public void TestRiskMetrics()
{
var settleDate = new Date(2016, 3, 3);
var maturityDate = new Date(2030, 1, 31);
var notional = 1000000.0;
var annualCouponRate = 0.08;
var couponMonth1 = 1;
var couponDay1 = 31;
var couponMonth2 = 7;
var couponDay2 = 31;
var booksCloseDateDays = 10;
var zaCalendar = new Calendar("Test");
var bondR2030 = new BesaJseBond(maturityDate, notional, annualCouponRate, couponMonth1,
couponDay1, couponMonth2, couponDay2, booksCloseDateDays, zaCalendar, TestHelpers.ZAR);
var ytm = 0.097;
var results = bondR2030.GetRiskMeasures(settleDate, ytm);
Assert.AreEqual(-6.85006370, (double)results.GetScalar(BesaJseBondEx.Keys.Delta), 1e-8);
Assert.AreEqual(-685.00637043, (double)results.GetScalar(BesaJseBondEx.Keys.RandsPerPoint), 1e-8);
Assert.AreEqual(7.79691497, (double)results.GetScalar(BesaJseBondEx.Keys.ModifiedDuration), 1e-8);
Assert.AreEqual(8.17506535, (double)results.GetScalar(BesaJseBondEx.Keys.Duration), 1e-8);
Assert.AreEqual(87.10044101, (double)results.GetScalar(BesaJseBondEx.Keys.Convexity), 1e-8);
}