FA-61242 / Bond day-count conventions / Member archive

Money-market certificate priced from yield: maturity interest is computed from settlement · case 02

Secondary-market prices ignore interest earned before the buyer settled.

Member previewVariant 2 · 3 implementations · 8 checks per implementation

Case contract

Inputs issue, maturity and settlement dates, coupon and yield (decimals). The instrument pays 100*(1 + coupon*T/360) at maturity where T = days(issue, maturity). Dirty = redemption/(1 + y*R/360) with R = days(settle, maturity); accrued = 100*coupon*A/360 with A = days(issue, settle). Return [dirty, dirty-accrued] 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 redemption term 1	`[99.763995, 97.336911]`	`[102.175803, 99.74872]`	Failed

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