FA-61273 / Bond day-count conventions / Member archive

Adjusted versus unadjusted accrual periods: the accrual end always equals the payment date · case 03

Unadjusted accrual periods gain or lose days whenever the payment date moves.

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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 end source 1	`[[[2029, 11, 30], 183], [[2030, 5, 31], 182], [[2030, 11, 29], 182]]`	`[[[2029, 11, 30], 183], [[2030, 5, 31], 182], [[2030, 11, 29], 183]]`	Failed

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