FA-61307 / Bond day-count conventions / Member archive

Act/Act AFB whole-year decomposition: the stub denominator follows the leap status of the stub end year · case 02

Stubs that contain a leap day from the previous year, or none at all, use the wrong year length.

Member previewVariant 2 · 3 implementations · 8 checks per implementation

Case contract

Inputs start < end [y,m,d]. Count whole years n stepping back from the end date (an end of 29 February maps to 28 February in non-leap years) while the stepped date is not before start. The stub runs from start to the end stepped back n years; its denominator is 366 if a 29 February lies in (start, stub end], else 365. Return n + stub days/denominator rounded to 9 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 stub denominator source 1	`6.275956284`	`6.276712329`	Failed

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