FA-61692 / Options payoff and settlement / Member archive

Lookback option payoff: the fixed-strike call payoff can go negative · case 02

Paths that never exceed the strike charge the holder.

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 fixed call floor 1	`-5.0`	`0`	Failed

MEMBER ARCHIVE

The complete case is available to members.

This record includes three runnable implementations, regression fixtures, execution results, and source hashes.

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