FA-61087 / Bond day-count conventions / Member archive

Street-convention yield to price with fractional first period: the principal is discounted one period too far · case 02

Prices are too low by roughly one period of discounting on the redemption amount.

Member previewVariant 2 · 3 implementations · 8 checks per implementation

Case contract

Inputs settle, prev and next coupon dates [y,m,d], n remaining coupons (including next), annual coupon rate, annual yield y and frequency. w = days(settle, next)/days(prev, next); c = 100*rate/freq; v = 1/(1+y/freq). Dirty = sum_{k=0}^{n-1} c*v^(k+w) + 100*v^(n-1+w); accrued = c*(1-w); return [dirty, dirty-accrued] each 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 redemption exponent 1	`[100.783066, 99.62922]`	`[101.761114, 100.607268]`	Failed

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