FA-61466 / Options payoff and settlement / Open access

Binary option settlement with an at-strike rule: calls finishing exactly at the strike pay in full · case 01

At-the-money calls pay the full amount instead of half.

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

ROOT CAUSE

The call test uses final >= strike with no half-payment case.

VERIFIED REPAIR

Pay half at the strike and full only strictly above it.

Unsuccessful approach: Paying nothing at the strike ignores the half-payment rule.

Case contract

Inputs kind (cash-call, cash-put, asset-call, asset-put), strike, final price and cash amount. Calls are in the money when final > strike, puts when final < strike; at final == strike both pay half. Cash-or-nothing pays the cash amount, asset-or-nothing pays the final price, times the state (1, 0.5 or 0). 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, strike, final, cash_amount):
    if kind.split('-')[1] == 'call':
        state = 1 if final >= strike else 0
    else:
        state = 1 if final < strike else (0.5 if final == strike else 0)
    unit = cash_amount if kind.startswith('cash') else final
    return round(unit * state, 6)
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression call at-strike rule 1', ['asset-call', 95, 95, 100], 47.5], ['regression call at-strike rule 2', ['asset-call', 105, 105, 100], 52.5], ['partial repair probe 1', ['cash-call', 95, 95, 1000], 500.0], ['partial repair probe 2', ['cash-call', 95, 95, 10], 5.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['cash-put', 100, 107, 10], 0], ['normal control 2', ['cash-put', 100, 88, 1000], 1000], ['normal control 3', ['cash-call', 105, 104.5, 10], 0]], [['regression call at-strike rule 1', ['cash-call', 95, 95, 100], 50.0], ['regression call at-strike rule 2', ['asset-call', 105, 105, 10], 52.5], ['partial repair probe 1', ['asset-call', 105, 105, 100], 52.5], ['partial repair probe 2', ['cash-call', 105, 105, 1000], 500.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['asset-call', 100, 88, 1000], 0], ['normal control 2', ['cash-put', 95, 95, 10], 5.0], ['normal control 3', ['cash-put', 105, 93, 10], 10]], [['regression call at-strike rule 1', ['asset-call', 95, 95, 1000], 47.5], ['regression call at-strike rule 2', ['cash-call', 100, 100, 1000], 500.0], ['partial repair probe 1', ['cash-call', 95, 95, 10], 5.0], ['partial repair probe 2', ['cash-call', 95, 95, 1000], 500.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['cash-call', 100, 100.5, 100], 100], ['normal control 2', ['asset-call', 95, 94.5, 1000], 0.0], ['normal control 3', ['cash-put', 105, 112, 10], 0]], [['regression call at-strike rule 1', ['asset-call', 95, 95, 10], 47.5], ['regression call at-strike rule 2', ['cash-call', 95, 95, 1000], 500.0], ['partial repair probe 1', ['cash-call', 105, 105, 10], 5.0], ['partial repair probe 2', ['cash-call', 100, 100, 10], 5.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['asset-call', 95, 94.5, 100], 0.0], ['normal control 2', ['cash-put', 105, 112, 100], 0], ['normal control 3', ['cash-put', 100, 100, 1000], 500.0]], [['regression call at-strike rule 1', ['cash-call', 95, 95, 10], 5.0], ['regression call at-strike rule 2', ['asset-call', 105, 105, 10], 52.5], ['partial repair probe 1', ['asset-call', 100, 100, 10], 50.0], ['partial repair probe 2', ['cash-call', 105, 105, 1000], 500.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['cash-call', 105, 104.5, 10], 0], ['normal control 2', ['cash-put', 95, 95.5, 100], 0], ['normal control 3', ['asset-call', 100, 107, 10], 107]]]
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 fixture	Actual	Expected	Outcome
regression call at-strike rule 1	`95`	`47.5`	Failed
regression call at-strike rule 2	`105`	`52.5`	Failed
partial repair probe 1	`1000`	`500.0`	Failed
partial repair probe 2	`10`	`5.0`	Failed
boundary control 1	`90`	`90`	Passed
normal control 1	`0`	`0`	Passed
normal control 2	`1000`	`1000`	Passed
normal control 3	`0`	`0`	Passed

SHA-256 / 2d6fee8526a113be731148cc2683b83a6826a7d4f23a3c597578f5c1980fb65b

2 / The unsuccessful fix

Exit 1

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

N = 1
observations = []
def solve(kind, strike, final, cash_amount):
    if kind.split('-')[1] == 'call':
        state = 1 if final > strike else 0
    else:
        state = 1 if final < strike else (0.5 if final == strike else 0)
    unit = cash_amount if kind.startswith('cash') else final
    return round(unit * state, 6)
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression call at-strike rule 1', ['asset-call', 95, 95, 100], 47.5], ['regression call at-strike rule 2', ['asset-call', 105, 105, 100], 52.5], ['partial repair probe 1', ['cash-call', 95, 95, 1000], 500.0], ['partial repair probe 2', ['cash-call', 95, 95, 10], 5.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['cash-put', 100, 107, 10], 0], ['normal control 2', ['cash-put', 100, 88, 1000], 1000], ['normal control 3', ['cash-call', 105, 104.5, 10], 0]], [['regression call at-strike rule 1', ['cash-call', 95, 95, 100], 50.0], ['regression call at-strike rule 2', ['asset-call', 105, 105, 10], 52.5], ['partial repair probe 1', ['asset-call', 105, 105, 100], 52.5], ['partial repair probe 2', ['cash-call', 105, 105, 1000], 500.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['asset-call', 100, 88, 1000], 0], ['normal control 2', ['cash-put', 95, 95, 10], 5.0], ['normal control 3', ['cash-put', 105, 93, 10], 10]], [['regression call at-strike rule 1', ['asset-call', 95, 95, 1000], 47.5], ['regression call at-strike rule 2', ['cash-call', 100, 100, 1000], 500.0], ['partial repair probe 1', ['cash-call', 95, 95, 10], 5.0], ['partial repair probe 2', ['cash-call', 95, 95, 1000], 500.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['cash-call', 100, 100.5, 100], 100], ['normal control 2', ['asset-call', 95, 94.5, 1000], 0.0], ['normal control 3', ['cash-put', 105, 112, 10], 0]], [['regression call at-strike rule 1', ['asset-call', 95, 95, 10], 47.5], ['regression call at-strike rule 2', ['cash-call', 95, 95, 1000], 500.0], ['partial repair probe 1', ['cash-call', 105, 105, 10], 5.0], ['partial repair probe 2', ['cash-call', 100, 100, 10], 5.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['asset-call', 95, 94.5, 100], 0.0], ['normal control 2', ['cash-put', 105, 112, 100], 0], ['normal control 3', ['cash-put', 100, 100, 1000], 500.0]], [['regression call at-strike rule 1', ['cash-call', 95, 95, 10], 5.0], ['regression call at-strike rule 2', ['asset-call', 105, 105, 10], 52.5], ['partial repair probe 1', ['asset-call', 100, 100, 10], 50.0], ['partial repair probe 2', ['cash-call', 105, 105, 1000], 500.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['cash-call', 105, 104.5, 10], 0], ['normal control 2', ['cash-put', 95, 95.5, 100], 0], ['normal control 3', ['asset-call', 100, 107, 10], 107]]]
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 fixture	Actual	Expected	Outcome
regression call at-strike rule 1	`0`	`47.5`	Failed
regression call at-strike rule 2	`0`	`52.5`	Failed
partial repair probe 1	`0`	`500.0`	Failed
partial repair probe 2	`0`	`5.0`	Failed
boundary control 1	`90`	`90`	Passed
normal control 1	`0`	`0`	Passed
normal control 2	`1000`	`1000`	Passed
normal control 3	`0`	`0`	Passed

SHA-256 / 3700af2ca354c0ceb48b6e98e3ebfef253be224486cf2f870bf06968c0d8e85d

3 / The verified repair

Exit 0

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

N = 1
observations = []
def solve(kind, strike, final, cash_amount):
    if kind.split('-')[1] == 'call':
        state = 1 if final > strike else (0.5 if final == strike else 0)
    else:
        state = 1 if final < strike else (0.5 if final == strike else 0)
    unit = cash_amount if kind.startswith('cash') else final
    return round(unit * state, 6)
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression call at-strike rule 1', ['asset-call', 95, 95, 100], 47.5], ['regression call at-strike rule 2', ['asset-call', 105, 105, 100], 52.5], ['partial repair probe 1', ['cash-call', 95, 95, 1000], 500.0], ['partial repair probe 2', ['cash-call', 95, 95, 10], 5.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['cash-put', 100, 107, 10], 0], ['normal control 2', ['cash-put', 100, 88, 1000], 1000], ['normal control 3', ['cash-call', 105, 104.5, 10], 0]], [['regression call at-strike rule 1', ['cash-call', 95, 95, 100], 50.0], ['regression call at-strike rule 2', ['asset-call', 105, 105, 10], 52.5], ['partial repair probe 1', ['asset-call', 105, 105, 100], 52.5], ['partial repair probe 2', ['cash-call', 105, 105, 1000], 500.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['asset-call', 100, 88, 1000], 0], ['normal control 2', ['cash-put', 95, 95, 10], 5.0], ['normal control 3', ['cash-put', 105, 93, 10], 10]], [['regression call at-strike rule 1', ['asset-call', 95, 95, 1000], 47.5], ['regression call at-strike rule 2', ['cash-call', 100, 100, 1000], 500.0], ['partial repair probe 1', ['cash-call', 95, 95, 10], 5.0], ['partial repair probe 2', ['cash-call', 95, 95, 1000], 500.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['cash-call', 100, 100.5, 100], 100], ['normal control 2', ['asset-call', 95, 94.5, 1000], 0.0], ['normal control 3', ['cash-put', 105, 112, 10], 0]], [['regression call at-strike rule 1', ['asset-call', 95, 95, 10], 47.5], ['regression call at-strike rule 2', ['cash-call', 95, 95, 1000], 500.0], ['partial repair probe 1', ['cash-call', 105, 105, 10], 5.0], ['partial repair probe 2', ['cash-call', 100, 100, 10], 5.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['asset-call', 95, 94.5, 100], 0.0], ['normal control 2', ['cash-put', 105, 112, 100], 0], ['normal control 3', ['cash-put', 100, 100, 1000], 500.0]], [['regression call at-strike rule 1', ['cash-call', 95, 95, 10], 5.0], ['regression call at-strike rule 2', ['asset-call', 105, 105, 10], 52.5], ['partial repair probe 1', ['asset-call', 100, 100, 10], 50.0], ['partial repair probe 2', ['cash-call', 105, 105, 1000], 500.0], ['boundary control 1', ['asset-put', 100, 90, 10], 90], ['normal control 1', ['cash-call', 105, 104.5, 10], 0], ['normal control 2', ['cash-put', 95, 95.5, 100], 0], ['normal control 3', ['asset-call', 100, 107, 10], 107]]]
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 fixture	Actual	Expected	Outcome
regression call at-strike rule 1	`47.5`	`47.5`	Passed
regression call at-strike rule 2	`52.5`	`52.5`	Passed
partial repair probe 1	`500.0`	`500.0`	Passed
partial repair probe 2	`5.0`	`5.0`	Passed
boundary control 1	`90`	`90`	Passed
normal control 1	`0`	`0`	Passed
normal control 2	`1000`	`1000`	Passed
normal control 3	`0`	`0`	Passed

SHA-256 / 82de5f12707a6e057277c0fef1079ba2ffc28c8892fc02add3551c8cc5df1689

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 2026-09-29T14:46:55.489130+00:00.

Case digest / 54d64bb50c14c416c262a63c15e82bb18cb0e9dabc88253832e1b72546e5c9c2