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how can that happen??
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It can be easily achieved by applying a sufficient high overvoltage or overcurrent to the respective pin.
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and how the short is still exist even we disconnect the power from the FPGA,is it volatile??
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Simply assume, that a semiconductor structure inside the chip, e.g. an output transistor has been destroyed by applying too much energy and forms a permanent short now.
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and how to protect the I/O pins of the FPGA to not damage any more??
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Design a circuit, that keeps the FPGA's specified maximum ratings in any situation. Exposing FPGA pins directly to "outer world" should be avoided if possible, but with well designed protection networks, it can be safe.