Bond irregular dates by jodastephen · Pull Request #2694 · OpenGamma/Strata

jodastephen · 2025-01-05T19:54:46Z

Updated code from #2655. Applies a fix to dirtyPriceFromYieldStandard for FixedCouponBond.

The main change is the use of Math.pow(factorOnPeriod, yearFraction * eventsPerYear) instead of factorOnPeriod when the period is not regular.

Bumps [org.junit:junit-bom](https://github.com/junit-team/junit5) from 5.10.2 to 5.11.2. - [Release notes](https://github.com/junit-team/junit5/releases) - [Commits](junit-team/junit-framework@r5.10.2...r5.11.2) --- updated-dependencies: - dependency-name: org.junit:junit-bom dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <support@github.com> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>

* overnight cap product * tests * javadoc * line * clean * white spaces * failing test for accrual

* PROD-42681: Adding Inauguration Day to MXMC * PROD-42681: Adding Inauguration Day to MXMC

* Overnight CapFloor CSV plugin * copyright * variable names --------- Co-authored-by: Alexis Skitini <skitini@users.noreply.github.com>

* overnight cap product * tests * javadoc * line * clean * white spaces * pricers * failing test for accrual * pricers * test * spaces * addressed review comments * error message

* Adding Inauguration Day to MXMC * Adding Inauguration Day to MXMC * Adding Inauguration Day to MXMC

Co-authored-by: Michael Rollins <MichaelRol@users.noreply.github.com>

* Adding Overnight-Overnight swap conventions * Cleanup + Add Tests * PR cleanup * Finish PR feedback * Fix tests * Make constant public to fix ini loading --------- Co-authored-by: Brian Weller <brianweller89@users.noreply.github.com>

* Holiday for President Jimmy Carter * Only appears to apply to NYSE * https://www.sifma.org/resources/unscheduled-close-market-matrix/ * Fixes #2691

Bumps [com.google.guava:guava](https://github.com/google/guava) from 32.1.3-jre to 33.4.0-jre. - [Release notes](https://github.com/google/guava/releases) - [Commits](https://github.com/google/guava/commits) --- updated-dependencies: - dependency-name: com.google.guava:guava dependency-type: direct:production update-type: version-update:semver-major ... Signed-off-by: dependabot[bot] <support@github.com> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> Co-authored-by: mergify[bot] <37929162+mergify[bot]@users.noreply.github.com>

Bumps [org.junit:junit-bom](https://github.com/junit-team/junit5) from 5.11.2 to 5.11.4. - [Release notes](https://github.com/junit-team/junit5/releases) - [Commits](junit-team/junit-framework@r5.11.2...r5.11.4) --- updated-dependencies: - dependency-name: org.junit:junit-bom dependency-type: direct:production update-type: version-update:semver-patch ... Signed-off-by: dependabot[bot] <support@github.com> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> Co-authored-by: mergify[bot] <37929162+mergify[bot]@users.noreply.github.com>

Bumps [org.assertj:assertj-core](https://github.com/assertj/assertj) from 3.25.3 to 3.27.0. - [Release notes](https://github.com/assertj/assertj/releases) - [Commits](assertj/assertj@assertj-build-3.25.3...assertj-build-3.27.0) --- updated-dependencies: - dependency-name: org.assertj:assertj-core dependency-type: direct:production update-type: version-update:semver-minor ... Signed-off-by: dependabot[bot] <support@github.com> Co-authored-by: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> Co-authored-by: mergify[bot] <37929162+mergify[bot]@users.noreply.github.com>

* Provide default value for new property * Adjust code to pull out events per year

ritonglue · 2025-01-07T09:46:45Z

The year 2025 starts very nicely. Thank you for reviewing my modifications.

ritonglue · 2025-07-18T13:29:07Z

There are other lines where the logic should be changed:

dirtyPriceFromYieldStandardAd
modifiedDurationFromYieldStandard
modifiedDurationFromYieldStandardAd
convexityFromYieldStandard

In fact everty time there is a "++pow"

There is also this odd/ugly name function FixedCouponBondPaymentPeriod.isIsRegular which was automatically generated by Eclipse ("build automatically" was on).

I can fix my PR with some guidance.
Thanks

Copilot

Copilot review overview

🟡 Changes recommended

Irregular-period handling is not propagated to AD, duration, and convexity calculations, producing inconsistent sensitivities.

Review effort: Balanced
Findings: 1 · 2

Open (3)

Use cumulative fractional exponents in AD pricing and sensitivities · New
Remove stray œœ characters from test comment · New
Correct transposed period regularity documentation · New

What changed in this PR

Fixes yield pricing for bonds with irregular coupon periods by tracking period regularity and applying fractional-period discounting.

Changes:

Adds and resolves coupon-period regularity metadata.
Updates dirty-price discount factors for irregular periods.
Adds day-count and irregular-schedule regression tests.

File	Description
`FixedCouponBondPaymentPeriod.java`	Adds the `regular` property.
`FixedCouponBond.java`	Populates regularity during resolution.
`DiscountingFixedCouponBondProductPricer.java`	Applies fractional-period discounting.
`DiscountingFixedCouponBondProductPricerTest.java`	Adds yield regression tests.

💡 Add a code-review agent skill or configure MCP servers for context-aware, tailored reviews. Learn more in the docs.

+          if (period.isRegular()) {
+            factor *= factorOnPeriod;
+          } else {
+            factor *= Math.pow(factorOnPeriod, yearFraction * eventsPerYear);


+    double dirtyPrice = PRICER.dirtyPriceFromCleanPrice(bond, settlementDate, cleanPrice);
+    assertThat(dirtyPrice).isCloseTo(cleanPrice, offset(TOL)); // 2.x.
+    double yield = PRICER.yieldFromDirtyPrice(bond, settlementDate, dirtyPrice);
+    assertThat(yield).isCloseTo(0.07286881667273096, offset(TOL)); // 2.x.œœ


+  /**
+   * Indicates if the is period is regular.
+   * <p>
+   * If true the full coupon is paid, otherwise the period is shorter/longer.


mergify · 2026-09-29T22:49:21Z

Merge Queue Status

✅ Entered queue — 2026-09-29 22:49 UTC · Rule: default · triggered by rule Auto-Merge
✅ Checks passed · on draft merge queue: checking #2694 on main (aca632b) #2811
✅ Merged — 2026-09-29 22:59 UTC · at e1db1ba69ddf6478dfe00a595c56fc9cf9a5260b · squash

This pull request spent 10 minutes 29 seconds in the queue, including 10 minutes 7 seconds running CI.

Required conditions to merge

check-success=build
github-require-last-push-approval [🛡 GitHub branch protection]
- Bond irregular dates #2694
github-review-approved [🛡 GitHub branch protection]
- Bond irregular dates #2694
label=auto-merge
- Bond irregular dates #2694
any of [🛡 GitHub branch protection]:
- check-success = build
- check-neutral = build
- check-skipped = build

ritonglue and others added 30 commits September 26, 2024 22:38

Pricer-2592 fix yield on bonds with short/long last coupon

a4d1560

Pricer-2592 add boolean isRegular to FixedCouponBondPaymentPeriod

49fd21f

Pricer-2592 fill isRegular boolean to FixedCouponBondPaymentPeriod

45cd52c

Pricer-2592 use isRegular to compute the power of factorOnPeriod

e0c8e77

Pricer-2592 add test act_act_isda, act_act_isma

4774178

Overnight Rate Cap Floor Model (#2677)

bda8f10

* overnight cap product * tests * javadoc * line * clean * white spaces * failing test for accrual

Adding Inauguration Day to MXMC (#2678)

5f86c7a

* PROD-42681: Adding Inauguration Day to MXMC * PROD-42681: Adding Inauguration Day to MXMC

[maven-release-plugin] prepare release v2.12.42

c9ff500

[maven-release-plugin] prepare for next development iteration

6cf8752

Overnight CapFloor CSV plugin (#2679)

1f44cce

* Overnight CapFloor CSV plugin * copyright * variable names --------- Co-authored-by: Alexis Skitini <skitini@users.noreply.github.com>

Overnight rate in arrears cap floor pricers (#2680)

d494271

* overnight cap product * tests * javadoc * line * clean * white spaces * pricers * failing test for accrual * pricers * test * spaces * addressed review comments * error message

[maven-release-plugin] prepare release v2.12.43

bd1d98a

[maven-release-plugin] prepare for next development iteration

56505f6

Adding Inauguration Day to MXMC (#2682)

1809ab8

* Adding Inauguration Day to MXMC * Adding Inauguration Day to MXMC * Adding Inauguration Day to MXMC

[maven-release-plugin] prepare release v2.12.44

43b9579

[maven-release-plugin] prepare for next development iteration

1b23c7a

Adding XSFA Exchange (#2684)

4be4dfd

Co-authored-by: Michael Rollins <MichaelRol@users.noreply.github.com>

[maven-release-plugin] prepare release v2.12.45

259bb01

[maven-release-plugin] prepare for next development iteration

4fb3073

Adding Dia Nacional de Zumbi e da Consciência Negra to BRBD (#2685)

b2d5472

[maven-release-plugin] prepare release v2.12.46

06613ed

[maven-release-plugin] prepare for next development iteration

b402edf

Create OvernightOvernightSwapConventions (#2686)

45bed8b

* Adding Overnight-Overnight swap conventions * Cleanup + Add Tests * PR cleanup * Finish PR feedback * Fix tests * Make constant public to fix ini loading --------- Co-authored-by: Brian Weller <brianweller89@users.noreply.github.com>

Add US National Day of Mourning (#2692)

4fef1c3

* Holiday for President Jimmy Carter * Only appears to apply to NYSE * https://www.sifma.org/resources/unscheduled-close-market-matrix/ * Fixes #2691

Merge branch 'ritonglue-Pricer-2592_fix_irregular_dates_yield'

a3405ed

* Adjust new property name

3168e0f

* Provide default value for new property * Adjust code to pull out events per year

jodastephen requested review from marc-henrard and yukiiwashita January 5, 2025 19:54

jodastephen added the Type:Bug label Jan 6, 2025

jodastephen mentioned this pull request Jan 6, 2025

Yield calculates incorrectly on bonds with short/long last coupon #2592

Open

yukiiwashita approved these changes Jul 17, 2025

View reviewed changes

beajeanm added the auto-merge Merge when build finishes label Sep 29, 2026

Merge branch 'main' into bond-irregular-dates

a91e5a6

Copilot AI balanced review requested due to automatic review settings September 29, 2026 22:36

Copilot started reviewing on behalf of jodastephen September 29, 2026 22:37 View session

Copilot AI reviewed Sep 29, 2026

View reviewed changes

mergify Bot added the queued label Sep 29, 2026

mergify Bot mentioned this pull request Sep 29, 2026

merge queue: checking #2694 on main (aca632b) #2811

Closed

10 of 14 tasks

mergify Bot merged commit e1db1ba into main Sep 29, 2026
11 checks passed

mergify Bot deleted the bond-irregular-dates branch September 29, 2026 22:59

mergify Bot removed the queued label Sep 29, 2026

Navigation Menu

Bond irregular dates - #2694

Bond irregular dates#2694
mergify[bot] merged 31 commits into
mainfrom
bond-irregular-dates

jodastephen commented Jan 5, 2025

Uh oh!

ritonglue commented Jan 7, 2025

Uh oh!

ritonglue commented Jul 18, 2025

Uh oh!

Copilot AI left a comment

Uh oh!

mergify Bot commented Sep 29, 2026 •

edited

Loading

Uh oh!

Uh oh!

Reviewers

Assignees

Labels

Projects

Milestone

Development

Uh oh!

10 participants

Conversation

jodastephen commented Jan 5, 2025

Uh oh!

ritonglue commented Jan 7, 2025

Uh oh!

ritonglue commented Jul 18, 2025

Uh oh!

Copilot AI left a comment

Choose a reason for hiding this comment

Copilot review overview

🟡 Changes recommended

Uh oh!

mergify Bot commented Sep 29, 2026 • edited Loading Uh oh! There was an error while loading. Please reload this page.

Uh oh!

Merge Queue Status

Uh oh!

Uh oh!

Reviewers

Assignees

Labels

Projects

Milestone

Development

Uh oh!

10 participants

mergify Bot commented Sep 29, 2026 •

edited

Loading