FAILURE MAP
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FA-61456 / Options payoff and settlement / Open access

Discretely monitored barrier option payoff: barrier direction is inferred from the option type · case 01

Up-and-out puts and down-and-in calls monitor the wrong side of the barrier.

Verified by executionVariant 1 · 8 checks per implementationDownload source bundle ↓JSON ↗

ROOT CAUSE

The direction flag is derived from call/put instead of the up/down prefix.

THE FAILURE

The direction flag is derived from call/put instead of the up/down prefix.

Unsuccessful approach: Inferring direction from the barrier relative to the initial price fails when the barrier is already breached at inception.

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.

1 / The failure

Exit 1
"""Failure Map reference implementation. Python standard library only."""
import json

N = 1
observations = []
def solve(kind, path, strike, barrier, rebate):
    up = kind.endswith('call')
    hit = any(p >= barrier for p in path) if up else any(p <= barrier for p in path)
    final = path[-1]
    vanilla = max(final - strike, 0) if kind.endswith('call') else max(strike - final, 0)
    if '-out-' in kind:
        pay = rebate if hit else vanilla
    else:
        pay = vanilla if hit else rebate
    return round(pay, 6)
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression barrier direction 1', ['down-in-call', [100.0, 110.0, 121.0, 112.53, 106.9, 96.21, 101.02, 109.1], 100, 90.0, 0.0], 0.0], ['regression barrier direction 2', ['up-out-put', [100.0, 100.0, 93.0, 93.0, 88.35, 95.42, 100.19], 105, 120.0, 1.5], 4.81], ['partial repair probe 1', ['up-in-call', [100.0, 100.0, 100.0], 105, 95.0, 3.0], 0], ['partial repair probe 2', ['up-out-call', [100.0, 110.0, 102.3, 112.53, 112.53, 118.16, 124.07, 117.87], 100, 95.0, 0.0], 0.0], ['boundary control 1', ['up-out-call', [100.0, 110.0, 105.0], 100, 110.0, 2.0], 2.0], ['boundary control 2', ['down-in-put', [100.0, 95.0], 100, 90.0, 1.0], 1.0], ['normal control 1', ['down-out-put', [100.0, 93.0, 83.7], 100, 85.0, 1.5], 1.5], ['normal control 2', ['down-out-put', [100.0, 93.0, 93.0, 83.7, 92.07, 85.63, 81.35, 73.22], 105, 90.0, 3.0], 3.0]], [['regression barrier direction 1', ['up-out-put', [100.0, 93.0, 93.0, 97.65, 107.42, 107.42], 100, 120.0, 1.5], 0], ['regression barrier direction 2', ['down-in-call', [100.0, 108.0, 116.64, 125.97, 132.27, 123.01, 129.16, 116.24], 100, 90.0, 0.0], 0.0], ['partial repair probe 1', ['up-in-call', [100.0, 108.0, 116.64, 122.47, 113.9], 105, 95.0, 1.5], 8.9], ['partial repair probe 2', ['up-out-call', [100.0, 108.0, 116.64, 128.3, 134.72, 125.29, 131.55], 100, 95.0, 3.0], 3.0], ['boundary control 1', ['up-out-call', [100.0, 110.0, 105.0], 100, 110.0, 2.0], 2.0], ['boundary control 2', ['down-in-put', [100.0, 95.0], 100, 90.0, 1.0], 1.0], ['normal control 1', ['up-in-call', [100.0, 100.0, 90.0, 81.0, 89.1, 84.64, 76.18, 82.27], 95, 115.0, 3.0], 3.0], ['normal control 2', ['down-out-put', [100.0, 100.0, 108.0, 118.8, 128.3], 100, 90.0, 1.5], 0]], [['regression barrier direction 1', ['down-in-call', [100.0, 93.0, 97.65, 107.42, 118.16, 118.16, 127.61], 100, 90.0, 3.0], 3.0], ['regression barrier direction 2', ['up-out-put', [100.0, 93.0, 93.0, 88.35, 95.42, 88.74], 100, 110.0, 0.0], 11.26], ['partial repair probe 1', ['down-out-put', [100.0, 93.0, 102.3], 100, 105.0, 1.5], 1.5], ['partial repair probe 2', ['down-out-put', [100.0, 90.0, 81.0], 95, 105.0, 1.5], 1.5], ['boundary control 1', ['down-in-put', [100.0, 95.0], 100, 90.0, 1.0], 1.0], ['boundary control 2', ['up-out-call', [100.0, 110.0, 105.0], 100, 110.0, 2.0], 2.0], ['normal control 1', ['up-out-put', [100.0, 108.0, 97.2], 95, 115.0, 0.0], 0], ['normal control 2', ['up-out-call', [100.0, 95.0, 104.5, 94.05, 101.57, 91.41], 95, 95.0, 3.0], 3.0]], [['regression barrier direction 1', ['up-out-put', [100.0, 100.0, 100.0], 95, 115.0, 3.0], 0], ['regression barrier direction 2', ['up-out-put', [100.0, 100.0, 110.0, 115.5, 103.95, 96.67, 96.67, 91.84], 100, 120.0, 3.0], 8.16], ['partial repair probe 1', ['up-in-call', [100.0, 108.0, 97.2, 106.92, 115.47, 115.47], 100, 95.0, 1.5], 15.47], ['partial repair probe 2', ['up-out-call', [100.0, 110.0, 110.0, 118.8, 106.92, 115.47], 95, 95.0, 0.0], 0.0], ['boundary control 1', ['up-out-call', [100.0, 110.0, 105.0], 100, 110.0, 2.0], 2.0], ['boundary control 2', ['down-in-put', [100.0, 95.0], 100, 90.0, 1.0], 1.0], ['normal control 1', ['down-in-put', [100.0, 100.0, 100.0, 95.0, 102.6, 112.86], 100, 85.0, 3.0], 3.0], ['normal control 2', ['down-out-put', [100.0, 110.0, 99.0, 108.9, 117.61, 129.37], 105, 80.0, 3.0], 0]], [['regression barrier direction 1', ['down-in-call', [100.0, 95.0, 104.5], 95, 85.0, 0.0], 0.0], ['regression barrier direction 2', ['down-in-call', [100.0, 105.0, 110.25, 99.23, 92.28, 96.89, 96.89, 106.58], 100, 90.0, 3.0], 3.0], ['partial repair probe 1', ['up-out-call', [100.0, 110.0, 115.5, 115.5, 121.28, 109.15], 105, 95.0, 3.0], 3.0], ['partial repair probe 2', ['down-in-put', [100.0, 93.0, 88.35, 95.42], 105, 105.0, 0.0], 9.58], ['boundary control 1', ['down-in-put', [100.0, 95.0], 100, 90.0, 1.0], 1.0], ['boundary control 2', ['up-out-call', [100.0, 110.0, 105.0], 100, 110.0, 2.0], 2.0], ['normal control 1', ['up-out-put', [100.0, 110.0, 115.5, 124.74, 116.01, 104.41, 109.63, 104.15], 105, 115.5, 3.0], 3.0], ['normal control 2', ['up-in-call', [100.0, 108.0, 116.64, 104.98, 113.38, 119.05], 105, 104.98, 1.5], 14.05]]]
for label, args, expected in fixtures[N-1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)
Boundary fixtureActualExpectedOutcome
regression barrier direction 19.10.0Failed
regression barrier direction 21.54.81Failed
partial repair probe 100Passed
partial repair probe 20.00.0Passed
boundary control 12.02.0Passed
boundary control 21.01.0Passed
normal control 11.51.5Passed
normal control 23.03.0Passed

SHA-256 / 9f44ea1a4a9ea7fde27e1951854030aa5ba8f4fb28eca4978240c11fd51dda36

2 / The unsuccessful fix

Exit 1
"""Failure Map reference implementation. Python standard library only."""
import json

N = 1
observations = []
def solve(kind, path, strike, barrier, rebate):
    up = barrier > path[0]
    hit = any(p >= barrier for p in path) if up else any(p <= barrier for p in path)
    final = path[-1]
    vanilla = max(final - strike, 0) if kind.endswith('call') else max(strike - final, 0)
    if '-out-' in kind:
        pay = rebate if hit else vanilla
    else:
        pay = vanilla if hit else rebate
    return round(pay, 6)
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression barrier direction 1', ['down-in-call', [100.0, 110.0, 121.0, 112.53, 106.9, 96.21, 101.02, 109.1], 100, 90.0, 0.0], 0.0], ['regression barrier direction 2', ['up-out-put', [100.0, 100.0, 93.0, 93.0, 88.35, 95.42, 100.19], 105, 120.0, 1.5], 4.81], ['partial repair probe 1', ['up-in-call', [100.0, 100.0, 100.0], 105, 95.0, 3.0], 0], ['partial repair probe 2', ['up-out-call', [100.0, 110.0, 102.3, 112.53, 112.53, 118.16, 124.07, 117.87], 100, 95.0, 0.0], 0.0], ['boundary control 1', ['up-out-call', [100.0, 110.0, 105.0], 100, 110.0, 2.0], 2.0], ['boundary control 2', ['down-in-put', [100.0, 95.0], 100, 90.0, 1.0], 1.0], ['normal control 1', ['down-out-put', [100.0, 93.0, 83.7], 100, 85.0, 1.5], 1.5], ['normal control 2', ['down-out-put', [100.0, 93.0, 93.0, 83.7, 92.07, 85.63, 81.35, 73.22], 105, 90.0, 3.0], 3.0]], [['regression barrier direction 1', ['up-out-put', [100.0, 93.0, 93.0, 97.65, 107.42, 107.42], 100, 120.0, 1.5], 0], ['regression barrier direction 2', ['down-in-call', [100.0, 108.0, 116.64, 125.97, 132.27, 123.01, 129.16, 116.24], 100, 90.0, 0.0], 0.0], ['partial repair probe 1', ['up-in-call', [100.0, 108.0, 116.64, 122.47, 113.9], 105, 95.0, 1.5], 8.9], ['partial repair probe 2', ['up-out-call', [100.0, 108.0, 116.64, 128.3, 134.72, 125.29, 131.55], 100, 95.0, 3.0], 3.0], ['boundary control 1', ['up-out-call', [100.0, 110.0, 105.0], 100, 110.0, 2.0], 2.0], ['boundary control 2', ['down-in-put', [100.0, 95.0], 100, 90.0, 1.0], 1.0], ['normal control 1', ['up-in-call', [100.0, 100.0, 90.0, 81.0, 89.1, 84.64, 76.18, 82.27], 95, 115.0, 3.0], 3.0], ['normal control 2', ['down-out-put', [100.0, 100.0, 108.0, 118.8, 128.3], 100, 90.0, 1.5], 0]], [['regression barrier direction 1', ['down-in-call', [100.0, 93.0, 97.65, 107.42, 118.16, 118.16, 127.61], 100, 90.0, 3.0], 3.0], ['regression barrier direction 2', ['up-out-put', [100.0, 93.0, 93.0, 88.35, 95.42, 88.74], 100, 110.0, 0.0], 11.26], ['partial repair probe 1', ['down-out-put', [100.0, 93.0, 102.3], 100, 105.0, 1.5], 1.5], ['partial repair probe 2', ['down-out-put', [100.0, 90.0, 81.0], 95, 105.0, 1.5], 1.5], ['boundary control 1', ['down-in-put', [100.0, 95.0], 100, 90.0, 1.0], 1.0], ['boundary control 2', ['up-out-call', [100.0, 110.0, 105.0], 100, 110.0, 2.0], 2.0], ['normal control 1', ['up-out-put', [100.0, 108.0, 97.2], 95, 115.0, 0.0], 0], ['normal control 2', ['up-out-call', [100.0, 95.0, 104.5, 94.05, 101.57, 91.41], 95, 95.0, 3.0], 3.0]], [['regression barrier direction 1', ['up-out-put', [100.0, 100.0, 100.0], 95, 115.0, 3.0], 0], ['regression barrier direction 2', ['up-out-put', [100.0, 100.0, 110.0, 115.5, 103.95, 96.67, 96.67, 91.84], 100, 120.0, 3.0], 8.16], ['partial repair probe 1', ['up-in-call', [100.0, 108.0, 97.2, 106.92, 115.47, 115.47], 100, 95.0, 1.5], 15.47], ['partial repair probe 2', ['up-out-call', [100.0, 110.0, 110.0, 118.8, 106.92, 115.47], 95, 95.0, 0.0], 0.0], ['boundary control 1', ['up-out-call', [100.0, 110.0, 105.0], 100, 110.0, 2.0], 2.0], ['boundary control 2', ['down-in-put', [100.0, 95.0], 100, 90.0, 1.0], 1.0], ['normal control 1', ['down-in-put', [100.0, 100.0, 100.0, 95.0, 102.6, 112.86], 100, 85.0, 3.0], 3.0], ['normal control 2', ['down-out-put', [100.0, 110.0, 99.0, 108.9, 117.61, 129.37], 105, 80.0, 3.0], 0]], [['regression barrier direction 1', ['down-in-call', [100.0, 95.0, 104.5], 95, 85.0, 0.0], 0.0], ['regression barrier direction 2', ['down-in-call', [100.0, 105.0, 110.25, 99.23, 92.28, 96.89, 96.89, 106.58], 100, 90.0, 3.0], 3.0], ['partial repair probe 1', ['up-out-call', [100.0, 110.0, 115.5, 115.5, 121.28, 109.15], 105, 95.0, 3.0], 3.0], ['partial repair probe 2', ['down-in-put', [100.0, 93.0, 88.35, 95.42], 105, 105.0, 0.0], 9.58], ['boundary control 1', ['down-in-put', [100.0, 95.0], 100, 90.0, 1.0], 1.0], ['boundary control 2', ['up-out-call', [100.0, 110.0, 105.0], 100, 110.0, 2.0], 2.0], ['normal control 1', ['up-out-put', [100.0, 110.0, 115.5, 124.74, 116.01, 104.41, 109.63, 104.15], 105, 115.5, 3.0], 3.0], ['normal control 2', ['up-in-call', [100.0, 108.0, 116.64, 104.98, 113.38, 119.05], 105, 104.98, 1.5], 14.05]]]
for label, args, expected in fixtures[N-1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)
Boundary fixtureActualExpectedOutcome
regression barrier direction 10.00.0Passed
regression barrier direction 24.814.81Passed
partial repair probe 13.00Failed
partial repair probe 217.870.0Failed
boundary control 12.02.0Passed
boundary control 21.01.0Passed
normal control 11.51.5Passed
normal control 23.03.0Passed

SHA-256 / 87732b73612f0f60af7e7ab574881b706f68b23ab53a522937a96922663a4f5e

HELD IN THE MEMBER ARCHIVE

The verified repair and its recorded checks are member-only.

This mechanism has 8 recorded checks per implementation. The open-access tier publishes the failure and the unsuccessful fix; the repaired source that passes every check, and the observations that prove it, are available to members.

Every case sharing this mechanism uses the same contract and the same repair, so this one record is held back for all of them.

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Verification & scope

A deterministic toy contract stated explicitly in the contract field; no claim of conformance to any exchange or clearing rulebook. This reproducer isolates one failure mechanism. Results cover the supplied fixtures. Variants within a family share a test contract and should remain grouped when constructing evaluation splits. Related mechanisms with a shared evaluation_group must also remain together; these controlled models are not independent production incidents.

Observations recorded using Python 3.12.14 at 2026-09-29T14:46:55.495752+00:00.

Case digest / bd401f305a1c085a2a6b7e369465fea98c10354f911e82194be14e03d7ae8908