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BUG: de_gb change to 'linear_days_long front split' (#249) #1182

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Merged
mikelync merged 1 commit into from
Jan 19, 2026
Merged

BUG: de_gb change to 'linear_days_long front split' (#249) #1182

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4 changes: 2 additions & 2 deletions python/rateslib/instruments/bonds/conventions/__init__.py
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Original file line number Diff line number Diff line change
Expand Up @@ -597,8 +597,8 @@ def kwargs(self) -> dict[str, str]:

DE_GB = BondCalcMode(
# German government bonds
settle_accrual="linear_days",
ytm_accrual="linear_days",
settle_accrual="linear_days_long_front_split",
ytm_accrual="linear_days_long_front_split",
v1="compounding_final_simple",
v2="regular",
v3="compounding",
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24 changes: 24 additions & 0 deletions python/tests/instruments/test_instruments_bonds_legacy.py
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Original file line number Diff line number Diff line change
Expand Up @@ -698,6 +698,30 @@ def test_long_stub(self):
bond = FixedRateBond(dt(2025, 7, 4), dt(2035, 8, 15), spec="de_gb", fixed_rate=2.60)
assert bond.leg1.schedule.aschedule[0:2] == [dt(2025, 7, 4), dt(2026, 8, 15)]

def test_de_long_front_split_accrued_no_leap(self):
# this bond was not issued around a leap year so there is no difference between
# linear_days_long_front_split and linear_days
bond = FixedRateBond(dt(2025, 3, 12), dt(2056, 8, 15), spec="de_gb", fixed_rate=2.90)
result1 = bond.accrued(settlement=dt(2026, 1, 16))
result2 = bond.accrued(settlement=dt(2026, 7, 14))
expected1 = (dt(2026, 1, 16) - dt(2025, 3, 12)).days / 365 * 2.9
expected2 = (dt(2026, 7, 14) - dt(2025, 3, 12)).days / 365 * 2.9
assert abs(result1 - expected1) < 1e-6
assert abs(result2 - expected2) < 1e-6

def test_de_long_front_split_accrued_leap(self):
# this bond was issued in 2024 so there is a difference between linear_days and
# linear_days_long_front_split: ISIN DE000BU2D004
bond = FixedRateBond(dt(2024, 2, 6), dt(2054, 8, 15), spec="de_gb", fixed_rate=2.50)
result1 = bond.accrued(settlement=dt(2024, 7, 15))
result2 = bond.accrued(settlement=dt(2025, 7, 15))
expected1 = (dt(2024, 7, 15) - dt(2024, 2, 6)).days / 366 * 2.5
expected2 = (dt(2024, 8, 15) - dt(2024, 2, 6)).days / 366 * 2.5 + (
dt(2025, 7, 15) - dt(2024, 8, 15)
).days / 365 * 2.5
assert abs(result1 - expected1) < 1e-8
assert abs(result2 - expected2) < 1e-8

## French OAT

@pytest.mark.parametrize(
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