FA-61337 / Bond day-count conventions / Member archive

Deposit maturity with the end-to-end rule: the end-to-end maturity is the calendar month end · case 02

Maturities fall on weekends and holidays at month end.

Member previewVariant 2 · 3 implementations · 8 checks per implementation

Case contract

Inputs a start business day, tenor in months, holidays, principal and rate. If the start is the last business day of its month, maturity is the last business day of the target month; otherwise maturity is the start day clamped into the target month and adjusted modified following. Interest = principal*rate*days/360 rounded to 2. Return [maturity, interest].

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 end-end target 1	`[[2026, 1, 31], 1076.39]`	`[[2026, 1, 30], 1041.67]`	Failed

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