FA-61704 / Options payoff and settlement / Member archive

Cliquet payoff with local caps and a global floor: returns are measured from the initial level · case 04

Later periods compound earlier moves into their returns.

Member previewVariant 4 · 3 implementations · 8 checks per implementation

Case contract

Inputs reset prices (first is the initial level), local cap, local floor, global floor and notional. Each period return is S_i/S_{i-1} - 1 clipped to [local floor, local cap]. Payoff = notional * max(global floor, sum of clipped returns), in exact fractions, rounded 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 period return base 1	`270000.0`	`260000.0`	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.