FAILURE MAP
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FA-60876 / Bond day-count conventions / Open access

30E/360 ISDA with maturity exemption: February is always treated as 28 days long · case 01

Accruals starting or ending on 29 February are not recognized as month end.

Verified by executionVariant 1 · 8 checks per implementationDownload source bundle ↓JSON ↗

ROOT CAUSE

The month-length helper hard-codes 28 days for February.

VERIFIED REPAIR

Return 29 for February in Gregorian leap years.

Unsuccessful approach: A plain divisible-by-four test misclassifies century years such as 2100.

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.

1 / The failure

Exit 1
"""Failure Map reference implementation. Python standard library only."""
import json

N = 1
observations = []
def solve(a, b, mat):
    y1, m1, d1 = a
    y2, m2, d2 = b
    def last(y, m):
        if m == 2:
            return 28
        return 30 if m in (4, 6, 9, 11) else 31
    if d1 == last(y1, m1):
        d1 = 30
    if d2 == last(y2, m2) and not (list(b) == list(mat) and m2 == 2):
        d2 = 30
    return 360 * (y2 - y1) + 30 * (m2 - m1) + (d2 - d1)
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression february month length 1', [[2060, 2, 29], [2062, 2, 27], [2063, 8, 25]], 717], ['regression february month length 2', [[2080, 2, 29], [2081, 2, 28], [2081, 2, 28]], 358], ['partial repair probe 1', [[2099, 8, 31], [2100, 2, 28], [2105, 3, 31]], 180], ['partial repair probe 2', [[2100, 2, 28], [2100, 5, 30], [2104, 2, 27]], 90], ['boundary control 1', [[2023, 2, 28], [2023, 8, 31], [2030, 5, 31]], 180], ['boundary control 2', [[2023, 9, 30], [2024, 3, 31], [2024, 3, 31]], 180], ['normal control 1', [[2024, 1, 15], [2024, 7, 15], [2029, 7, 15]], 180], ['normal control 2', [[2045, 6, 30], [2046, 2, 28], [2046, 2, 28]], 238]], [['regression february month length 1', [[2032, 2, 28], [2035, 12, 20], [2035, 12, 20]], 1372], ['regression february month length 2', [[2081, 9, 30], [2084, 2, 28], [2086, 2, 28]], 868], ['partial repair probe 1', [[2099, 8, 31], [2100, 2, 28], [2106, 9, 30]], 180], ['partial repair probe 2', [[2100, 2, 28], [2100, 8, 31], [2100, 11, 11]], 180], ['boundary control 1', [[2023, 9, 30], [2024, 3, 31], [2024, 3, 31]], 180], ['boundary control 2', [[2023, 8, 31], [2024, 2, 29], [2024, 2, 29]], 179], ['normal control 1', [[2067, 3, 31], [2070, 2, 28], [2070, 2, 28]], 1048], ['normal control 2', [[2049, 5, 31], [2057, 2, 28], [2057, 12, 1]], 2790]], [['regression february month length 1', [[2077, 2, 28], [2080, 2, 29], [2082, 4, 29]], 1080], ['regression february month length 2', [[2055, 1, 28], [2056, 2, 29], [2056, 5, 16]], 392], ['partial repair probe 1', [[2100, 2, 28], [2100, 12, 30], [2105, 2, 25]], 300], ['partial repair probe 2', [[2099, 8, 31], [2100, 2, 28], [2106, 11, 30]], 180], ['boundary control 1', [[2023, 9, 30], [2024, 3, 31], [2024, 3, 31]], 180], ['boundary control 2', [[2023, 2, 28], [2023, 8, 31], [2030, 5, 31]], 180], ['normal control 1', [[2066, 7, 31], [2069, 2, 28], [2069, 2, 28]], 928], ['normal control 2', [[2095, 12, 31], [2098, 2, 28], [2098, 2, 28]], 778]], [['regression february month length 1', [[2088, 2, 29], [2095, 2, 28], [2095, 12, 27]], 2520], ['regression february month length 2', [[2036, 2, 29], [2039, 8, 31], [2044, 8, 31]], 1260], ['partial repair probe 1', [[2099, 8, 31], [2100, 2, 28], [2103, 1, 31]], 180], ['partial repair probe 2', [[2099, 8, 31], [2100, 2, 28], [2103, 8, 31]], 180], ['boundary control 1', [[2024, 1, 15], [2024, 7, 15], [2029, 7, 15]], 180], ['boundary control 2', [[2023, 8, 31], [2024, 2, 29], [2024, 2, 29]], 179], ['normal control 1', [[2041, 2, 28], [2043, 1, 31], [2043, 1, 31]], 690], ['normal control 2', [[2016, 4, 30], [2018, 7, 31], [2022, 1, 31]], 810]], [['regression february month length 1', [[2023, 8, 31], [2024, 2, 29], [2026, 2, 28]], 180], ['regression february month length 2', [[2079, 5, 3], [2080, 2, 28], [2081, 11, 20]], 295], ['partial repair probe 1', [[2099, 8, 31], [2100, 2, 28], [2104, 5, 12]], 180], ['partial repair probe 2', [[2099, 8, 31], [2100, 2, 28], [2100, 11, 30]], 180], ['boundary control 1', [[2023, 8, 31], [2024, 2, 29], [2024, 2, 29]], 179], ['boundary control 2', [[2023, 2, 28], [2023, 8, 31], [2030, 5, 31]], 180], ['normal control 1', [[2002, 8, 31], [2005, 2, 28], [2005, 2, 28]], 898], ['normal control 2', [[2045, 5, 31], [2049, 2, 28], [2049, 9, 9]], 1350]]]
for label, args, expected in fixtures[N-1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)
Boundary fixtureActualExpectedOutcome
regression february month length 1718717Failed
regression february month length 2359358Failed
partial repair probe 1180180Passed
partial repair probe 29090Passed
boundary control 1180180Passed
boundary control 2180180Passed
normal control 1180180Passed
normal control 2238238Passed

SHA-256 / ecd97e4aded1a014bd40408a9cc72071b0ab4e5717dda4f0904468a4cae82514

2 / The unsuccessful fix

Exit 1
"""Failure Map reference implementation. Python standard library only."""
import json

N = 1
observations = []
def solve(a, b, mat):
    y1, m1, d1 = a
    y2, m2, d2 = b
    def last(y, m):
        if m == 2:
            return 29 if y % 4 == 0 else 28
        return 30 if m in (4, 6, 9, 11) else 31
    if d1 == last(y1, m1):
        d1 = 30
    if d2 == last(y2, m2) and not (list(b) == list(mat) and m2 == 2):
        d2 = 30
    return 360 * (y2 - y1) + 30 * (m2 - m1) + (d2 - d1)
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression february month length 1', [[2060, 2, 29], [2062, 2, 27], [2063, 8, 25]], 717], ['regression february month length 2', [[2080, 2, 29], [2081, 2, 28], [2081, 2, 28]], 358], ['partial repair probe 1', [[2099, 8, 31], [2100, 2, 28], [2105, 3, 31]], 180], ['partial repair probe 2', [[2100, 2, 28], [2100, 5, 30], [2104, 2, 27]], 90], ['boundary control 1', [[2023, 2, 28], [2023, 8, 31], [2030, 5, 31]], 180], ['boundary control 2', [[2023, 9, 30], [2024, 3, 31], [2024, 3, 31]], 180], ['normal control 1', [[2024, 1, 15], [2024, 7, 15], [2029, 7, 15]], 180], ['normal control 2', [[2045, 6, 30], [2046, 2, 28], [2046, 2, 28]], 238]], [['regression february month length 1', [[2032, 2, 28], [2035, 12, 20], [2035, 12, 20]], 1372], ['regression february month length 2', [[2081, 9, 30], [2084, 2, 28], [2086, 2, 28]], 868], ['partial repair probe 1', [[2099, 8, 31], [2100, 2, 28], [2106, 9, 30]], 180], ['partial repair probe 2', [[2100, 2, 28], [2100, 8, 31], [2100, 11, 11]], 180], ['boundary control 1', [[2023, 9, 30], [2024, 3, 31], [2024, 3, 31]], 180], ['boundary control 2', [[2023, 8, 31], [2024, 2, 29], [2024, 2, 29]], 179], ['normal control 1', [[2067, 3, 31], [2070, 2, 28], [2070, 2, 28]], 1048], ['normal control 2', [[2049, 5, 31], [2057, 2, 28], [2057, 12, 1]], 2790]], [['regression february month length 1', [[2077, 2, 28], [2080, 2, 29], [2082, 4, 29]], 1080], ['regression february month length 2', [[2055, 1, 28], [2056, 2, 29], [2056, 5, 16]], 392], ['partial repair probe 1', [[2100, 2, 28], [2100, 12, 30], [2105, 2, 25]], 300], ['partial repair probe 2', [[2099, 8, 31], [2100, 2, 28], [2106, 11, 30]], 180], ['boundary control 1', [[2023, 9, 30], [2024, 3, 31], [2024, 3, 31]], 180], ['boundary control 2', [[2023, 2, 28], [2023, 8, 31], [2030, 5, 31]], 180], ['normal control 1', [[2066, 7, 31], [2069, 2, 28], [2069, 2, 28]], 928], ['normal control 2', [[2095, 12, 31], [2098, 2, 28], [2098, 2, 28]], 778]], [['regression february month length 1', [[2088, 2, 29], [2095, 2, 28], [2095, 12, 27]], 2520], ['regression february month length 2', [[2036, 2, 29], [2039, 8, 31], [2044, 8, 31]], 1260], ['partial repair probe 1', [[2099, 8, 31], [2100, 2, 28], [2103, 1, 31]], 180], ['partial repair probe 2', [[2099, 8, 31], [2100, 2, 28], [2103, 8, 31]], 180], ['boundary control 1', [[2024, 1, 15], [2024, 7, 15], [2029, 7, 15]], 180], ['boundary control 2', [[2023, 8, 31], [2024, 2, 29], [2024, 2, 29]], 179], ['normal control 1', [[2041, 2, 28], [2043, 1, 31], [2043, 1, 31]], 690], ['normal control 2', [[2016, 4, 30], [2018, 7, 31], [2022, 1, 31]], 810]], [['regression february month length 1', [[2023, 8, 31], [2024, 2, 29], [2026, 2, 28]], 180], ['regression february month length 2', [[2079, 5, 3], [2080, 2, 28], [2081, 11, 20]], 295], ['partial repair probe 1', [[2099, 8, 31], [2100, 2, 28], [2104, 5, 12]], 180], ['partial repair probe 2', [[2099, 8, 31], [2100, 2, 28], [2100, 11, 30]], 180], ['boundary control 1', [[2023, 8, 31], [2024, 2, 29], [2024, 2, 29]], 179], ['boundary control 2', [[2023, 2, 28], [2023, 8, 31], [2030, 5, 31]], 180], ['normal control 1', [[2002, 8, 31], [2005, 2, 28], [2005, 2, 28]], 898], ['normal control 2', [[2045, 5, 31], [2049, 2, 28], [2049, 9, 9]], 1350]]]
for label, args, expected in fixtures[N-1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)
Boundary fixtureActualExpectedOutcome
regression february month length 1717717Passed
regression february month length 2358358Passed
partial repair probe 1178180Failed
partial repair probe 29290Failed
boundary control 1180180Passed
boundary control 2180180Passed
normal control 1180180Passed
normal control 2238238Passed

SHA-256 / 8e29f38b0e21c5e6d3a3385d5e33c32988b18c94914088bf1e166731ea4475fd

3 / The verified repair

Exit 0
"""Failure Map reference implementation. Python standard library only."""
import json

N = 1
observations = []
def solve(a, b, mat):
    y1, m1, d1 = a
    y2, m2, d2 = b
    def last(y, m):
        if m == 2:
            return 29 if (y % 4 == 0 and y % 100 != 0) or y % 400 == 0 else 28
        return 30 if m in (4, 6, 9, 11) else 31
    if d1 == last(y1, m1):
        d1 = 30
    if d2 == last(y2, m2) and not (list(b) == list(mat) and m2 == 2):
        d2 = 30
    return 360 * (y2 - y1) + 30 * (m2 - m1) + (d2 - d1)
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression february month length 1', [[2060, 2, 29], [2062, 2, 27], [2063, 8, 25]], 717], ['regression february month length 2', [[2080, 2, 29], [2081, 2, 28], [2081, 2, 28]], 358], ['partial repair probe 1', [[2099, 8, 31], [2100, 2, 28], [2105, 3, 31]], 180], ['partial repair probe 2', [[2100, 2, 28], [2100, 5, 30], [2104, 2, 27]], 90], ['boundary control 1', [[2023, 2, 28], [2023, 8, 31], [2030, 5, 31]], 180], ['boundary control 2', [[2023, 9, 30], [2024, 3, 31], [2024, 3, 31]], 180], ['normal control 1', [[2024, 1, 15], [2024, 7, 15], [2029, 7, 15]], 180], ['normal control 2', [[2045, 6, 30], [2046, 2, 28], [2046, 2, 28]], 238]], [['regression february month length 1', [[2032, 2, 28], [2035, 12, 20], [2035, 12, 20]], 1372], ['regression february month length 2', [[2081, 9, 30], [2084, 2, 28], [2086, 2, 28]], 868], ['partial repair probe 1', [[2099, 8, 31], [2100, 2, 28], [2106, 9, 30]], 180], ['partial repair probe 2', [[2100, 2, 28], [2100, 8, 31], [2100, 11, 11]], 180], ['boundary control 1', [[2023, 9, 30], [2024, 3, 31], [2024, 3, 31]], 180], ['boundary control 2', [[2023, 8, 31], [2024, 2, 29], [2024, 2, 29]], 179], ['normal control 1', [[2067, 3, 31], [2070, 2, 28], [2070, 2, 28]], 1048], ['normal control 2', [[2049, 5, 31], [2057, 2, 28], [2057, 12, 1]], 2790]], [['regression february month length 1', [[2077, 2, 28], [2080, 2, 29], [2082, 4, 29]], 1080], ['regression february month length 2', [[2055, 1, 28], [2056, 2, 29], [2056, 5, 16]], 392], ['partial repair probe 1', [[2100, 2, 28], [2100, 12, 30], [2105, 2, 25]], 300], ['partial repair probe 2', [[2099, 8, 31], [2100, 2, 28], [2106, 11, 30]], 180], ['boundary control 1', [[2023, 9, 30], [2024, 3, 31], [2024, 3, 31]], 180], ['boundary control 2', [[2023, 2, 28], [2023, 8, 31], [2030, 5, 31]], 180], ['normal control 1', [[2066, 7, 31], [2069, 2, 28], [2069, 2, 28]], 928], ['normal control 2', [[2095, 12, 31], [2098, 2, 28], [2098, 2, 28]], 778]], [['regression february month length 1', [[2088, 2, 29], [2095, 2, 28], [2095, 12, 27]], 2520], ['regression february month length 2', [[2036, 2, 29], [2039, 8, 31], [2044, 8, 31]], 1260], ['partial repair probe 1', [[2099, 8, 31], [2100, 2, 28], [2103, 1, 31]], 180], ['partial repair probe 2', [[2099, 8, 31], [2100, 2, 28], [2103, 8, 31]], 180], ['boundary control 1', [[2024, 1, 15], [2024, 7, 15], [2029, 7, 15]], 180], ['boundary control 2', [[2023, 8, 31], [2024, 2, 29], [2024, 2, 29]], 179], ['normal control 1', [[2041, 2, 28], [2043, 1, 31], [2043, 1, 31]], 690], ['normal control 2', [[2016, 4, 30], [2018, 7, 31], [2022, 1, 31]], 810]], [['regression february month length 1', [[2023, 8, 31], [2024, 2, 29], [2026, 2, 28]], 180], ['regression february month length 2', [[2079, 5, 3], [2080, 2, 28], [2081, 11, 20]], 295], ['partial repair probe 1', [[2099, 8, 31], [2100, 2, 28], [2104, 5, 12]], 180], ['partial repair probe 2', [[2099, 8, 31], [2100, 2, 28], [2100, 11, 30]], 180], ['boundary control 1', [[2023, 8, 31], [2024, 2, 29], [2024, 2, 29]], 179], ['boundary control 2', [[2023, 2, 28], [2023, 8, 31], [2030, 5, 31]], 180], ['normal control 1', [[2002, 8, 31], [2005, 2, 28], [2005, 2, 28]], 898], ['normal control 2', [[2045, 5, 31], [2049, 2, 28], [2049, 9, 9]], 1350]]]
for label, args, expected in fixtures[N-1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)
Boundary fixtureActualExpectedOutcome
regression february month length 1717717Passed
regression february month length 2358358Passed
partial repair probe 1180180Passed
partial repair probe 29090Passed
boundary control 1180180Passed
boundary control 2180180Passed
normal control 1180180Passed
normal control 2238238Passed

SHA-256 / c18f15f521343ddaa7235e39cef66de64e90d909004ad0c50e277f21b09e914e

Verification & scope

A deterministic toy contract stated explicitly in the contract field; no claim of conformance to any published convention text. This reproducer isolates one failure mechanism. Results cover the supplied fixtures. Variants within a family share a test contract and should remain grouped when constructing evaluation splits. Related mechanisms with a shared evaluation_group must also remain together; these controlled models are not independent production incidents.

Observations recorded using Python 3.12.14 at 2026-09-29T14:46:49.738626+00:00.

Case digest / 5bee623c85bfb8f36ec2ab33d9fe74e2fe2e6286d7f7ae66036b78b2e9185f51