optionstratlib_core/model/leg/

future.rs

/******************************************************************************
   Author: Joaquín Béjar García
   Email: jb@taunais.com
   Date: 24/12/25
******************************************************************************/

//! # Future Position Module
//!
//! This module provides the `FuturePosition` struct for representing standardized
//! exchange-traded futures contracts.
//!
//! ## Characteristics
//!
//! - Fixed expiration date
//! - Margin-based (leveraged)
//! - Mark-to-market daily settlement
//! - Delta ≈ ±1.0 per contract (adjusted for contract size)
//! - Rho sensitivity for interest rate changes
//!
//! ## Example
//!
//! ```rust
//! use optionstratlib_core::model::leg::FuturePosition;
//! use optionstratlib_core::model::types::Side;
//! use optionstratlib_core::model::ExpirationDate;
//! use positive::{pos_or_panic,Positive};
//! use chrono::Utc;
//!
//! let future = FuturePosition::new(
//!     "ES".to_string(),        // E-mini S&P 500
//!     Positive::TWO,               // 2 contracts
//!     pos_or_panic!(4500.0),            // entry price
//!     Side::Long,
//!     ExpirationDate::Days(pos_or_panic!(30.0)),
//!     pos_or_panic!(50.0),              // contract multiplier
//!     pos_or_panic!(15000.0),           // initial margin
//!     pos_or_panic!(12000.0),           // maintenance margin
//!     Utc::now(),
//!     pos_or_panic!(5.0),               // fees
//! );
//! ```

use crate::error::{DecimalError, PositionError};
use crate::model::ExpirationDate;
use crate::model::decimal::{d_add, d_div, d_mul, d_sub};
use crate::model::expiration::resolve_expiration_date;
use crate::model::leg::traits::{Expirable, LegAble, Marginable, liquidation_threshold};
use crate::model::types::Side;
use chrono::{DateTime, Utc};
use positive::Positive;
use rust_decimal::Decimal;
use rust_decimal_macros::dec;
use serde::{Deserialize, Serialize};

/// Represents a futures contract position.
///
/// Futures are standardized contracts traded on exchanges that obligate the buyer
/// to purchase (or seller to sell) an asset at a predetermined price on a specific
/// future date.
///
/// # Fields
///
/// * `symbol` - Contract symbol (e.g., "ES", "CL", "BTC-QUARTERLY")
/// * `quantity` - Number of contracts
/// * `entry_price` - Average entry price
/// * `side` - Long or Short position
/// * `expiration_date` - Contract expiry date
/// * `contract_size` - Multiplier (e.g., 50 for ES, 1000 for CL)
/// * `initial_margin` - Initial margin requirement
/// * `maintenance_margin` - Maintenance margin level
/// * `date` - Position open timestamp
/// * `fees` - Commission and exchange fees
#[derive(Clone, Debug, PartialEq, Serialize, Deserialize)]
#[cfg_attr(feature = "schema", derive(utoipa::ToSchema))]
pub struct FuturePosition {
    /// Contract symbol (e.g., "ES", "CL", "GC").
    pub symbol: String,

    /// Number of contracts held.
    pub quantity: Positive,

    /// Average entry price per contract.
    pub entry_price: Positive,

    /// Position direction (Long or Short).
    pub side: Side,

    /// Contract expiration date.
    pub expiration_date: ExpirationDate,

    /// Contract size multiplier (notional per point).
    pub contract_size: Positive,

    /// Initial margin requirement per contract.
    pub initial_margin_req: Positive,

    /// Maintenance margin requirement per contract.
    pub maintenance_margin_req: Positive,

    /// Timestamp when the position was opened.
    pub date: DateTime<Utc>,

    /// Total trading fees paid.
    pub fees: Positive,
}

impl FuturePosition {
    /// Creates a new futures position.
    ///
    /// # Arguments
    ///
    /// * `symbol` - Contract symbol
    /// * `quantity` - Number of contracts
    /// * `entry_price` - Average entry price
    /// * `side` - Long or Short
    /// * `expiration_date` - Contract expiry
    /// * `contract_size` - Contract multiplier
    /// * `initial_margin_req` - Initial margin per contract
    /// * `maintenance_margin_req` - Maintenance margin per contract
    /// * `date` - Position open timestamp
    /// * `fees` - Trading fees
    #[must_use]
    #[allow(clippy::too_many_arguments)]
    pub fn new(
        symbol: String,
        quantity: Positive,
        entry_price: Positive,
        side: Side,
        expiration_date: ExpirationDate,
        contract_size: Positive,
        initial_margin_req: Positive,
        maintenance_margin_req: Positive,
        date: DateTime<Utc>,
        fees: Positive,
    ) -> Self {
        Self {
            symbol,
            quantity,
            entry_price,
            side,
            expiration_date,
            contract_size,
            initial_margin_req,
            maintenance_margin_req,
            date,
            fees,
        }
    }

    /// Creates a long futures position with default settings.
    ///
    /// # Arguments
    ///
    /// * `symbol` - Contract symbol
    /// * `quantity` - Number of contracts
    /// * `entry_price` - Entry price
    /// * `expiration_date` - Contract expiry
    /// * `contract_size` - Contract multiplier
    /// * `margin` - Margin requirement
    #[must_use]
    pub fn long(
        symbol: String,
        quantity: Positive,
        entry_price: Positive,
        expiration_date: ExpirationDate,
        contract_size: Positive,
        margin: Positive,
    ) -> Self {
        Self::new(
            symbol,
            quantity,
            entry_price,
            Side::Long,
            expiration_date,
            contract_size,
            margin,
            maintenance_from_initial(margin), // 80% of initial margin
            Utc::now(),
            Positive::ZERO,
        )
    }

    /// Creates a short futures position with default settings.
    ///
    /// # Arguments
    ///
    /// * `symbol` - Contract symbol
    /// * `quantity` - Number of contracts
    /// * `entry_price` - Entry price
    /// * `expiration_date` - Contract expiry
    /// * `contract_size` - Contract multiplier
    /// * `margin` - Margin requirement
    #[must_use]
    pub fn short(
        symbol: String,
        quantity: Positive,
        entry_price: Positive,
        expiration_date: ExpirationDate,
        contract_size: Positive,
        margin: Positive,
    ) -> Self {
        Self::new(
            symbol,
            quantity,
            entry_price,
            Side::Short,
            expiration_date,
            contract_size,
            margin,
            maintenance_from_initial(margin),
            Utc::now(),
            Positive::ZERO,
        )
    }

    /// Returns the notional value of the position at entry.
    ///
    /// Notional = quantity × entry_price × contract_size
    ///
    /// # Errors
    ///
    /// Returns [`PositionError::PositiveError`] when the product leaves the
    /// `Positive` range. The three factors are `pub` fields, so nothing
    /// bounds it; `Positive * Positive` aborted on it (#788).
    pub fn notional_value_at_entry(&self) -> Result<Positive, PositionError> {
        Ok(self
            .quantity
            .checked_mul(&self.entry_price)?
            .checked_mul(&self.contract_size)?)
    }

    /// Returns the notional value at a given price.
    ///
    /// # Arguments
    ///
    /// * `current_price` - Current market price
    ///
    /// # Errors
    ///
    /// Returns [`PositionError::PositiveError`] when the product leaves the
    /// `Positive` range (#788).
    pub fn notional_value_at_price(
        &self,
        current_price: Positive,
    ) -> Result<Positive, PositionError> {
        Ok(self
            .quantity
            .checked_mul(&current_price)?
            .checked_mul(&self.contract_size)?)
    }

    /// Calculates the unrealized P&L at a given price.
    ///
    /// # Arguments
    ///
    /// * `current_price` - Current market price
    ///
    /// # Decision (issue #471): fallible because `pnl_at_price` is
    ///
    /// This is the whole body of [`LegAble::pnl_at_price`] for a future, so
    /// leaving it infallible would have moved that method's abort one frame
    /// down rather than removing it. `entry_price`, `quantity` and
    /// `contract_size` are `pub`, so no constructor guard bounds the product.
    ///
    /// # Errors
    ///
    /// Returns [`PositionError::DecimalError`] when the price difference, the
    /// quantity scaling or the contract-size scaling leaves the representable
    /// `Decimal` range.
    pub fn unrealized_pnl(&self, current_price: Positive) -> Result<Decimal, PositionError> {
        let price_change = d_sub(
            current_price.to_dec(),
            self.entry_price.to_dec(),
            "FuturePosition::unrealized_pnl/price_change",
        )?;
        let pnl = d_mul(
            d_mul(
                price_change,
                self.quantity.to_dec(),
                "FuturePosition::unrealized_pnl/quantity",
            )?,
            self.contract_size.to_dec(),
            "FuturePosition::unrealized_pnl/contract_size",
        )?;

        Ok(match self.side {
            Side::Long => pnl,
            // Negating a representable `Decimal` is always representable.
            Side::Short => -pnl,
        })
    }

    /// Calculates the tick value (value of one minimum price movement).
    ///
    /// # Arguments
    ///
    /// * `tick_size` - Minimum price increment
    ///
    /// # Errors
    ///
    /// Returns [`PositionError::PositiveError`] when the product leaves the
    /// `Positive` range (#788).
    pub fn tick_value(&self, tick_size: Positive) -> Result<Positive, PositionError> {
        Ok(tick_size.checked_mul(&self.contract_size)?)
    }

    /// Returns the total margin required for this position.
    ///
    /// # Errors
    ///
    /// Returns [`PositionError::PositiveError`] when the product leaves the
    /// `Positive` range (#788).
    pub fn total_margin_required(&self) -> Result<Positive, PositionError> {
        Ok(self.initial_margin_req.checked_mul(&self.quantity)?)
    }

    /// Calculates the basis (futures price - spot price).
    ///
    /// # Arguments
    ///
    /// * `spot_price` - Current spot price of the underlying
    #[must_use]
    // Both operands lie in `[0, Decimal::MAX]`, so the difference lies in
    // `[-Decimal::MAX, Decimal::MAX]` and is always representable.
    #[expect(
        clippy::arithmetic_side_effects,
        reason = "the difference of two values in [0, Decimal::MAX] is representable"
    )]
    pub fn basis(&self, spot_price: Positive) -> Decimal {
        self.entry_price.to_dec() - spot_price.to_dec()
    }

    /// Calculates the implied leverage of the position.
    ///
    /// Leverage = Notional Value / Margin Required, and zero when no margin
    /// is required.
    ///
    /// # Errors
    ///
    /// Returns [`PositionError`] when the notional, the margin or their
    /// ratio leaves the representable range (#788).
    pub fn implied_leverage(&self) -> Result<Decimal, PositionError> {
        let margin = self.total_margin_required()?;
        if margin == Positive::ZERO {
            return Ok(Decimal::ZERO);
        }

        Ok(d_div(
            self.notional_value_at_entry()?.to_dec(),
            margin.to_dec(),
            "FuturePosition::implied_leverage",
        )?)
    }
}

/// Maintenance margin set by [`FuturePosition::long`] and
/// [`FuturePosition::short`]: 80% of the initial margin.
// Scaling a value in `[0, Decimal::MAX]` by `0.8` stays in that range, so the
// product is representable and keeps the `Positive` invariant.
#[expect(
    clippy::arithmetic_side_effects,
    reason = "0.8 times a value in [0, Decimal::MAX] stays in that range"
)]
fn maintenance_from_initial(margin: Positive) -> Positive {
    margin * Decimal::new(8, 1)
}

impl LegAble for FuturePosition {
    fn get_symbol(&self) -> &str {
        &self.symbol
    }

    fn get_quantity(&self) -> Positive {
        self.quantity
    }

    fn get_side(&self) -> Side {
        self.side
    }

    fn pnl_at_price(&self, price: Positive) -> Result<Decimal, PositionError> {
        Ok(d_sub(
            self.unrealized_pnl(price)?,
            self.fees.to_dec(),
            "FuturePosition::pnl_at_price/net",
        )?)
    }

    fn total_cost(&self) -> Result<Positive, PositionError> {
        // The product is formed here rather than read from
        // `total_margin_required`, which multiplies raw and would abort on
        // `initial_margin_req = Positive::MAX` before this `Result` could
        // carry the failure. The infallible helper keeps its signature; what
        // this fixes is the error channel promising something it could not
        // deliver.
        let margin = self
            .initial_margin_req
            .checked_mul(&self.quantity)
            .map_err(PositionError::from)?;
        Ok(margin.checked_add(&self.fees)?)
    }

    fn fees(&self) -> Result<Positive, PositionError> {
        Ok(self.fees)
    }
}

impl Marginable for FuturePosition {
    fn initial_margin(&self) -> Result<Positive, PositionError> {
        Ok(self.initial_margin_req.checked_mul(&self.quantity)?)
    }

    fn maintenance_margin(&self) -> Result<Positive, PositionError> {
        Ok(self.maintenance_margin_req.checked_mul(&self.quantity)?)
    }

    fn leverage(&self) -> Result<Positive, PositionError> {
        let lev = self.implied_leverage()?;
        Ok(Positive::new_decimal(lev).unwrap_or(positive::Positive::ONE))
    }

    /// `None` for a long whose margin buffer per unit exceeds the entry
    /// price: no non-negative price liquidates it. A short threshold below
    /// zero is floored at zero, the documented domain floor of
    /// [`Marginable::liquidation_price`].
    ///
    /// # Errors
    ///
    /// Returns [`PositionError::DecimalError`] for a zero quantity or
    /// contract size, where the buffer per unit is undefined (the division
    /// aborted with `Division by zero`, #788), and when a margin, the buffer
    /// or the shifted price leaves the representable range.
    fn liquidation_price(
        &self,
        _current_price: Positive,
    ) -> Result<Option<Positive>, PositionError> {
        let margin_buffer = d_sub(
            self.initial_margin()?.to_dec(),
            self.maintenance_margin()?.to_dec(),
            "FuturePosition::liquidation_price/margin_buffer",
        )?;
        let units = d_mul(
            self.quantity.to_dec(),
            self.contract_size.to_dec(),
            "FuturePosition::liquidation_price/units",
        )?;
        let price_buffer = d_div(
            margin_buffer,
            units,
            "FuturePosition::liquidation_price/price_buffer",
        )?;

        let threshold = match self.side {
            Side::Long => d_sub(
                self.entry_price.to_dec(),
                price_buffer,
                "FuturePosition::liquidation_price/long",
            )?,
            Side::Short => d_add(
                self.entry_price.to_dec(),
                price_buffer,
                "FuturePosition::liquidation_price/short",
            )?,
        };
        Ok(liquidation_threshold(threshold, self.side))
    }

    fn is_liquidation_risk(
        &self,
        current_price: Positive,
        _margin_ratio: Decimal,
    ) -> Result<bool, PositionError> {
        // No reachable liquidation price means no price is at risk.
        let Some(liq_price) = self.liquidation_price(current_price)? else {
            return Ok(false);
        };

        Ok(match self.side {
            Side::Long => current_price <= liq_price,
            Side::Short => current_price >= liq_price,
        })
    }
}

impl Expirable for FuturePosition {
    fn expiration_timestamp(&self) -> Result<i64, PositionError> {
        // The resolver rather than `get_date`, which aborts on a day count no
        // calendar instant can hold instead of reporting it. An unresolvable
        // date used to read as `0`, the Unix epoch (#810).
        let date = resolve_expiration_date(&self.expiration_date).map_err(DecimalError::from)?;
        Ok(date.timestamp())
    }

    fn days_to_expiration(&self) -> Result<Positive, PositionError> {
        let years = self
            .expiration_date
            .get_years()
            .map_err(DecimalError::from)?;
        let days = d_mul(
            years.to_dec(),
            Decimal::from(365),
            "FuturePosition::days_to_expiration",
        )?;
        Ok(Positive::new_decimal(days)?)
    }

    fn is_expired(&self) -> Result<bool, PositionError> {
        // An unresolvable date used to read as "not expired" (#810).
        let date = resolve_expiration_date(&self.expiration_date).map_err(DecimalError::from)?;
        Ok(date < Utc::now())
    }
}

impl std::fmt::Display for FuturePosition {
    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
        write!(
            f,
            "{} {} {} @ {} (size: {}, exp: {})",
            self.side,
            self.quantity,
            self.symbol,
            self.entry_price,
            self.contract_size,
            self.expiration_date
        )
    }
}

impl Default for FuturePosition {
    fn default() -> Self {
        Self {
            symbol: String::new(),
            quantity: Positive::ZERO,
            entry_price: Positive::ZERO,
            side: Side::Long,
            // `dec!(30.0)` is a compile-time positive literal; the checked
            // constructor never fails, so the `Positive::ZERO` fallback is
            // unreachable and only exists to keep the call site free of
            // `.unwrap()`/`.expect()`.
            expiration_date: ExpirationDate::Days(
                Positive::new_decimal(dec!(30.0)).unwrap_or(Positive::ZERO),
            ),
            contract_size: positive::Positive::ONE,
            initial_margin_req: Positive::ZERO,
            maintenance_margin_req: Positive::ZERO,
            date: Utc::now(),
            fees: Positive::ZERO,
        }
    }
}

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

    /// A margin requirement at the top of the range with more than one
    /// contract overflows the product `total_cost` needs. The signature
    /// promises a `Result`, so it has to arrive as one rather than as an
    /// abort inside the raw multiplication `total_margin_required` performs.
    #[test]
    fn test_future_total_cost_reports_a_margin_product_that_overflows() {
        let future = FuturePosition::new(
            "ES".to_string(),
            Positive::TWO,
            pos_or_panic!(4500.0),
            Side::Long,
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            Positive::MAX,
            pos_or_panic!(12000.0),
            Utc::now(),
            pos_or_panic!(5.0),
        );

        assert!(future.total_cost().is_err());
    }

    #[test]
    fn test_future_position_new() {
        let future = FuturePosition::new(
            "ES".to_string(),
            Positive::TWO,
            pos_or_panic!(4500.0),
            Side::Long,
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
            pos_or_panic!(12000.0),
            Utc::now(),
            pos_or_panic!(5.0),
        );

        assert_eq!(future.symbol, "ES");
        assert_eq!(future.quantity, Positive::TWO);
        assert_eq!(future.entry_price, pos_or_panic!(4500.0));
        assert_eq!(future.side, Side::Long);
        assert_eq!(future.contract_size, pos_or_panic!(50.0));
    }

    #[test]
    fn test_future_long_convenience() {
        let future = FuturePosition::long(
            "ES".to_string(),
            Positive::ONE,
            pos_or_panic!(4500.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        );

        assert_eq!(future.side, Side::Long);
        assert_eq!(future.initial_margin_req, pos_or_panic!(15000.0));
    }

    #[test]
    fn test_future_short_convenience() {
        let future = FuturePosition::short(
            "ES".to_string(),
            Positive::ONE,
            pos_or_panic!(4500.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        );

        assert_eq!(future.side, Side::Short);
    }

    #[test]
    fn test_notional_value() -> Result<(), Box<dyn std::error::Error>> {
        let future = FuturePosition::long(
            "ES".to_string(),
            Positive::TWO,
            pos_or_panic!(4500.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        );

        assert_eq!(future.notional_value_at_entry()?, pos_or_panic!(450000.0));
        Ok(())
    }

    #[test]
    fn test_unrealized_pnl_long() {
        let future = FuturePosition::long(
            "ES".to_string(),
            Positive::ONE,
            pos_or_panic!(4500.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        );

        let pnl = future.unrealized_pnl(pos_or_panic!(4510.0));
        assert_eq!(pnl.ok(), Some(Decimal::from(500)));

        let pnl_loss = future.unrealized_pnl(pos_or_panic!(4490.0));
        assert_eq!(pnl_loss.ok(), Some(Decimal::from(-500)));
    }

    #[test]
    fn test_unrealized_pnl_short() {
        let future = FuturePosition::short(
            "ES".to_string(),
            Positive::ONE,
            pos_or_panic!(4500.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        );

        let pnl = future.unrealized_pnl(pos_or_panic!(4490.0));
        assert_eq!(pnl.ok(), Some(Decimal::from(500)));

        let pnl_loss = future.unrealized_pnl(pos_or_panic!(4510.0));
        assert_eq!(pnl_loss.ok(), Some(Decimal::from(-500)));
    }

    #[test]
    fn test_implied_leverage() -> Result<(), Box<dyn std::error::Error>> {
        let future = FuturePosition::long(
            "ES".to_string(),
            Positive::ONE,
            pos_or_panic!(4500.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        );

        let leverage = future.implied_leverage()?;
        assert_eq!(leverage, Decimal::from(15));
        Ok(())
    }

    #[test]
    fn test_basis() {
        let future = FuturePosition::long(
            "ES".to_string(),
            Positive::ONE,
            pos_or_panic!(4510.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        );

        let basis = future.basis(pos_or_panic!(4500.0));
        assert_eq!(basis, Decimal::from(10));
    }

    #[test]
    fn test_tick_value() -> Result<(), Box<dyn std::error::Error>> {
        let future = FuturePosition::long(
            "ES".to_string(),
            Positive::ONE,
            pos_or_panic!(4500.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        );

        let tick_val = future.tick_value(pos_or_panic!(0.25))?;
        assert_eq!(tick_val, pos_or_panic!(12.5));
        Ok(())
    }

    #[test]
    fn test_total_margin_required() -> Result<(), Box<dyn std::error::Error>> {
        let future = FuturePosition::long(
            "ES".to_string(),
            Positive::TWO,
            pos_or_panic!(4500.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        );

        assert_eq!(future.total_margin_required()?, pos_or_panic!(30000.0));
        Ok(())
    }

    #[test]
    fn test_display() {
        let future = FuturePosition::long(
            "ES".to_string(),
            Positive::ONE,
            pos_or_panic!(4500.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        );

        let display = format!("{}", future);
        assert!(display.contains("Long"));
        assert!(display.contains("ES"));
        assert!(display.contains("4500"));
    }

    fn future_with_margins(
        side: Side,
        entry_price: Positive,
        initial_margin_req: Positive,
        maintenance_margin_req: Positive,
    ) -> FuturePosition {
        FuturePosition::new(
            "ES".to_string(),
            Positive::ONE,
            entry_price,
            side,
            ExpirationDate::Days(pos_or_panic!(30.0)),
            Positive::ONE,
            initial_margin_req,
            maintenance_margin_req,
            Utc::now(),
            Positive::ZERO,
        )
    }

    #[test]
    fn test_future_liquidation_price_reachable_is_unchanged()
    -> Result<(), Box<dyn std::error::Error>> {
        let long = FuturePosition::long(
            "ES".to_string(),
            Positive::ONE,
            pos_or_panic!(4500.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        );
        let short = FuturePosition::short(
            "ES".to_string(),
            Positive::ONE,
            pos_or_panic!(4500.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        );

        // (15000 - 12000) / 50 = 60 of price buffer either side of 4500.
        assert_eq!(
            long.liquidation_price(pos_or_panic!(4500.0))?,
            Some(pos_or_panic!(4440.0))
        );
        assert_eq!(
            short.liquidation_price(pos_or_panic!(4500.0))?,
            Some(pos_or_panic!(4560.0))
        );
        assert!(long.is_liquidation_risk(pos_or_panic!(4440.0), Decimal::ZERO)?);
        assert!(!long.is_liquidation_risk(pos_or_panic!(4441.0), Decimal::ZERO)?);
        assert!(short.is_liquidation_risk(pos_or_panic!(4560.0), Decimal::ZERO)?);
        assert!(!short.is_liquidation_risk(pos_or_panic!(4559.0), Decimal::ZERO)?);
        Ok(())
    }

    #[test]
    fn test_future_long_liquidation_price_below_zero_is_unreachable()
    -> Result<(), Box<dyn std::error::Error>> {
        // A buffer of 90 per unit under an entry of 10 puts the threshold at
        // -80: the long survives a fall all the way to zero.
        let long = future_with_margins(
            Side::Long,
            pos_or_panic!(10.0),
            pos_or_panic!(100.0),
            pos_or_panic!(10.0),
        );

        assert_eq!(long.liquidation_price(pos_or_panic!(10.0))?, None);
        assert!(!long.is_liquidation_risk(Positive::ZERO, Decimal::ZERO)?);
        assert!(!long.is_liquidation_risk(pos_or_panic!(10.0), Decimal::ZERO)?);
        Ok(())
    }

    #[test]
    fn test_future_short_liquidation_price_below_zero_floors_at_zero()
    -> Result<(), Box<dyn std::error::Error>> {
        // A maintenance requirement 90 above the initial one puts the short
        // threshold at -80: every non-negative price already crosses it.
        let short = future_with_margins(
            Side::Short,
            pos_or_panic!(10.0),
            pos_or_panic!(10.0),
            pos_or_panic!(100.0),
        );

        assert_eq!(
            short.liquidation_price(pos_or_panic!(10.0))?,
            Some(Positive::ZERO)
        );
        assert!(short.is_liquidation_risk(Positive::ZERO, Decimal::ZERO)?);
        assert!(short.is_liquidation_risk(pos_or_panic!(10.0), Decimal::ZERO)?);
        Ok(())
    }

    #[test]
    fn test_future_days_to_expiration_is_unchanged() {
        let future = future_with_margins(
            Side::Long,
            pos_or_panic!(4500.0),
            pos_or_panic!(15000.0),
            pos_or_panic!(12000.0),
        );
        let expected = ExpirationDate::Days(pos_or_panic!(30.0))
            .get_years()
            .expect("30 days")
            * Decimal::from(365);

        let days = future.days_to_expiration().expect("30 days");
        assert_eq!(days, expected);
        assert_eq!(
            future.time_to_expiration_years().expect("30 days"),
            expected.to_dec() / Decimal::from(365)
        );
    }

    #[test]
    fn test_future_days_to_expiration_overflow_is_an_error_not_zero() {
        let mut future = future_with_margins(
            Side::Long,
            pos_or_panic!(4500.0),
            pos_or_panic!(15000.0),
            pos_or_panic!(12000.0),
        );
        future.expiration_date = ExpirationDate::Days(Positive::MAX);

        // `get_years` resolves, its product with 365 does not fit `Decimal`.
        let result = future.days_to_expiration();
        assert!(
            matches!(
                result,
                Err(PositionError::DecimalError(DecimalError::Overflow { .. }))
            ),
            "{result:?}"
        );
        assert!(future.time_to_expiration_years().is_err());
    }

    #[test]
    fn test_future_expiration_timestamp_and_is_expired_are_unchanged() {
        let expiry = Utc::now() + chrono::Duration::days(30);
        let mut future = future_with_margins(
            Side::Long,
            pos_or_panic!(4500.0),
            pos_or_panic!(15000.0),
            pos_or_panic!(12000.0),
        );
        future.expiration_date = ExpirationDate::DateTime(expiry);
        assert_eq!(future.expiration_timestamp().ok(), Some(expiry.timestamp()));
        assert_eq!(future.is_expired().ok(), Some(false));

        let past = Utc::now() - chrono::Duration::days(1);
        future.expiration_date = ExpirationDate::DateTime(past);
        assert_eq!(future.expiration_timestamp().ok(), Some(past.timestamp()));
        assert_eq!(future.is_expired().ok(), Some(true));
    }

    #[test]
    fn test_future_unresolvable_expiration_is_an_error_not_epoch_or_live() {
        let mut future = future_with_margins(
            Side::Long,
            pos_or_panic!(4500.0),
            pos_or_panic!(15000.0),
            pos_or_panic!(12000.0),
        );
        // No calendar instant holds this many days: the timestamp read as
        // `0` (the Unix epoch) and the position as not expired (#810).
        future.expiration_date = ExpirationDate::Days(Positive::MAX);

        let timestamp = future.expiration_timestamp();
        assert!(
            matches!(
                timestamp,
                Err(PositionError::DecimalError(DecimalError::ExpirationDate(_)))
            ),
            "{timestamp:?}"
        );
        let expired = future.is_expired();
        assert!(
            matches!(
                expired,
                Err(PositionError::DecimalError(DecimalError::ExpirationDate(_)))
            ),
            "{expired:?}"
        );
    }

    fn future_with_quantity(quantity: Positive) -> FuturePosition {
        FuturePosition::long(
            "ES".to_string(),
            quantity,
            pos_or_panic!(4500.0),
            ExpirationDate::Days(pos_or_panic!(30.0)),
            pos_or_panic!(50.0),
            pos_or_panic!(15000.0),
        )
    }

    // A zero quantity left the per-unit margin buffer undefined, and the
    // division aborted with `Division by zero` (#788).
    #[test]
    fn test_liquidation_price_zero_quantity_is_error() {
        let future = future_with_quantity(Positive::ZERO);
        assert!(matches!(
            future.liquidation_price(pos_or_panic!(4500.0)),
            Err(PositionError::DecimalError(_))
        ));
        assert!(
            future
                .is_liquidation_risk(pos_or_panic!(4500.0), Decimal::ZERO)
                .is_err()
        );
    }

    // `Positive * Positive` aborted with `Positive arithmetic overflow in
    // mul` (#788).
    #[test]
    fn test_notional_and_margins_overflow_is_error() {
        let future = future_with_quantity(Positive::MAX);
        assert!(future.notional_value_at_entry().is_err());
        assert!(future.notional_value_at_price(Positive::TWO).is_err());
        assert!(future.total_margin_required().is_err());
        assert!(future.implied_leverage().is_err());
        assert!(future.initial_margin().is_err());
        assert!(future.maintenance_margin().is_err());
        assert!(future.leverage().is_err());
        let mut wide = future_with_quantity(Positive::ONE);
        wide.contract_size = Positive::MAX;
        assert!(wide.tick_value(Positive::TWO).is_err());
    }
}