Bond Risk Metrics Implementation

High-performance fixed income risk analytics targeting Bloomberg YAS parity. All calculations use dirty price basis and 1bp symmetric shifts unless otherwise noted.

Core Calculation Workflow

1. Determine bond type → Select appropriate duration method
2. Build/obtain yield curve → Required for spread and KRD calculations
3. Calculate base metrics → Duration, DV01, convexity
4. Calculate spread metrics → If credit bond: OAS, Z-spread, CS01
5. Calculate KRD → If curve risk decomposition needed
6. Validate → Sum of KRDs ≈ Total duration (within convexity tolerance)

Duration Metrics

DV01 and Modified Duration

Use central finite difference with 1bp shift: