FA-60947 / Bond day-count conventions / Member archive

Act/365L denominator selection: annual periods use the end year leap status · case 02

An annual period ending in March of a leap year from March of the prior year is priced on 365 days.

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 annual leap-day test 1	`3.002739726`	`2.994535519`	Failed

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