FA-61715 / Options payoff and settlement / Member archive

Cliquet payoff with local caps and a global floor: the global floor is replaced by zero · case 05

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Member previewVariant 5 · 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 global floor 1	`0.0`	`10000.0`	Failed

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