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ADR-057: Bond prices are stored as a fraction of par on every internal surface

Status: Accepted

Context​

Bond markets quote clean prices as a percentage of par (99.886), and quantities as face amount; value is face × clean ÷ 100. The engine computes notional as Math.multiplyExact(Math.multiplyExact((long) quantity, validationPrice), multiplier) with a long per-security contract multiplier (YU14, ADR-053) that fails closed below 1; the ÷100 cannot be a multiplier. Storing the percentage would make a 100,000-face position price as 9,988,600 rather than 99,886: a 100× error, fixable only by teaching the deterministic core a divisor; a snapshot field, a format bump, a fresh epoch, and a permanently forked arithmetic path for one asset class.

Decision​

Bond prices are stored as a fraction of par everywhere inside the system: quoted 99.886% is 0.998860, which is 998,860 ticks at the 1e6 scale. The contract multiplier for a bond is 1, so quantity(face) × price(fraction ticks) × 1 is the correct notional through the unchanged risk gate, and a bond is arithmetically identical in shape to an equity. The percentage is display only; multiply by 100 and append the sign.

The convention binds four surfaces, which must agree: the price publisher (emits fractions, at six-decimal tick precision; the 3-dp rounding remains the equity contract), the engine (stores fraction ticks, unchanged code), the read model (persists fractions in six-decimal columns), and the risk extract (renders fractions at scale 6).

Consequences​

  • The deterministic core does not change: no snapshot field, no format bump (SNAPSHOT_FORMAT stays 4), no fresh epoch, no PVC wipe, no mixed-version divergence window.
  • SQL price columns widen from DECIMAL(18,3) to DECIMAL(18,6); three decimals on a fraction is one decimal of percentage, which would silently round 0.998860 to 0.999.
  • The publisher's Treasury tick conversion must bypass the inherited 3-dp HALF_UP path for the same reason.
  • Every consumer that renders a bond price owns a ×100; a consumer that forgets shows 0.999 where it means 99.886%; visible and wrong, rather than silently mispriced by 100×.
  • Seed and reference data quoted in percent (auction provenance) is converted once at load; the provenance fields keep the quoted form so the source PDF remains checkable.