Corrected notebook

Author: AiglonDore

Tutorial.ipynb

@@ -96,7 +96,7 @@
     "N = 10**3\n",
     "T = 1\n",
     "\n",
-    "XVAS: Dict[str, float] = {\"DVA\": 0.5}\n",
+    "XVAS: Dict[str, float] = {\"CVA\": 1.4}\n",
     "\n",
     "if not XVAS:\n",
     "    raise ValueError(\"Please set the XVA parameters\")\n",

src/nmc.cpp

@@ -181,22 +181,22 @@ void NMC::run(XVA xva, double factor, const std::map<ExternalPaths, std::vector<
     case FVA:
         for (size_t i = 0; i < nb_points; i++)
         {
-            final_path[i] = std::max(EPE[i] - DPE[i], 0.0) * funding_cost * exp(-0.03 * i * T / nb_points);
+            final_path[i] = std::max(EPE[i] - DPE[i], 0.0) * funding_cost * std::exp(-0.03 * i * T / nb_points);
         }
 
         break;
 
     case MVA:
         for (size_t i = 0; i < nb_points; i++)
         {
-            final_path[i] = EPE[i] * funding_cost * exp(-0.03 * i * T / nb_points);
+            final_path[i] = EPE[i] * funding_cost * std::exp(-0.03 * i * T / nb_points);
         }
         break;
 
     case KVA:
         for (size_t i = 0; i < nb_points; i++)
         {
-            final_path[i] = EPE[i] * capital_cost * exp(-0.03 * i * T / nb_points);
+            final_path[i] = EPE[i] * capital_cost * std::exp(-0.03 * i * T / nb_points);
         }
         break;