FA-61194 / Bond day-count conventions / Member archive

Canadian-style semi-annual accrued interest: the 183rd day still uses forward accrual · case 04

Settlements exactly 183 days into the period use the wrong formula.

Member previewVariant 4 · 3 implementations · 8 checks per implementation

Case contract

Inputs prev and next coupon dates, settlement in [prev, next) and annual rate (semi-annual coupons). c = 100*rate, days = days(prev, settle). If days >= 183 accrued = c/2 - c*days(settle, next)/365, else accrued = c*days/365. Round 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 complement threshold 1	`4.136301`	`4.102397`	Failed

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