FA-61808 / Options payoff and settlement / Member archive

Put-call parity violation detector: the strike is not discounted · case 03

Parity checks flag every fairly priced pair when rates are positive.

Member previewVariant 3 · 3 implementations · 8 checks per implementation

Case contract

Inputs call price C, put price P, S, K, r, T, dividend yield q and tolerance. v = (C - P) - (S e^{-qT} - K e^{-rT}). If |v| <= tol return ["none", 0.0]; if v > 0 return ["sell call buy put", v]; else ["buy call sell put", -v], amounts 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 strike discounting 1	`["sell call buy put", 1.4888]`	`["none", 0.0]`	Failed

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