Exemplo n.º 1
0
        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);
        }