optionchain_simulator 0.2.17

//! Which strikes a simulation quotes, and for how long.
//!
//! Upstream rebuilds the strike ladder around the CURRENT underlying at every
//! step, so the set of quoted contracts follows the spot. `chain_size` fixes how
//! many strikes are quoted; it does not fix which. Measured on a live v2
//! simulation, a spot move of 0.27 percent over two steps was enough for the
//! 4850 strike to leave the chain.
//!
//! For a client browsing a chain that is the right behaviour. For a client
//! HOLDING a position it is not: a leg opened at 4850 cannot be marked, closed
//! or settled at a step where 4850 does not exist, and over the 500 steps of the
//! reference scenario that is the normal case rather than an edge one. A
//! defined-risk structure loses its furthest wings first, which are exactly the
//! legs that cap its risk.
//!
//! [`StrikeLadder::Pinned`] answers that by fixing the contract universe at
//! creation: the ladder is computed once from `initial_price`, `chain_size` and
//! `strike_interval`, and every step quotes that same set. A simulation becomes
//! a closed world for its whole life, which is what makes a position in it well
//! defined. [`StrikeLadder::Rolling`] is the default and is exactly what the
//! service did before.
//!
//! # How a pinned ladder is served
//!
//! Upstream anchors every chain at `rounder(underlying, strike_interval)`, which
//! snaps to a MULTIPLE of the interval, so every ladder it builds — at any spot
//! — lies on the same grid. A pinned strike is therefore always reachable from
//! the current at-the-money strike by a whole number of intervals.
//!
//! Serving a pinned ladder is then: ask upstream for a chain wide enough to
//! reach the furthest pinned strike from where the spot is now, and keep the
//! pinned strikes out of it. The chain is priced by upstream exactly as it
//! always was, at the current spot, and nothing here builds a contract by hand.
//!
//! The cost is the strikes that get priced and dropped, which grows as the spot
//! drifts away from where it started. That is the price of the closed world, and
//! it is paid only by a simulation that asked for one.
//!
//! **A pinned ladder does not follow a large move.** If the spot leaves the
//! pinned range the chain becomes all calls or all puts, which is correct and
//! informative: a real chain does get listed further out, but a simulation that
//! silently invented new strikes would not be the closed world this exists to
//! provide. Widen the ladder at creation, with `chain_size`, rather than at step
//! time.

use crate::session::{ExpirationSchedule, SimulationParametersV2};
use crate::utils::ChainError;
use positive::Positive;
use rust_decimal::Decimal;
use serde::{Deserialize, Serialize};
use std::collections::BTreeSet;
use utoipa::ToSchema;

/// Which strikes a simulation quotes.
#[derive(Debug, Clone, Copy, PartialEq, Eq, Serialize, Deserialize, ToSchema, Default)]
#[serde(rename_all = "snake_case")]
pub enum StrikeLadder {
    /// The ladder is rebuilt around the current underlying at every step, so
    /// the quoted strikes stay near the money and a contract can leave the
    /// chain. The default, and what the service has always done.
    #[default]
    Rolling,
    /// The ladder is fixed at creation and every step quotes the same strikes,
    /// so a contract quoted once is quoted for the simulation's whole life.
    Pinned,
}

impl StrikeLadder {
    /// Whether this ladder fixes the contract universe.
    #[must_use]
    pub fn is_pinned(self) -> bool {
        matches!(self, StrikeLadder::Pinned)
    }
}

/// The strikes a pinned simulation quotes, resolved once.
#[derive(Debug, Clone, PartialEq, Eq)]
pub(crate) struct PinnedLadder {
    /// The strikes, ascending. A `BTreeSet` because that is how a chain stores
    /// its contracts and because membership is what the filter asks.
    strikes: BTreeSet<Positive>,
    /// The grid the strikes sit on.
    interval: Positive,
}

impl PinnedLadder {
    /// Resolves the ladder a simulation pinned at creation.
    ///
    /// A pure function of parameters that are already stored — the initial
    /// price, the chain size and the strike interval — so a replay reproduces
    /// it without anything extra being persisted.
    ///
    /// # Errors
    ///
    /// Returns [`ChainError::Validation`] when the parameters carry no
    /// `strike_interval`. A pinned ladder needs a fixed grid, and with the
    /// interval absent upstream derives a different one per expiration, so
    /// there would be no single ladder to pin. The request path refuses the
    /// combination, so this is the stored-document half of the same guard.
    pub(crate) fn resolve(parameters: &SimulationParametersV2) -> Result<Self, ChainError> {
        let Some(interval) = parameters.strike_interval else {
            return Err(ChainError::Validation {
                field: "strike_interval".to_string(),
                reason: "a pinned strike ladder needs an explicit strike_interval: without one \
                         upstream derives the interval from the expiration AND the chain size, \
                         and the pinned path varies the chain size per step, so the grid would \
                         move under the ladder it is meant to hold still"
                    .to_string(),
            });
        };

        let chain_size = parameters
            .chain_size
            .unwrap_or(crate::domain::simulator::DEFAULT_CHAIN_SIZE);
        let centre = at_the_money(parameters.initial_price, interval)?;

        // A centre of zero is not a strike, and every offset above it would be
        // a ladder hanging off nothing. It happens when the initial price is
        // below half an interval, which is a configuration to refuse rather
        // than to round away.
        if centre == Positive::ZERO {
            return Err(ChainError::Validation {
                field: "strike_interval".to_string(),
                reason: format!(
                    "an interval of {interval} rounds an initial price of {} to a strike of \
                     zero, so there is no ladder to pin",
                    parameters.initial_price
                ),
            });
        }

        // Checked throughout: `strike_interval` is client input with no upper
        // bound, and both `Positive`'s operators and `Decimal`'s panic on
        // overflow. Upstream's own loop guards the same multiplication and
        // addition; the mirror keeps the guards rather than only the maths.
        let mut strikes = BTreeSet::new();
        strikes.insert(centre);
        for step in 1..=chain_size {
            let offset = interval
                .checked_mul_dec(Decimal::from(step))
                .map_err(|error| ladder_overflow(interval, step, &error.to_string()))?;

            let upper = centre
                .checked_add(&offset)
                .map_err(|error| ladder_overflow(interval, step, &error.to_string()))?;
            strikes.insert(upper);

            // A strike at or below zero is not a contract, and upstream stops
            // extending downwards at the same point. `checked_sub` refuses to
            // go negative, which is exactly that rule.
            if let Ok(lower) = centre.checked_sub(&offset)
                && lower > Positive::ZERO
            {
                strikes.insert(lower);
            }
        }

        Ok(Self { strikes, interval })
    }

    /// The strikes, ascending.
    #[cfg(test)]
    #[must_use]
    pub(crate) fn strikes(&self) -> &BTreeSet<Positive> {
        &self.strikes
    }

    /// How wide a chain built at `spot` must be to contain every pinned strike.
    ///
    /// Measured in strikes per side, which is what `chain_size` means to
    /// upstream: the distance in intervals from the spot's at-the-money strike
    /// to whichever pinned strike is furthest from it.
    ///
    /// `maximum` is the ceiling [`resolve_pinned_ceiling`] fixed at creation
    /// and the parameters carry: the smaller of
    /// the simulation's own snapshot budget and the absolute ceiling
    /// [`MAX_PINNED_WIDTH`]. A pinned step must not be able to price more
    /// contracts than the configuration was validated for, nor a wider chain
    /// than a client could have requested, simply because the underlying
    /// drifted.
    ///
    /// # Errors
    ///
    /// Returns [`ChainError::Validation`] naming `strike_ladder` when the spot
    /// has fallen so far that its chain would be anchored at a strike of zero,
    /// and when the distance exceeds `maximum`. Reaching it takes a spot that has
    /// moved that many intervals from where the simulation started, and quoting
    /// a subset of the pinned ladder would silently break the guarantee the
    /// ladder exists to make. It is a validation failure rather than an
    /// internal one because it is a foreseeable consequence of the
    /// configuration the client chose, and the message says which.
    pub(crate) fn width_from(&self, spot: Positive, maximum: usize) -> Result<usize, ChainError> {
        let anchor = at_the_money(spot, self.interval)?;

        // A spot below half the interval anchors at zero, and upstream refuses
        // to build a chain around a strike of zero. Caught HERE, before
        // anything is priced: the same failure raised during a build reaches
        // an export after its 200 and its prologue have gone out, which leaves
        // the client a truncated file rather than a rejection.
        if anchor == Positive::ZERO {
            return Err(ChainError::Validation {
                field: "strike_ladder".to_string(),
                reason: format!(
                    "the underlying has fallen to {spot}, below half the {} interval this \
                     simulation pinned, so its chain would have to be built around a strike of \
                     zero; a pinned ladder cannot follow a move that far",
                    self.interval
                ),
            });
        }

        let centre = anchor.to_dec();
        let interval = self.interval.to_dec();

        let mut widest = 0_usize;
        for strike in &self.strikes {
            let distance = (strike.to_dec() - centre).abs();
            let steps = distance
                .checked_div(interval)
                .map(|steps| steps.ceil())
                .and_then(|steps| usize::try_from(steps).ok())
                .ok_or_else(|| ChainError::Validation {
                    field: "strike_ladder".to_string(),
                    reason: format!(
                        "the pinned strike {strike} is unreachable from a spot of {spot}"
                    ),
                })?;
            widest = widest.max(steps);
        }

        if widest > maximum {
            return Err(ChainError::Validation {
                field: "strike_ladder".to_string(),
                reason: format!(
                    "the underlying has moved {widest} strikes from the ladder this simulation \
                     pinned at creation, past the {maximum} a chain may carry; a pinned ladder \
                     does not follow a move that far, and widening chain_size cannot help \
                     because a wider ladder puts its far strikes further still from this spot; \
                     create the simulation with a smaller chain_size, around an initial_price \
                     nearer where the underlying trades, or with the rolling ladder, which \
                     re-centres on every step"
                ),
            });
        }
        Ok(widest)
    }

    /// Drops from a built chain every strike this ladder does not name, and
    /// refuses a chain that did not carry them all.
    ///
    /// The chain is built wide enough to contain the whole pinned set, but
    /// "wide enough" is a request: upstream stops extending its ladder for
    /// reasons of its own — a strike that would fall at or below zero, a
    /// genuine pricing failure on both wings — and a filter cannot tell a
    /// missing strike from one it dropped. Returning a partial ladder silently
    /// would reproduce the exact hole this feature exists to close, so a short
    /// chain is an error naming what is absent.
    ///
    /// # Errors
    ///
    /// Returns [`ChainError::Internal`] when a pinned strike is not in the
    /// built chain.
    pub(crate) fn keep_pinned(
        &self,
        chain: &mut optionstratlib::chains::chain::OptionChain,
    ) -> Result<(), ChainError> {
        let strikes = &self.strikes;
        let contracts = std::mem::take(&mut chain.options);
        chain.options = contracts
            .into_iter()
            .filter(|contract| strikes.contains(&contract.strike_price))
            .collect();

        if chain.options.len() == strikes.len() {
            return Ok(());
        }

        let present: BTreeSet<Positive> = chain
            .options
            .iter()
            .map(|contract| contract.strike_price)
            .collect();
        let missing: Vec<String> = strikes
            .iter()
            .filter(|strike| !present.contains(strike))
            .map(ToString::to_string)
            .collect();

        Err(ChainError::Internal(format!(
            "the pinned ladder is incomplete: the chain built at this step does not carry {}",
            missing.join(", ")
        )))
    }
}

/// The strike upstream anchors a chain at, for a given underlying.
///
/// Mirrors `optionstratlib::chains::utils::rounder`, which is `pub(crate)`
/// there: the nearest multiple of the interval, halves rounding up. It is
/// mirrored rather than guessed, and
/// `test_the_mirrored_anchor_matches_upstream` pins the two together by
/// building a real chain and reading the strike upstream chose.
/// # Errors
///
/// Returns [`ChainError::Validation`] naming `strike_interval` when the
/// rounding cannot be represented. `Decimal`'s operators panic on overflow and
/// the interval is unbounded client input, so every step is checked; upstream
/// guards the same arithmetic in its own loop.
pub(crate) fn at_the_money(
    underlying: Positive,
    interval: Positive,
) -> Result<Positive, ChainError> {
    if interval == Positive::ZERO {
        return Ok(underlying);
    }

    let price = underlying.to_dec();
    let interval = interval.to_dec();
    let unrepresentable = || ChainError::Validation {
        field: "strike_interval".to_string(),
        reason: format!("an interval of {interval} cannot anchor a ladder at {underlying}"),
    };

    let remainder = price.checked_rem(interval).ok_or_else(unrepresentable)?;
    let base = price.checked_sub(remainder).ok_or_else(unrepresentable)?;

    // Upstream compares the remainder against HALF the interval; mirrored in
    // that form rather than as `remainder + remainder >= interval`, which is
    // algebraically the same but parts company where the half is not
    // representable at 28 decimal places.
    let half = interval
        .checked_div(Decimal::TWO)
        .ok_or_else(unrepresentable)?;
    let rounds_up = remainder >= half;
    let rounded = if rounds_up {
        base.checked_add(interval).ok_or_else(unrepresentable)?
    } else {
        base
    };

    Positive::new_decimal(rounded).map_err(|_| unrepresentable())
}

/// The absolute ceiling on the widening a pinned step may ask for.
///
/// This is the widest chain any client is allowed to REQUEST
/// (`OCS_MAX_CHAIN_SIZE`'s default), reused as the ceiling on the widening the
/// service performs on a client's behalf. The two are different quantities and
/// only the coincidence of the number is shared, so it lives here rather than
/// being read from the request caps: lowering the request cap must not
/// retroactively break simulations already running, and raising it must not
/// license the domain to price a wider chain than this.
///
/// It is a ceiling, never the bound on its own; [`resolve_pinned_ceiling`] takes it
/// together with the simulation's snapshot budget and keeps whichever is
/// smaller.
pub(crate) const MAX_PINNED_WIDTH: usize = 500;

/// The widest chain a pinned step may ask upstream for, resolved ONCE.
///
/// A pinned step builds wide enough to REACH its ladder and then filters, so
/// the widening is work the client never asked for and the request caps never
/// saw. Two separate things have to bound it, and the answer is the smaller:
///
/// The simulation's own snapshot budget, computed from the same numbers
/// `SimulationParametersV2::validate_snapshot_work` checked at creation: the
/// per-snapshot contract cap divided by the expirations the schedule can carry,
/// back through the `2n + 1` grid to a half-width. Without this, a
/// configuration validated for a handful of contracts per snapshot could price
/// far more of them once its spot drifted.
///
/// And [`MAX_PINNED_WIDTH`], because that budget is a SERVICE-WIDE cap rather
/// than a per-simulation one. At its default a single-expiration schedule
/// divides 200 000 contracts by one, which would license a widening of 99 999
/// strikes per side; a bound that large is not a bound.
///
/// This is called at CREATION, and the result is stored on the parameters. It
/// must not be called per step: `max_snapshot_contracts()` is a process-global
/// read, so a step-time call would make how far a pinned tape gets depend on
/// the instance serving it, and the same seed could then run to completion on
/// one deployment and refuse at step k on another (issue #109).
///
/// # Errors
///
/// Returns [`ChainError::Validation`] when the schedule's expiration count
/// overflows, which the creation path also refuses.
pub(crate) fn resolve_pinned_ceiling(schedule: &ExpirationSchedule) -> Result<usize, ChainError> {
    let expirations = schedule
        .rules()
        .iter()
        .try_fold(0usize, |total, rule| {
            total.checked_add(rule.target_count().get())
        })
        .ok_or_else(|| ChainError::Validation {
            field: "schedules".to_string(),
            reason: "the requested expiration counts overflow".to_string(),
        })?;

    Ok(pinned_width_for(
        crate::infrastructure::max_snapshot_contracts(),
        expirations,
    ))
}

/// The widening [`resolve_pinned_ceiling`] allows for a given cap and expiration
/// count, split out from the environment so both sides of the minimum can be
/// exercised: the process-wide cap is resolved once in a `OnceLock`, so a test
/// that could only call the public entry point would be stuck with whatever
/// the deployment happens to configure.
fn pinned_width_for(cap: usize, expirations: usize) -> usize {
    // A schedule with no rules cannot produce a chain, so the divisor is
    // irrelevant; one keeps the division defined.
    let divisor = if expirations == 0 { 1 } else { expirations };
    let strikes = cap.checked_div(divisor).unwrap_or(cap);

    // `strikes` covers the whole `2n + 1` grid, so the half-width is what
    // upstream calls `chain_size`. The subtraction is checked rather than
    // saturating, which `rules/global_rules.md` forbids: a budget of zero or
    // one strike is a real answer of zero, stated deliberately, and
    // `width_from` then refuses a ladder that cannot fit rather than the
    // arithmetic quietly rounding up past the budget it came from.
    //
    // Written as a match rather than `checked_sub(1).unwrap_or(0)` because
    // clippy's `manual_saturating_arithmetic` rewrites that form back into
    // `saturating_sub` under `make pre-push`, which is the very call the rule
    // forbids. The match says the same thing and survives the autofix.
    let budget = match strikes.checked_sub(1) {
        Some(grid) => grid.checked_div(2).unwrap_or(0),
        None => 0,
    };

    budget.min(MAX_PINNED_WIDTH)
}

/// Refuses a pinned ladder whose lowest strike upstream cannot build.
///
/// Upstream stops extending a chain downwards once the offset passes the
/// at-the-money strike, so a ladder wider than the spot itself is one whose far
/// strikes are never created: at an initial price of 100 with a 5-point
/// interval, a `chain_size` of 25 asks for strikes down to 5 and back up to
/// 225, and upstream builds only as far as 200. Filtering cannot recover what
/// was never built, so the combination is refused AT CREATION rather than
/// failing on the first step of a simulation the client already has.
///
/// # Errors
///
/// Returns [`ChainError::Validation`] naming `chain_size` when the ladder
/// reaches past the anchor, and whatever [`at_the_money`] returns when the grid
/// itself is unrepresentable.
pub(crate) fn ensure_ladder_fits(
    initial_price: Positive,
    interval: Positive,
    chain_size: usize,
) -> Result<(), ChainError> {
    let anchor = at_the_money(initial_price, interval)?;
    let reach = interval
        .checked_mul_dec(Decimal::from(chain_size))
        .map_err(|error| ladder_overflow(interval, chain_size, &error.to_string()))?;

    if reach > anchor {
        return Err(ChainError::Validation {
            field: "chain_size".to_string(),
            reason: format!(
                "a pinned ladder of {chain_size} strikes at an interval of {interval} reaches \
                 {reach} below an anchor of {anchor}, and upstream stops building a chain once \
                 the offset passes the anchor, so the lowest strikes would never exist; lower \
                 chain_size or the interval"
            ),
        });
    }
    Ok(())
}

/// The failure a ladder that cannot be laid out on the grid produces.
fn ladder_overflow(interval: Positive, step: usize, detail: &str) -> ChainError {
    ChainError::Validation {
        field: "strike_interval".to_string(),
        reason: format!(
            "an interval of {interval} cannot reach strike {step} of the pinned ladder: {detail}"
        ),
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use positive::pos_or_panic;

    /// The anchor rounds to the nearest multiple, halves up.
    #[test]
    fn test_the_anchor_rounds_to_the_grid() {
        let interval = pos_or_panic!(25.0);

        for (underlying, expected) in [
            (5000.0, 5000.0),
            (5004.95, 5000.0),
            (5013.54, 5025.0),
            (5012.5, 5025.0),
            (5012.49, 5000.0),
        ] {
            match at_the_money(pos_or_panic!(underlying), interval) {
                Ok(anchor) => assert_eq!(anchor, pos_or_panic!(expected), "for {underlying}"),
                Err(error) => panic!("{underlying} must anchor: {error}"),
            }
        }
    }

    /// A zero interval leaves the price alone rather than dividing by it.
    #[test]
    fn test_a_zero_interval_is_not_a_grid() {
        match at_the_money(pos_or_panic!(5000.0), Positive::ZERO) {
            Ok(anchor) => assert_eq!(anchor, pos_or_panic!(5000.0)),
            Err(error) => panic!("a zero interval must not fail: {error}"),
        }
    }

    /// The ladder is the grid around the initial price, `2n + 1` wide.
    #[test]
    fn test_the_ladder_is_the_grid_around_the_initial_price() {
        let ladder = ladder_of(5000.0, 25.0, 2);

        assert_eq!(
            ladder.strikes().iter().copied().collect::<Vec<_>>(),
            vec![
                pos_or_panic!(4950.0),
                pos_or_panic!(4975.0),
                pos_or_panic!(5000.0),
                pos_or_panic!(5025.0),
                pos_or_panic!(5050.0),
            ]
        );
    }

    /// A ladder never carries a strike at or below zero.
    #[test]
    fn test_the_ladder_never_reaches_a_zero_strike() {
        // Two below an anchor of 50 reaches exactly zero, which `checked_sub`
        // refuses, so the ladder stops at 25.
        let ladder = ladder_of(50.0, 25.0, 2);

        assert!(
            ladder
                .strikes()
                .iter()
                .all(|strike| *strike > Positive::ZERO),
            "a strike of zero is not a contract: {:?}",
            ladder.strikes()
        );
        assert!(ladder.strikes().contains(&pos_or_panic!(25.0)));
    }

    /// A ladder that reaches past its anchor is refused at creation.
    ///
    /// Upstream stops building a chain once the offset passes the anchor, so
    /// those strikes would never exist to be filtered to. The measured case:
    /// an initial price of 100 with a 5-point interval and a chain size of 25
    /// asks for strikes down to 5, and upstream builds only to 200 on the way
    /// up.
    #[test]
    fn test_a_ladder_reaching_past_the_anchor_is_refused() {
        match ensure_ladder_fits(pos_or_panic!(100.0), pos_or_panic!(5.0), 25) {
            Ok(()) => panic!("a ladder wider than its anchor must be refused"),
            Err(ChainError::Validation { field, reason }) => {
                assert_eq!(field, "chain_size");
                assert!(reason.contains("never exist"), "{reason}");
            }
            Err(error) => panic!("expected a validation failure, got {error:?}"),
        }

        // One that fits is accepted, including the exact boundary.
        match ensure_ladder_fits(pos_or_panic!(100.0), pos_or_panic!(5.0), 20) {
            Ok(()) => {}
            Err(error) => panic!("a ladder that ends at the anchor must fit: {error}"),
        }
    }

    /// The overflow guards hold on a ladder no grid can lay out.
    ///
    /// `strike_interval` is client input with no upper bound, and both
    /// `Positive` and `Decimal` panic on overflow.
    #[test]
    fn test_an_unrepresentable_grid_is_refused_rather_than_panicking() {
        let huge = match Positive::new_decimal(Decimal::MAX / Decimal::TWO) {
            Ok(value) => value,
            Err(error) => panic!("the fixture must be positive: {error}"),
        };

        match ensure_ladder_fits(huge, huge, 500) {
            Ok(()) => panic!("a grid this wide cannot be laid out"),
            Err(ChainError::Validation { .. }) => {}
            Err(error) => panic!("expected a validation failure, got {error:?}"),
        }
    }

    /// The width a chain needs grows with the distance the spot has moved.
    #[test]
    fn test_the_width_grows_with_the_distance_from_the_ladder() {
        let ladder = ladder_of(5000.0, 25.0, 2);

        // At the centre, the ladder's own half-width is enough.
        match ladder.width_from(pos_or_panic!(5000.0), 500) {
            Ok(width) => assert_eq!(width, 2),
            Err(error) => panic!("the centre must resolve: {error}"),
        }
        // Four intervals up, the furthest strike is six intervals away.
        match ladder.width_from(pos_or_panic!(5100.0), 500) {
            Ok(width) => assert_eq!(width, 6),
            Err(error) => panic!("a drifted spot must resolve: {error}"),
        }
    }

    /// A spot that has left the pinned range entirely fails loudly.
    #[test]
    fn test_a_spot_beyond_the_maximum_is_refused() {
        let ladder = ladder_of(5000.0, 25.0, 2);

        match ladder.width_from(pos_or_panic!(9000.0), 10) {
            Ok(width) => panic!("a spot 160 intervals away must not resolve, got {width}"),
            Err(ChainError::Validation { field, reason }) => {
                assert_eq!(field, "strike_ladder");
                assert!(
                    reason.contains("pinned at creation"),
                    "the failure must explain: {reason}"
                );
                // Widening is the one remedy that cannot work, since a wider
                // ladder puts its far strikes further from this spot still.
                assert!(
                    reason.contains("widening chain_size cannot help"),
                    "the failure must rule out the wrong remedy: {reason}"
                );
                assert!(
                    reason.contains("smaller chain_size")
                        && reason.contains("initial_price")
                        && reason.contains("rolling"),
                    "the failure must name a remedy that works: {reason}"
                );
            }
            Err(error) => panic!("expected a validation failure, got {error:?}"),
        }
    }

    /// A spot below half the interval anchors at zero, which upstream cannot
    /// build a chain around. It has to fail as a validation error here, before
    /// pricing, rather than as an internal one halfway through an export.
    #[test]
    fn test_a_spot_below_half_the_interval_is_refused() {
        let ladder = ladder_of(5000.0, 25.0, 2);

        match ladder.width_from(pos_or_panic!(0.01), usize::MAX) {
            Ok(width) => panic!("a spot under the grid must not resolve, got {width}"),
            Err(ChainError::Validation { field, reason }) => {
                assert_eq!(field, "strike_ladder");
                assert!(
                    reason.contains("strike of zero"),
                    "the failure must say why: {reason}"
                );
            }
            Err(error) => panic!("expected a validation failure, got {error:?}"),
        }

        // Half an interval is the first spot that anchors on the grid.
        match ladder.width_from(pos_or_panic!(12.5), usize::MAX) {
            Ok(width) => assert_eq!(width, 201),
            Err(error) => panic!("the first quotable spot must resolve: {error}"),
        }
    }

    /// The widening ceiling is the smaller of the simulation's snapshot budget
    /// and the absolute ceiling, and both sides of that minimum bind.
    #[test]
    fn test_the_widening_ceiling_is_the_smaller_of_both_bounds() {
        // The service-wide cap is not a bound on its own. At its default a
        // single-expiration schedule divides 200 000 contracts by one, which
        // would license 99 999 strikes per side; the absolute ceiling is what
        // holds. Remove the `min` and this assertion fails.
        assert_eq!(pinned_width_for(200_000, 1), MAX_PINNED_WIDTH);

        // Split across enough expirations, the budget is the tighter of the
        // two and the ceiling stops binding. Remove the budget term and this
        // one fails.
        assert_eq!(pinned_width_for(200_000, 400), 249);
        assert_eq!(pinned_width_for(101, 1), 50);

        // A budget too small to carry even a three-strike chain answers zero
        // rather than rounding itself up past the budget it came from.
        assert_eq!(pinned_width_for(2, 1), 0);
        assert_eq!(pinned_width_for(1, 1), 0);
        assert_eq!(pinned_width_for(0, 1), 0);

        // And a schedule with no rules still divides.
        assert_eq!(pinned_width_for(200_000, 0), MAX_PINNED_WIDTH);
    }

    /// The creation-time resolver agrees with the pure core it delegates to,
    /// and the parameters carry what it resolved.
    #[test]
    fn test_the_ceiling_is_resolved_once_and_carried() {
        let parameters = parameters(5000.0, 25.0, 2);
        let cap = crate::infrastructure::max_snapshot_contracts();

        // One expiration in this schedule, so the whole per-snapshot budget is
        // one chain and the `2n + 1` grid must fit inside it.
        let resolved = match resolve_pinned_ceiling(&parameters.schedule) {
            Ok(width) => width,
            Err(error) => panic!("the budget must resolve: {error}"),
        };
        assert_eq!(resolved, pinned_width_for(cap, 1));
        assert!(
            resolved * 2 < cap,
            "{resolved} strikes per side exceeds {cap}"
        );
        assert!(
            resolved <= MAX_PINNED_WIDTH,
            "{resolved} strikes per side exceeds the {MAX_PINNED_WIDTH} ceiling"
        );

        // And the request conversion stored exactly that.
        assert_eq!(parameters.pinned_width_ceiling, resolved);
    }

    /// The stored ceiling is what a step obeys, whatever this instance would
    /// resolve now. A session created under a tighter cap keeps refusing the
    /// widening that cap forbade, on any instance that later serves it.
    #[test]
    fn test_a_step_obeys_the_stored_ceiling_not_the_environment() {
        let mut parameters = parameters(5000.0, 25.0, 2);
        parameters.strike_ladder = StrikeLadder::Pinned;
        parameters.pinned_width_ceiling = 3;

        let ladder = match PinnedLadder::resolve(&parameters) {
            Ok(ladder) => ladder,
            Err(error) => panic!("the ladder must resolve: {error}"),
        };

        // Two intervals of drift needs six strikes per side, past the three the
        // simulation was created under, even though this instance's own budget
        // would allow far more.
        match ladder.width_from(pos_or_panic!(5100.0), parameters.pinned_width_ceiling) {
            Ok(width) => panic!("the stored ceiling must bind, got {width}"),
            Err(ChainError::Validation { field, reason }) => {
                assert_eq!(field, "strike_ladder");
                assert!(reason.contains("past the 3"), "{reason}");
            }
            Err(error) => panic!("expected a validation failure, got {error:?}"),
        }
    }

    /// A pinned ladder needs an explicit interval, and says so.
    #[test]
    fn test_a_ladder_without_an_interval_is_refused() {
        let mut parameters = parameters(5000.0, 25.0, 2);
        parameters.strike_interval = None;

        match PinnedLadder::resolve(&parameters) {
            Ok(ladder) => panic!("a ladder with no grid must not resolve, got {ladder:?}"),
            Err(ChainError::Validation { field, reason }) => {
                assert_eq!(field, "strike_interval");
                assert!(reason.contains("varies the chain size"), "{reason}");
            }
            Err(error) => panic!("expected a validation failure, got {error:?}"),
        }
    }

    /// The default is the behaviour the service already had.
    #[test]
    fn test_rolling_is_the_default() {
        assert_eq!(StrikeLadder::default(), StrikeLadder::Rolling);
        assert!(!StrikeLadder::default().is_pinned());
        assert!(StrikeLadder::Pinned.is_pinned());
    }

    /// The wire words are the ones the issue named.
    #[test]
    fn test_the_wire_form_is_snake_case() {
        for (ladder, wire) in [
            (StrikeLadder::Rolling, "\"rolling\""),
            (StrikeLadder::Pinned, "\"pinned\""),
        ] {
            match serde_json::to_string(&ladder) {
                Ok(json) => assert_eq!(json, wire),
                Err(error) => panic!("must serialize: {error}"),
            }
            match serde_json::from_str::<StrikeLadder>(wire) {
                Ok(parsed) => assert_eq!(parsed, ladder),
                Err(error) => panic!("must deserialize: {error}"),
            }
        }
    }

    /// Effective parameters from a request, so the tests go through the same
    /// conversion a client does rather than hand-building a state the request
    /// path would refuse.
    fn parameters(initial_price: f64, interval: f64, chain_size: usize) -> SimulationParametersV2 {
        use crate::api::rest::models::{ApiTimeFrame, ApiWalkType};
        use crate::api::rest::requests_v2::CreateSimulationRequest;
        use crate::session::{ExpiryRule, ExpiryRuleKind};
        use chrono::{TimeZone, Utc};

        let start_at = match Utc.with_ymd_and_hms(2026, 1, 5, 14, 30, 0).single() {
            Some(instant) => instant,
            None => panic!("the test instant must be valid"),
        };
        let rule = match ExpiryRule::new("zero_dte", ExpiryRuleKind::Daily, 1) {
            Ok(rule) => rule,
            Err(error) => panic!("the test rule must be valid: {error}"),
        };

        let request = CreateSimulationRequest {
            symbol: "SPX".to_string(),
            steps: 4,
            start_at: Some(start_at),
            step_interval_seconds: Some(86_400),
            timezone: "America/New_York".to_string(),
            calendar: None,
            expiration_time: "17:00".to_string(),
            schedules: vec![rule],
            initial_price,
            volatility: 0.2,
            risk_free_rate: 0.04,
            dividend_yield: 0.0,
            method: ApiWalkType::Brownian {
                dt: 1.0 / 252.0,
                drift: 0.0,
                volatility: 0.2,
            },
            time_frame: ApiTimeFrame::Day,
            chain_size: Some(chain_size),
            strike_interval: Some(interval),
            skew_slope: None,
            smile_curve: None,
            spread: Some(0.02),
            strike_ladder: Some(StrikeLadder::Pinned),
            spread_proportional: None,
            spread_moneyness_widening: None,
            spread_tenor_widening: None,
            spread_tick: None,
            seed: Some(42),
        };

        match SimulationParametersV2::try_from(request) {
            Ok(parameters) => parameters,
            Err(error) => panic!("the request must convert: {error}"),
        }
    }

    fn ladder_of(initial_price: f64, interval: f64, chain_size: usize) -> PinnedLadder {
        match PinnedLadder::resolve(&parameters(initial_price, interval, chain_size)) {
            Ok(ladder) => ladder,
            Err(error) => panic!("the ladder must resolve: {error}"),
        }
    }

    /// The mirrored anchor is the strike upstream actually chooses.
    ///
    /// `rounder` is `pub(crate)` upstream, so this mirrors it; the mirror is
    /// only worth having if it agrees, and this builds a real chain to check.
    #[test]
    fn test_the_mirrored_anchor_matches_upstream() {
        use optionstratlib::ExpirationDate;

        let interval = pos_or_panic!(25.0);
        for spot in [5000.0, 5004.95, 5013.54, 4987.5] {
            let mut parameters = parameters(5000.0, 25.0, 1);
            parameters.strike_ladder = StrikeLadder::Rolling;

            let chain = match crate::domain::factors::build_chain(
                &parameters,
                pos_or_panic!(spot),
                pos_or_panic!(0.2),
                ExpirationDate::Days(pos_or_panic!(30.0)),
                false,
            ) {
                Ok(chain) => chain,
                Err(error) => panic!("the chain must build at {spot}: {error}"),
            };

            // A chain of half-width one is [atm - interval, atm, atm + interval],
            // so the middle strike is upstream's anchor.
            let strikes: Vec<Positive> =
                chain.iter().map(|contract| contract.strike_price).collect();
            let middle = strikes[strikes.len() / 2];

            match at_the_money(pos_or_panic!(spot), interval) {
                Ok(anchor) => assert_eq!(
                    anchor, middle,
                    "the mirror disagrees with upstream at a spot of {spot}: {strikes:?}"
                ),
                Err(error) => panic!("the anchor must resolve at {spot}: {error}"),
            }
        }
    }
}