FA-61467 / Options payoff and settlement / Member archive

Binary option settlement with an at-strike rule: calls finishing exactly at the strike pay in full · case 02

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

Member previewVariant 2 · 3 implementations · 8 checks per implementation

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.

One recorded failure

Sample boundary fixture

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

Boundary fixture	Actual	Expected	Outcome
regression call at-strike rule 1	`100`	`50.0`	Failed

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