FA-61708 / Options payoff and settlement / Member archive

Cliquet payoff with local caps and a global floor: only the local cap is applied · case 03

Large negative periods are not floored.

Member previewVariant 3 · 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 local clipping 1	`0.0`	`109952.348536`	Failed

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