FA-61264 / Bond day-count conventions / Member archive

Adjusted versus unadjusted accrual periods: the accrual adjustment flag is inverted · case 04

Unadjusted-accrual swaps accrue on adjusted dates and vice versa.

Member previewVariant 4 · 3 implementations · 8 checks per implementation

Case contract

Inputs an unadjusted schedule (first element is the accrual start), holidays and a flag. Business days are weekdays not in holidays; adjustment is modified following. For each period the payment date is the adjusted end date; accrual days use adjusted start and end if the flag is set, otherwise the unadjusted dates. Return [[payment date, accrual days], ...].

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 accrual adjustment flag 1	`[[[2024, 4, 11], 183], [[2024, 10, 14], 183], [[2025, 4, 11], 182]]`	`[[[2024, 4, 11], 183], [[2024, 10, 14], 186], [[2025, 4, 11], 179]]`	Failed

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