JGB bonds use a separate daycount convention for AI vs Yield calculation for bonds with greater than 1 year to maturity. Is it possible to represent this in Strata currently?
Simple and compound yields are calculated on an NL/365 basis when period from settle to maturity is greater or equal to one calendar year. The day count changes to Act/365 when this period is less than one calendar year. To clarify , when settle falls on 2/29 , it is always included as on day, regardless of time to maturity. When maturity falls of 2/29 and time to maturity is greater than one calendar year, then it needs to be excluded as a day.
Accrued is calculated on an Act/365 basis therefore includes February 29 when counting days.
As a test case you can look at JP1300041009 for settlement 2019-11-19 - as this is a 2.9% coupon bond the effect on AI is clearly visible. The AI should be 14,500,000 for 1m notional but Strata calculates 14,539,726 using day count NL/365 or ACT/365F. The only DayCount I could get to produce 14,500,000 was Act/Act Year.