FA-61098 / Bond day-count conventions / Member archive

Street-convention yield to price with fractional first period: the annual yield is used as the per-period discount rate · case 03

Semi-annual and quarterly bonds are discounted at the full annual yield per period.

Member previewVariant 3 · 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 periodic yield 1	`[102.500525, 99.924438]`	`[102.747811, 100.171724]`	Failed

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