FA-60842 / Bond day-count conventions / Member archive

30/360 US bond basis: end day 31 is clamped regardless of the start day · case 02

Periods ending on the 31st lose a day even when the start day is early in the month.

Member previewVariant 2 · 3 implementations · 8 checks per implementation

Case contract

Inputs are two [year, month, day] dates. Apply, in order: if both dates are the last day of February, D2 becomes 30; if D1 is the last day of February, D1 becomes 30; if D2 is 31 and (adjusted) D1 is 30 or 31, D2 becomes 30; if D1 is 31, D1 becomes 30. Return 360*(Y2-Y1)+30*(M2-M1)+(D2-D1) as an integer day count.

Why this case matters

Bond accrual and pricing systems depend on exact day-count arithmetic; a single-day error changes settlement cash.

One recorded failure

Sample boundary fixture

This sample comes from the broken implementation of a controlled reproducer.

Boundary fixture	Actual	Expected	Outcome
regression d2 thirty-one condition 1	`361`	`362`	Failed

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