FA-61428 / Options payoff and settlement / Member archive

Arithmetic Asian payoff with disrupted fixings: a disruption before any valid fixing falls back to the strike · case 03

Schedules that start with a disrupted fixing average in the strike.

Member previewVariant 3 · 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 leading disruption 1	`4.97`	`14.91`	Failed

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