FA-60937 / Bond day-count conventions / Member archive

Act/365L denominator selection: a period starting on 29 February uses a 366-day year · case 02

Annual periods beginning on a leap day and periods ending on one are classified the wrong way round.

Member previewVariant 2 · 3 implementations · 8 checks per implementation

Case contract

Inputs start, end ([y,m,d]) and coupon frequency. Days are actual days. For annual frequency the denominator is 366 if any 29 February lies in (start, end], else 365. For other frequencies the denominator is 366 if the end date year is a leap year, else 365. Return days/denominator rounded to 9 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 february 29 interval ends 1	`2.991803279`	`3.0`	Failed

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