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Fixes accruedInterest under the observation-shift convention, which used the wrong day count. Periods that start or end on a weekend or holiday no longer throw; about 40% of NY Fed averages failed before. Adds sofrAverage. All 4,956 published NY Fed averages and 1,651 index values reproduce exactly. Behaviour change: accrual numbers under observation shift change, because they were wrong.
Full findings and evidence: #1