FA-61197 / Bond day-count conventions / Member archive

Canadian-style semi-annual accrued interest: early-period accrual uses the actual period length · case 02

Accrued interest follows an actual/actual pattern instead of the 365-day basis.

Member previewVariant 2 · 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 forward accrual basis 1	`1.243094`	`1.232877`	Failed

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