FA-61687 / Options payoff and settlement / Member archive

Lookback option payoff: the floating put subtracts the maximum from the final price · case 02

Floating-strike puts produce negative payoffs.

Member previewVariant 2 · 3 implementations · 8 checks per implementation

Case contract

Inputs kind, the observed path including initial and final prices, and strike. float-call pays final - min(path); float-put pays max(path) - final; fixed-call pays max(max(path) - K, 0); fixed-put pays max(K - min(path), 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 floating put orientation 1	`-5.72`	`5.72`	Failed

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