FAILURE MAP
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FA-61776 / Options payoff and settlement / Open access

Early call exercise before an ex-dividend date: early exercise is considered on any day · case 01

Calls are exercised days before the dividend is relevant.

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

ROOT CAUSE

The last-cum-day condition is not checked.

THE FAILURE

The last-cum-day condition is not checked.

Unsuccessful approach: Inverting the flag exercises on every other day.

Case contract

Inputs call price, spot, strike, dividend and whether today is the last cum-dividend day. Exercise only on the last cum-dividend day, only if the call is in the money, and only if the dividend is strictly greater than the call's extrinsic value (price - intrinsic). Amounts compared exactly in cents. Return true/false.

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(call_price, S, K, dividend, last_cum_day):
    c = round(call_price * 100)
    intrinsic = max(round(S * 100) - round(K * 100), 0)
    if intrinsic == 0:
        return False
    extrinsic = c - intrinsic
    return round(dividend * 100) > extrinsic
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression timing gate 1', [10.25, 120.0, 110.0, 0.5, False], False], ['regression timing gate 2', [10.05, 100.0, 90.0, 0.060000000000000005, False], False], ['partial repair probe 1', [15.05, 105.0, 90.0, 0.5, True], True], ['partial repair probe 2', [5.5, 105.0, 100.0, 0.51, True], True], ['boundary control 1', [10.5, 110.0, 100.0, 0.5, True], False], ['normal control 1', [11.0, 100.0, 90.0, 1.0, True], False], ['normal control 2', [0.25, 105.0, 110.0, 0.5, True], False], ['normal control 3', [1.5, 98.0, 110.0, 1.0, False], False]], [['regression timing gate 1', [5.25, 105.0, 100.0, 1.0, False], False], ['regression timing gate 2', [16.0, 105.0, 90.0, 1.01, False], False], ['partial repair probe 1', [10.25, 120.0, 110.0, 0.26, True], True], ['partial repair probe 2', [15.25, 105.0, 90.0, 0.26, True], True], ['boundary control 1', [10.5, 110.0, 100.0, 0.5, True], False], ['normal control 1', [0.05, 100.0, 110.0, 0.5, True], False], ['normal control 2', [1.0, 100.0, 110.0, 0.25, False], False], ['normal control 3', [10.5, 100.0, 90.0, 0.5, True], False]], [['regression timing gate 1', [15.25, 105.0, 90.0, 1.0, False], False], ['regression timing gate 2', [5.05, 105.0, 100.0, 0.060000000000000005, False], False], ['partial repair probe 1', [15.25, 105.0, 90.0, 0.26, True], True], ['partial repair probe 2', [20.5, 120.0, 100.0, 1.0, True], True], ['boundary control 1', [10.5, 110.0, 100.0, 0.5, True], False], ['normal control 1', [15.25, 105.0, 90.0, 0.25, True], False], ['normal control 2', [1.5, 105.0, 110.0, 1.51, True], False], ['normal control 3', [0.5, 100.0, 110.0, 0.5, False], False]], [['regression timing gate 1', [8.05, 98.0, 90.0, 0.060000000000000005, False], False], ['regression timing gate 2', [5.25, 105.0, 100.0, 1.0, False], False], ['partial repair probe 1', [5.5, 105.0, 100.0, 1.0, True], True], ['partial repair probe 2', [20.05, 120.0, 100.0, 0.5, True], True], ['boundary control 1', [10.5, 110.0, 100.0, 0.5, True], False], ['normal control 1', [21.0, 120.0, 100.0, 0.5, True], False], ['normal control 2', [31.5, 120.0, 90.0, 0.25, False], False], ['normal control 3', [6.0, 105.0, 100.0, 1.0, False], False]], [['regression timing gate 1', [8.05, 98.0, 90.0, 1.0, False], False], ['regression timing gate 2', [10.25, 120.0, 110.0, 1.0, False], False], ['partial repair probe 1', [10.25, 100.0, 90.0, 0.5, True], True], ['partial repair probe 2', [21.0, 120.0, 100.0, 1.01, True], True], ['boundary control 1', [10.5, 110.0, 100.0, 0.5, True], False], ['normal control 1', [0.05, 98.0, 110.0, 0.05, False], False], ['normal control 2', [1.5, 100.0, 110.0, 1.51, True], False], ['normal control 3', [10.5, 120.0, 110.0, 0.5, True], False]]]
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 fixtureActualExpectedOutcome
regression timing gate 1TrueFalseFailed
regression timing gate 2TrueFalseFailed
partial repair probe 1TrueTruePassed
partial repair probe 2TrueTruePassed
boundary control 1FalseFalsePassed
normal control 1FalseFalsePassed
normal control 2FalseFalsePassed
normal control 3FalseFalsePassed

SHA-256 / 27a21ca4e72bd908e01fd2eb1b4653932837c0d25b8ff4e5a07fe3a223b3b5af

2 / The unsuccessful fix

Exit 1
"""Failure Map reference implementation. Python standard library only."""
import json

N = 1
observations = []
def solve(call_price, S, K, dividend, last_cum_day):
    c = round(call_price * 100)
    intrinsic = max(round(S * 100) - round(K * 100), 0)
    if last_cum_day or intrinsic == 0:
        return False
    extrinsic = c - intrinsic
    return round(dividend * 100) > extrinsic
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression timing gate 1', [10.25, 120.0, 110.0, 0.5, False], False], ['regression timing gate 2', [10.05, 100.0, 90.0, 0.060000000000000005, False], False], ['partial repair probe 1', [15.05, 105.0, 90.0, 0.5, True], True], ['partial repair probe 2', [5.5, 105.0, 100.0, 0.51, True], True], ['boundary control 1', [10.5, 110.0, 100.0, 0.5, True], False], ['normal control 1', [11.0, 100.0, 90.0, 1.0, True], False], ['normal control 2', [0.25, 105.0, 110.0, 0.5, True], False], ['normal control 3', [1.5, 98.0, 110.0, 1.0, False], False]], [['regression timing gate 1', [5.25, 105.0, 100.0, 1.0, False], False], ['regression timing gate 2', [16.0, 105.0, 90.0, 1.01, False], False], ['partial repair probe 1', [10.25, 120.0, 110.0, 0.26, True], True], ['partial repair probe 2', [15.25, 105.0, 90.0, 0.26, True], True], ['boundary control 1', [10.5, 110.0, 100.0, 0.5, True], False], ['normal control 1', [0.05, 100.0, 110.0, 0.5, True], False], ['normal control 2', [1.0, 100.0, 110.0, 0.25, False], False], ['normal control 3', [10.5, 100.0, 90.0, 0.5, True], False]], [['regression timing gate 1', [15.25, 105.0, 90.0, 1.0, False], False], ['regression timing gate 2', [5.05, 105.0, 100.0, 0.060000000000000005, False], False], ['partial repair probe 1', [15.25, 105.0, 90.0, 0.26, True], True], ['partial repair probe 2', [20.5, 120.0, 100.0, 1.0, True], True], ['boundary control 1', [10.5, 110.0, 100.0, 0.5, True], False], ['normal control 1', [15.25, 105.0, 90.0, 0.25, True], False], ['normal control 2', [1.5, 105.0, 110.0, 1.51, True], False], ['normal control 3', [0.5, 100.0, 110.0, 0.5, False], False]], [['regression timing gate 1', [8.05, 98.0, 90.0, 0.060000000000000005, False], False], ['regression timing gate 2', [5.25, 105.0, 100.0, 1.0, False], False], ['partial repair probe 1', [5.5, 105.0, 100.0, 1.0, True], True], ['partial repair probe 2', [20.05, 120.0, 100.0, 0.5, True], True], ['boundary control 1', [10.5, 110.0, 100.0, 0.5, True], False], ['normal control 1', [21.0, 120.0, 100.0, 0.5, True], False], ['normal control 2', [31.5, 120.0, 90.0, 0.25, False], False], ['normal control 3', [6.0, 105.0, 100.0, 1.0, False], False]], [['regression timing gate 1', [8.05, 98.0, 90.0, 1.0, False], False], ['regression timing gate 2', [10.25, 120.0, 110.0, 1.0, False], False], ['partial repair probe 1', [10.25, 100.0, 90.0, 0.5, True], True], ['partial repair probe 2', [21.0, 120.0, 100.0, 1.01, True], True], ['boundary control 1', [10.5, 110.0, 100.0, 0.5, True], False], ['normal control 1', [0.05, 98.0, 110.0, 0.05, False], False], ['normal control 2', [1.5, 100.0, 110.0, 1.51, True], False], ['normal control 3', [10.5, 120.0, 110.0, 0.5, True], False]]]
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 fixtureActualExpectedOutcome
regression timing gate 1TrueFalseFailed
regression timing gate 2TrueFalseFailed
partial repair probe 1FalseTrueFailed
partial repair probe 2FalseTrueFailed
boundary control 1FalseFalsePassed
normal control 1FalseFalsePassed
normal control 2FalseFalsePassed
normal control 3FalseFalsePassed

SHA-256 / 61d15b219eb7d346509f9359e7908cf67f1d7bf1d08f151843a6fc296606c577

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.

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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 2026-09-29T14:46:58.422101+00:00.

Case digest / 2b5f077ad40d89dc98b01a9e1bc2d49b6523252ed715f1063b36f445c472d9a2