FA-61173 / Bond day-count conventions / Member archive

Step-up coupon accrued interest: every accrued day uses the rate in force at settlement · case 03

Accrued interest after a step-up charges the new rate for days before the step.

Member previewVariant 3 · 3 implementations · 8 checks per implementation

Case contract

Inputs prev and next coupon dates, settlement in [prev, next], a list of [date, rate] steps (unordered; a step applies on and after its date), the base rate before any step, and frequency. Each accrued day d in [prev, settle) earns the rate in force on d. Accrued = 100/freq * sum(rates)/days(prev, next), rounded to 6.

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 per-day rate lookup 1	`2.087912`	`1.043956`	Failed

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