FA-60879 / Bond day-count conventions / Member archive

30E/360 ISDA with maturity exemption: February is always treated as 28 days long · case 04

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

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 february month length 1	`2521`	`2520`	Failed

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