FA-61094 / Bond day-count conventions / Member archive

Street-convention yield to price with fractional first period: accrued interest uses the remaining fraction · case 04

Clean prices move the wrong way through the coupon period.

Member previewVariant 4 · 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 clean price accrued 1	`[104.730952, 104.470082]`	`[104.730952, 104.616821]`	Failed

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