FA-61069 / Bond day-count conventions / Member archive

Irregular first coupon accrued by quasi-coupon periods: the annual coupon is applied to each quasi-period fraction · case 04

Accrued interest is freq times too large.

Member previewVariant 4 · 3 implementations · 8 checks per implementation

Case contract

Inputs issue, first coupon and settlement [y,m,d], annual rate and months per period. Settlement must lie in [issue, first] else return "settlement outside first period". Quasi-coupon dates are generated back from the first coupon in steps of months (day clamped to month length) until one is on or before issue. For each quasi period [start, end), accrued days are those in [max(start, issue), min(end, settle)) and are divided by that quasi period length. Accrued = 100*rate/freq*sum, 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 coupon per quasi period 1	`11.104839`	`0.925403`	Failed

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