FA-60898 / Bond day-count conventions / Member archive

ICMA regular-period accrued with ex-coupon: a settlement exactly exdays before the coupon is not ex-coupon · case 03

Trades settling on the first ex-coupon day receive positive accrued interest.

Member previewVariant 3 · 3 implementations · 8 checks per implementation

Case contract

Inputs prev, nxt, settle ([y,m,d]), annual rate, frequency and ex-coupon days. Settlement outside [prev, nxt] returns "settlement outside period"; settlement on nxt returns 0.0. If the settlement is within ex-coupon days of nxt (days to nxt <= exdays), accrued is negative: -coupon*days(settle,nxt)/days(prev,nxt). Otherwise accrued = coupon*days(prev,settle)/days(prev,nxt). coupon=100*rate/freq; round the final value to 6 decimals.

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 ex-coupon window boundary 1	`2.403846`	`-0.096154`	Failed

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