FA-61270 / Bond day-count conventions / Member archive

Adjusted versus unadjusted accrual periods: payments are made on unadjusted dates · case 05

Payments fall on weekends and holidays.

Member previewVariant 5 · 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 payment date convention 1	`[[[2023, 3, 30], 181], [[2023, 9, 30], 183]]`	`[[[2023, 3, 30], 181], [[2023, 9, 29], 183]]`	Failed

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