QLNet.InterestRate.compounding C# (CSharp) Метод

        public Compounding compounding()
        {
            return comp_;
        }

        public static double modifiedDuration(List <CashFlow> cashflows, InterestRate y, Date settlementDate)
        {
            if (cashflows.Count == 0)
            {
                return(0.0);
            }

            double     P    = 0.0;
            double     dPdy = 0.0;
            double     r    = y.rate();
            int        N    = (int)y.frequency();
            DayCounter dc   = y.dayCounter();

            foreach (CashFlow cf in cashflows.Where(cf => !cf.hasOccurred(settlementDate)))
            {
                double t = dc.yearFraction(settlementDate, cf.date());
                double c = cf.amount();
                double B = y.discountFactor(t);

                P += c * B;

                switch (y.compounding())
                {
                case Compounding.Simple:
                    dPdy -= c * B * B * t;
                    break;

                case Compounding.Compounded:
                    dPdy -= c * t * B / (1 + r / N);
                    break;

                case Compounding.Continuous:
                    dPdy -= c * B * t;
                    break;

                case Compounding.SimpleThenCompounded:
                    if (t <= 1.0 / N)
                    {
                        dPdy -= c * B * B * t;
                    }
                    else
                    {
                        dPdy -= c * t * B / (1 + r / N);
                    }
                    break;

                default:
                    throw new ArgumentException("unknown compounding convention (" + y.compounding() + ")");
                }
            }

            if (P == 0.0) // no cashflows
            {
                return(0.0);
            }

            return(-dPdy / P); // reverse derivative sign
        }