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Bugfix/add deleverage buffer (#741)
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* fix: adding deleverage buffer math

* fix: latest commit

* fix: working calculation

* fix: cleaning up deleverage buffer code

* fix: refactor summary table

* fix: adjust ntoken post mint value

* fix: update deleverage buffer error

* fix: add max mint deviation

* fix: vault share apy label

* fix: adding deviation limit warning
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@jeffywu
jeffywu authored Apr 8, 2024
1 parent 26c96b5 commit eadfc3c
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Showing 13 changed files with 1,276 additions and 997 deletions.
3 changes: 2 additions & 1 deletion packages/core-entities/src/.graphclient/index.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -9022,7 +9022,7 @@ export type AllConfigurationQueryVariables = Exact<{ [key: string]: never; }>;


export type AllConfigurationQuery = { currencyConfigurations: Array<(
Pick<CurrencyConfiguration, 'id' | 'maxUnderlyingSupply' | 'collateralHaircut' | 'debtBuffer' | 'liquidationDiscount' | 'primeCashRateOracleTimeWindowSeconds' | 'primeCashHoldingsOracle' | 'primeDebtAllowed' | 'fCashRateOracleTimeWindowSeconds' | 'fCashReserveFeeSharePercent' | 'fCashDebtBufferBasisPoints' | 'fCashHaircutBasisPoints' | 'fCashMinOracleRate' | 'fCashMaxOracleRate' | 'fCashMaxDiscountFactor' | 'fCashLiquidationHaircutBasisPoints' | 'fCashLiquidationDebtBufferBasisPoints' | 'treasuryReserveBuffer' | 'primeCashHoldings' | 'depositShares' | 'leverageThresholds' | 'proportions' | 'residualPurchaseIncentiveBasisPoints' | 'residualPurchaseTimeBufferSeconds' | 'cashWithholdingBufferBasisPoints' | 'pvHaircutPercentage' | 'liquidationHaircutPercentage'>
Pick<CurrencyConfiguration, 'id' | 'maxUnderlyingSupply' | 'collateralHaircut' | 'debtBuffer' | 'liquidationDiscount' | 'primeCashRateOracleTimeWindowSeconds' | 'primeCashHoldingsOracle' | 'primeDebtAllowed' | 'fCashRateOracleTimeWindowSeconds' | 'fCashReserveFeeSharePercent' | 'fCashDebtBufferBasisPoints' | 'fCashHaircutBasisPoints' | 'fCashMinOracleRate' | 'fCashMaxOracleRate' | 'fCashMaxDiscountFactor' | 'fCashLiquidationHaircutBasisPoints' | 'fCashLiquidationDebtBufferBasisPoints' | 'treasuryReserveBuffer' | 'primeCashHoldings' | 'depositShares' | 'leverageThresholds' | 'proportions' | 'residualPurchaseIncentiveBasisPoints' | 'residualPurchaseTimeBufferSeconds' | 'cashWithholdingBufferBasisPoints' | 'pvHaircutPercentage' | 'liquidationHaircutPercentage' | 'maxMintDeviationBasisPoints'>
& { underlying?: Maybe<Pick<Token, 'id'>>, pCash?: Maybe<Pick<Token, 'id'>>, pDebt?: Maybe<Pick<Token, 'id'>>, primeCashCurve?: Maybe<Pick<InterestRateCurve, 'kinkUtilization1' | 'kinkUtilization2' | 'kinkRate1' | 'kinkRate2' | 'maxRate' | 'minFeeRate' | 'maxFeeRate' | 'feeRatePercent'>>, fCashActiveCurves?: Maybe<Array<Pick<InterestRateCurve, 'kinkUtilization1' | 'kinkUtilization2' | 'kinkRate1' | 'kinkRate2' | 'maxRate' | 'minFeeRate' | 'maxFeeRate' | 'feeRatePercent'>>>, fCashNextCurves?: Maybe<Array<Pick<InterestRateCurve, 'kinkUtilization1' | 'kinkUtilization2' | 'kinkRate1' | 'kinkRate2' | 'maxRate' | 'minFeeRate' | 'maxFeeRate' | 'feeRatePercent'>>>, incentives?: Maybe<(
Pick<Incentive, 'incentiveEmissionRate' | 'accumulatedNOTEPerNToken' | 'lastAccumulatedTime' | 'secondaryIncentiveRewarder' | 'secondaryEmissionRate' | 'accumulatedSecondaryRewardPerNToken' | 'lastSecondaryAccumulatedTime' | 'secondaryRewardEndTime'>
& { currentSecondaryReward?: Maybe<Pick<Token, 'id' | 'symbol'>> }
Expand Down Expand Up @@ -9410,6 +9410,7 @@ export const AllConfigurationDocument = gql`
cashWithholdingBufferBasisPoints
pvHaircutPercentage
liquidationHaircutPercentage
maxMintDeviationBasisPoints
incentives {
incentiveEmissionRate
accumulatedNOTEPerNToken
Expand Down
2 changes: 1 addition & 1 deletion packages/core-entities/src/client/oracle-registry-client.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -305,7 +305,7 @@ export class OracleRegistryClient extends ClientRegistry<OracleDefinition> {
underlying.currencyId
);
const totalSupply = fCashMarket.totalSupply;
o = { ...o };
o = { ...o, latestRate: { ...o.latestRate } };
o.latestRate.rate = fCashMarket
.getNTokenSpotValue()
.toUnderlying()
Expand Down
236 changes: 201 additions & 35 deletions packages/core-entities/src/exchanges/NotionalV3/fCash-market.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -2,9 +2,11 @@ import { AggregateCall } from '@notional-finance/multicall';
import {
AssetType,
BASIS_POINT,
DELEVERAGE_BUFFER,
encodeERC1155Id,
getNowSeconds,
INTERNAL_TOKEN_DECIMALS,
INTERNAL_TOKEN_PRECISION,
Network,
NotionalAddress,
RATE_DECIMALS,
Expand All @@ -24,7 +26,6 @@ import {
InterestRateParameters,
} from './BaseNotionalMarket';
import { TokenDefinition } from '../../Definitions';
import { OracleRegistryClient } from '../../client';

interface fCashMarketParams {
perMarketCash: TokenBalance[];
Expand Down Expand Up @@ -279,9 +280,33 @@ export class fCashMarket extends BaseNotionalMarket<fCashMarketParams> {
throw Error('nToken Oracle Rate not found');

const lpTokenSpotValue = this.getNTokenSpotValue();
const lpTokenOracleValue = lpTokenSpotValue.copy(
this.totalSupply.divInRatePrecision(nTokenOracleRate).n
);
const lpTokenOracleValue = TokenBalance.zero(this.totalSupply.underlying)
.copy(this.totalSupply.mulInRatePrecision(nTokenOracleRate).n)
.scaleFromInternal()
.toPrimeCash();

try {
const { maxMintDeviationBasisPoints } =
Registry.getConfigurationRegistry().getConfig(
this._network,
this.totalSupply.currencyId
);
const deviationLimit = lpTokenOracleValue
.sub(lpTokenSpotValue)
.abs()
.ratioWith(lpTokenOracleValue)
.toNumber();
if (
maxMintDeviationBasisPoints &&
maxMintDeviationBasisPoints < deviationLimit
) {
throw Error(
'Liquidity providing is unavailable due to high fixed rate volatility. Check back later.'
);
}
} catch (e) {
console.error(e);
}

const lpTokens = this.totalSupply.scale(
tokensIn[0],
Expand All @@ -293,7 +318,37 @@ export class fCashMarket extends BaseNotionalMarket<fCashMarketParams> {
// NOTE: this is not correct in the face of deleverage ntoken
const lpClaims = this.getLPTokenClaims(lpTokens);
const feesPaid = this.zeroTokenArray();
feesPaid[0] = tokensIn[0].sub(lpTokens.toPrimeCash());
// Adds the prime cash deposited value into the nToken and adds the total supply minted
// in the following line.
const postMintSpotValue = this.getPostMintSpotValue(tokensIn[0]).add(
tokensIn[0]
);
feesPaid[0] = tokensIn[0].sub(
postMintSpotValue.scale(lpTokens, this.totalSupply.add(lpTokens))
);
// console.log(`
// POST MINT SPOT VALUE:
// ${tokensIn[0]
// .copy(INTERNAL_TOKEN_PRECISION)
// .toUnderlying()
// .toDisplayStringWithSymbol(8, false, false)}
// ${nTokenOracleRate.toString()}
// ${this.totalSupply.toDisplayStringWithSymbol(4, false, false)}
// ${tokensIn[0].toDisplayStringWithSymbol(4, false, false)}
// ${postMintSpotValue
// .scale(lpTokens, this.totalSupply)
// .toDisplayStringWithSymbol(4, false, false)}
// ${lpTokenOracleValue
// .toUnderlying()
// .toDisplayStringWithSymbol(4, false, false)}
// ${lpTokenSpotValue
// .toUnderlying()
// .toDisplayStringWithSymbol(4, false, false)}
// ${postMintSpotValue
// .toUnderlying()
// .toDisplayStringWithSymbol(4, false, false)}
// ${feesPaid[0].toDisplayStringWithSymbol(4, false, false)}
// `);

return {
feesPaid,
Expand Down Expand Up @@ -373,34 +428,144 @@ export class fCashMarket extends BaseNotionalMarket<fCashMarketParams> {
/* fCash Interest Curve Calculations */
/***********************************************************************/

public getNTokenSpotValue() {
public getPostMintSpotValue(amountIn: TokenBalance) {
const { leverageThresholds, depositShares, fCashReserveFeeSharePercent } =
Registry.getConfigurationRegistry().getConfig(
this._network,
this.totalSupply.currencyId
);
if (
!leverageThresholds ||
!depositShares ||
fCashReserveFeeSharePercent === undefined
)
throw Error('Config not found');

const postTradeSpotRates = this.balances.map((b, marketIndex) => {
if (marketIndex == 0) return RATE_PRECISION;

const i = marketIndex - 1;
const timeToMaturity = this.getTimeToMaturity(marketIndex);
const utilization = this.getfCashUtilization(
b.copy(0),
this._getTotalfCash(marketIndex),
this.getMarketCashUnderlying(marketIndex)
);
// console.log(`
// IN POST TRADE SPOT RATES ${marketIndex}:
// ${utilization / RATE_PRECISION}
// ${leverageThresholds[i] / RATE_PRECISION}
// ${this.poolParams.perMarketfCash[
// marketIndex - 1
// ].toDisplayStringWithSymbol(8, false, false)}
// ${this.poolParams.perMarketCash[
// marketIndex - 1
// ].toDisplayStringWithSymbol(8, false, false)}
// ${this.getMarketCashUnderlying(marketIndex).toDisplayStringWithSymbol(
// 8,
// false,
// false
// )}
// ${this.getfCashSpotRateInRP(b.token)}
// `);
// console.log(this.getIRParams(marketIndex));

if (utilization < leverageThresholds[i]) {
return this.getInterestRate(marketIndex, utilization);
} else {
// Calculate the deleverage market trade
const deleverageInterestRate = Math.max(
this.getfCashSpotRateInRP(b.token) - DELEVERAGE_BUFFER,
0
);
const assumedExchangeRate = this.getfCashExchangeRate(
deleverageInterestRate,
timeToMaturity
);
const marketDeposit = amountIn
.scale(depositShares[i], INTERNAL_TOKEN_PRECISION)
.toUnderlying();
const fCashAmountAssumed = b.copy(
marketDeposit
.mulInRatePrecision(assumedExchangeRate)
.scaleTo(INTERNAL_TOKEN_DECIMALS)
);

let fCashAmountActual: TokenBalance;
let cashToMarket: TokenBalance;
try {
// If this throws an error than the contract would fail as well
fCashAmountActual = this.getfCashGivenCashAmount(
marketIndex,
marketDeposit.neg()
);
const { fee } = this.getCashGivenfCashAmount(
marketIndex,
fCashAmountActual
);
cashToMarket = marketDeposit
.sub(fee.scale(BigNumber.from(fCashReserveFeeSharePercent), 100))
.toUnderlying();

// console.log(`
// CALCULATED POST TRADE ${marketIndex}
// ${deleverageInterestRate / RATE_PRECISION}
// ${assumedExchangeRate / RATE_PRECISION}
// ${marketDeposit.toDisplayStringWithSymbol(4, false, false)}
// ${fCashAmountAssumed.toDisplayStringWithSymbol(4, false, false)}
// ${fCashAmountActual.toDisplayStringWithSymbol(4, false, false)}
// ${fee.toDisplayString()}
// ${cashToMarket.toDisplayStringWithSymbol(4, false, false)}
// ${this.getImpliedInterestRate(marketDeposit, fCashAmountActual) || 0}
// `);

if (fCashAmountActual.lte(fCashAmountAssumed)) {
throw Error(
'Cannot mint due to high fixed rate utilization, try a smaller amount.'
);
}
} catch (e) {
throw Error(
'Cannot mint due to high fixed rate utilization, try a smaller amount.'
);
}

// This calculates the post trade utilization
const newUtilization = this.getfCashUtilization(
fCashAmountActual.copy(0),
this.poolParams.perMarketfCash[i].sub(fCashAmountActual),
this.poolParams.perMarketCash[i].toUnderlying().add(cashToMarket)
);
// console.log('NEW UTILIZATION', newUtilization);
return this.getInterestRate(marketIndex, newUtilization);
}
});
// console.log('RETURNED POST TRADE SPOT RATES', postTradeSpotRates);

return this.getNTokenSpotValue(postTradeSpotRates);
}

public getNTokenSpotValue(spotRates?: number[]) {
const primaryToken = this.balances[0].token;
return (
this.balances
.map((b, i) => {
if (i === 0) {
return b;
} else {
const spotExchangeRate =
OracleRegistryClient.interestToExchangeRate(
BigNumber.from(
Math.floor(
((this.getSpotInterestRate(b.token) || 0) / 100) *
-RATE_PRECISION
)
),
b.maturity
).div(RATE_PRECISION);

// b is in 8 decimal precision, after the exchange rate it is in 8
// decimal underlying precision
return TokenBalance.from(
b.mulInRatePrecision(spotExchangeRate).n,
b.underlying
)
.scaleFromInternal()
.toPrimeCash();
}
.map((b, marketIndex) => {
if (marketIndex === 0) return b;
const spotExchangeRate = this.getfCashExchangeRate(
spotRates
? spotRates[marketIndex]
: this.getfCashSpotRateInRP(b.token),
this.getTimeToMaturity(marketIndex)
);

// b is in 8 decimal precision, after the exchange rate it is in 8
// decimal underlying precision
return TokenBalance.from(
b.divInRatePrecision(spotExchangeRate).n,
b.underlying
)
.scaleFromInternal()
.toPrimeCash();
})
// Sum all balances in primary valuation
.reduce((v, i) => v.add(i), TokenBalance.zero(primaryToken))
Expand All @@ -419,8 +584,8 @@ export class fCashMarket extends BaseNotionalMarket<fCashMarketParams> {
balanceOverrides?: TokenBalance[],
nowSeconds = getNowSeconds()
) {
const totalfCash = this._getTotalfCash(marketIndex, balanceOverrides);
const irParams = this.getIRParams(marketIndex);
const totalfCash = this._getTotalfCash(marketIndex, balanceOverrides);
const totalCashUnderlying = this.getMarketCashUnderlying(marketIndex);
const timeToMaturity = this.getTimeToMaturity(marketIndex, nowSeconds);
const netUnderlyingToAccount = cashAmount.toUnderlying();
Expand Down Expand Up @@ -765,17 +930,18 @@ export class fCashMarket extends BaseNotionalMarket<fCashMarketParams> {
return this.balances[0].toUnderlying().copy(0);
}

protected getfCashSpotRate(token: TokenDefinition) {
protected getfCashSpotRateInRP(token: TokenDefinition) {
const marketIndex = this.getMarketIndex(token.maturity);
const utilization = this.getfCashUtilization(
this.poolParams.perMarketfCash[marketIndex - 1].copy(0),
this.poolParams.perMarketfCash[marketIndex - 1],
this.poolParams.perMarketCash[marketIndex - 1].toUnderlying()
);
return this.getInterestRate(marketIndex, utilization);
}

return (
(this.getInterestRate(marketIndex, utilization) * 100) / RATE_PRECISION
);
protected getfCashSpotRate(token: TokenDefinition) {
return (this.getfCashSpotRateInRP(token) * 100) / RATE_PRECISION;
}

public getSlippageRate(fCash: TokenBalance, slippageFactor: number) {
Expand Down
1 change: 1 addition & 0 deletions packages/core-entities/src/queries/AllConfiguration.graphql
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Original file line number Diff line number Diff line change
Expand Up @@ -63,6 +63,7 @@ query AllConfiguration {
cashWithholdingBufferBasisPoints
pvHaircutPercentage
liquidationHaircutPercentage
maxMintDeviationBasisPoints

incentives {
incentiveEmissionRate
Expand Down
5 changes: 4 additions & 1 deletion packages/shared/notionable-hooks/src/index.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -16,12 +16,15 @@ export * from './use-market';
export * from './use-wallet';
export * from './use-vault';
export * from './use-query-params';
export * from './use-summary';
export * from './use-chart';
export * from './use-liquidation-prices';
export * from './use-geoip-block';
export * from './use-contest';
export * from './use-network';
export * from './summary/use-liquidation-risk';
export * from './summary/use-order-details';
export * from './summary/use-portfolio-comparison';
export * from './summary/use-trade-summary';

export type BaseTradeContext = ObservableContext<BaseTradeState>;
export type TradeContext = ObservableContext<TradeState>;
Expand Down
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