Reject zero accrual Ibor FRAs - #375
Merged
domokane merged 2 commits intoOct 2, 2026
Merged
Conversation
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
2 participants
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Closes #374. Reject equal accrual start/maturity dates in the FRA constructor, before valuation or reporting divides by the zero accrual fraction. Keep the existing backwards-date rejection.
Added date/zero-tenor/backwards-date cases and a real positive-period par-rate valuation against a flat discount curve. These four cases and the four existing Ibor futures tests pass (8 tests). The CRLF-aware Git whitespace check passes.