printf("maximun is :%d\n", maximun(num1, num2, num3));
return 0;
}
void delete_node(int input){//delete node
Node* ser = find(input);// get the position of the node which will be deleted
Node* temp = NULL;
Node* y = NULL;
if(ser->left == NULL && ser->right == NULL){//The situation of have not any child
if(ser->parent->left == ser){//make its parent's left or right been NULL, and delete the node
temp = ser->parent->left;
ser->parent->left = NULL;
free(temp);
return;
}
else{
temp = ser->parent->right;
ser->parent->right = NULL;
free(temp);
return;
}
}
if(ser->left == NULL && ser->right != NULL)//Has right tree or node situation
{
if(ser->parent->left == ser){//make its parent's left or right pointer point to its right child
temp = ser->parent->left;
ser->parent->left = ser->right;
free(temp);
return;
}
else{
temp = ser->parent->right;
ser->parent->right = ser->right;
free(temp);
return;
}
}
if(ser->left != NULL && ser->right == NULL)//Has left tree or node situation
{
if(ser->parent->left == ser){//make its parent's left or right pointer point to its left child
temp = ser->parent->left;
ser->parent->left = ser->left;
free(temp);
return;
}
else{
temp = ser->parent->right;
ser->parent->right = ser->left;
free(temp);
return;
}
}
if(ser->left != NULL && ser->right != NULL){//Has both left and right child situation
y = maximun(ser);//get the right tree's largest node
ser->key = y->key;
temp = y;
y->parent->right = NULL;
free(temp);
return;
}
}
//to calculate the BVA for the forward with the data of the counterparty and our own
vector<map<string,Real>> BVA_calculator::BVA_cal(Date maturity, char collateral_indicator, Real inv_col_LGD, Real cpty_col_LGD)
{
Real CVA = 0.0;
Real DVA = 0.0;
set_inv_coll_LGD(inv_col_LGD); //reset the investor's collateral LGD level
set_cpty_coll_LGD(cpty_col_LGD); //reset the counterparty's collateral LGD level
//initial the class for generating the default time of counterparty and our own based on the data in the class "HazardRateCalibrate"
DefaultTimeGenerator oInvestorDefaultTime(myself->get_valueday(), myself->get_hazard_dates(), myself->oHazardRates);
DefaultTimeGenerator oCounterptyDefaultTime(cpty->get_valueday(), cpty->get_hazard_dates(), cpty->oHazardRates);
//get the Loss given default data for both counterparties
Real Investor_LGD = 1-myself->recovery_rate;
Real counterparty_LGD = 1-cpty->recovery_rate;
// start the for loop to calculate expected EAD
for (int iPath = 0; iPath < no_of_Date_path; ++iPath)
{
//calculate a sample of default times for both counterparties
investorDefaultDate = oInvestorDefaultTime.GetDefaultTime();
counterptyDefaultDate = oCounterptyDefaultTime.GetDefaultTime();
//First to default check
// check if there's any default event before maturity
if (investorDefaultDate < maturity || counterptyDefaultDate < maturity)
{
//check if both counterparties default before the term of the forward
if (investorDefaultDate < maturity && counterptyDefaultDate < maturity)
{
if (investorDefaultDate < counterptyDefaultDate)
{ //if the collateral option is selected ("Y/y"),the montle carlo simulation will include the calculation of the collateral amount
if(collateral_indicator == 'Y' || collateral_indicator == 'y')
DVA = DVA - Coll_incl_BVA_cal(gen->MCgeneration_collateral(no_of_stock_path, investorDefaultDate, 0),'d',Investor_LGD,counterparty_LGD);
else
//if our own default happens first, calculate the DVA (without collateral)
DVA = DVA + (Investor_LGD*maximun(-(gen->MCgeneration(no_of_stock_path, investorDefaultDate, 0)),0));
}
else
{//if the collateral option is selected ("Y/y"),the montle carlo simulation will include the calculation of the collateral amount
if(collateral_indicator == 'Y' || collateral_indicator == 'y')
CVA = CVA + (Coll_incl_BVA_cal(gen->MCgeneration_collateral(no_of_stock_path, counterptyDefaultDate, 0),'c',Investor_LGD,counterparty_LGD));
else
//if counterparty default first, calculate the CVA (without collateral)
CVA = CVA + (counterparty_LGD*maximun(gen->MCgeneration(no_of_stock_path, counterptyDefaultDate, 0),0));
}
}
else
{//check if there is only one of the counterparty default before the maturity of the forward
if (investorDefaultDate < maturity)
{
if(collateral_indicator == 'Y' || collateral_indicator == 'y')
DVA = DVA - Coll_incl_BVA_cal(gen->MCgeneration_collateral(no_of_stock_path, investorDefaultDate, 0),'d',Investor_LGD,counterparty_LGD);
else
DVA = DVA + (Investor_LGD*maximun(-(gen->MCgeneration(no_of_stock_path, investorDefaultDate, 0)),0));
}
else
{
if(collateral_indicator == 'Y' || collateral_indicator == 'y')
CVA = CVA + (Coll_incl_BVA_cal(gen->MCgeneration_collateral(no_of_stock_path, counterptyDefaultDate, 0),'c',Investor_LGD,counterparty_LGD));
else
CVA = CVA + (counterparty_LGD*maximun(gen->MCgeneration(no_of_stock_path, counterptyDefaultDate, 0),0));
}
}
}
// if no default event in path i, then skip to next iterator
else
{
continue;
}
}
// Expected values for the sampled CVA and DVA
DVA = DVA/ no_of_Date_path;
CVA = CVA/ no_of_Date_path;
//save the CVA and DVA into the output vector
map<string,Real> dummy_var;
vector<map<string,Real>> BVA;
dummy_var.insert(pair<string,Real>("CVA",CVA));
BVA.push_back(dummy_var);
map<string,Real> dummy_var1;
dummy_var1.insert(pair<string,Real>("DVA",DVA));
BVA.push_back(dummy_var1);
return BVA;
}
