FA-61691 / Options payoff and settlement / Open access

Lookback option payoff: the fixed-strike call payoff can go negative · case 01

Paths that never exceed the strike charge the holder.

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

ROOT CAUSE

The zero floor is missing.

THE FAILURE

The zero floor is missing.

Unsuccessful approach: Requiring the final price above the strike turns the lookback into a vanilla trigger.

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.

1 / The failure

Exit 1

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

N = 1
observations = []
def solve(kind, path, strike):
    final = path[-1]
    if kind == 'float-call':
        pay = final - min(path)
    elif kind == 'float-put':
        pay = max(path) - final
    elif kind == 'fixed-call':
        pay = max(path) - strike
    else:
        pay = max(strike - min(path), 0)
    return round(pay, 6)
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression fixed call floor 1', ['fixed-call', [100.0, 90.0, 99.0], 115], 0], ['regression fixed call floor 2', ['fixed-call', [100.0, 90.0, 99.0, 94.05], 105], 0], ['partial repair probe 1', ['fixed-call', [100.0, 104.0, 98.8, 93.86, 89.17], 100], 4.0], ['partial repair probe 2', ['fixed-call', [100.0, 95.0, 90.25, 93.86, 89.17, 89.17, 89.17], 90], 10.0], ['boundary control 1', ['fixed-put', [100.0, 80.0, 100.0], 100], 20.0], ['boundary control 2', ['float-call', [90.0, 100.0, 95.0], 100], 5.0], ['normal control 1', ['float-put', [114.4, 110.0, 100.0], 100], 14.4], ['normal control 2', ['fixed-put', [100.0, 104.0, 98.8, 102.75], 100], 1.2]], [['regression fixed call floor 1', ['fixed-call', [100.0, 110.0, 104.5], 115], 0], ['regression fixed call floor 2', ['fixed-call', [100.0, 100.0], 115], 0], ['partial repair probe 1', ['fixed-call', [102.96, 102.96, 114.4, 104.0, 100.0, 100.0], 105], 9.4], ['partial repair probe 2', ['fixed-call', [100.0, 95.0, 104.5, 104.5, 94.05, 89.35, 98.28], 100], 4.5], ['boundary control 1', ['fixed-put', [100.0, 80.0, 100.0], 100], 20.0], ['boundary control 2', ['float-call', [90.0, 100.0, 95.0], 100], 5.0], ['normal control 1', ['fixed-put', [100.0, 90.0, 85.5, 81.22, 84.47, 84.47], 100], 18.78], ['normal control 2', ['fixed-put', [100.0, 104.0, 98.8, 93.86, 89.17], 100], 10.83]], [['regression fixed call floor 1', ['fixed-call', [100.0, 110.0], 115], 0], ['regression fixed call floor 2', ['fixed-call', [100.0, 104.0, 104.0, 98.8, 88.92, 92.48], 105], 0], ['partial repair probe 1', ['fixed-call', [104.0, 104.0, 100.0], 100], 4.0], ['partial repair probe 2', ['fixed-call', [100.0, 90.0, 81.0, 81.0, 84.24, 80.03], 90], 10.0], ['boundary control 1', ['fixed-put', [100.0, 80.0, 100.0], 100], 20.0], ['boundary control 2', ['float-call', [90.0, 100.0, 95.0], 100], 5.0], ['normal control 1', ['float-put', [100.0, 95.0, 98.8, 88.92, 84.47, 80.25], 100], 19.75], ['normal control 2', ['fixed-put', [100.0, 100.0, 110.0, 110.0, 104.5, 108.68, 108.68], 115], 15.0]], [['regression fixed call floor 1', ['fixed-call', [94.05, 94.05, 85.5, 90.0, 100.0], 105], 0], ['regression fixed call floor 2', ['fixed-call', [100.0, 95.0, 95.0, 95.0, 104.5, 94.05], 115], 0], ['partial repair probe 1', ['fixed-call', [100.0, 104.0, 98.8], 100], 4.0], ['partial repair probe 2', ['fixed-call', [100.0, 90.0, 81.0, 76.95], 90], 10.0], ['boundary control 1', ['fixed-put', [100.0, 80.0, 100.0], 100], 20.0], ['boundary control 2', ['float-call', [90.0, 100.0, 95.0], 100], 5.0], ['normal control 1', ['float-call', [100.0, 95.0, 95.0, 98.8, 108.68, 97.81], 100], 2.81], ['normal control 2', ['fixed-put', [100.0, 90.0, 99.0, 99.0], 105], 15.0]], [['regression fixed call floor 1', ['fixed-call', [100.0, 100.0, 90.0, 85.5, 76.95], 115], 0], ['regression fixed call floor 2', ['fixed-call', [100.0, 95.0, 95.0, 85.5, 81.22, 81.22, 81.22], 115], 0], ['partial repair probe 1', ['fixed-call', [100.0, 110.0, 99.0, 94.05, 94.05, 84.64, 76.18], 90], 20.0], ['partial repair probe 2', ['fixed-call', [100.0, 95.0, 90.25, 81.23], 90], 10.0], ['boundary control 1', ['fixed-put', [100.0, 80.0, 100.0], 100], 20.0], ['boundary control 2', ['float-call', [90.0, 100.0, 95.0], 100], 5.0], ['normal control 1', ['float-put', [100.0, 110.0, 121.0, 108.9], 100], 12.1], ['normal control 2', ['fixed-put', [100.0, 104.0], 100], 0.0]]]
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 fixed call floor 1	`-15.0`	`0`	Failed
regression fixed call floor 2	`-5.0`	`0`	Failed
partial repair probe 1	`4.0`	`4.0`	Passed
partial repair probe 2	`10.0`	`10.0`	Passed
boundary control 1	`20.0`	`20.0`	Passed
boundary control 2	`5.0`	`5.0`	Passed
normal control 1	`14.4`	`14.4`	Passed
normal control 2	`1.2`	`1.2`	Passed

SHA-256 / 47854b5c85ffc4601b9da33417d0c4753cd9a64541ca1cd3a9143cd864dc41ff

2 / The unsuccessful fix

Exit 1

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

N = 1
observations = []
def solve(kind, path, strike):
    final = path[-1]
    if kind == 'float-call':
        pay = final - min(path)
    elif kind == 'float-put':
        pay = max(path) - final
    elif kind == 'fixed-call':
        pay = max(max(path) - strike, 0) if final > strike else 0
    else:
        pay = max(strike - min(path), 0)
    return round(pay, 6)
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression fixed call floor 1', ['fixed-call', [100.0, 90.0, 99.0], 115], 0], ['regression fixed call floor 2', ['fixed-call', [100.0, 90.0, 99.0, 94.05], 105], 0], ['partial repair probe 1', ['fixed-call', [100.0, 104.0, 98.8, 93.86, 89.17], 100], 4.0], ['partial repair probe 2', ['fixed-call', [100.0, 95.0, 90.25, 93.86, 89.17, 89.17, 89.17], 90], 10.0], ['boundary control 1', ['fixed-put', [100.0, 80.0, 100.0], 100], 20.0], ['boundary control 2', ['float-call', [90.0, 100.0, 95.0], 100], 5.0], ['normal control 1', ['float-put', [114.4, 110.0, 100.0], 100], 14.4], ['normal control 2', ['fixed-put', [100.0, 104.0, 98.8, 102.75], 100], 1.2]], [['regression fixed call floor 1', ['fixed-call', [100.0, 110.0, 104.5], 115], 0], ['regression fixed call floor 2', ['fixed-call', [100.0, 100.0], 115], 0], ['partial repair probe 1', ['fixed-call', [102.96, 102.96, 114.4, 104.0, 100.0, 100.0], 105], 9.4], ['partial repair probe 2', ['fixed-call', [100.0, 95.0, 104.5, 104.5, 94.05, 89.35, 98.28], 100], 4.5], ['boundary control 1', ['fixed-put', [100.0, 80.0, 100.0], 100], 20.0], ['boundary control 2', ['float-call', [90.0, 100.0, 95.0], 100], 5.0], ['normal control 1', ['fixed-put', [100.0, 90.0, 85.5, 81.22, 84.47, 84.47], 100], 18.78], ['normal control 2', ['fixed-put', [100.0, 104.0, 98.8, 93.86, 89.17], 100], 10.83]], [['regression fixed call floor 1', ['fixed-call', [100.0, 110.0], 115], 0], ['regression fixed call floor 2', ['fixed-call', [100.0, 104.0, 104.0, 98.8, 88.92, 92.48], 105], 0], ['partial repair probe 1', ['fixed-call', [104.0, 104.0, 100.0], 100], 4.0], ['partial repair probe 2', ['fixed-call', [100.0, 90.0, 81.0, 81.0, 84.24, 80.03], 90], 10.0], ['boundary control 1', ['fixed-put', [100.0, 80.0, 100.0], 100], 20.0], ['boundary control 2', ['float-call', [90.0, 100.0, 95.0], 100], 5.0], ['normal control 1', ['float-put', [100.0, 95.0, 98.8, 88.92, 84.47, 80.25], 100], 19.75], ['normal control 2', ['fixed-put', [100.0, 100.0, 110.0, 110.0, 104.5, 108.68, 108.68], 115], 15.0]], [['regression fixed call floor 1', ['fixed-call', [94.05, 94.05, 85.5, 90.0, 100.0], 105], 0], ['regression fixed call floor 2', ['fixed-call', [100.0, 95.0, 95.0, 95.0, 104.5, 94.05], 115], 0], ['partial repair probe 1', ['fixed-call', [100.0, 104.0, 98.8], 100], 4.0], ['partial repair probe 2', ['fixed-call', [100.0, 90.0, 81.0, 76.95], 90], 10.0], ['boundary control 1', ['fixed-put', [100.0, 80.0, 100.0], 100], 20.0], ['boundary control 2', ['float-call', [90.0, 100.0, 95.0], 100], 5.0], ['normal control 1', ['float-call', [100.0, 95.0, 95.0, 98.8, 108.68, 97.81], 100], 2.81], ['normal control 2', ['fixed-put', [100.0, 90.0, 99.0, 99.0], 105], 15.0]], [['regression fixed call floor 1', ['fixed-call', [100.0, 100.0, 90.0, 85.5, 76.95], 115], 0], ['regression fixed call floor 2', ['fixed-call', [100.0, 95.0, 95.0, 85.5, 81.22, 81.22, 81.22], 115], 0], ['partial repair probe 1', ['fixed-call', [100.0, 110.0, 99.0, 94.05, 94.05, 84.64, 76.18], 90], 20.0], ['partial repair probe 2', ['fixed-call', [100.0, 95.0, 90.25, 81.23], 90], 10.0], ['boundary control 1', ['fixed-put', [100.0, 80.0, 100.0], 100], 20.0], ['boundary control 2', ['float-call', [90.0, 100.0, 95.0], 100], 5.0], ['normal control 1', ['float-put', [100.0, 110.0, 121.0, 108.9], 100], 12.1], ['normal control 2', ['fixed-put', [100.0, 104.0], 100], 0.0]]]
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 fixed call floor 1	`0`	`0`	Passed
regression fixed call floor 2	`0`	`0`	Passed
partial repair probe 1	`0`	`4.0`	Failed
partial repair probe 2	`0`	`10.0`	Failed
boundary control 1	`20.0`	`20.0`	Passed
boundary control 2	`5.0`	`5.0`	Passed
normal control 1	`14.4`	`14.4`	Passed
normal control 2	`1.2`	`1.2`	Passed

SHA-256 / fad585a5bd6e031b8651254c553fab3ed4930cd62c91c19161a2c99f57912ddd

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.

Member access is invitation-based. Sign in with your invited account to inspect the repair.

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 2026-09-29T14:46:57.551624+00:00.

Case digest / 8373d6173bcfc535286a63ff759d64aeb51913aa2e85be3ce4a3df0c30dcacf0