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FA-61596 / Options payoff and settlement / Open access

Listed option expiration date calendar: holiday expiries roll forward · case 01

An expiry Friday that is a holiday moves to the following Monday.

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

ROOT CAUSE

The business-day adjustment steps forward instead of backward.

VERIFIED REPAIR

Roll back to the preceding business day.

Unsuccessful approach: Stepping back a single day can land on another holiday.

Case contract

Inputs year, month, kind and holidays. Monthly expiry is the third Friday of the month; quarterly expiry is the last calendar day of the quarter-end month (Mar/Jun/Sep/Dec) containing the month. Either date rolls back to the preceding business day (weekday not in holidays) when it is not a business day. Return [y,m,d].

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
import datetime
N = 1
observations = []
def solve(y, m, kind, holidays):
    H = {datetime.date(*h) for h in holidays}
    def biz(x):
        return x.weekday() < 5 and x not in H
    def mlen(yy, mm):
        if mm == 2:
            return 29 if (yy % 4 == 0 and yy % 100 != 0) or yy % 400 == 0 else 28
        return 30 if mm in (4, 6, 9, 11) else 31
    if kind == 'quarterly':
        qm = ((m - 1) // 3 + 1) * 3
        x = datetime.date(y, qm, mlen(y, qm))
    else:
        first = datetime.date(y, m, 1)
        offset = (4 - first.weekday()) % 7
        x = first + datetime.timedelta(days=offset + 14)
    while not biz(x):
        x += datetime.timedelta(days=1)
    return [x.year, x.month, x.day]
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression holiday roll direction 1', [2030, 5, 'quarterly', [[2030, 6, 30]]], [2030, 6, 28]], ['regression holiday roll direction 2', [2032, 12, 'monthly', [[2032, 12, 17], [2032, 12, 16]]], [2032, 12, 15]], ['partial repair probe 1', [2032, 5, 'monthly', [[2032, 5, 21], [2032, 5, 20]]], [2032, 5, 19]], ['partial repair probe 2', [2021, 2, 'monthly', [[2021, 2, 19], [2021, 2, 18]]], [2021, 2, 17]], ['boundary control 1', [2024, 12, 'quarterly', []], [2024, 12, 31]], ['boundary control 2', [2024, 6, 'monthly', []], [2024, 6, 21]], ['normal control 1', [2022, 2, 'quarterly', []], [2022, 3, 31]], ['normal control 2', [2031, 4, 'quarterly', [[2031, 4, 18], [2031, 4, 17], [2031, 6, 27]]], [2031, 6, 30]]], [['regression holiday roll direction 1', [2028, 9, 'quarterly', [[2028, 9, 15], [2028, 9, 14], [2028, 9, 27]]], [2028, 9, 29]], ['regression holiday roll direction 2', [2028, 10, 'quarterly', []], [2028, 12, 29]], ['partial repair probe 1', [2024, 6, 'quarterly', [[2024, 6, 21], [2024, 6, 20]]], [2024, 6, 28]], ['partial repair probe 2', [2021, 9, 'monthly', [[2021, 9, 17], [2021, 9, 16]]], [2021, 9, 15]], ['boundary control 1', [2024, 6, 'monthly', []], [2024, 6, 21]], ['boundary control 2', [2024, 12, 'quarterly', []], [2024, 12, 31]], ['normal control 1', [2029, 2, 'monthly', []], [2029, 2, 16]], ['normal control 2', [2023, 11, 'monthly', []], [2023, 11, 17]]], [['regression holiday roll direction 1', [2029, 6, 'quarterly', [[2029, 6, 15]]], [2029, 6, 29]], ['regression holiday roll direction 2', [2025, 12, 'monthly', [[2025, 12, 19], [2025, 12, 18]]], [2025, 12, 17]], ['partial repair probe 1', [2029, 9, 'monthly', [[2029, 9, 21], [2029, 9, 20]]], [2029, 9, 19]], ['partial repair probe 2', [2022, 3, 'monthly', [[2022, 3, 18], [2022, 3, 17]]], [2022, 3, 16]], ['boundary control 1', [2024, 3, 'monthly', []], [2024, 3, 15]], ['boundary control 2', [2024, 6, 'monthly', []], [2024, 6, 21]], ['normal control 1', [2026, 2, 'quarterly', [[2026, 3, 30]]], [2026, 3, 31]], ['normal control 2', [2020, 8, 'quarterly', [[2020, 8, 21]]], [2020, 9, 30]]], [['regression holiday roll direction 1', [2029, 8, 'quarterly', []], [2029, 9, 28]], ['regression holiday roll direction 2', [2023, 5, 'monthly', [[2023, 5, 19], [2023, 5, 18]]], [2023, 5, 17]], ['partial repair probe 1', [2028, 12, 'quarterly', [[2028, 12, 29]]], [2028, 12, 28]], ['partial repair probe 2', [2030, 3, 'monthly', [[2030, 3, 15], [2030, 3, 14]]], [2030, 3, 13]], ['boundary control 1', [2024, 3, 'monthly', []], [2024, 3, 15]], ['boundary control 2', [2024, 6, 'monthly', []], [2024, 6, 21]], ['normal control 1', [2030, 10, 'monthly', []], [2030, 10, 18]], ['normal control 2', [2025, 7, 'monthly', []], [2025, 7, 18]]], [['regression holiday roll direction 1', [2024, 4, 'quarterly', [[2024, 6, 28]]], [2024, 6, 27]], ['regression holiday roll direction 2', [2024, 6, 'quarterly', [[2024, 6, 30]]], [2024, 6, 28]], ['partial repair probe 1', [2032, 2, 'monthly', [[2032, 2, 20], [2032, 2, 19]]], [2032, 2, 18]], ['partial repair probe 2', [2032, 4, 'monthly', [[2032, 4, 16], [2032, 4, 15]]], [2032, 4, 14]], ['boundary control 1', [2024, 3, 'monthly', []], [2024, 3, 15]], ['boundary control 2', [2024, 12, 'quarterly', []], [2024, 12, 31]], ['normal control 1', [2031, 12, 'monthly', []], [2031, 12, 19]], ['normal control 2', [2029, 4, 'monthly', []], [2029, 4, 20]]]]
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 holiday roll direction 1[2030, 7, 1][2030, 6, 28]Failed
regression holiday roll direction 2[2032, 12, 20][2032, 12, 15]Failed
partial repair probe 1[2032, 5, 24][2032, 5, 19]Failed
partial repair probe 2[2021, 2, 22][2021, 2, 17]Failed
boundary control 1[2024, 12, 31][2024, 12, 31]Passed
boundary control 2[2024, 6, 21][2024, 6, 21]Passed
normal control 1[2022, 3, 31][2022, 3, 31]Passed
normal control 2[2031, 6, 30][2031, 6, 30]Passed

SHA-256 / 8edfc6037ef90950bf489ef9b0cc0cb916384dac0923a0a6a5b1c9d66218f661

2 / The unsuccessful fix

Exit 1
"""Failure Map reference implementation. Python standard library only."""
import json
import datetime
N = 1
observations = []
def solve(y, m, kind, holidays):
    H = {datetime.date(*h) for h in holidays}
    def biz(x):
        return x.weekday() < 5 and x not in H
    def mlen(yy, mm):
        if mm == 2:
            return 29 if (yy % 4 == 0 and yy % 100 != 0) or yy % 400 == 0 else 28
        return 30 if mm in (4, 6, 9, 11) else 31
    if kind == 'quarterly':
        qm = ((m - 1) // 3 + 1) * 3
        x = datetime.date(y, qm, mlen(y, qm))
    else:
        first = datetime.date(y, m, 1)
        offset = (4 - first.weekday()) % 7
        x = first + datetime.timedelta(days=offset + 14)
    if not biz(x):
        x -= datetime.timedelta(days=1)
    return [x.year, x.month, x.day]
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression holiday roll direction 1', [2030, 5, 'quarterly', [[2030, 6, 30]]], [2030, 6, 28]], ['regression holiday roll direction 2', [2032, 12, 'monthly', [[2032, 12, 17], [2032, 12, 16]]], [2032, 12, 15]], ['partial repair probe 1', [2032, 5, 'monthly', [[2032, 5, 21], [2032, 5, 20]]], [2032, 5, 19]], ['partial repair probe 2', [2021, 2, 'monthly', [[2021, 2, 19], [2021, 2, 18]]], [2021, 2, 17]], ['boundary control 1', [2024, 12, 'quarterly', []], [2024, 12, 31]], ['boundary control 2', [2024, 6, 'monthly', []], [2024, 6, 21]], ['normal control 1', [2022, 2, 'quarterly', []], [2022, 3, 31]], ['normal control 2', [2031, 4, 'quarterly', [[2031, 4, 18], [2031, 4, 17], [2031, 6, 27]]], [2031, 6, 30]]], [['regression holiday roll direction 1', [2028, 9, 'quarterly', [[2028, 9, 15], [2028, 9, 14], [2028, 9, 27]]], [2028, 9, 29]], ['regression holiday roll direction 2', [2028, 10, 'quarterly', []], [2028, 12, 29]], ['partial repair probe 1', [2024, 6, 'quarterly', [[2024, 6, 21], [2024, 6, 20]]], [2024, 6, 28]], ['partial repair probe 2', [2021, 9, 'monthly', [[2021, 9, 17], [2021, 9, 16]]], [2021, 9, 15]], ['boundary control 1', [2024, 6, 'monthly', []], [2024, 6, 21]], ['boundary control 2', [2024, 12, 'quarterly', []], [2024, 12, 31]], ['normal control 1', [2029, 2, 'monthly', []], [2029, 2, 16]], ['normal control 2', [2023, 11, 'monthly', []], [2023, 11, 17]]], [['regression holiday roll direction 1', [2029, 6, 'quarterly', [[2029, 6, 15]]], [2029, 6, 29]], ['regression holiday roll direction 2', [2025, 12, 'monthly', [[2025, 12, 19], [2025, 12, 18]]], [2025, 12, 17]], ['partial repair probe 1', [2029, 9, 'monthly', [[2029, 9, 21], [2029, 9, 20]]], [2029, 9, 19]], ['partial repair probe 2', [2022, 3, 'monthly', [[2022, 3, 18], [2022, 3, 17]]], [2022, 3, 16]], ['boundary control 1', [2024, 3, 'monthly', []], [2024, 3, 15]], ['boundary control 2', [2024, 6, 'monthly', []], [2024, 6, 21]], ['normal control 1', [2026, 2, 'quarterly', [[2026, 3, 30]]], [2026, 3, 31]], ['normal control 2', [2020, 8, 'quarterly', [[2020, 8, 21]]], [2020, 9, 30]]], [['regression holiday roll direction 1', [2029, 8, 'quarterly', []], [2029, 9, 28]], ['regression holiday roll direction 2', [2023, 5, 'monthly', [[2023, 5, 19], [2023, 5, 18]]], [2023, 5, 17]], ['partial repair probe 1', [2028, 12, 'quarterly', [[2028, 12, 29]]], [2028, 12, 28]], ['partial repair probe 2', [2030, 3, 'monthly', [[2030, 3, 15], [2030, 3, 14]]], [2030, 3, 13]], ['boundary control 1', [2024, 3, 'monthly', []], [2024, 3, 15]], ['boundary control 2', [2024, 6, 'monthly', []], [2024, 6, 21]], ['normal control 1', [2030, 10, 'monthly', []], [2030, 10, 18]], ['normal control 2', [2025, 7, 'monthly', []], [2025, 7, 18]]], [['regression holiday roll direction 1', [2024, 4, 'quarterly', [[2024, 6, 28]]], [2024, 6, 27]], ['regression holiday roll direction 2', [2024, 6, 'quarterly', [[2024, 6, 30]]], [2024, 6, 28]], ['partial repair probe 1', [2032, 2, 'monthly', [[2032, 2, 20], [2032, 2, 19]]], [2032, 2, 18]], ['partial repair probe 2', [2032, 4, 'monthly', [[2032, 4, 16], [2032, 4, 15]]], [2032, 4, 14]], ['boundary control 1', [2024, 3, 'monthly', []], [2024, 3, 15]], ['boundary control 2', [2024, 12, 'quarterly', []], [2024, 12, 31]], ['normal control 1', [2031, 12, 'monthly', []], [2031, 12, 19]], ['normal control 2', [2029, 4, 'monthly', []], [2029, 4, 20]]]]
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 holiday roll direction 1[2030, 6, 29][2030, 6, 28]Failed
regression holiday roll direction 2[2032, 12, 16][2032, 12, 15]Failed
partial repair probe 1[2032, 5, 20][2032, 5, 19]Failed
partial repair probe 2[2021, 2, 18][2021, 2, 17]Failed
boundary control 1[2024, 12, 31][2024, 12, 31]Passed
boundary control 2[2024, 6, 21][2024, 6, 21]Passed
normal control 1[2022, 3, 31][2022, 3, 31]Passed
normal control 2[2031, 6, 30][2031, 6, 30]Passed

SHA-256 / dd4833851936d768178f13a68ad28761661520b273a65921f544fbab7f03d691

3 / The verified repair

Exit 0
"""Failure Map reference implementation. Python standard library only."""
import json
import datetime
N = 1
observations = []
def solve(y, m, kind, holidays):
    H = {datetime.date(*h) for h in holidays}
    def biz(x):
        return x.weekday() < 5 and x not in H
    def mlen(yy, mm):
        if mm == 2:
            return 29 if (yy % 4 == 0 and yy % 100 != 0) or yy % 400 == 0 else 28
        return 30 if mm in (4, 6, 9, 11) else 31
    if kind == 'quarterly':
        qm = ((m - 1) // 3 + 1) * 3
        x = datetime.date(y, qm, mlen(y, qm))
    else:
        first = datetime.date(y, m, 1)
        offset = (4 - first.weekday()) % 7
        x = first + datetime.timedelta(days=offset + 14)
    while not biz(x):
        x -= datetime.timedelta(days=1)
    return [x.year, x.month, x.day]
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression holiday roll direction 1', [2030, 5, 'quarterly', [[2030, 6, 30]]], [2030, 6, 28]], ['regression holiday roll direction 2', [2032, 12, 'monthly', [[2032, 12, 17], [2032, 12, 16]]], [2032, 12, 15]], ['partial repair probe 1', [2032, 5, 'monthly', [[2032, 5, 21], [2032, 5, 20]]], [2032, 5, 19]], ['partial repair probe 2', [2021, 2, 'monthly', [[2021, 2, 19], [2021, 2, 18]]], [2021, 2, 17]], ['boundary control 1', [2024, 12, 'quarterly', []], [2024, 12, 31]], ['boundary control 2', [2024, 6, 'monthly', []], [2024, 6, 21]], ['normal control 1', [2022, 2, 'quarterly', []], [2022, 3, 31]], ['normal control 2', [2031, 4, 'quarterly', [[2031, 4, 18], [2031, 4, 17], [2031, 6, 27]]], [2031, 6, 30]]], [['regression holiday roll direction 1', [2028, 9, 'quarterly', [[2028, 9, 15], [2028, 9, 14], [2028, 9, 27]]], [2028, 9, 29]], ['regression holiday roll direction 2', [2028, 10, 'quarterly', []], [2028, 12, 29]], ['partial repair probe 1', [2024, 6, 'quarterly', [[2024, 6, 21], [2024, 6, 20]]], [2024, 6, 28]], ['partial repair probe 2', [2021, 9, 'monthly', [[2021, 9, 17], [2021, 9, 16]]], [2021, 9, 15]], ['boundary control 1', [2024, 6, 'monthly', []], [2024, 6, 21]], ['boundary control 2', [2024, 12, 'quarterly', []], [2024, 12, 31]], ['normal control 1', [2029, 2, 'monthly', []], [2029, 2, 16]], ['normal control 2', [2023, 11, 'monthly', []], [2023, 11, 17]]], [['regression holiday roll direction 1', [2029, 6, 'quarterly', [[2029, 6, 15]]], [2029, 6, 29]], ['regression holiday roll direction 2', [2025, 12, 'monthly', [[2025, 12, 19], [2025, 12, 18]]], [2025, 12, 17]], ['partial repair probe 1', [2029, 9, 'monthly', [[2029, 9, 21], [2029, 9, 20]]], [2029, 9, 19]], ['partial repair probe 2', [2022, 3, 'monthly', [[2022, 3, 18], [2022, 3, 17]]], [2022, 3, 16]], ['boundary control 1', [2024, 3, 'monthly', []], [2024, 3, 15]], ['boundary control 2', [2024, 6, 'monthly', []], [2024, 6, 21]], ['normal control 1', [2026, 2, 'quarterly', [[2026, 3, 30]]], [2026, 3, 31]], ['normal control 2', [2020, 8, 'quarterly', [[2020, 8, 21]]], [2020, 9, 30]]], [['regression holiday roll direction 1', [2029, 8, 'quarterly', []], [2029, 9, 28]], ['regression holiday roll direction 2', [2023, 5, 'monthly', [[2023, 5, 19], [2023, 5, 18]]], [2023, 5, 17]], ['partial repair probe 1', [2028, 12, 'quarterly', [[2028, 12, 29]]], [2028, 12, 28]], ['partial repair probe 2', [2030, 3, 'monthly', [[2030, 3, 15], [2030, 3, 14]]], [2030, 3, 13]], ['boundary control 1', [2024, 3, 'monthly', []], [2024, 3, 15]], ['boundary control 2', [2024, 6, 'monthly', []], [2024, 6, 21]], ['normal control 1', [2030, 10, 'monthly', []], [2030, 10, 18]], ['normal control 2', [2025, 7, 'monthly', []], [2025, 7, 18]]], [['regression holiday roll direction 1', [2024, 4, 'quarterly', [[2024, 6, 28]]], [2024, 6, 27]], ['regression holiday roll direction 2', [2024, 6, 'quarterly', [[2024, 6, 30]]], [2024, 6, 28]], ['partial repair probe 1', [2032, 2, 'monthly', [[2032, 2, 20], [2032, 2, 19]]], [2032, 2, 18]], ['partial repair probe 2', [2032, 4, 'monthly', [[2032, 4, 16], [2032, 4, 15]]], [2032, 4, 14]], ['boundary control 1', [2024, 3, 'monthly', []], [2024, 3, 15]], ['boundary control 2', [2024, 12, 'quarterly', []], [2024, 12, 31]], ['normal control 1', [2031, 12, 'monthly', []], [2031, 12, 19]], ['normal control 2', [2029, 4, 'monthly', []], [2029, 4, 20]]]]
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 holiday roll direction 1[2030, 6, 28][2030, 6, 28]Passed
regression holiday roll direction 2[2032, 12, 15][2032, 12, 15]Passed
partial repair probe 1[2032, 5, 19][2032, 5, 19]Passed
partial repair probe 2[2021, 2, 17][2021, 2, 17]Passed
boundary control 1[2024, 12, 31][2024, 12, 31]Passed
boundary control 2[2024, 6, 21][2024, 6, 21]Passed
normal control 1[2022, 3, 31][2022, 3, 31]Passed
normal control 2[2031, 6, 30][2031, 6, 30]Passed

SHA-256 / cc2c330fb9cde03517ae4d1703fb2a3cdc82c35b1c515c19488b7c3c2dfaede6

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 2026-09-29T14:46:56.745965+00:00.

Case digest / 934abe187ec93d0eaee14366b7911aff9082b945d04ae8ba435577721408c337