FA-61417 / Options payoff and settlement / Member archive

Arithmetic Asian payoff with disrupted fixings: disrupted fixings are dropped from the average · case 02

Averages over fewer observations overweight the remaining fixings.

Member previewVariant 2 · 3 implementations · 8 checks per implementation

Case contract

Inputs kind (price-call, price-put, strike-call), fixings (None = disrupted), strike and final price. A disrupted fixing takes the last preceding filled value; if none precedes, the next valid fixing. avg = mean of the filled fixings. price-call pays max(avg-K,0), price-put max(K-avg,0), strike-call max(final-avg,0). Round to 6.

Why this case matters

Option expiry, exercise and settlement engines move cash and shares; a wrong branch misstates obligations.

One recorded failure

Sample boundary fixture

This sample comes from the broken implementation of a controlled reproducer.

Boundary fixture	Actual	Expected	Outcome
regression disrupted fixing handling 1	`2.363333`	`3.855`	Failed

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