FA-61293 / Bond day-count conventions / Member archive

Rate conversion across day-count basis and compounding: the target is returned as a per-period rate · case 03

Semi-annual and monthly targets are divided by their frequency.

Member previewVariant 3 · 3 implementations · 8 checks per implementation

Case contract

Inputs a nominal rate, from/to day-count year basis (360 or 365), from/to compounding frequency (0 = continuous). First rescale the nominal rate by to_basis/from_basis, then convert compounding through the effective annual rate: EAR = (1+r/m)^m - 1 or e^r - 1; target nominal = m*((1+EAR)^(1/m)-1) or ln(1+EAR). Return rounded to 10 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 nominal from periodic 1	`0.0198039027`	`0.0792156109`	Failed

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