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>duration of the bond</returns>
public static double Duration(this BesaJseBond bond, Date settleDate, double ytm)
{
var v = 1 / (1 + ytm / 2);
return(bond.ModefiedDuration(settleDate, ytm) / v);
}