FA-61005 / Bond day-count conventions / Member archive

Business day adjustment conventions: holiday lists are compared against date objects · case 05

Holidays are never honored, only weekends.

Member previewVariant 5 · 3 implementations · 8 checks per implementation

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.

One recorded failure

Sample boundary fixture

This sample comes from the broken implementation of a controlled reproducer.

Boundary fixture	Actual	Expected	Outcome
regression holiday membership type 1	`[2027, 6, 30]`	`[2027, 6, 29]`	Failed

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