FA-61135 / Bond day-count conventions / Member archive

Inflation-linked reference index interpolation: the interpolation uses two- and one-month lags · case 05

The reference index is one month too recent.

Member previewVariant 5 · 3 implementations · 8 checks per implementation

Case contract

Inputs a date [y,m,d], a map "YYYY-MM" to CPI level and a base index. RefCPI = CPI(m-3) + (d-1)/days_in_month(m) * (CPI(m-2) - CPI(m-3)), computed in Decimal and rounded half-up to 5 decimals; the index ratio is RefCPI/base rounded half-up to 5 decimals. Return both as strings.

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 reference month lags 1	`["293.17468", "1.21763"]`	`["293.09804", "1.21731"]`	Failed

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