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Bugfix: buffered ratio (#6)
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@jeffywu
jeffywu authored Oct 24, 2021
1 parent be6a4b1 commit a0cb7f6
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Showing 5 changed files with 182 additions and 78 deletions.
2 changes: 1 addition & 1 deletion package.json
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
{
"name": "@notional-finance/sdk-v2",
"version": "0.0.6",
"version": "0.0.7",
"description": "Notional Finance SDK V2",
"author": "Jeff Wu <jeff@notional.finance>",
"homepage": "https://notional.finance",
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8 changes: 4 additions & 4 deletions src/abi/Notional.json
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Original file line number Diff line number Diff line change
Expand Up @@ -1365,7 +1365,7 @@
},
{
"internalType": "uint8",
"name": "rateOracleTimeWindowMin",
"name": "rateOracleTimeWindow5Min",
"type": "uint8"
},
{
Expand Down Expand Up @@ -1918,7 +1918,7 @@
},
{
"internalType": "uint8",
"name": "rateOracleTimeWindowMin",
"name": "rateOracleTimeWindow5Min",
"type": "uint8"
},
{
Expand Down Expand Up @@ -1994,7 +1994,7 @@
},
{
"internalType": "uint8",
"name": "rateOracleTimeWindowMin",
"name": "rateOracleTimeWindow5Min",
"type": "uint8"
},
{
Expand Down Expand Up @@ -3768,7 +3768,7 @@
},
{
"internalType": "uint8",
"name": "rateOracleTimeWindowMin",
"name": "rateOracleTimeWindow5Min",
"type": "uint8"
},
{
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116 changes: 64 additions & 52 deletions src/system/FreeCollateral.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -4,6 +4,7 @@ import TypedBigNumber, {BigNumberType} from '../libs/TypedBigNumber';
import {getNowSeconds} from '../libs/utils';
import {Asset, AssetType} from '../libs/types';
import {INTERNAL_TOKEN_PRECISION, ETHER_CURRENCY_ID} from '../config/constants';
import NTokenValue from './NTokenValue';

const useHaircut = true;
const noHaircut = false;
Expand Down Expand Up @@ -112,7 +113,6 @@ export default class FreeCollateral {

assetCashBalanceInternal.check(BigNumberType.InternalAsset, symbol);
nTokenBalance?.check(BigNumberType.nToken, nTokenSymbol);
// This makes a copy of the array so we can net off fCash
const {liquidityTokenUnderlyingPV, fCashUnderlyingPV} = FreeCollateral.getCashGroupValue(
currencyId,
portfolio,
Expand All @@ -121,7 +121,10 @@ export default class FreeCollateral {

let nTokenValue = TypedBigNumber.from(0, BigNumberType.InternalUnderlying, underlyingSymbol);
if (nTokenBalance && nTokenBalance.isPositive()) {
nTokenValue = nTokenBalance.toUnderlying(useInternal);
const nToken = system.getNToken(currencyId)!;
nTokenValue = nTokenBalance
.toAssetCash(useInternal).scale(nToken.pvHaircutPercentage, 100)
.toUnderlying(useInternal);
}

return {
Expand Down Expand Up @@ -155,7 +158,7 @@ export default class FreeCollateral {
.filter((a) => a.assetType !== AssetType.fCash)
.reduce((underlyingPV, lt) => {
// eslint-disable-next-line prefer-const
let {assetCashClaim, fCashClaim} = cashGroup.getLiquidityTokenValue(lt.assetType, lt.notional, true);
let {assetCashClaim, fCashClaim} = cashGroup.getLiquidityTokenValue(lt.assetType, lt.notional, useHaircut);
const index = currencyAssets.findIndex((a) => a.assetType === AssetType.fCash && lt.maturity === a.maturity);
if (index > -1) {
// net off fCash if it exists
Expand All @@ -170,7 +173,7 @@ export default class FreeCollateral {
const fCashHaircutPV = cashGroup.getfCashPresentValueUnderlyingInternal(
lt.maturity,
fCashClaim,
true,
useHaircut,
blockTime,
);
return underlyingPV.add(fCashHaircutPV).add(assetCashClaim.toUnderlying());
Expand All @@ -180,7 +183,7 @@ export default class FreeCollateral {
fCashUnderlyingPV = currencyAssets
.filter((a) => a.assetType === AssetType.fCash)
.reduce((underlyingPV, a) => underlyingPV.add(
cashGroup.getfCashPresentValueUnderlyingInternal(a.maturity, a.notional, true, blockTime),
cashGroup.getfCashPresentValueUnderlyingInternal(a.maturity, a.notional, useHaircut, blockTime),
), fCashUnderlyingPV);
}

Expand All @@ -193,6 +196,7 @@ export default class FreeCollateral {
* @param collateralCurrencyId currency to collateralize this asset by
* @param bufferedRatio the target post haircut / buffer collateral ratio
* @param accountData account data object with borrow amounts applied
* @param mintNTokenCollateral true if collateral should be minted as nTokens
* @param blockTime
* @returns
* - minCollateral: minimum amount of collateral required for the borrow
Expand All @@ -204,20 +208,22 @@ export default class FreeCollateral {
collateralCurrencyId: number,
_bufferedRatio: number,
accountData: AccountData,
mintNTokenCollateral = false,
blockTime = getNowSeconds(),
): {
minCollateral: TypedBigNumber;
targetCollateral: TypedBigNumber;
minCollateralRatio: number | null;
minBufferedRatio: number | null;
targetCollateralRatio: number | null;
targetBufferedRatio: number | null;
} {
const bufferedRatio = Math.trunc(_bufferedRatio);
if (bufferedRatio < 100) throw new RangeError('Buffered ratio must be more than 100');

// prettier-ignore
const {
netETHCollateralWithHaircut,
netETHDebt,
netETHDebtWithBuffer,
netUnderlyingAvailable,
} = FreeCollateral.getFreeCollateral(
Expand All @@ -230,14 +236,58 @@ export default class FreeCollateral {
|| FreeCollateral.getZeroUnderlying(collateralCurrencyId)
);

return FreeCollateral.calculateTargetCollateral(
let {minCollateral, targetCollateral} = FreeCollateral.calculateTargetCollateral(
netETHCollateralWithHaircut,
netETHDebt,
netETHDebtWithBuffer,
collateralCurrencyId,
collateralNetAvailable,
bufferedRatio,
);

const minCollateralCopy = AccountData.copyAccountData(accountData);
const targetCollateralCopy = AccountData.copyAccountData(accountData);
if (mintNTokenCollateral) {
const nToken = System.getSystem().getNToken(collateralCurrencyId);
if (!nToken) throw Error(`nToken not found for ${collateralCurrencyId}`);
const minAssetCash = minCollateral.toAssetCash(useInternal).scale(100, nToken.pvHaircutPercentage);
const targetAssetCash = targetCollateral.toAssetCash(useInternal).scale(100, nToken.pvHaircutPercentage);
minCollateral = NTokenValue.getNTokensToMint(collateralCurrencyId, minAssetCash);
targetCollateral = NTokenValue.getNTokensToMint(collateralCurrencyId, targetAssetCash);

minCollateralCopy.updateBalance(
collateralCurrencyId,
FreeCollateral.getZeroUnderlying(collateralCurrencyId).toAssetCash(useInternal),
minCollateral,
);

targetCollateralCopy.updateBalance(
collateralCurrencyId,
FreeCollateral.getZeroUnderlying(collateralCurrencyId).toAssetCash(useInternal),
targetCollateral,
);
} else {
minCollateralCopy.updateBalance(collateralCurrencyId, minCollateral.toAssetCash(useInternal));
targetCollateralCopy.updateBalance(collateralCurrencyId, targetCollateral.toAssetCash(useInternal));
}

const minFC = FreeCollateral.getFreeCollateral(minCollateralCopy, blockTime);
const targetFC = FreeCollateral.getFreeCollateral(targetCollateralCopy, blockTime);
return {
minCollateral,
targetCollateral,
minCollateralRatio: FreeCollateral.calculateCollateralRatio(
minFC.netETHCollateral, minFC.netETHDebt,
),
minBufferedRatio: FreeCollateral.calculateCollateralRatio(
minFC.netETHCollateralWithHaircut, minFC.netETHDebtWithBuffer,
),
targetCollateralRatio: FreeCollateral.calculateCollateralRatio(
targetFC.netETHCollateral, targetFC.netETHDebt,
),
targetBufferedRatio: FreeCollateral.calculateCollateralRatio(
targetFC.netETHCollateralWithHaircut, targetFC.netETHDebtWithBuffer,
),
};
}

/**
Expand All @@ -249,20 +299,17 @@ export default class FreeCollateral {
* @param collateralCurrencyId
* @param collateralNetAvailable
* @param bufferedRatio
* @returns
* @returns minCollateral and targetCollateral in collateral currency asset cash denomination
*/
public static calculateTargetCollateral(
netETHCollateralWithHaircut: TypedBigNumber,
netETHDebt: TypedBigNumber,
netETHDebtWithBuffer: TypedBigNumber,
collateralCurrencyId: number,
collateralNetAvailable: TypedBigNumber,
bufferedRatio: number,
): {
minCollateral: TypedBigNumber;
targetCollateral: TypedBigNumber;
minCollateralRatio: number | null;
targetCollateralRatio: number | null;
} {
// Minimum required ratio has multiplier of 1
const minEthRequired = netETHCollateralWithHaircut.gte(netETHDebtWithBuffer)
Expand All @@ -272,16 +319,6 @@ export default class FreeCollateral {
// Scale the netETHDebt with buffer to the buffered ratio and remove any existing collateral we have
let targetEthRequired = netETHDebtWithBuffer.scale(bufferedRatio, 100).sub(netETHCollateralWithHaircut);

const minCollateralRatio = FreeCollateral.calculateCollateralRatio(
netETHCollateralWithHaircut.add(minEthRequired),
netETHDebt,
);

const targetCollateralRatio = FreeCollateral.calculateCollateralRatio(
netETHCollateralWithHaircut.add(targetEthRequired),
netETHDebt,
);

// Cannot require negative ETH
if (targetEthRequired.isNegative()) {
targetEthRequired = FreeCollateral.getZeroUnderlying(ETH);
Expand All @@ -292,8 +329,6 @@ export default class FreeCollateral {
return {
minCollateral: FreeCollateral.getZeroUnderlying(collateralCurrencyId),
targetCollateral: FreeCollateral.getZeroUnderlying(collateralCurrencyId),
minCollateralRatio,
targetCollateralRatio,
};
}

Expand All @@ -303,29 +338,25 @@ export default class FreeCollateral {
return {
minCollateral: minEthRequired.fromETH(collateralCurrencyId, useHaircut),
targetCollateral: targetEthRequired.fromETH(collateralCurrencyId, useHaircut),
minCollateralRatio,
targetCollateralRatio,
};
}

// More complex scenario where there is collateral debt and we have to net it off first.
const collateralDebtETHBuffer = collateralNetAvailable.toETH(useHaircut).abs();
const collateralDebtETH = collateralNetAvailable.toETH(noHaircut).abs();

const {requiredCollateral: minCollateral, collateralRatio: minRatio} = FreeCollateral.getRequiredCollateral(
const minCollateral = FreeCollateral.getRequiredCollateral(
netETHCollateralWithHaircut,
netETHDebtWithBuffer,
netETHDebt,
collateralDebtETHBuffer,
collateralDebtETH,
100, // min buffered ratio is 1-1
collateralCurrencyId,
);

const {requiredCollateral: targetCollateral, collateralRatio: targetRatio} = FreeCollateral.getRequiredCollateral(
const targetCollateral = FreeCollateral.getRequiredCollateral(
netETHCollateralWithHaircut,
netETHDebtWithBuffer,
netETHDebt,
collateralDebtETHBuffer,
collateralDebtETH,
bufferedRatio,
Expand All @@ -335,15 +366,12 @@ export default class FreeCollateral {
return {
minCollateral,
targetCollateral,
minCollateralRatio: minRatio,
targetCollateralRatio: targetRatio,
};
}

private static getRequiredCollateral(
netETHCollateralWithHaircut: TypedBigNumber,
netETHDebtWithBuffer: TypedBigNumber,
netETHDebt: TypedBigNumber,
collateralDebtETHBuffer: TypedBigNumber,
collateralDebtETH: TypedBigNumber,
bufferedRatio: number,
Expand All @@ -362,22 +390,12 @@ export default class FreeCollateral {

// It's possible that no collateral payment is required due to other collateral
if (collateralDebtPayment.isNegative()) {
return {
requiredCollateral: FreeCollateral.getZeroUnderlying(collateralCurrencyId),
collateralRatio: this.calculateCollateralRatio(netETHCollateralWithHaircut, netETHDebt),
};
return FreeCollateral.getZeroUnderlying(collateralCurrencyId);
}

if (collateralDebtPayment.lt(collateralDebtETH)) {
// Do not apply haircut to the debt repayment, the buffer has been included above.
const requiredCollateral = collateralDebtPayment.fromETH(collateralCurrencyId, noHaircut);
// NOTE: this will return the collateral ratio which is not the same as the buffered ratio if the buffers and
// haircuts are not the same.
const collateralRatio = this.calculateCollateralRatio(
netETHCollateralWithHaircut,
netETHDebt.sub(collateralDebtPayment),
);
return {requiredCollateral, collateralRatio};
return collateralDebtPayment.fromETH(collateralCurrencyId, noHaircut);
}

// If we reach here, paying off the debt is insufficient to reach the target buffered ratio
Expand All @@ -393,13 +411,7 @@ export default class FreeCollateral {
const totalCollateralETH = additionalCollateralETH.add(collateralDebtETH);

// Do not use haircut here, it is already applied in the calculation above
const requiredCollateral = totalCollateralETH.fromETH(collateralCurrencyId, noHaircut);
const collateralRatio = this.calculateCollateralRatio(
netETHCollateralWithHaircut.add(additionalCollateralETH),
netETHDebt.sub(collateralDebtETH),
);

return {requiredCollateral, collateralRatio};
return totalCollateralETH.fromETH(collateralCurrencyId, noHaircut);
}

/**
Expand Down
2 changes: 1 addition & 1 deletion tests/mocks/MockSystem.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -164,7 +164,7 @@ export const systemQueryResult = {
incentiveEmissionRate: null,
leverageThresholds: null,
name: 'nToken Ether',
pvHaircutPercentage: null,
pvHaircutPercentage: 85,
symbol: 'nETH',
tokenAddress: '0x71b170fd23d4e6e68347acf98fe7f71209d25c90',
},
Expand Down
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