The strategy in our back-end code was to do all date math in the database, and use a representation of YYYYMMDD in external code.

The calculation engine for doing bond math used a Julian day representation IIRC. That won't run out any time soon either. :-)

There was a similar bug to deal with where information copied from Excel hit the century wrap-around, so we had to find data that looked wrapped and unwrap it. (A bond that pays off in '35 probably pays off in 2035...)

Cheers,
Ben

One of that companies major products was its bond calculation engine, and library of deals that they had modelled. Various front-ends have been written for it, including a raw C API, a batch interface, an Access interface, a Bloomberg product, and a web interface. Those are just the interfaces that I know were sold at some point. There may be ones that I don't know about, and there are ones that I do know about which were never publically available.

Some of its features make it somewhat specific to bonds backed by commercial real estate loans. It can be used on other classes of bonds, but won't handle some of the odd things that can turn up in models, and won't calculate some statistics that people might like. Conversely it handles some things that turn up in CMBS which other engines don't do, and gives you access to pretty much anything that people trading CMBS might look at.

Cheers,
Ben