FA-60874 / Bond day-count conventions / Member archive

30E/360 ISDA with maturity exemption: the maturity exemption matches on day of month only · case 04

An interim February month-end that shares the maturity day number escapes promotion.

Member previewVariant 4 · 3 implementations · 8 checks per implementation

Case contract

Inputs: start, end and maturity dates as [y,m,d]. D1 becomes 30 if the start is the last day of its month. D2 becomes 30 if the end is the last day of its month, unless the end date equals the maturity date and falls in February. Return 360*(Y2-Y1)+30*(M2-M1)+(D2-D1).

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 maturity identity comparison 1	`41`	`43`	Failed

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