FA-61018 / Bond day-count conventions / Member archive

Compounded overnight rate in arrears with lookback: the compounded return is annualized over business days · case 03

Coupons are several times too large for periods containing weekends.

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Case contract

Inputs start, end (business days), a map from ISO date to overnight rate in percent, a lookback in business days, a spread in percent and holidays. Business days are weekdays not in holidays. For each business day d in [start, end), weight n = calendar days to the next business day (or to end for the last one) and rate = the rate published L business days before d. Compound prod(1 + r/100*n/360); the period rate is (prod-1)*360/calendar days*100 plus the spread, rounded 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 annualization basis 1	`8.31092`	`5.412948`	Failed

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