FA-61229 / Bond day-count conventions / Member archive

Irregular final coupon amount: a long final period is pro-rated against one notional period · case 04

The final coupon of a long last period is too large by the day-count mismatch of the extension.

Member previewVariant 4 · 3 implementations · 8 checks per implementation

Case contract

Inputs the last regular coupon date prev, maturity (prev < maturity <= prev + 2 periods), months per period and annual rate. Quasi dates are prev shifted forward k*months with the prev day clamped to month length. c = 100*rate/freq. Short final period (maturity <= q1): c*days(prev,mat)/days(prev,q1). Long final period: c*(1 + days(q1,mat)/days(q1,q2)). 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 long stub single fraction 1	`4.451087`	`4.487569`	Failed

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