FA-61317 / Bond day-count conventions / Member archive

Coupon period lookup for a settlement date: a settlement on a coupon date is assigned to the ending period · case 02

Settling on a coupon date charges a full period of accrued interest.

Member previewVariant 2 · 3 implementations · 8 checks per implementation

Case contract

Inputs issue date, ascending coupon schedule (last = maturity) and settlement. Settlement before issue returns "not issued"; on or after maturity returns "matured". Otherwise return [period start, next coupon] where a settlement on a coupon date belongs to the following period and the first period starts at issue.

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 coupon date ownership 1	`[[2006, 5, 31], [2007, 5, 31]]`	`[[2007, 5, 31], [2008, 5, 31]]`	Failed

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