FA-60981 / Bond day-count conventions / Open access

Business day adjustment conventions: Saturdays are treated as business days · case 01

Payments scheduled on a Saturday are made on the Saturday.

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

ROOT CAUSE

The weekend predicate checks weekday() > 5, which only matches Sunday.

THE FAILURE

The weekend predicate checks weekday() > 5, which only matches Sunday.

Unsuccessful approach: Checking only for Saturday then lets Sunday payments through.

Case contract

Inputs a date [y,m,d], a convention code and a list of holiday dates. Saturdays, Sundays and holidays are non-business days. F rolls forward, P rolls back, MF rolls forward unless that changes the month in which case it rolls back, MP rolls back unless that changes the month in which case it rolls forward, U leaves the date unadjusted; other codes return "unknown convention". Return the adjusted [y,m,d].

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
import datetime
from fractions import Fraction
N = 1
observations = []
def solve(d, conv, holidays):
    D = datetime.date(*d)
    H = {datetime.date(*h) for h in holidays}
    def bad(x):
        return x.weekday() > 5 or x in H
    def roll(x, step):
        while bad(x):
            x += datetime.timedelta(days=step)
        return x
    if conv == 'F':
        r = roll(D, 1)
    elif conv == 'MF':
        r = roll(D, 1)
        if r.month != D.month:
            r = roll(D, -1)
    elif conv == 'P':
        r = roll(D, -1)
    elif conv == 'MP':
        r = roll(D, -1)
        if r.month != D.month:
            r = roll(D, 1)
    elif conv == 'U':
        r = D
    else:
        return 'unknown convention'
    return [r.year, r.month, r.day]
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression weekend test 1', [[2023, 12, 30], 'MF', []], [2023, 12, 29]], ['regression weekend test 2', [[2024, 3, 30], 'MF', []], [2024, 3, 29]], ['partial repair probe 1', [[2026, 5, 31], 'F', [[2026, 6, 1]]], [2026, 6, 2]], ['partial repair probe 2', [[2029, 9, 1], 'MF', [[2029, 9, 3], [2029, 9, 1]]], [2029, 9, 4]], ['boundary control 1', [[2024, 5, 15], 'F', [[2024, 5, 15]]], [2024, 5, 16]], ['boundary control 2', [[2024, 5, 15], 'X', []], 'unknown convention'], ['normal control 1', [[2024, 12, 31], 'F', []], [2024, 12, 31]], ['normal control 2', [[2028, 4, 30], 'U', []], [2028, 4, 30]]], [['regression weekend test 1', [[2023, 7, 1], 'MF', [[2023, 7, 3]]], [2023, 7, 4]], ['regression weekend test 2', [[2022, 7, 30], 'P', [[2022, 8, 3], [2022, 7, 29]]], [2022, 7, 28]], ['partial repair probe 1', [[2024, 3, 30], 'MF', [[2024, 3, 27], [2024, 3, 30]]], [2024, 3, 29]], ['partial repair probe 2', [[2024, 12, 29], 'MF', [[2024, 12, 31]]], [2024, 12, 30]], ['boundary control 1', [[2024, 5, 15], 'F', [[2024, 5, 15]]], [2024, 5, 16]], ['boundary control 2', [[2024, 5, 15], 'X', []], 'unknown convention'], ['normal control 1', [[2024, 10, 23], 'MP', [[2024, 10, 23], [2024, 10, 22], [2024, 10, 22]]], [2024, 10, 21]], ['normal control 2', [[2025, 2, 4], 'P', [[2025, 2, 2], [2025, 2, 1], [2025, 2, 2]]], [2025, 2, 4]]], [['regression weekend test 1', [[2020, 2, 1], 'MF', [[2020, 2, 3]]], [2020, 2, 4]], ['regression weekend test 2', [[2029, 6, 30], 'P', []], [2029, 6, 29]], ['partial repair probe 1', [[2022, 1, 2], 'MF', []], [2022, 1, 3]], ['partial repair probe 2', [[2028, 1, 30], 'MF', []], [2028, 1, 31]], ['boundary control 1', [[2024, 5, 15], 'F', [[2024, 5, 15]]], [2024, 5, 16]], ['boundary control 2', [[2024, 5, 15], 'X', []], 'unknown convention'], ['normal control 1', [[2027, 12, 1], 'U', []], [2027, 12, 1]], ['normal control 2', [[2023, 1, 19], 'MF', [[2023, 1, 22], [2023, 1, 21], [2023, 1, 16]]], [2023, 1, 19]]], [['regression weekend test 1', [[2021, 5, 31], 'P', [[2021, 5, 31], [2021, 6, 4], [2021, 6, 1]]], [2021, 5, 28]], ['regression weekend test 2', [[2028, 12, 31], 'MF', []], [2028, 12, 29]], ['partial repair probe 1', [[2026, 11, 22], 'F', [[2026, 11, 25]]], [2026, 11, 23]], ['partial repair probe 2', [[2029, 12, 30], 'MF', []], [2029, 12, 31]], ['boundary control 1', [[2024, 5, 15], 'F', [[2024, 5, 15]]], [2024, 5, 16]], ['boundary control 2', [[2024, 5, 15], 'X', []], 'unknown convention'], ['normal control 1', [[2029, 10, 31], 'MP', []], [2029, 10, 31]], ['normal control 2', [[2024, 1, 3], 'MF', []], [2024, 1, 3]]], [['regression weekend test 1', [[2028, 7, 8], 'MF', [[2028, 7, 11]]], [2028, 7, 10]], ['regression weekend test 2', [[2020, 8, 9], 'MP', [[2020, 8, 9]]], [2020, 8, 7]], ['partial repair probe 1', [[2024, 12, 29], 'MF', [[2024, 12, 31]]], [2024, 12, 30]], ['partial repair probe 2', [[2028, 4, 30], 'F', [[2028, 4, 28]]], [2028, 5, 1]], ['boundary control 1', [[2024, 5, 15], 'X', []], 'unknown convention'], ['boundary control 2', [[2024, 5, 15], 'F', [[2024, 5, 15]]], [2024, 5, 16]], ['normal control 1', [[2030, 4, 30], 'MP', [[2030, 4, 28]]], [2030, 4, 30]], ['normal control 2', [[2020, 1, 2], 'U', []], [2020, 1, 2]]]]
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 fixture	Actual	Expected	Outcome
regression weekend test 1	`[2023, 12, 30]`	`[2023, 12, 29]`	Failed
regression weekend test 2	`[2024, 3, 30]`	`[2024, 3, 29]`	Failed
partial repair probe 1	`[2026, 6, 2]`	`[2026, 6, 2]`	Passed
partial repair probe 2	`[2029, 9, 4]`	`[2029, 9, 4]`	Passed
boundary control 1	`[2024, 5, 16]`	`[2024, 5, 16]`	Passed
boundary control 2	`unknown convention`	`unknown convention`	Passed
normal control 1	`[2024, 12, 31]`	`[2024, 12, 31]`	Passed
normal control 2	`[2028, 4, 30]`	`[2028, 4, 30]`	Passed

SHA-256 / 6660b6e17aa2156d305e21ac87489f2d96ebf17901d7b15eea94e3dd001bcf45

2 / The unsuccessful fix

Exit 1

"""Failure Map reference implementation. Python standard library only."""
import json
import datetime
from fractions import Fraction
N = 1
observations = []
def solve(d, conv, holidays):
    D = datetime.date(*d)
    H = {datetime.date(*h) for h in holidays}
    def bad(x):
        return x.weekday() == 5 or x in H
    def roll(x, step):
        while bad(x):
            x += datetime.timedelta(days=step)
        return x
    if conv == 'F':
        r = roll(D, 1)
    elif conv == 'MF':
        r = roll(D, 1)
        if r.month != D.month:
            r = roll(D, -1)
    elif conv == 'P':
        r = roll(D, -1)
    elif conv == 'MP':
        r = roll(D, -1)
        if r.month != D.month:
            r = roll(D, 1)
    elif conv == 'U':
        r = D
    else:
        return 'unknown convention'
    return [r.year, r.month, r.day]
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression weekend test 1', [[2023, 12, 30], 'MF', []], [2023, 12, 29]], ['regression weekend test 2', [[2024, 3, 30], 'MF', []], [2024, 3, 29]], ['partial repair probe 1', [[2026, 5, 31], 'F', [[2026, 6, 1]]], [2026, 6, 2]], ['partial repair probe 2', [[2029, 9, 1], 'MF', [[2029, 9, 3], [2029, 9, 1]]], [2029, 9, 4]], ['boundary control 1', [[2024, 5, 15], 'F', [[2024, 5, 15]]], [2024, 5, 16]], ['boundary control 2', [[2024, 5, 15], 'X', []], 'unknown convention'], ['normal control 1', [[2024, 12, 31], 'F', []], [2024, 12, 31]], ['normal control 2', [[2028, 4, 30], 'U', []], [2028, 4, 30]]], [['regression weekend test 1', [[2023, 7, 1], 'MF', [[2023, 7, 3]]], [2023, 7, 4]], ['regression weekend test 2', [[2022, 7, 30], 'P', [[2022, 8, 3], [2022, 7, 29]]], [2022, 7, 28]], ['partial repair probe 1', [[2024, 3, 30], 'MF', [[2024, 3, 27], [2024, 3, 30]]], [2024, 3, 29]], ['partial repair probe 2', [[2024, 12, 29], 'MF', [[2024, 12, 31]]], [2024, 12, 30]], ['boundary control 1', [[2024, 5, 15], 'F', [[2024, 5, 15]]], [2024, 5, 16]], ['boundary control 2', [[2024, 5, 15], 'X', []], 'unknown convention'], ['normal control 1', [[2024, 10, 23], 'MP', [[2024, 10, 23], [2024, 10, 22], [2024, 10, 22]]], [2024, 10, 21]], ['normal control 2', [[2025, 2, 4], 'P', [[2025, 2, 2], [2025, 2, 1], [2025, 2, 2]]], [2025, 2, 4]]], [['regression weekend test 1', [[2020, 2, 1], 'MF', [[2020, 2, 3]]], [2020, 2, 4]], ['regression weekend test 2', [[2029, 6, 30], 'P', []], [2029, 6, 29]], ['partial repair probe 1', [[2022, 1, 2], 'MF', []], [2022, 1, 3]], ['partial repair probe 2', [[2028, 1, 30], 'MF', []], [2028, 1, 31]], ['boundary control 1', [[2024, 5, 15], 'F', [[2024, 5, 15]]], [2024, 5, 16]], ['boundary control 2', [[2024, 5, 15], 'X', []], 'unknown convention'], ['normal control 1', [[2027, 12, 1], 'U', []], [2027, 12, 1]], ['normal control 2', [[2023, 1, 19], 'MF', [[2023, 1, 22], [2023, 1, 21], [2023, 1, 16]]], [2023, 1, 19]]], [['regression weekend test 1', [[2021, 5, 31], 'P', [[2021, 5, 31], [2021, 6, 4], [2021, 6, 1]]], [2021, 5, 28]], ['regression weekend test 2', [[2028, 12, 31], 'MF', []], [2028, 12, 29]], ['partial repair probe 1', [[2026, 11, 22], 'F', [[2026, 11, 25]]], [2026, 11, 23]], ['partial repair probe 2', [[2029, 12, 30], 'MF', []], [2029, 12, 31]], ['boundary control 1', [[2024, 5, 15], 'F', [[2024, 5, 15]]], [2024, 5, 16]], ['boundary control 2', [[2024, 5, 15], 'X', []], 'unknown convention'], ['normal control 1', [[2029, 10, 31], 'MP', []], [2029, 10, 31]], ['normal control 2', [[2024, 1, 3], 'MF', []], [2024, 1, 3]]], [['regression weekend test 1', [[2028, 7, 8], 'MF', [[2028, 7, 11]]], [2028, 7, 10]], ['regression weekend test 2', [[2020, 8, 9], 'MP', [[2020, 8, 9]]], [2020, 8, 7]], ['partial repair probe 1', [[2024, 12, 29], 'MF', [[2024, 12, 31]]], [2024, 12, 30]], ['partial repair probe 2', [[2028, 4, 30], 'F', [[2028, 4, 28]]], [2028, 5, 1]], ['boundary control 1', [[2024, 5, 15], 'X', []], 'unknown convention'], ['boundary control 2', [[2024, 5, 15], 'F', [[2024, 5, 15]]], [2024, 5, 16]], ['normal control 1', [[2030, 4, 30], 'MP', [[2030, 4, 28]]], [2030, 4, 30]], ['normal control 2', [[2020, 1, 2], 'U', []], [2020, 1, 2]]]]
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 fixture	Actual	Expected	Outcome
regression weekend test 1	`[2023, 12, 31]`	`[2023, 12, 29]`	Failed
regression weekend test 2	`[2024, 3, 31]`	`[2024, 3, 29]`	Failed
partial repair probe 1	`[2026, 5, 31]`	`[2026, 6, 2]`	Failed
partial repair probe 2	`[2029, 9, 2]`	`[2029, 9, 4]`	Failed
boundary control 1	`[2024, 5, 16]`	`[2024, 5, 16]`	Passed
boundary control 2	`unknown convention`	`unknown convention`	Passed
normal control 1	`[2024, 12, 31]`	`[2024, 12, 31]`	Passed
normal control 2	`[2028, 4, 30]`	`[2028, 4, 30]`	Passed

SHA-256 / b43ab91f3773ebb25f9ecab45854d0295b917203840826219e4829757675d171

HELD IN THE MEMBER ARCHIVE

The verified repair and its recorded checks are member-only.

This mechanism has 8 recorded checks per implementation. The open-access tier publishes the failure and the unsuccessful fix; the repaired source that passes every check, and the observations that prove it, are available to members.

Every case sharing this mechanism uses the same contract and the same repair, so this one record is held back for all of them.

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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 2026-09-29T14:46:50.675576+00:00.

Case digest / 0fa32e6d52e60337ff0717880c602910ae6a012c3272ce6f64ec16527097c6d4