public static ResultStore GetRiskMeasures(this BesaJseBond bond, Date settleDate, double ytm)
{
var riskmeasures = new ResultStore();
riskmeasures.Add(Keys.Delta, bond.Delta(settleDate, ytm));
riskmeasures.Add(Keys.RandsPerPoint, bond.RandsPerPoint(settleDate, ytm));
riskmeasures.Add(Keys.Duration, bond.Duration(settleDate, ytm));
riskmeasures.Add(Keys.ModifiedDuration, bond.ModefiedDuration(settleDate, ytm));
riskmeasures.Add(Keys.Convexity, bond.Convexity(settleDate, ytm));
return(riskmeasures);
}
/// <summary>
///
/// </summary>
/// <param name="bond"></param>
/// <param name="settleDate"></param>
/// <param name="ytm"></param>
/// <returns>modified duration of the bond</returns>
public static double ModefiedDuration(this BesaJseBond bond, Date settleDate, double ytm)
{
var dA_dy = bond.RandsPerPoint(settleDate, ytm);
return(-dA_dy / bond.UnroundedAIP(settleDate, ytm));
}