FA-61449 / Options payoff and settlement / Member archive

Discretely monitored barrier option payoff: the final observation is excluded from monitoring · case 04

A barrier crossed only at expiry is ignored.

Member previewVariant 4 · 3 implementations · 8 checks per implementation

Case contract

Inputs kind (up/down, in/out, call/put), observed path including initial and final price, strike, barrier and rebate. The barrier is hit if any observation is >= barrier (up) or <= barrier (down). Knock-out: rebate if hit else vanilla on the final price. Knock-in: vanilla if hit else rebate. 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 monitoring window 1	`5.97`	`0.0`	Failed

MEMBER ARCHIVE

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