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Contract Name:
OptionRegistry
Compiler Version
v0.8.9+commit.e5eed63a
Optimization Enabled:
Yes with 200 runs
Other Settings:
default evmVersion
Contract Source Code (Solidity Standard Json-Input format)
// SPDX-License-Identifier: MIT
pragma solidity >=0.8.9;
import { LiquidityPool } from "./LiquidityPool.sol";
import "./tokens/ERC20.sol";
import "./libraries/AccessControl.sol";
import { Types } from "./libraries/Types.sol";
import { CustomErrors } from "./libraries/CustomErrors.sol";
import { OptionsCompute } from "./libraries/OptionsCompute.sol";
import { SafeTransferLib } from "./libraries/SafeTransferLib.sol";
import { OpynInteractions } from "./libraries/OpynInteractions.sol";
import "./interfaces/IOracle.sol";
import "./interfaces/IMarginCalculator.sol";
import "./interfaces/AddressBookInterface.sol";
import { IController, GammaTypes } from "./interfaces/GammaInterface.sol";
/**
* @title Contract used for conducting options issuance and settlement as well as collateral management
* @dev Interacts with the opyn-rysk gamma protocol via OpynInteractions for options activity. Interacts with
* the liquidity pool for collateral and instructions.
*/
contract OptionRegistry is AccessControl {
///////////////////////////
/// immutable variables ///
///////////////////////////
// address of the opyn oTokenFactory for oToken minting
address internal immutable oTokenFactory;
// address of the gammaController for oToken operations
address public immutable gammaController;
// address of the collateralAsset
address public immutable collateralAsset;
// address of the opyn addressBook for accessing important opyn modules
AddressBookInterface public immutable addressBook;
// address of the marginPool, contract for storing options collateral
address internal immutable marginPool;
/////////////////////////
/// dynamic variables ///
/////////////////////////
// information of a series
mapping(address => Types.OptionSeries) public seriesInfo;
// vaultId that is responsible for a specific series address
mapping(address => uint256) public vaultIds;
// issuance hash mapped against the series address
mapping(bytes32 => address) seriesAddress;
// vault counter
uint64 public vaultCount;
/////////////////////////////////////
/// governance settable variables ///
/////////////////////////////////////
// address of the rysk liquidity pools
address public liquidityPool;
// max health threshold for calls
uint64 public callUpperHealthFactor = 13_000;
// min health threshold for calls
uint64 public callLowerHealthFactor = 11_000;
// max health threshold for puts
uint64 public putUpperHealthFactor = 12_000;
// min health threshold for puts
uint64 public putLowerHealthFactor = 11_000;
// keeper addresses for this contract
mapping(address => bool) public keeper;
//////////////////////////
/// constant variables ///
//////////////////////////
// BIPS
uint256 private constant MAX_BPS = 10_000;
// used to convert e18 to e8
uint256 private constant SCALE_FROM = 10**10;
// oToken decimals
uint8 private constant OPYN_DECIMALS = 8;
/////////////////////////////////////
/// events && errors && modifiers ///
/////////////////////////////////////
event OptionTokenCreated(address token);
event SeriesRedeemed(address series, uint256 underlyingAmount, uint256 strikeAmount);
event OptionsContractOpened(address indexed series, uint256 vaultId, uint256 optionsAmount);
event OptionsContractClosed(address indexed series, uint256 vaultId, uint256 closedAmount);
event OptionsContractSettled(
address indexed series,
uint256 collateralReturned,
uint256 collateralLost,
uint256 amountLost
);
event VaultLiquidationRegistered(
address indexed series,
uint256 vaultId,
uint256 amountLiquidated,
uint256 collateralLiquidated
);
error NoVault();
error NotKeeper();
error NotExpired();
error HealthyVault();
error AlreadyExpired();
error NotLiquidityPool();
error NonExistentSeries();
error InvalidCollateral();
error VaultNotLiquidated();
error InsufficientBalance();
constructor(
address _collateralAsset,
address _oTokenFactory,
address _gammaController,
address _marginPool,
address _liquidityPool,
address _addressBook,
address _authority
) AccessControl(IAuthority(_authority)) {
collateralAsset = _collateralAsset;
if (ERC20(_collateralAsset).decimals() > 18) {
revert CustomErrors.InvalidDecimals();
}
oTokenFactory = _oTokenFactory;
gammaController = _gammaController;
marginPool = _marginPool;
liquidityPool = _liquidityPool;
addressBook = AddressBookInterface(_addressBook);
}
///////////////
/// setters ///
///////////////
/**
* @notice Set the liquidity pool address
* @param _newLiquidityPool set the liquidityPool address
*/
function setLiquidityPool(address _newLiquidityPool) external {
_onlyGovernor();
liquidityPool = _newLiquidityPool;
}
/**
* @notice Set or revoke a keeper
* @param _target address to become a keeper
* @param _auth accept or revoke
*/
function setKeeper(address _target, bool _auth) external {
_onlyGovernor();
keeper[_target] = _auth;
}
/**
* @notice Set the health thresholds of the pool
* @param _putLower the lower health threshold for puts
* @param _putUpper the upper health threshold for puts
* @param _callLower the lower health threshold for calls
* @param _callUpper the upper health threshold for calls
*/
function setHealthThresholds(
uint64 _putLower,
uint64 _putUpper,
uint64 _callLower,
uint64 _callUpper
) external {
_onlyGovernor();
putLowerHealthFactor = _putLower;
putUpperHealthFactor = _putUpper;
callLowerHealthFactor = _callLower;
callUpperHealthFactor = _callUpper;
}
//////////////////////////////////////////////////////
/// access-controlled state changing functionality ///
//////////////////////////////////////////////////////
/**
* @notice Either retrieves the option token if it already exists, or deploy it
* @param optionSeries the series used for the mint - strike passed in as e18
* @return the address of the option
*/
function issue(Types.OptionSeries memory optionSeries) external returns (address) {
_isLiquidityPool();
// deploy an oToken contract address
if (optionSeries.expiration <= block.timestamp) {
revert AlreadyExpired();
}
// assumes strike is passed in e18, converts to e8
uint128 formattedStrike = uint128(
formatStrikePrice(optionSeries.strike, optionSeries.collateral)
);
// create option storage hash
bytes32 issuanceHash = getIssuanceHash(
optionSeries.underlying,
optionSeries.strikeAsset,
optionSeries.collateral,
optionSeries.expiration,
optionSeries.isPut,
formattedStrike
);
// check for an opyn oToken if it doesn't exist deploy it
address series = OpynInteractions.getOrDeployOtoken(
oTokenFactory,
optionSeries.collateral,
optionSeries.underlying,
optionSeries.strikeAsset,
formattedStrike,
optionSeries.expiration,
optionSeries.isPut
);
// store the option data as a hash
seriesInfo[series] = Types.OptionSeries(
optionSeries.expiration,
formattedStrike,
optionSeries.isPut,
optionSeries.underlying,
optionSeries.strikeAsset,
optionSeries.collateral
);
seriesAddress[issuanceHash] = series;
emit OptionTokenCreated(series);
return series;
}
/**
* @notice Open an options contract using collateral from the liquidity pool
* @param _series the address of the option token to be created
* @param amount the amount of options to deploy - assume in e18
* @param collateralAmount the collateral required for the option - assumes in collateral decimals
* @dev only callable by the liquidityPool
* @return if the transaction succeeded
* @return the amount of collateral taken from the liquidityPool
*/
function open(
address _series,
uint256 amount,
uint256 collateralAmount
) external returns (bool, uint256) {
_isLiquidityPool();
// make sure the options are ok to open
Types.OptionSeries memory series = seriesInfo[_series];
// assumes strike in e8
if (series.expiration <= block.timestamp) {
revert AlreadyExpired();
}
// transfer collateral to this contract, collateral will depend on the option type
SafeTransferLib.safeTransferFrom(series.collateral, msg.sender, address(this), collateralAmount);
// mint the option token following the opyn interface
IController controller = IController(gammaController);
// check if a vault for this option already exists
uint256 vaultId_ = vaultIds[_series];
if (vaultId_ == 0) {
vaultId_ = (controller.getAccountVaultCounter(address(this))) + 1;
vaultCount++;
}
uint256 mintAmount = OpynInteractions.createShort(
gammaController,
marginPool,
_series,
collateralAmount,
vaultId_,
amount,
1
);
emit OptionsContractOpened(_series, vaultId_, mintAmount);
// transfer the option to the liquidity pool
SafeTransferLib.safeTransfer(ERC20(_series), msg.sender, mintAmount);
vaultIds[_series] = vaultId_;
// returns in collateral decimals
return (true, collateralAmount);
}
/**
* @notice Close an options contract (oToken) before it has expired
* @param _series the address of the option token to be burnt
* @param amount the amount of options to burn - assumes in e18
* @dev only callable by the liquidityPool
* @return if the transaction succeeded
*/
function close(address _series, uint256 amount) external returns (bool, uint256) {
_isLiquidityPool();
// withdraw and burn
Types.OptionSeries memory series = seriesInfo[_series];
// assumes strike in e8
// make sure the option hasnt expired yet
if (series.expiration == 0) {
revert NonExistentSeries();
}
if (series.expiration <= block.timestamp) {
revert AlreadyExpired();
}
// get the vault id
uint256 vaultId = vaultIds[_series];
if (vaultId == 0) {
revert NoVault();
}
uint256 convertedAmount = OptionsCompute.convertToDecimals(amount, ERC20(_series).decimals());
// transfer the oToken back to this account
SafeTransferLib.safeTransferFrom(_series, msg.sender, address(this), convertedAmount);
// burn the oToken tracking the amount of collateral returned
uint256 collatReturned = OpynInteractions.burnShort(
gammaController,
_series,
convertedAmount,
vaultId
);
SafeTransferLib.safeTransfer(ERC20(series.collateral), msg.sender, collatReturned);
emit OptionsContractClosed(_series, vaultId, convertedAmount);
// returns in collateral decimals
return (true, collatReturned);
}
/**
* @notice Settle an options vault
* @param _series the address of the option token to be burnt
* @return if the transaction succeeded
* @return the amount of collateral returned from the vault
* @return the amount of collateral used to pay ITM options on vault settle
* @return number of oTokens that the vault was short
* @dev callable by the liquidityPool so that local variables can also be updated
*/
function settle(address _series)
external
returns (
bool,
uint256,
uint256,
uint256
)
{
_isLiquidityPool();
Types.OptionSeries memory series = seriesInfo[_series];
// strike will be in e8
if (series.expiration == 0) {
revert NonExistentSeries();
}
// check that the option has expired
if (series.expiration >= block.timestamp) {
revert NotExpired();
}
// get the vault
uint256 vaultId = vaultIds[_series];
// settle the vault
(uint256 collatReturned, uint256 collatLost, uint256 amountShort) = OpynInteractions.settle(
gammaController,
vaultId
);
// transfer the collateral back to the liquidity pool
SafeTransferLib.safeTransfer(ERC20(series.collateral), liquidityPool, collatReturned);
emit OptionsContractSettled(_series, collatReturned, collatLost, amountShort);
// assumes in collateral decimals, collateral decimals, e8
return (true, collatReturned, collatLost, amountShort);
}
/**
* @notice adjust the collateral held in a specific vault because of health
* @param vaultId the id of the vault to check
*/
function adjustCollateral(uint256 vaultId) external {
_isKeeper();
(
bool isBelowMin,
bool isAboveMax,
,
,
uint256 collateralAmount,
address _collateralAsset
) = checkVaultHealth(vaultId);
if (collateralAsset != _collateralAsset) {
revert InvalidCollateral();
}
if (!isBelowMin && !isAboveMax) {
revert HealthyVault();
}
if (isBelowMin) {
LiquidityPool(liquidityPool).adjustCollateral(collateralAmount, false);
if (LiquidityPool(liquidityPool).getBalance(collateralAsset) < collateralAmount) {
revert CustomErrors.WithdrawExceedsLiquidity();
}
// transfer the needed collateral to this contract from the liquidityPool
SafeTransferLib.safeTransferFrom(
_collateralAsset,
liquidityPool,
address(this),
collateralAmount
);
// increase the collateral in the vault (make sure balance change is recorded in the LiquidityPool)
OpynInteractions.depositCollat(
gammaController,
marginPool,
_collateralAsset,
collateralAmount,
vaultId
);
} else if (isAboveMax) {
LiquidityPool(liquidityPool).adjustCollateral(collateralAmount, true);
// decrease the collateral in the vault (make sure balance change is recorded in the LiquidityPool)
OpynInteractions.withdrawCollat(gammaController, _collateralAsset, collateralAmount, vaultId);
// transfer the excess collateral to the liquidityPool from this address
SafeTransferLib.safeTransfer(ERC20(_collateralAsset), liquidityPool, collateralAmount);
}
}
/**
* @notice adjust the collateral held in a specific vault because of health, using collateral from the caller. Only takes
* from msg.sender, doesnt give them if vault is above the max.
* @param vaultId the id of the vault to check
* @dev this is a safety function, if worst comes to worse any caller can collateralise a vault to save it.
*/
function adjustCollateralCaller(uint256 vaultId) external {
_onlyGuardian();
(bool isBelowMin, , , , uint256 collateralAmount, address _collateralAsset) = checkVaultHealth(
vaultId
);
if (collateralAsset != _collateralAsset) {
revert InvalidCollateral();
}
if (!isBelowMin) {
revert HealthyVault();
}
// transfer the needed collateral to this contract from the msg.sender
SafeTransferLib.safeTransferFrom(_collateralAsset, msg.sender, address(this), collateralAmount);
// increase the collateral in the vault
OpynInteractions.depositCollat(
gammaController,
marginPool,
_collateralAsset,
collateralAmount,
vaultId
);
}
/**
* @notice withdraw collateral from a fully liquidated vault
* @param vaultId the id of the vault to check
* @dev this is a safety function, if a vault is liquidated.
*/
function wCollatLiquidatedVault(uint256 vaultId) external {
_isKeeper();
// get the vault details from the vaultId
GammaTypes.Vault memory vault = IController(gammaController).getVault(address(this), vaultId);
require(vault.shortAmounts[0] == 0, "Vault has short positions [amount]");
require(vault.shortOtokens[0] == address(0), "Vault has short positions [token]");
require(vault.collateralAmounts[0] > 0, "Vault has no collateral");
// decrease the collateral in the vault (make sure balance change is recorded in the LiquidityPool)
OpynInteractions.withdrawCollat(
gammaController,
vault.collateralAssets[0],
vault.collateralAmounts[0],
vaultId
);
// adjust the collateral in the liquidityPool
LiquidityPool(liquidityPool).adjustCollateral(vault.collateralAmounts[0], true);
// transfer the excess collateral to the liquidityPool from this address
SafeTransferLib.safeTransfer(
ERC20(vault.collateralAssets[0]),
liquidityPool,
vault.collateralAmounts[0]
);
}
/**
* @notice register a liquidated vault so the collateral allocated is managed
* @param vaultId the id of the vault to register liquidation for
* @dev this is a safety function, if a vault is liquidated to update the collateral assets in the pool
*/
function registerLiquidatedVault(uint256 vaultId) external {
_isKeeper();
// get the vault liquidation details from the vaultId
(address series, uint256 amount, uint256 collateralLiquidated) = IController(gammaController)
.getVaultLiquidationDetails(address(this), vaultId);
if (series == address(0)) {
revert VaultNotLiquidated();
}
emit VaultLiquidationRegistered(series, vaultId, amount, collateralLiquidated);
// adjust the collateral in the liquidity pool to reflect the loss
LiquidityPool(liquidityPool).adjustCollateral(collateralLiquidated, true);
// clear the liquidation record from gamma controller so as not to double count the liquidation
IController(gammaController).clearVaultLiquidationDetails(vaultId);
}
/////////////////////////////////////////////
/// external state changing functionality ///
/////////////////////////////////////////////
/**
* @notice Redeem oTokens for the locked collateral
* @param _series the address of the option token to be burnt and redeemed
* @return amount returned
*/
function redeem(address _series) external returns (uint256) {
Types.OptionSeries memory series = seriesInfo[_series];
// strike will be in e8
if (series.expiration == 0) {
revert NonExistentSeries();
}
// check that the option has expired
if (series.expiration >= block.timestamp) {
revert NotExpired();
}
uint256 seriesBalance = ERC20(_series).balanceOf(msg.sender);
if (seriesBalance == 0) {
revert InsufficientBalance();
}
// transfer the oToken back to this account
SafeTransferLib.safeTransferFrom(_series, msg.sender, address(this), seriesBalance);
// redeem
uint256 collatReturned = OpynInteractions.redeem(
gammaController,
marginPool,
_series,
seriesBalance
);
// assumes in collateral decimals
return collatReturned;
}
///////////////////////
/// complex getters ///
///////////////////////
/**
* @notice Send collateral funds for an option to be minted
* @dev series.strike should be scaled by 1e8.
* @param series details of the option series
* @param amount amount of options to mint always in e18
* @return amount transferred
*/
function getCollateral(Types.OptionSeries memory series, uint256 amount)
external
view
returns (uint256)
{
IMarginCalculator marginCalc = IMarginCalculator(addressBook.getMarginCalculator());
uint256 collateralAmount = marginCalc.getNakedMarginRequired(
series.underlying,
series.strikeAsset,
series.collateral,
amount / SCALE_FROM, // assumes that amount is always in e18
series.strike, // assumes in e8
IOracle(addressBook.getOracle()).getPrice(series.underlying),
series.expiration,
ERC20(series.collateral).decimals(),
series.isPut
);
// based on this collateral requirement and the health factor get the amount to deposit
uint256 upperHealthFactor = series.isPut ? putUpperHealthFactor : callUpperHealthFactor;
collateralAmount = ((collateralAmount * upperHealthFactor) / MAX_BPS);
// assumes in collateral decimals
return collateralAmount;
}
/**
* @notice Retrieves the option token if it exists
* @param underlying is the address of the underlying asset of the option
* @param strikeAsset is the address of the collateral asset of the option
* @param expiration is the expiry timestamp of the option
* @param isPut the type of option
* @param strike is the strike price of the option - 1e18 format
* @param collateral is the address of the asset to collateralize the option with
* @return the address of the option
*/
function getOtoken(
address underlying,
address strikeAsset,
uint256 expiration,
bool isPut,
uint256 strike,
address collateral
) external view returns (address) {
// check for an opyn oToken
address series = OpynInteractions.getOtoken(
oTokenFactory,
collateral,
underlying,
strikeAsset,
formatStrikePrice(strike, collateral),
expiration,
isPut
);
return series;
}
/**
* @notice check the health of a specific vault to see if it requires collateral
* @param vaultId the id of the vault to check
* @return isBelowMin bool to determine whether the vault needs topping up
* @return isAboveMax bool to determine whether the vault is too overcollateralised
* @return healthFactor the health factor of the vault in MAX_BPS format
* @return upperHealthFactor the upper bound of the acceptable health facor range in MAX_BPS format
* @return collatRequired the amount of collateral required to return the vault back to normal
* @return collatAsset the address of the collateral asset
*/
function checkVaultHealth(uint256 vaultId)
public
view
returns (
bool isBelowMin,
bool isAboveMax,
uint256 healthFactor,
uint256 upperHealthFactor,
uint256 collatRequired,
address collatAsset
)
{
// run checks on the vault health
// get the vault details from the vaultId
GammaTypes.Vault memory vault = IController(gammaController).getVault(address(this), vaultId);
// get the series
Types.OptionSeries memory series = seriesInfo[vault.shortOtokens[0]];
if (series.expiration < block.timestamp) {
revert CustomErrors.VaultExpired();
}
// get the MarginRequired
IMarginCalculator marginCalc = IMarginCalculator(addressBook.getMarginCalculator());
uint256 marginReq = marginCalc.getNakedMarginRequired(
series.underlying,
series.strikeAsset,
series.collateral,
vault.shortAmounts[0], // assumes in e8
series.strike, // assumes in e8
IOracle(addressBook.getOracle()).getPrice(series.underlying),
series.expiration,
ERC20(series.collateral).decimals(),
series.isPut
);
// get the amount held in the vault
uint256 collatAmount = vault.collateralAmounts[0];
// divide the amount held in the vault by the margin requirements to get the health factor
healthFactor = (collatAmount * MAX_BPS) / marginReq;
// set the upper and lower health factor depending on if the series is a put or a call
upperHealthFactor = series.isPut ? putUpperHealthFactor : callUpperHealthFactor;
uint256 lowerHealthFactor = series.isPut ? putLowerHealthFactor : callLowerHealthFactor;
// if the vault health is above a certain threshold then the vault is above safe margins and collateral can be withdrawn
if (healthFactor > upperHealthFactor) {
isAboveMax = true;
// calculate the margin to remove from the vault
collatRequired = collatAmount - ((marginReq * upperHealthFactor) / MAX_BPS);
} else if (healthFactor < lowerHealthFactor) {
isBelowMin = true;
// calculate the margin to add to the vault
collatRequired = ((marginReq * upperHealthFactor) / MAX_BPS) - collatAmount;
}
collatAsset = series.collateral;
}
///////////////////////////
/// non-complex getters ///
///////////////////////////
function getSeriesAddress(bytes32 issuanceHash) external view returns (address) {
return seriesAddress[issuanceHash];
}
function getSeries(Types.OptionSeries memory _series) external view returns (address) {
return
seriesAddress[
getIssuanceHash(
_series.underlying,
_series.strikeAsset,
_series.collateral,
_series.expiration,
_series.isPut,
_series.strike
)
];
}
function getSeriesInfo(address series) external view returns (Types.OptionSeries memory) {
return seriesInfo[series];
}
function getIssuanceHash(Types.OptionSeries memory _series) public pure returns (bytes32) {
return
getIssuanceHash(
_series.underlying,
_series.strikeAsset,
_series.collateral,
_series.expiration,
_series.isPut,
_series.strike
);
}
/**
* Helper function for computing the hash of a given issuance.
*/
function getIssuanceHash(
address underlying,
address strikeAsset,
address collateral,
uint256 expiration,
bool isPut,
uint256 strike
) internal pure returns (bytes32) {
return
keccak256(abi.encodePacked(underlying, strikeAsset, collateral, expiration, isPut, strike));
}
//////////////////////////
/// internal utilities ///
//////////////////////////
/**
* @notice Converts strike price to 1e8 format and floors least significant digits if needed
* @param strikePrice strikePrice in 1e18 format
* @param collateral address of collateral asset
* @return if the transaction succeeded
*/
function formatStrikePrice(uint256 strikePrice, address collateral) public view returns (uint256) {
// convert strike to 1e8 format
uint256 price = strikePrice / (10**10);
uint256 collateralDecimals = ERC20(collateral).decimals();
if (collateralDecimals >= OPYN_DECIMALS) return price;
uint256 difference = OPYN_DECIMALS - collateralDecimals;
// round floor strike to prevent errors in Gamma protocol
return (price / (10**difference)) * (10**difference);
}
function _isLiquidityPool() internal view {
if (msg.sender != liquidityPool) {
revert NotLiquidityPool();
}
}
/// @dev keepers, managers or governors can access
function _isKeeper() internal view {
if (
!keeper[msg.sender] && msg.sender != authority.governor() && msg.sender != authority.manager()
) {
revert NotKeeper();
}
}
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.0;
import "./Protocol.sol";
import "./PriceFeed.sol";
import "./VolatilityFeed.sol";
import "./tokens/ERC20.sol";
import "./utils/ReentrancyGuard.sol";
import "./libraries/BlackScholes.sol";
import "./libraries/CustomErrors.sol";
import "./libraries/AccessControl.sol";
import "./libraries/OptionsCompute.sol";
import "./libraries/SafeTransferLib.sol";
import "./interfaces/IAccounting.sol";
import "./interfaces/IOptionRegistry.sol";
import "./interfaces/IHedgingReactor.sol";
import "./interfaces/IPortfolioValuesFeed.sol";
import "@openzeppelin/contracts/security/Pausable.sol";
/**
* @title Contract used as the Dynamic Hedging Vault for storing funds, issuing shares and processing options transactions
* @dev Interacts with the OptionRegistry for options behaviour, Interacts with hedging reactors for alternative derivatives
* Interacts with Handlers for periphary user options interactions. Interacts with Chainlink price feeds throughout.
* Interacts with Volatility Feed via getImpliedVolatility(), interacts with a chainlink PortfolioValues external adaptor
* oracle via PortfolioValuesFeed.
*/
contract LiquidityPool is ERC20, AccessControl, ReentrancyGuard, Pausable {
using PRBMathSD59x18 for int256;
using PRBMathUD60x18 for uint256;
///////////////////////////
/// immutable variables ///
///////////////////////////
// Protocol management contract
Protocol public immutable protocol;
// asset that denominates the strike price
address public immutable strikeAsset;
// asset that is used as the reference asset
address public immutable underlyingAsset;
// asset that is used for collateral asset
address public immutable collateralAsset;
/////////////////////////
/// dynamic variables ///
/////////////////////////
// amount of collateralAsset allocated as collateral
uint256 public collateralAllocated;
// ephemeral liabilities of the pool
int256 public ephemeralLiabilities;
// ephemeral delta of the pool
int256 public ephemeralDelta;
// epoch of the price per share round for deposits
uint256 public depositEpoch;
// epoch of the price per share round for withdrawals
uint256 public withdrawalEpoch;
// epoch PPS for deposits
mapping(uint256 => uint256) public depositEpochPricePerShare;
// epoch PPS for withdrawals
mapping(uint256 => uint256) public withdrawalEpochPricePerShare;
// deposit receipts for users
mapping(address => IAccounting.DepositReceipt) public depositReceipts;
// withdrawal receipts for users
mapping(address => IAccounting.WithdrawalReceipt) public withdrawalReceipts;
// pending deposits for a round - collateral denominated (collateral decimals)
uint256 public pendingDeposits;
// pending withdrawals for a round - DHV token e18 denominated
uint256 public pendingWithdrawals;
// withdrawal amount that has been executed and is pending completion. These funds are to be excluded from all book balances.
uint256 public partitionedFunds;
/////////////////////////////////////
/// governance settable variables ///
/////////////////////////////////////
// buffer of funds to not be used to write new options in case of margin requirements (as percentage - for 20% enter 2000)
uint256 public bufferPercentage = 5000;
// list of addresses for hedging reactors
address[] public hedgingReactors;
// max total supply of collateral, denominated in e18
uint256 public collateralCap = type(uint256).max;
// Maximum discount that an option tilting factor can discount an option price
uint256 public maxDiscount = (PRBMathUD60x18.SCALE * 10) / 100; // As a percentage. Init at 10%
// The spread between the bid and ask on the IV skew;
// Consider making this it's own volatility skew if more flexibility is needed
uint256 public bidAskIVSpread;
// option issuance parameters
Types.OptionParams public optionParams;
// riskFreeRate as a percentage PRBMath Float. IE: 3% -> 0.03 * 10**18
uint256 public riskFreeRate;
// handlers who are approved to interact with options functionality
mapping(address => bool) public handler;
// is the purchase and sale of options paused
bool public isTradingPaused;
// max time to allow between oracle updates for an underlying and strike
uint256 public maxTimeDeviationThreshold = 600;
// max price difference to allow between oracle updates for an underlying and strike
uint256 public maxPriceDeviationThreshold = 1e18;
// variables relating to the utilization skew function:
// the gradient of the function where utiization is below function threshold. e18
uint256 public belowThresholdGradient = 0; // 0
// the gradient of the line above the utilization threshold. e18
uint256 public aboveThresholdGradient = 1e18; // 1
// the y-intercept of the line above the threshold. Needed to make the two lines meet at the threshold. Will always be negative but enter the absolute value
uint256 public aboveThresholdYIntercept = 6e17; //-0.6
// the percentage utilization above which the function moves from its shallow line to its steep line. e18
uint256 public utilizationFunctionThreshold = 6e17; // 60%
// keeper mapping
mapping(address => bool) public keeper;
//////////////////////////
/// constant variables ///
//////////////////////////
// BIPS
uint256 private constant MAX_BPS = 10_000;
/////////////////////////
/// structs && events ///
/////////////////////////
event DepositEpochExecuted(uint256 epoch);
event WithdrawalEpochExecuted(uint256 epoch);
event Withdraw(address recipient, uint256 amount, uint256 shares);
event Deposit(address recipient, uint256 amount, uint256 epoch);
event Redeem(address recipient, uint256 amount, uint256 epoch);
event InitiateWithdraw(address recipient, uint256 amount, uint256 epoch);
event WriteOption(address series, uint256 amount, uint256 premium, uint256 escrow, address buyer);
event RebalancePortfolioDelta(int256 deltaChange);
event TradingPaused();
event TradingUnpaused();
event SettleVault(
address series,
uint256 collateralReturned,
uint256 collateralLost,
address closer
);
event BuybackOption(
address series,
uint256 amount,
uint256 premium,
uint256 escrowReturned,
address seller
);
constructor(
address _protocol,
address _strikeAsset,
address _underlyingAsset,
address _collateralAsset,
uint256 rfr,
string memory name,
string memory symbol,
Types.OptionParams memory _optionParams,
address _authority
) ERC20(name, symbol, 18) AccessControl(IAuthority(_authority)) {
if (ERC20(_collateralAsset).decimals() > 18) {
revert CustomErrors.InvalidDecimals();
}
strikeAsset = _strikeAsset;
riskFreeRate = rfr;
underlyingAsset = _underlyingAsset;
collateralAsset = _collateralAsset;
protocol = Protocol(_protocol);
optionParams = _optionParams;
depositEpochPricePerShare[0] = 1e18;
withdrawalEpochPricePerShare[0] = 1e18;
depositEpoch++;
withdrawalEpoch++;
}
///////////////
/// setters ///
///////////////
function pause() external {
_onlyGuardian();
_pause();
}
function pauseUnpauseTrading(bool _pause) external {
_onlyGuardian();
isTradingPaused = _pause;
if (_pause) {
emit TradingPaused();
} else {
emit TradingUnpaused();
}
}
function unpause() external {
_onlyGuardian();
_unpause();
}
/**
* @notice set a new hedging reactor
* @param _reactorAddress append a new hedging reactor
* @dev only governance can call this function
*/
function setHedgingReactorAddress(address _reactorAddress) external {
_onlyGovernor();
if (_reactorAddress == address(0)) {
revert CustomErrors.InvalidAddress();
}
uint256 arrayLength = hedgingReactors.length;
for (uint256 i = 0; i < arrayLength; i++) {
if (hedgingReactors[i] == _reactorAddress) {
revert CustomErrors.ReactorAlreadyExists();
}
}
hedgingReactors.push(_reactorAddress);
SafeTransferLib.safeApprove(ERC20(collateralAsset), _reactorAddress, type(uint256).max);
}
/**
* @notice remove a new hedging reactor by index
* @param _index remove a hedging reactor
* @param _override whether to override whether the reactor is wound down
(THE REACTOR SHOULD BE WOUND DOWN SEPERATELY)
* @dev only governance can call this function
*/
function removeHedgingReactorAddress(uint256 _index, bool _override) external {
_onlyGovernor();
address[] memory hedgingReactors_ = hedgingReactors;
address reactorAddress = hedgingReactors_[_index];
if (!_override) {
IHedgingReactor reactor = IHedgingReactor(reactorAddress);
int256 delta = reactor.getDelta();
if (delta != 0) {
reactor.hedgeDelta(delta);
}
reactor.withdraw(type(uint256).max);
}
SafeTransferLib.safeApprove(ERC20(collateralAsset), reactorAddress, 0);
uint256 maxIndex = hedgingReactors_.length - 1;
for (uint256 i = _index; i < maxIndex; i++) {
hedgingReactors[i] = hedgingReactors_[i + 1];
}
hedgingReactors.pop();
}
function getHedgingReactors() external view returns (address[] memory) {
return hedgingReactors;
}
/**
* @notice update all optionParam variables for max and min strikes and max and
* min expiries for options that the DHV can issue
* @dev only management or above can call this function
*/
function setNewOptionParams(
uint128 _newMinCallStrike,
uint128 _newMaxCallStrike,
uint128 _newMinPutStrike,
uint128 _newMaxPutStrike,
uint128 _newMinExpiry,
uint128 _newMaxExpiry
) external {
_onlyManager();
optionParams.minCallStrikePrice = _newMinCallStrike;
optionParams.maxCallStrikePrice = _newMaxCallStrike;
optionParams.minPutStrikePrice = _newMinPutStrike;
optionParams.maxPutStrikePrice = _newMaxPutStrike;
optionParams.minExpiry = _newMinExpiry;
optionParams.maxExpiry = _newMaxExpiry;
}
/**
* @notice set the bid ask spread used to price option buying
* @param _bidAskSpread the bid ask spread to update to
* @dev only management or above can call this function
*/
function setBidAskSpread(uint256 _bidAskSpread) external {
_onlyManager();
bidAskIVSpread = _bidAskSpread;
}
/**
* @notice set the maximum percentage discount for an option
* @param _maxDiscount of the option as a percentage in 1e18 format. ie: 1*e18 == 1%
* @dev only management or above can call this function
*/
function setMaxDiscount(uint256 _maxDiscount) external {
_onlyManager();
maxDiscount = _maxDiscount;
}
/**
* @notice set the maximum collateral amount allowed in the pool
* @param _collateralCap of the collateral held
* @dev only governance can call this function
*/
function setCollateralCap(uint256 _collateralCap) external {
_onlyGovernor();
collateralCap = _collateralCap;
}
/**
* @notice update the liquidity pool buffer limit
* @param _bufferPercentage the minimum balance the liquidity pool must have as a percentage of collateral allocated to options. (for 20% enter 2000)
* @dev only governance can call this function
*/
function setBufferPercentage(uint256 _bufferPercentage) external {
_onlyGovernor();
bufferPercentage = _bufferPercentage;
}
/**
* @notice update the liquidity pool risk free rate
* @param _riskFreeRate the risk free rate of the market
*/
function setRiskFreeRate(uint256 _riskFreeRate) external {
_onlyGovernor();
riskFreeRate = _riskFreeRate;
}
/**
* @notice update the max oracle time deviation threshold
*/
function setMaxTimeDeviationThreshold(uint256 _maxTimeDeviationThreshold) external {
_onlyGovernor();
maxTimeDeviationThreshold = _maxTimeDeviationThreshold;
}
/**
* @notice update the max oracle price deviation threshold
*/
function setMaxPriceDeviationThreshold(uint256 _maxPriceDeviationThreshold) external {
_onlyGovernor();
maxPriceDeviationThreshold = _maxPriceDeviationThreshold;
}
/**
* @notice change the status of a handler
*/
function changeHandler(address _handler, bool auth) external {
_onlyGovernor();
if (_handler == address(0)) {
revert CustomErrors.InvalidAddress();
}
handler[_handler] = auth;
}
/**
* @notice change the status of a keeper
*/
function setKeeper(address _keeper, bool _auth) external {
_onlyGovernor();
if (_keeper == address(0)) {
revert CustomErrors.InvalidAddress();
}
keeper[_keeper] = _auth;
}
/**
* @notice sets the parameters for the function that determines the utilization price factor
* The function is made up of two parts, both linear. The line to the left of the utilisation threshold has a low gradient
* while the gradient to the right of the threshold is much steeper. The aim of this function is to make options much more
* expensive near full utilization while not having much effect at low utilizations.
* @param _belowThresholdGradient the gradient of the function where utiization is below function threshold. e18
* @param _aboveThresholdGradient the gradient of the line above the utilization threshold. e18
* @param _utilizationFunctionThreshold the percentage utilization above which the function moves from its shallow line to its steep line
*/
function setUtilizationSkewParams(
uint256 _belowThresholdGradient,
uint256 _aboveThresholdGradient,
uint256 _utilizationFunctionThreshold
) external {
_onlyManager();
belowThresholdGradient = _belowThresholdGradient;
aboveThresholdGradient = _aboveThresholdGradient;
aboveThresholdYIntercept = _utilizationFunctionThreshold.mul(
_aboveThresholdGradient - _belowThresholdGradient // inverted the order of the subtraction to result in a positive uint
);
utilizationFunctionThreshold = _utilizationFunctionThreshold;
}
//////////////////////////////////////////////////////
/// access-controlled state changing functionality ///
//////////////////////////////////////////////////////
/**
* @notice function for hedging portfolio delta through external means
* @param delta the current portfolio delta
* @param reactorIndex the index of the reactor in the hedgingReactors array to use
*/
function rebalancePortfolioDelta(int256 delta, uint256 reactorIndex) external {
_onlyManager();
IHedgingReactor(hedgingReactors[reactorIndex]).hedgeDelta(delta);
emit RebalancePortfolioDelta(delta);
}
/**
* @notice adjust the collateral held in a specific vault because of health
* @param lpCollateralDifference amount of collateral taken from or given to the liquidity pool in collateral decimals
* @param addToLpBalance true if collateral is returned to liquidity pool, false if collateral is withdrawn from liquidity pool
* @dev called by the option registry only
*/
function adjustCollateral(uint256 lpCollateralDifference, bool addToLpBalance) external {
IOptionRegistry optionRegistry = _getOptionRegistry();
require(msg.sender == address(optionRegistry));
// assumes in collateral decimals
if (addToLpBalance) {
collateralAllocated -= lpCollateralDifference;
} else {
SafeTransferLib.safeApprove(
ERC20(collateralAsset),
address(optionRegistry),
lpCollateralDifference
);
collateralAllocated += lpCollateralDifference;
}
}
/**
* @notice closes an oToken vault, returning collateral (minus ITM option expiry value) back to the pool
* @param seriesAddress the address of the oToken vault to close
* @return collatReturned the amount of collateral returned to the liquidity pool, assumes in collateral decimals
*/
function settleVault(address seriesAddress) external returns (uint256) {
_isKeeper();
// get number of options in vault and collateral returned to recalculate our position without these options
// returns in collat decimals, collat decimals and e8
(, uint256 collatReturned, uint256 collatLost, ) = _getOptionRegistry().settle(seriesAddress);
emit SettleVault(seriesAddress, collatReturned, collatLost, msg.sender);
// if the vault expired ITM then when settled the oracle will still have accounted for it as a liability. When
// the settle happens the liability is wiped off as it is now accounted for in collateralAllocated but because the
// oracle doesn't know this yet we need to temporarily reduce the liability value.
_adjustVariables(collatReturned, collatLost, 0, false);
collateralAllocated -= collatLost;
return collatReturned;
}
/**
* @notice issue an option
* @param optionSeries the series detail of the option - strike decimals in e18
* @dev only callable by a handler contract
*/
function handlerIssue(Types.OptionSeries memory optionSeries) external returns (address) {
_isHandler();
// series strike in e18
return _issue(optionSeries, _getOptionRegistry());
}
/**
* @notice write an option that already exists
* @param optionSeries the series detail of the option - strike decimals in e8
* @param seriesAddress the series address of the oToken
* @param amount the number of options to write - in e18
* @param optionRegistry the registry used for options writing
* @param premium the premium of the option - in collateral decimals
* @param delta the delta of the option - in e18
* @param recipient the receiver of the option
* @dev only callable by a handler contract
*/
function handlerWriteOption(
Types.OptionSeries memory optionSeries,
address seriesAddress,
uint256 amount,
IOptionRegistry optionRegistry,
uint256 premium,
int256 delta,
address recipient
) external returns (uint256) {
_isTradingNotPaused();
_isHandler();
return
_writeOption(
optionSeries, // series strike in e8
seriesAddress,
amount, // in e18
optionRegistry,
premium, // in collat decimals
delta,
checkBuffer(), // in e6
recipient
);
}
/**
* @notice write an option that doesnt exist
* @param optionSeries the series detail of the option - strike decimals in e18
* @param amount the number of options to write - in e18
* @param premium the premium of the option - in collateral decimals
* @param delta the delta of the option - in e18
* @param recipient the receiver of the option
* @dev only callable by a handler contract
*/
function handlerIssueAndWriteOption(
Types.OptionSeries memory optionSeries,
uint256 amount,
uint256 premium,
int256 delta,
address recipient
) external returns (uint256, address) {
_isTradingNotPaused();
_isHandler();
IOptionRegistry optionRegistry = _getOptionRegistry();
// series strike passed in as e18
address seriesAddress = _issue(optionSeries, optionRegistry);
// series strike received in e8, retrieved from the option registry instead of
// using one in memory because formatStrikePrice might have slightly changed the
// strike
optionSeries = optionRegistry.getSeriesInfo(seriesAddress);
return (
_writeOption(
optionSeries, // strike in e8
seriesAddress,
amount, // in e18
optionRegistry,
premium, // in collat decimals
delta,
checkBuffer(), // in e6
recipient
),
seriesAddress
);
}
/**
* @notice buy back an option that already exists
* @param optionSeries the series detail of the option - strike decimals in e8
* @param amount the number of options to buyback - in e18
* @param optionRegistry the registry used for options writing
* @param seriesAddress the series address of the oToken
* @param premium the premium of the option - in collateral decimals
* @param delta the delta of the option - in e18
* @param seller the receiver of the option
* @dev only callable by a handler contract
*/
function handlerBuybackOption(
Types.OptionSeries memory optionSeries,
uint256 amount,
IOptionRegistry optionRegistry,
address seriesAddress,
uint256 premium,
int256 delta,
address seller
) external returns (uint256) {
_isTradingNotPaused();
_isHandler();
// strike passed in as e8
return
_buybackOption(optionSeries, amount, optionRegistry, seriesAddress, premium, delta, seller);
}
/**
* @notice reset the temporary portfolio and delta values that have been changed since the last oracle update
* @dev only callable by the portfolio values feed oracle contract
*/
function resetEphemeralValues() external {
require(msg.sender == address(_getPortfolioValuesFeed()));
delete ephemeralLiabilities;
delete ephemeralDelta;
}
/**
* @notice reset the temporary portfolio and delta values that have been changed since the last oracle update
* @dev this function must be called in order to execute an epoch calculation
*/
function pauseTradingAndRequest() external returns (bytes32) {
_isKeeper();
// pause trading
isTradingPaused = true;
emit TradingPaused();
// make an oracle request
return _getPortfolioValuesFeed().requestPortfolioData(underlyingAsset, strikeAsset);
}
/**
* @notice execute the epoch and set all the price per shares
* @dev this function must be called in order to execute an epoch calculation and batch a mutual fund epoch
*/
function executeEpochCalculation() external whenNotPaused {
_isKeeper();
if (!isTradingPaused) {
revert CustomErrors.TradingNotPaused();
}
(
uint256 newPricePerShareDeposit,
uint256 newPricePerShareWithdrawal,
uint256 sharesToMint,
uint256 totalWithdrawAmount,
uint256 amountNeeded
) = _getAccounting().executeEpochCalculation(totalSupply, _getAssets(), _getLiabilities());
// deposits always get executed
depositEpochPricePerShare[depositEpoch] = newPricePerShareDeposit;
delete pendingDeposits;
emit DepositEpochExecuted(depositEpoch);
depositEpoch++;
isTradingPaused = false;
emit TradingUnpaused();
_mint(address(this), sharesToMint);
// loop through the reactors and move funds if found
if (amountNeeded > 0) {
address[] memory hedgingReactors_ = hedgingReactors;
for (uint8 i = 0; i < hedgingReactors_.length; i++) {
amountNeeded -= IHedgingReactor(hedgingReactors_[i]).withdraw(amountNeeded);
if (amountNeeded <= 0) {
break;
}
}
// if not enough funds in liquidity pool and reactors, dont process withdrawals this epoch
if (amountNeeded > 0) {
return;
}
}
withdrawalEpochPricePerShare[withdrawalEpoch] = newPricePerShareWithdrawal;
partitionedFunds += totalWithdrawAmount;
emit WithdrawalEpochExecuted(withdrawalEpoch);
_burn(address(this), pendingWithdrawals);
delete pendingWithdrawals;
withdrawalEpoch++;
}
/////////////////////////////////////////////
/// external state changing functionality ///
/////////////////////////////////////////////
/**
* @notice function for adding liquidity to the options liquidity pool
* @param _amount amount of the strike asset to deposit
* @return success
* @dev entry point to provide liquidity to dynamic hedging vault
*/
function deposit(uint256 _amount) external whenNotPaused nonReentrant returns (bool) {
if (_amount == 0) {
revert CustomErrors.InvalidAmount();
}
(uint256 depositAmount, uint256 unredeemedShares) = _getAccounting().deposit(msg.sender, _amount);
emit Deposit(msg.sender, _amount, depositEpoch);
// create the deposit receipt
depositReceipts[msg.sender] = IAccounting.DepositReceipt({
epoch: uint128(depositEpoch),
amount: uint128(depositAmount),
unredeemedShares: unredeemedShares
});
pendingDeposits += _amount;
// Pull in tokens from sender
SafeTransferLib.safeTransferFrom(collateralAsset, msg.sender, address(this), _amount);
return true;
}
/**
* @notice function for allowing a user to redeem their shares from a previous epoch
* @param _shares the number of shares to redeem
* @return the number of shares actually returned
*/
function redeem(uint256 _shares) external nonReentrant returns (uint256) {
if (_shares == 0) {
revert CustomErrors.InvalidShareAmount();
}
return _redeem(_shares);
}
/**
* @notice function for initiating a withdraw request from the pool
* @param _shares amount of shares to return
* @dev entry point to remove liquidity to dynamic hedging vault
*/
function initiateWithdraw(uint256 _shares) external whenNotPaused nonReentrant {
if (_shares == 0) {
revert CustomErrors.InvalidShareAmount();
}
IAccounting.DepositReceipt memory depositReceipt = depositReceipts[msg.sender];
if (depositReceipt.amount > 0 || depositReceipt.unredeemedShares > 0) {
// redeem so a user can use a completed deposit as shares for an initiation
_redeem(type(uint256).max);
}
IAccounting.WithdrawalReceipt memory withdrawalReceipt = _getAccounting().initiateWithdraw(
msg.sender,
_shares
);
withdrawalReceipts[msg.sender] = withdrawalReceipt;
pendingWithdrawals += _shares;
emit InitiateWithdraw(msg.sender, _shares, withdrawalEpoch);
transfer(address(this), _shares);
}
/**
* @notice function for completing the withdraw from a pool
* @dev entry point to remove liquidity to dynamic hedging vault
*/
function completeWithdraw() external whenNotPaused nonReentrant returns (uint256) {
(
uint256 withdrawalAmount,
uint256 withdrawalShares,
IAccounting.WithdrawalReceipt memory withdrawalReceipt
) = _getAccounting().completeWithdraw(msg.sender);
withdrawalReceipts[msg.sender] = withdrawalReceipt;
emit Withdraw(msg.sender, withdrawalAmount, withdrawalShares);
// these funds are taken from the partitioned funds
partitionedFunds -= withdrawalAmount;
SafeTransferLib.safeTransfer(ERC20(collateralAsset), msg.sender, withdrawalAmount);
return withdrawalAmount;
}
///////////////////////
/// complex getters ///
///////////////////////
/**
* @notice Returning balance in 1e18 format
* @param asset address of the asset to get balance and normalize
* @return normalizedBalance balance in 1e18 format
*/
function _getNormalizedBalance(address asset) internal view returns (uint256 normalizedBalance) {
normalizedBalance = OptionsCompute.convertFromDecimals(
ERC20(asset).balanceOf(address(this)) - partitionedFunds,
ERC20(asset).decimals()
);
}
/**
* @notice Returning balance in 1e6 format
* @param asset address of the asset to get balance
* @return balance of the address accounting for partitionedFunds
*/
function getBalance(address asset) public view returns (uint256) {
return ERC20(asset).balanceOf(address(this)) - partitionedFunds;
}
/**
* @notice get the delta of the hedging reactors
* @return externalDelta hedging reactor delta in e18 format
*/
function getExternalDelta() public view returns (int256 externalDelta) {
address[] memory hedgingReactors_ = hedgingReactors;
for (uint8 i = 0; i < hedgingReactors_.length; i++) {
externalDelta += IHedgingReactor(hedgingReactors_[i]).getDelta();
}
}
/**
* @notice get the delta of the portfolio
* @return portfolio delta
*/
function getPortfolioDelta() public view returns (int256) {
// assumes in e18
Types.PortfolioValues memory portfolioValues = _getPortfolioValuesFeed().getPortfolioValues(
underlyingAsset,
strikeAsset
);
// check that the portfolio values are acceptable
OptionsCompute.validatePortfolioValues(
_getUnderlyingPrice(underlyingAsset, strikeAsset),
portfolioValues,
maxTimeDeviationThreshold,
maxPriceDeviationThreshold
);
return portfolioValues.delta + getExternalDelta() + ephemeralDelta;
}
/**
* @notice get the quote price and delta for a given option
* @param optionSeries option type to quote - strike assumed in e18
* @param amount the number of options to mint - assumed in e18
* @param toBuy whether the protocol is buying the option
* @return quote the price of the options - returns in e18
* @return delta the delta of the options - returns in e18
*/
function quotePriceWithUtilizationGreeks(
Types.OptionSeries memory optionSeries,
uint256 amount,
bool toBuy
) external view returns (uint256 quote, int256 delta) {
// using a struct to get around stack too deep issues
Types.UtilizationState memory quoteState;
quoteState.underlyingPrice = _getUnderlyingPrice(
optionSeries.underlying,
optionSeries.strikeAsset
);
quoteState.iv = getImpliedVolatility(
optionSeries.isPut,
quoteState.underlyingPrice,
optionSeries.strike,
optionSeries.expiration
);
(uint256 optionQuote, int256 deltaQuote) = OptionsCompute.quotePriceGreeks(
optionSeries,
toBuy,
bidAskIVSpread,
riskFreeRate,
quoteState.iv,
quoteState.underlyingPrice
);
// price of acquiring total amount of options (remains e18 due to PRBMath)
quoteState.totalOptionPrice = optionQuote.mul(amount);
quoteState.totalDelta = deltaQuote.mul(int256(amount));
// will update quoteState.utilizationPrice
addUtilizationPremium(quoteState, optionSeries, amount, toBuy);
quote = applyDeltaPremium(quoteState, toBuy);
quote = OptionsCompute.convertToCollateralDenominated(
quote,
quoteState.underlyingPrice,
optionSeries
);
delta = quoteState.totalDelta;
if (quote == 0 || delta == int256(0)) {
revert CustomErrors.DeltaQuoteError(quote, delta);
}
}
/**
* @notice applies a utilization premium when the protocol is selling options.
* Stores the utilization price in quoteState.utilizationPrice for use in quotePriceWithUtilizationGreeks
* @param quoteState the struct created in quoteStateWithUtilizationGreeks to store memory variables
* @param optionSeries the option type for which we are quoting a price
* @param amount the amount of options. e18
* @param toBuy whether we are buying an option. False if selling
*/
function addUtilizationPremium(
Types.UtilizationState memory quoteState,
Types.OptionSeries memory optionSeries,
uint256 amount,
bool toBuy
) internal view {
if (!toBuy) {
uint256 collateralAllocated_ = collateralAllocated;
// if selling options, we want to add the utilization premium
// Work out the utilization of the pool as a percentage
quoteState.utilizationBefore = collateralAllocated_.div(
collateralAllocated_ + getBalance(collateralAsset)
);
// assumes strike is e18
// strike is not being used again so we dont care if format changes
optionSeries.strike = optionSeries.strike / 1e10;
// returns collateral decimals
quoteState.collateralToAllocate = _getOptionRegistry().getCollateral(optionSeries, amount);
quoteState.utilizationAfter = (quoteState.collateralToAllocate + collateralAllocated_).div(
collateralAllocated_ + getBalance(collateralAsset)
);
// get the price of the option with the utilization premium added
quoteState.utilizationPrice = OptionsCompute.getUtilizationPrice(
quoteState.utilizationBefore,
quoteState.utilizationAfter,
quoteState.totalOptionPrice,
utilizationFunctionThreshold,
belowThresholdGradient,
aboveThresholdGradient,
aboveThresholdYIntercept
);
} else {
// do not use utlilization premium for buybacks
quoteState.utilizationPrice = quoteState.totalOptionPrice;
}
}
/**
* @notice Applies a discount or premium based on the liquidity pool's delta exposure
* Gives discount if the transaction results in a lower delta exposure for the liquidity pool.
* Prices option more richly if the transaction results in higher delta exposure for liquidity pool.
* @param quoteState the struct created in quoteStateWithUtilizationGreeks to store memory variables
* @param toBuy whether we are buying an option. False if selling
* @return quote the quote for the option with the delta skew applied
*/
function applyDeltaPremium(Types.UtilizationState memory quoteState, bool toBuy)
internal
view
returns (uint256 quote)
{
// portfolio delta before writing option
int256 portfolioDelta = getPortfolioDelta();
// subtract totalDelta if buying as pool is taking on the negative of the option's delta
int256 newDelta = toBuy
? portfolioDelta + quoteState.totalDelta
: portfolioDelta - quoteState.totalDelta;
// Is delta moved closer to zero?
quoteState.isDecreased = (PRBMathSD59x18.abs(newDelta) - PRBMathSD59x18.abs(portfolioDelta)) < 0;
// delta exposure of the portolio per ETH equivalent value the portfolio holds.
// This value is only used for tilting so we are only interested in its distance from 0 (its magnitude)
uint256 normalizedDelta = uint256(PRBMathSD59x18.abs((portfolioDelta + newDelta).div(2e18))).div(
_getNAV().div(quoteState.underlyingPrice)
);
// this is the percentage of the option price which is added to or subtracted from option price
// according to whether portfolio delta is increased or decreased respectively
quoteState.deltaTiltAmount = normalizedDelta > maxDiscount ? maxDiscount : normalizedDelta;
if (quoteState.isDecreased) {
quote = toBuy
? quoteState.deltaTiltAmount.mul(quoteState.utilizationPrice) + quoteState.utilizationPrice
: quoteState.utilizationPrice - quoteState.deltaTiltAmount.mul(quoteState.utilizationPrice);
} else {
// increase utilization by delta tilt factor for moving delta away from zero
quote = toBuy
? quoteState.utilizationPrice - quoteState.deltaTiltAmount.mul(quoteState.utilizationPrice)
: quoteState.deltaTiltAmount.mul(quoteState.utilizationPrice) + quoteState.utilizationPrice;
}
}
///////////////////////////
/// non-complex getters ///
///////////////////////////
/**
* @notice get the current implied volatility from the feed
* @param isPut Is the option a call or put?
* @param underlyingPrice The underlying price - assumed in e18
* @param strikePrice The strike price of the option - assumed in e18
* @param expiration expiration timestamp of option as a PRBMath Float
* @return Implied volatility adjusted for volatility surface - assumed in e18
*/
function getImpliedVolatility(
bool isPut,
uint256 underlyingPrice,
uint256 strikePrice,
uint256 expiration
) public view returns (uint256) {
return _getVolatilityFeed().getImpliedVolatility(isPut, underlyingPrice, strikePrice, expiration);
}
function getAssets() external view returns (uint256) {
return _getAssets();
}
function getNAV() external view returns (uint256) {
return _getNAV();
}
//////////////////////////
/// internal utilities ///
//////////////////////////
/**
* @notice functionality for allowing a user to redeem their shares from a previous epoch
* @param _shares the number of shares to redeem
* @return toRedeem the number of shares actually returned
*/
function _redeem(uint256 _shares) internal returns (uint256) {
(uint256 toRedeem, IAccounting.DepositReceipt memory depositReceipt) = _getAccounting().redeem(
msg.sender,
_shares
);
if (toRedeem == 0) {
return 0;
}
depositReceipts[msg.sender] = depositReceipt;
allowance[address(this)][msg.sender] = toRedeem;
emit Redeem(msg.sender, toRedeem, depositReceipt.epoch);
// transfer as the shares will have been minted in the epoch execution
transferFrom(address(this), msg.sender, toRedeem);
return toRedeem;
}
/**
* @notice get the Net Asset Value
* @return Net Asset Value in e18 decimal format
*/
function _getNAV() internal view returns (uint256) {
// equities = assets - liabilities
// assets: Any token such as eth usd, collateral sent to OptionRegistry, hedging reactor stuff in e18
// liabilities: Options that we wrote in e18
uint256 assets = _getAssets();
int256 liabilities = _getLiabilities();
// if this ever happens then something has gone very wrong so throw here
if (int256(assets) < liabilities) {
revert CustomErrors.LiabilitiesGreaterThanAssets();
}
return uint256(int256(assets) - liabilities);
}
/**
* @notice get the Asset Value
* @return assets Asset Value in e18 decimal format
*/
function _getAssets() internal view returns (uint256 assets) {
// assets: Any token such as eth usd, collateral sent to OptionRegistry, hedging reactor stuff in e18
// liabilities: Options that we wrote in e18
assets =
_getNormalizedBalance(collateralAsset) +
OptionsCompute.convertFromDecimals(collateralAllocated, ERC20(collateralAsset).decimals());
address[] memory hedgingReactors_ = hedgingReactors;
for (uint8 i = 0; i < hedgingReactors_.length; i++) {
// should always return value in e18 decimals
assets += IHedgingReactor(hedgingReactors_[i]).getPoolDenominatedValue();
}
}
function _getLiabilities() internal view returns (int256 liabilities) {
Types.PortfolioValues memory portfolioValues = _getPortfolioValuesFeed().getPortfolioValues(
underlyingAsset,
strikeAsset
);
// check that the portfolio values are acceptable
OptionsCompute.validatePortfolioValues(
_getUnderlyingPrice(underlyingAsset, strikeAsset),
portfolioValues,
maxTimeDeviationThreshold,
maxPriceDeviationThreshold
);
// ephemeralLiabilities can be +/-, portfolioValues.callPutsValue could be +/-
liabilities = portfolioValues.callPutsValue + ephemeralLiabilities;
}
/**
* @notice calculates amount of liquidity that can be used before hitting buffer
* @return bufferRemaining the amount of liquidity available before reaching buffer in e6
*/
function checkBuffer() public view returns (int256 bufferRemaining) {
// calculate max amount of liquidity pool funds that can be used before reaching max buffer allowance
uint256 collateralBalance = getBalance(collateralAsset);
uint256 collateralBuffer = (collateralAllocated * bufferPercentage) / MAX_BPS;
bufferRemaining = int256(collateralBalance) - int256(collateralBuffer);
}
/**
* @notice create the option contract in the options registry
* @param optionSeries option type to mint - option series strike in e18
* @param optionRegistry interface for the options issuer
* @return series the address of the option series minted
*/
function _issue(Types.OptionSeries memory optionSeries, IOptionRegistry optionRegistry)
internal
returns (address series)
{
// make sure option is being issued with correct assets
if (optionSeries.collateral != collateralAsset) {
revert CustomErrors.CollateralAssetInvalid();
}
if (optionSeries.underlying != underlyingAsset) {
revert CustomErrors.UnderlyingAssetInvalid();
}
if (optionSeries.strikeAsset != strikeAsset) {
revert CustomErrors.StrikeAssetInvalid();
}
// cache
Types.OptionParams memory optionParams_ = optionParams;
// check the expiry is within the allowed bounds
if (
block.timestamp + optionParams_.minExpiry > optionSeries.expiration ||
optionSeries.expiration > block.timestamp + optionParams_.maxExpiry
) {
revert CustomErrors.OptionExpiryInvalid();
}
// check that the option strike is within the range of the min and max acceptable strikes of calls and puts
if (optionSeries.isPut) {
if (
optionParams_.minPutStrikePrice > optionSeries.strike ||
optionSeries.strike > optionParams_.maxPutStrikePrice
) {
revert CustomErrors.OptionStrikeInvalid();
}
} else {
if (
optionParams_.minCallStrikePrice > optionSeries.strike ||
optionSeries.strike > optionParams_.maxCallStrikePrice
) {
revert CustomErrors.OptionStrikeInvalid();
}
}
// issue the option from the option registry (its characteristics will be stored in the optionsRegistry)
series = optionRegistry.issue(optionSeries);
if (series == address(0)) {
revert CustomErrors.IssuanceFailed();
}
}
/**
* @notice write a number of options for a given OptionSeries
* @param optionSeries option type to mint - strike in e8
* @param seriesAddress the address of the options series
* @param amount the amount to be written - in e18
* @param optionRegistry the option registry of the pool
* @param premium the premium to charge the user - in collateral decimals
* @param delta the delta of the option position - in e18
* @param bufferRemaining the amount of buffer that can be used - in e6
* @return the amount that was written
*/
function _writeOption(
Types.OptionSeries memory optionSeries,
address seriesAddress,
uint256 amount,
IOptionRegistry optionRegistry,
uint256 premium,
int256 delta,
int256 bufferRemaining,
address recipient
) internal returns (uint256) {
// strike decimals come into this function as e8
uint256 collateralAmount = optionRegistry.getCollateral(optionSeries, amount);
if (bufferRemaining < int256(collateralAmount)) {
revert CustomErrors.MaxLiquidityBufferReached();
}
ERC20(collateralAsset).approve(address(optionRegistry), collateralAmount);
(, collateralAmount) = optionRegistry.open(seriesAddress, amount, collateralAmount);
emit WriteOption(seriesAddress, amount, premium, collateralAmount, recipient);
// convert e8 strike to e18 strike
optionSeries.strike = uint128(
OptionsCompute.convertFromDecimals(optionSeries.strike, ERC20(seriesAddress).decimals())
);
_adjustVariables(collateralAmount, premium, delta, true);
SafeTransferLib.safeTransfer(
ERC20(seriesAddress),
recipient,
OptionsCompute.convertToDecimals(amount, ERC20(seriesAddress).decimals())
);
// returns in e18
return amount;
}
/**
* @notice buys a number of options back and burns the tokens
* @param optionSeries the option token series to buyback - strike passed in as e8
* @param amount the number of options to buyback expressed in 1e18
* @param optionRegistry the registry
* @param seriesAddress the series being sold
* @param premium the premium to be sent back to the owner (in collat decimals)
* @param delta the delta of the option
* @param seller the address
* @return the number of options burned in e18
*/
function _buybackOption(
Types.OptionSeries memory optionSeries,
uint256 amount,
IOptionRegistry optionRegistry,
address seriesAddress,
uint256 premium,
int256 delta,
address seller
) internal returns (uint256) {
SafeTransferLib.safeApprove(
ERC20(seriesAddress),
address(optionRegistry),
OptionsCompute.convertToDecimals(amount, ERC20(seriesAddress).decimals())
);
(, uint256 collateralReturned) = optionRegistry.close(seriesAddress, amount);
emit BuybackOption(seriesAddress, amount, premium, collateralReturned, seller);
// convert e8 strike to e18 strike
optionSeries.strike = uint128(
OptionsCompute.convertFromDecimals(optionSeries.strike, ERC20(seriesAddress).decimals())
);
_adjustVariables(collateralReturned, premium, delta, false);
if (getBalance(collateralAsset) < premium) {
revert CustomErrors.WithdrawExceedsLiquidity();
}
SafeTransferLib.safeTransfer(ERC20(collateralAsset), seller, premium);
return amount;
}
/**
* @notice adjust the variables of the pool
* @param collateralAmount the amount of collateral transferred to change on collateral allocated in collateral decimals
* @param optionsValue the value of the options in e18 decimals
* @param delta the delta of the options in e18 decimals
* @param isSale whether the action was an option sale or not
*/
function _adjustVariables(
uint256 collateralAmount,
uint256 optionsValue,
int256 delta,
bool isSale
) internal {
if (isSale) {
collateralAllocated += collateralAmount;
ephemeralLiabilities += int256(
OptionsCompute.convertFromDecimals(optionsValue, ERC20(collateralAsset).decimals())
);
ephemeralDelta -= delta;
} else {
collateralAllocated -= collateralAmount;
ephemeralLiabilities -= int256(
OptionsCompute.convertFromDecimals(optionsValue, ERC20(collateralAsset).decimals())
);
ephemeralDelta += delta;
}
}
/**
* @notice get the volatility feed used by the liquidity pool
* @return the volatility feed contract interface
*/
function _getVolatilityFeed() internal view returns (VolatilityFeed) {
return VolatilityFeed(protocol.volatilityFeed());
}
/**
* @notice get the portfolio values feed used by the liquidity pool
* @return the portfolio values feed contract
*/
function _getPortfolioValuesFeed() internal view returns (IPortfolioValuesFeed) {
return IPortfolioValuesFeed(protocol.portfolioValuesFeed());
}
/**
* @notice get the DHV accounting calculations contract used by the liquidity pool
* @return the Accounting contract
*/
function _getAccounting() internal view returns (IAccounting) {
return IAccounting(protocol.accounting());
}
/**
* @notice get the option registry used for storing and managing the options
* @return the option registry contract
*/
function _getOptionRegistry() internal view returns (IOptionRegistry) {
return IOptionRegistry(protocol.optionRegistry());
}
/**
* @notice get the underlying price with just the underlying asset and strike asset
* @param underlying the asset that is used as the reference asset
* @param _strikeAsset the asset that the underlying value is denominated in
* @return the underlying price
*/
function _getUnderlyingPrice(address underlying, address _strikeAsset)
internal
view
returns (uint256)
{
return PriceFeed(protocol.priceFeed()).getNormalizedRate(underlying, _strikeAsset);
}
function _isTradingNotPaused() internal view {
if (isTradingPaused) {
revert CustomErrors.TradingPaused();
}
}
function _isHandler() internal view {
if (!handler[msg.sender]) {
revert CustomErrors.NotHandler();
}
}
/// @dev keepers, managers or governors can access
function _isKeeper() internal view {
if (
!keeper[msg.sender] && msg.sender != authority.governor() && msg.sender != authority.manager()
) {
revert CustomErrors.NotKeeper();
}
}
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.0;
interface CustomErrors {
error NotKeeper();
error IVNotFound();
error NotHandler();
error VaultExpired();
error InvalidInput();
error InvalidPrice();
error InvalidBuyer();
error InvalidOrder();
error OrderExpired();
error InvalidAmount();
error TradingPaused();
error InvalidAddress();
error IssuanceFailed();
error EpochNotClosed();
error InvalidDecimals();
error TradingNotPaused();
error NotLiquidityPool();
error DeltaNotDecreased();
error NonExistentOtoken();
error OrderExpiryTooLong();
error InvalidShareAmount();
error ExistingWithdrawal();
error TotalSupplyReached();
error StrikeAssetInvalid();
error OptionStrikeInvalid();
error OptionExpiryInvalid();
error NoExistingWithdrawal();
error SpotMovedBeyondRange();
error ReactorAlreadyExists();
error CollateralAssetInvalid();
error UnderlyingAssetInvalid();
error CollateralAmountInvalid();
error WithdrawExceedsLiquidity();
error InsufficientShareBalance();
error MaxLiquidityBufferReached();
error LiabilitiesGreaterThanAssets();
error CustomOrderInsufficientPrice();
error CustomOrderInvalidDeltaValue();
error DeltaQuoteError(uint256 quote, int256 delta);
error TimeDeltaExceedsThreshold(uint256 timeDelta);
error PriceDeltaExceedsThreshold(uint256 priceDelta);
error StrikeAmountExceedsLiquidity(uint256 strikeAmount, uint256 strikeLiquidity);
error MinStrikeAmountExceedsLiquidity(uint256 strikeAmount, uint256 strikeAmountMin);
error UnderlyingAmountExceedsLiquidity(uint256 underlyingAmount, uint256 underlyingLiquidity);
error MinUnderlyingAmountExceedsLiquidity(uint256 underlyingAmount, uint256 underlyingAmountMin);
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.0;
import "../interfaces/IAuthority.sol";
error UNAUTHORIZED();
/**
* @title Contract used for access control functionality, based off of OlympusDao Access Control
*/
abstract contract AccessControl {
/* ========== EVENTS ========== */
event AuthorityUpdated(IAuthority authority);
/* ========== STATE VARIABLES ========== */
IAuthority public authority;
/* ========== Constructor ========== */
constructor(IAuthority _authority) {
authority = _authority;
emit AuthorityUpdated(_authority);
}
/* ========== GOV ONLY ========== */
function setAuthority(IAuthority _newAuthority) external {
_onlyGovernor();
authority = _newAuthority;
emit AuthorityUpdated(_newAuthority);
}
/* ========== INTERNAL CHECKS ========== */
function _onlyGovernor() internal view {
if (msg.sender != authority.governor()) revert UNAUTHORIZED();
}
function _onlyGuardian() internal view {
if (!authority.guardian(msg.sender) && msg.sender != authority.governor()) revert UNAUTHORIZED();
}
function _onlyManager() internal view {
if (msg.sender != authority.manager() && msg.sender != authority.governor())
revert UNAUTHORIZED();
}
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.0;
import "./Types.sol";
import "./CustomErrors.sol";
import "./BlackScholes.sol";
import "prb-math/contracts/PRBMathUD60x18.sol";
import "prb-math/contracts/PRBMathSD59x18.sol";
/**
* @title Library used for various helper functionality for the Liquidity Pool
*/
library OptionsCompute {
using PRBMathUD60x18 for uint256;
using PRBMathSD59x18 for int256;
uint8 private constant SCALE_DECIMALS = 18;
/// @dev assumes decimals are coming in as e18
function convertToDecimals(uint256 value, uint256 decimals) internal pure returns (uint256) {
if (decimals > SCALE_DECIMALS) {
revert();
}
uint256 difference = SCALE_DECIMALS - decimals;
return value / (10**difference);
}
/// @dev converts from specified decimals to e18
function convertFromDecimals(uint256 value, uint256 decimals) internal pure returns (uint256) {
if (decimals > SCALE_DECIMALS) {
revert();
}
uint256 difference = SCALE_DECIMALS - decimals;
return value * (10**difference);
}
// doesnt allow for interest bearing collateral
function convertToCollateralDenominated(
uint256 quote,
uint256 underlyingPrice,
Types.OptionSeries memory optionSeries
) internal pure returns (uint256 convertedQuote) {
if (optionSeries.strikeAsset != optionSeries.collateral) {
// convert value from strike asset to collateral asset
return (quote * 1e18) / underlyingPrice;
} else {
return quote;
}
}
/**
* @dev computes the percentage change between two integers
* @param n new value in e18
* @param o old value in e18
* @return pC uint256 the percentage change in e18
*/
function calculatePercentageChange(uint256 n, uint256 o) internal pure returns (uint256 pC) {
// if new > old then its a percentage increase so do:
// ((new - old) * 1e18) / old
// if new < old then its a percentage decrease so do:
// ((old - new) * 1e18) / old
if (n > o) {
pC = (n - o).div(o);
} else {
pC = (o - n).div(o);
}
}
/**
* @notice get the latest oracle fed portfolio values and check when they were last updated and make sure this is within a reasonable window in
* terms of price and time
*/
function validatePortfolioValues(
uint256 spotPrice,
Types.PortfolioValues memory portfolioValues,
uint256 maxTimeDeviationThreshold,
uint256 maxPriceDeviationThreshold
) public view {
uint256 timeDelta = block.timestamp - portfolioValues.timestamp;
// If too much time has passed we want to prevent a possible oracle attack
if (timeDelta > maxTimeDeviationThreshold) {
revert CustomErrors.TimeDeltaExceedsThreshold(timeDelta);
}
uint256 priceDelta = calculatePercentageChange(spotPrice, portfolioValues.spotPrice);
// If price has deviated too much we want to prevent a possible oracle attack
if (priceDelta > maxPriceDeviationThreshold) {
revert CustomErrors.PriceDeltaExceedsThreshold(priceDelta);
}
}
/**
* @notice calculates the utilization price of an option using the liquidity pool's utilisation skew algorithm
*/
function getUtilizationPrice(
uint256 _utilizationBefore,
uint256 _utilizationAfter,
uint256 _totalOptionPrice,
uint256 _utilizationFunctionThreshold,
uint256 _belowThresholdGradient,
uint256 _aboveThresholdGradient,
uint256 _aboveThresholdYIntercept
) internal pure returns (uint256 utilizationPrice) {
if (
_utilizationBefore <= _utilizationFunctionThreshold &&
_utilizationAfter <= _utilizationFunctionThreshold
) {
// linear function up to threshold utilization
// take average of before and after utilization and multiply the average by belowThresholdGradient
uint256 multiplicationFactor = (_utilizationBefore + _utilizationAfter)
.mul(_belowThresholdGradient)
.div(2e18);
return _totalOptionPrice + _totalOptionPrice.mul(multiplicationFactor);
} else if (
_utilizationBefore >= _utilizationFunctionThreshold &&
_utilizationAfter >= _utilizationFunctionThreshold
) {
// over threshold utilization the skew factor will follow a steeper line
uint256 multiplicationFactor = _aboveThresholdGradient
.mul(_utilizationBefore + _utilizationAfter)
.div(2e18) - _aboveThresholdYIntercept;
return _totalOptionPrice + _totalOptionPrice.mul(multiplicationFactor);
} else {
// in this case the utilization after is above the threshold and
// utilization before is below it.
// _utilizationAfter will always be greater than _utilizationBefore
// finds the ratio of the distance below the threshold to the distance above the threshold
uint256 weightingRatio = (_utilizationFunctionThreshold - _utilizationBefore).div(
_utilizationAfter - _utilizationFunctionThreshold
);
// finds the average y value on the part of the function below threshold
uint256 averageFactorBelow = (_utilizationFunctionThreshold + _utilizationBefore).div(2e18).mul(
_belowThresholdGradient
);
// finds average y value on part of the function above threshold
uint256 averageFactorAbove = (_utilizationAfter + _utilizationFunctionThreshold).div(2e18).mul(
_aboveThresholdGradient
) - _aboveThresholdYIntercept;
// finds the weighted average of the two above averaged to find the average utilization skew over the range of utilization
uint256 multiplicationFactor = (weightingRatio.mul(averageFactorBelow) + averageFactorAbove).div(
1e18 + weightingRatio
);
return _totalOptionPrice + _totalOptionPrice.mul(multiplicationFactor);
}
}
/**
* @notice get the greeks of a quotePrice for a given optionSeries
* @param optionSeries Types.OptionSeries struct for describing the option to price greeks - strike in e18
* @return quote Quote price of the option - in e18
* @return delta delta of the option being priced - in e18
*/
function quotePriceGreeks(
Types.OptionSeries memory optionSeries,
bool isBuying,
uint256 bidAskIVSpread,
uint256 riskFreeRate,
uint256 iv,
uint256 underlyingPrice
) internal view returns (uint256 quote, int256 delta) {
if (iv == 0) {
revert CustomErrors.IVNotFound();
}
// reduce IV by a factor of bidAskIVSpread if we are buying the options
if (isBuying) {
iv = (iv * (1e18 - (bidAskIVSpread))) / 1e18;
}
// revert CustomErrors.if the expiry is in the past
if (optionSeries.expiration <= block.timestamp) {
revert CustomErrors.OptionExpiryInvalid();
}
(quote, delta) = BlackScholes.blackScholesCalcGreeks(
underlyingPrice,
optionSeries.strike,
optionSeries.expiration,
iv,
riskFreeRate,
optionSeries.isPut
);
}
}// SPDX-License-Identifier: UNLICENSED
pragma solidity 0.8.9;
interface AddressBookInterface {
/* Getters */
function getOtokenImpl() external view returns (address);
function getOtokenFactory() external view returns (address);
function getWhitelist() external view returns (address);
function getController() external view returns (address);
function getOracle() external view returns (address);
function getMarginPool() external view returns (address);
function getMarginCalculator() external view returns (address);
function getLiquidationManager() external view returns (address);
function getAddress(bytes32 _id) external view returns (address);
/* Setters */
function setOtokenImpl(address _otokenImpl) external;
function setOtokenFactory(address _factory) external;
function setOracleImpl(address _otokenImpl) external;
function setWhitelist(address _whitelist) external;
function setController(address _controller) external;
function setMarginPool(address _marginPool) external;
function setMarginCalculator(address _calculator) external;
function setLiquidationManager(address _liquidationManager) external;
function setAddress(bytes32 _id, address _newImpl) external;
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.0;
library Types {
struct OptionSeries {
uint64 expiration;
uint128 strike;
bool isPut;
address underlying;
address strikeAsset;
address collateral;
}
struct PortfolioValues {
int256 delta;
int256 gamma;
int256 vega;
int256 theta;
int256 callPutsValue;
uint256 timestamp;
uint256 spotPrice;
}
struct Order {
OptionSeries optionSeries;
uint256 amount;
uint256 price;
uint256 orderExpiry;
address buyer;
address seriesAddress;
uint128 lowerSpotMovementRange;
uint128 upperSpotMovementRange;
bool isBuyBack;
}
// strike and expiry date range for options
struct OptionParams {
uint128 minCallStrikePrice;
uint128 maxCallStrikePrice;
uint128 minPutStrikePrice;
uint128 maxPutStrikePrice;
uint128 minExpiry;
uint128 maxExpiry;
}
struct UtilizationState {
uint256 totalOptionPrice; //e18
int256 totalDelta; // e18
uint256 collateralToAllocate; //collateral decimals
uint256 utilizationBefore; // e18
uint256 utilizationAfter; //e18
uint256 utilizationPrice; //e18
bool isDecreased;
uint256 deltaTiltAmount; //e18
uint256 underlyingPrice; // strike asset decimals
uint256 iv; // e18
}
}// SPDX-License-Identifier: AGPL-3.0-only
pragma solidity >=0.8.0;
import {ERC20} from "../tokens/ERC20.sol";
/// @notice Safe ETH and ERC20 transfer library that gracefully handles missing return values.
/// @author Solmate (https://github.com/Rari-Capital/solmate/blob/main/src/utils/SafeTransferLib.sol)
/// @author Modified from Gnosis (https://github.com/gnosis/gp-v2-contracts/blob/main/src/contracts/libraries/GPv2SafeERC20.sol)
/// @dev Use with caution! Some functions in this library knowingly create dirty bits at the destination of the free memory pointer.
library SafeTransferLib {
/*///////////////////////////////////////////////////////////////
ETH OPERATIONS
//////////////////////////////////////////////////////////////*/
function safeTransferETH(address to, uint256 amount) internal {
bool callStatus;
assembly {
// Transfer the ETH and store if it succeeded or not.
callStatus := call(gas(), to, amount, 0, 0, 0, 0)
}
require(callStatus, "ETH_TRANSFER_FAILED");
}
/*///////////////////////////////////////////////////////////////
ERC20 OPERATIONS
//////////////////////////////////////////////////////////////*/
function safeTransferFrom(
address tokenAddress,
address from,
address to,
uint256 amount
) internal {
ERC20 token = ERC20(tokenAddress);
bool callStatus;
assembly {
// Get a pointer to some free memory.
let freeMemoryPointer := mload(0x40)
// Write the abi-encoded calldata to memory piece by piece:
mstore(freeMemoryPointer, 0x23b872dd00000000000000000000000000000000000000000000000000000000) // Begin with the function selector.
mstore(add(freeMemoryPointer, 4), and(from, 0xffffffffffffffffffffffffffffffffffffffff)) // Mask and append the "from" argument.
mstore(add(freeMemoryPointer, 36), and(to, 0xffffffffffffffffffffffffffffffffffffffff)) // Mask and append the "to" argument.
mstore(add(freeMemoryPointer, 68), amount) // Finally append the "amount" argument. No mask as it's a full 32 byte value.
// Call the token and store if it succeeded or not.
// We use 100 because the calldata length is 4 + 32 * 3.
callStatus := call(gas(), token, 0, freeMemoryPointer, 100, 0, 0)
}
require(didLastOptionalReturnCallSucceed(callStatus), "TRANSFER_FROM_FAILED");
}
function safeTransfer(
ERC20 token,
address to,
uint256 amount
) internal {
bool callStatus;
assembly {
// Get a pointer to some free memory.
let freeMemoryPointer := mload(0x40)
// Write the abi-encoded calldata to memory piece by piece:
mstore(freeMemoryPointer, 0xa9059cbb00000000000000000000000000000000000000000000000000000000) // Begin with the function selector.
mstore(add(freeMemoryPointer, 4), and(to, 0xffffffffffffffffffffffffffffffffffffffff)) // Mask and append the "to" argument.
mstore(add(freeMemoryPointer, 36), amount) // Finally append the "amount" argument. No mask as it's a full 32 byte value.
// Call the token and store if it succeeded or not.
// We use 68 because the calldata length is 4 + 32 * 2.
callStatus := call(gas(), token, 0, freeMemoryPointer, 68, 0, 0)
}
require(didLastOptionalReturnCallSucceed(callStatus), "TRANSFER_FAILED");
}
function safeApprove(
ERC20 token,
address to,
uint256 amount
) internal {
bool callStatus;
assembly {
// Get a pointer to some free memory.
let freeMemoryPointer := mload(0x40)
// Write the abi-encoded calldata to memory piece by piece:
mstore(freeMemoryPointer, 0x095ea7b300000000000000000000000000000000000000000000000000000000) // Begin with the function selector.
mstore(add(freeMemoryPointer, 4), and(to, 0xffffffffffffffffffffffffffffffffffffffff)) // Mask and append the "to" argument.
mstore(add(freeMemoryPointer, 36), amount) // Finally append the "amount" argument. No mask as it's a full 32 byte value.
// Call the token and store if it succeeded or not.
// We use 68 because the calldata length is 4 + 32 * 2.
callStatus := call(gas(), token, 0, freeMemoryPointer, 68, 0, 0)
}
require(didLastOptionalReturnCallSucceed(callStatus), "APPROVE_FAILED");
}
/*///////////////////////////////////////////////////////////////
INTERNAL HELPER LOGIC
//////////////////////////////////////////////////////////////*/
function didLastOptionalReturnCallSucceed(bool callStatus) private pure returns (bool success) {
assembly {
// Get how many bytes the call returned.
let returnDataSize := returndatasize()
// If the call reverted:
if iszero(callStatus) {
// Copy the revert message into memory.
returndatacopy(0, 0, returnDataSize)
// Revert with the same message.
revert(0, returnDataSize)
}
switch returnDataSize
case 32 {
// Copy the return data into memory.
returndatacopy(0, 0, returnDataSize)
// Set success to whether it returned true.
success := iszero(iszero(mload(0)))
}
case 0 {
// There was no return data.
success := 1
}
default {
// It returned some malformed input.
success := 0
}
}
}
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.4;
import "./SafeTransferLib.sol";
import { Types } from "./Types.sol";
import { IOtokenFactory, IOtoken, IController, GammaTypes } from "../interfaces/GammaInterface.sol";
/**
* @title Library used for standard interactions with the opyn-rysk gamma protocol
* @dev inherited by the options registry to complete base opyn-rysk gamma protocol interactions
* Interacts with the opyn-rysk gamma protocol in all functions
*/
library OpynInteractions {
uint256 private constant SCALE_FROM = 10**10;
error NoShort();
/**
* @notice Either retrieves the option token if it already exists, or deploy it
* @param oTokenFactory is the address of the opyn oTokenFactory
* @param collateral asset that is held as collateral against short/written options
* @param underlying is the address of the underlying asset of the option
* @param strikeAsset is the address of the collateral asset of the option
* @param strike is the strike price of the option in 1e8 format
* @param expiration is the expiry timestamp of the option
* @param isPut the type of option
* @return the address of the option
*/
function getOrDeployOtoken(
address oTokenFactory,
address collateral,
address underlying,
address strikeAsset,
uint256 strike,
uint256 expiration,
bool isPut
) external returns (address) {
IOtokenFactory factory = IOtokenFactory(oTokenFactory);
address otokenFromFactory = factory.getOtoken(
underlying,
strikeAsset,
collateral,
strike,
expiration,
isPut
);
if (otokenFromFactory != address(0)) {
return otokenFromFactory;
}
address otoken = factory.createOtoken(
underlying,
strikeAsset,
collateral,
strike,
expiration,
isPut
);
return otoken;
}
/**
* @notice Retrieves the option token if it already exists
* @param oTokenFactory is the address of the opyn oTokenFactory
* @param collateral asset that is held as collateral against short/written options
* @param underlying is the address of the underlying asset of the option
* @param strikeAsset is the address of the collateral asset of the option
* @param strike is the strike price of the option in 1e8 format
* @param expiration is the expiry timestamp of the option
* @param isPut the type of option
* @return otokenFromFactory the address of the option
*/
function getOtoken(
address oTokenFactory,
address collateral,
address underlying,
address strikeAsset,
uint256 strike,
uint256 expiration,
bool isPut
) external view returns (address otokenFromFactory) {
IOtokenFactory factory = IOtokenFactory(oTokenFactory);
otokenFromFactory = factory.getOtoken(
underlying,
strikeAsset,
collateral,
strike,
expiration,
isPut
);
}
/**
* @notice Creates the actual Opyn short position by depositing collateral and minting otokens
* @param gammaController is the address of the opyn controller contract
* @param marginPool is the address of the opyn margin contract which holds the collateral
* @param oTokenAddress is the address of the otoken to mint
* @param depositAmount is the amount of collateral to deposit
* @param vaultId is the vault id to use for creating this short
* @param amount is the mint amount in 1e18 format
* @param vaultType is the type of vault to be created
* @return the otoken mint amount
*/
function createShort(
address gammaController,
address marginPool,
address oTokenAddress,
uint256 depositAmount,
uint256 vaultId,
uint256 amount,
uint256 vaultType
) external returns (uint256) {
IController controller = IController(gammaController);
amount = amount / SCALE_FROM;
// An otoken's collateralAsset is the vault's `asset`
// So in the context of performing Opyn short operations we call them collateralAsset
IOtoken oToken = IOtoken(oTokenAddress);
address collateralAsset = oToken.collateralAsset();
// double approve to fix non-compliant ERC20s
ERC20 collateralToken = ERC20(collateralAsset);
SafeTransferLib.safeApprove(collateralToken, marginPool, depositAmount);
// initialise the controller args with 2 incase the vault already exists
IController.ActionArgs[] memory actions = new IController.ActionArgs[](2);
// check if a new vault needs to be created
uint256 newVaultID = (controller.getAccountVaultCounter(address(this))) + 1;
if (newVaultID == vaultId) {
actions = new IController.ActionArgs[](3);
actions[0] = IController.ActionArgs(
IController.ActionType.OpenVault,
address(this), // owner
address(this), // receiver
address(0), // asset, otoken
vaultId, // vaultId
0, // amount
0, //index
abi.encode(vaultType) //data
);
actions[1] = IController.ActionArgs(
IController.ActionType.DepositCollateral,
address(this), // owner
address(this), // address to transfer from
collateralAsset, // deposited asset
vaultId, // vaultId
depositAmount, // amount
0, //index
"" //data
);
actions[2] = IController.ActionArgs(
IController.ActionType.MintShortOption,
address(this), // owner
address(this), // address to transfer to
oTokenAddress, // option address
vaultId, // vaultId
amount, // amount
0, //index
"" //data
);
} else {
actions[0] = IController.ActionArgs(
IController.ActionType.DepositCollateral,
address(this), // owner
address(this), // address to transfer from
collateralAsset, // deposited asset
vaultId, // vaultId
depositAmount, // amount
0, //index
"" //data
);
actions[1] = IController.ActionArgs(
IController.ActionType.MintShortOption,
address(this), // owner
address(this), // address to transfer to
oTokenAddress, // option address
vaultId, // vaultId
amount, // amount
0, //index
"" //data
);
}
controller.operate(actions);
// returns in e8
return amount;
}
/**
* @notice Deposits Collateral to a specific vault
* @param gammaController is the address of the opyn controller contract
* @param marginPool is the address of the opyn margin contract which holds the collateral
* @param collateralAsset is the address of the collateral asset to deposit
* @param depositAmount is the amount of collateral to deposit
* @param vaultId is the vault id to access
*/
function depositCollat(
address gammaController,
address marginPool,
address collateralAsset,
uint256 depositAmount,
uint256 vaultId
) external {
IController controller = IController(gammaController);
// double approve to fix non-compliant ERC20s
ERC20 collateralToken = ERC20(collateralAsset);
SafeTransferLib.safeApprove(collateralToken, marginPool, depositAmount);
IController.ActionArgs[] memory actions = new IController.ActionArgs[](1);
actions[0] = IController.ActionArgs(
IController.ActionType.DepositCollateral,
address(this), // owner
address(this), // address to transfer from
collateralAsset, // deposited asset
vaultId, // vaultId
depositAmount, // amount
0, //index
"" //data
);
controller.operate(actions);
}
/**
* @notice Withdraws Collateral from a specific vault
* @param gammaController is the address of the opyn controller contract
* @param collateralAsset is the address of the collateral asset to withdraw
* @param withdrawAmount is the amount of collateral to withdraw
* @param vaultId is the vault id to access
*/
function withdrawCollat(
address gammaController,
address collateralAsset,
uint256 withdrawAmount,
uint256 vaultId
) external {
IController controller = IController(gammaController);
IController.ActionArgs[] memory actions = new IController.ActionArgs[](1);
actions[0] = IController.ActionArgs(
IController.ActionType.WithdrawCollateral,
address(this), // owner
address(this), // address to transfer to
collateralAsset, // withdrawn asset
vaultId, // vaultId
withdrawAmount, // amount
0, //index
"" //data
);
controller.operate(actions);
}
/**
* @notice Burns an opyn short position and returns collateral back to OptionRegistry
* @param gammaController is the address of the opyn controller contract
* @param oTokenAddress is the address of the otoken to burn
* @param burnAmount is the amount of options to burn
* @param vaultId is the vault id used that holds the short
* @return the collateral returned amount
*/
function burnShort(
address gammaController,
address oTokenAddress,
uint256 burnAmount,
uint256 vaultId
) external returns (uint256) {
IController controller = IController(gammaController);
// An otoken's collateralAsset is the vault's `asset`
// So in the context of performing Opyn short operations we call them collateralAsset
IOtoken oToken = IOtoken(oTokenAddress);
ERC20 collateralAsset = ERC20(oToken.collateralAsset());
uint256 startCollatBalance = collateralAsset.balanceOf(address(this));
GammaTypes.Vault memory vault = controller.getVault(address(this), vaultId);
// initialise the controller args with 2 incase the vault already exists
IController.ActionArgs[] memory actions = new IController.ActionArgs[](2);
actions[0] = IController.ActionArgs(
IController.ActionType.BurnShortOption,
address(this), // owner
address(this), // address to transfer from
oTokenAddress, // oToken address
vaultId, // vaultId
burnAmount, // amount to burn
0, //index
"" //data
);
actions[1] = IController.ActionArgs(
IController.ActionType.WithdrawCollateral,
address(this), // owner
address(this), // address to transfer to
address(collateralAsset), // withdrawn asset
vaultId, // vaultId
(vault.collateralAmounts[0] * burnAmount) / vault.shortAmounts[0], // amount
0, //index
"" //data
);
controller.operate(actions);
// returns in collateral decimals
return collateralAsset.balanceOf(address(this)) - startCollatBalance;
}
/**
* @notice Close the existing short otoken position.
* @param gammaController is the address of the opyn controller contract
* @param vaultId is the id of the vault to be settled
* @return collateralRedeemed collateral redeemed from the vault
* @return collateralLost collateral left behind in vault used to pay ITM expired options
* @return shortAmount number of options that were written
*/
function settle(address gammaController, uint256 vaultId)
external
returns (
uint256 collateralRedeemed,
uint256 collateralLost,
uint256 shortAmount
)
{
IController controller = IController(gammaController);
GammaTypes.Vault memory vault = controller.getVault(address(this), vaultId);
if (vault.shortOtokens.length == 0) {
revert NoShort();
}
// An otoken's collateralAsset is the vault's `asset`
// So in the context of performing Opyn short operations we call them collateralAsset
ERC20 collateralToken = ERC20(vault.collateralAssets[0]);
// This is equivalent to doing ERC20(vault.asset).balanceOf(address(this))
uint256 startCollateralBalance = collateralToken.balanceOf(address(this));
// If it is after expiry, we need to settle the short position using the normal way
// Delete the vault and withdraw all remaining collateral from the vault
IController.ActionArgs[] memory actions = new IController.ActionArgs[](1);
actions[0] = IController.ActionArgs(
IController.ActionType.SettleVault,
address(this), // owner
address(this), // address to transfer to
address(0), // not used
vaultId, // vaultId
0, // not used
0, // not used
"" // not used
);
controller.operate(actions);
uint256 endCollateralBalance = collateralToken.balanceOf(address(this));
// calulate collateral redeemed and lost for collateral management in liquidity pool
collateralRedeemed = endCollateralBalance - startCollateralBalance;
// returns in collateral decimals, collateralDecimals, e8
return (
collateralRedeemed,
vault.collateralAmounts[0] - collateralRedeemed,
vault.shortAmounts[0]
);
}
/**
* @notice Exercises an ITM option
* @param gammaController is the address of the opyn controller contract
* @param marginPool is the address of the opyn margin pool
* @param series is the address of the option to redeem
* @param amount is the number of oTokens to redeem - passed in as e8
* @return amount of asset received by exercising the option
*/
function redeem(
address gammaController,
address marginPool,
address series,
uint256 amount
) external returns (uint256) {
IController controller = IController(gammaController);
address collateralAsset = IOtoken(series).collateralAsset();
uint256 startAssetBalance = ERC20(collateralAsset).balanceOf(msg.sender);
// If it is after expiry, we need to redeem the profits
IController.ActionArgs[] memory actions = new IController.ActionArgs[](1);
actions[0] = IController.ActionArgs(
IController.ActionType.Redeem,
address(0), // not used
msg.sender, // address to send profits to
series, // address of otoken
0, // not used
amount, // otoken balance
0, // not used
"" // not used
);
SafeTransferLib.safeApprove(ERC20(series), marginPool, amount);
controller.operate(actions);
uint256 endAssetBalance = ERC20(collateralAsset).balanceOf(msg.sender);
// returns in collateral decimals
return endAssetBalance - startAssetBalance;
}
}// SPDX-License-Identifier: UNLICENSED
pragma solidity 0.8.9;
interface IOracle {
function getPrice(address _asset) external view returns (uint256);
}// SPDX-License-Identifier: UNLICENSED
pragma solidity 0.8.9;
interface IMarginCalculator {
function getNakedMarginRequired(
address _underlying,
address _strike,
address _collateral,
uint256 _shortAmount,
uint256 _strikePrice,
uint256 _underlyingPrice,
uint256 _shortExpiryTimestamp,
uint256 _collateralDecimals,
bool _isPut
) external view returns (uint256);
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.4;
library GammaTypes {
// vault is a struct of 6 arrays that describe a position a user has, a user can have multiple vaults.
struct Vault {
// addresses of oTokens a user has shorted (i.e. written) against this vault
address[] shortOtokens;
// addresses of oTokens a user has bought and deposited in this vault
// user can be long oTokens without opening a vault (e.g. by buying on a DEX)
// generally, long oTokens will be 'deposited' in vaults to act as collateral
// in order to write oTokens against (i.e. in spreads)
address[] longOtokens;
// addresses of other ERC-20s a user has deposited as collateral in this vault
address[] collateralAssets;
// quantity of oTokens minted/written for each oToken address in shortOtokens
uint256[] shortAmounts;
// quantity of oTokens owned and held in the vault for each oToken address in longOtokens
uint256[] longAmounts;
// quantity of ERC-20 deposited as collateral in the vault for each ERC-20 address in collateralAssets
uint256[] collateralAmounts;
}
// vaultLiquidationDetails is a struct of 3 variables that store the series address, short amount liquidated and collateral transferred for
// a given liquidation
struct VaultLiquidationDetails {
address series;
uint128 shortAmount;
uint128 collateralAmount;
}
}
interface IOtoken {
function underlyingAsset() external view returns (address);
function strikeAsset() external view returns (address);
function collateralAsset() external view returns (address);
function strikePrice() external view returns (uint256);
function expiryTimestamp() external view returns (uint256);
function isPut() external view returns (bool);
}
interface IOtokenFactory {
function getOtoken(
address _underlyingAsset,
address _strikeAsset,
address _collateralAsset,
uint256 _strikePrice,
uint256 _expiry,
bool _isPut
) external view returns (address);
function createOtoken(
address _underlyingAsset,
address _strikeAsset,
address _collateralAsset,
uint256 _strikePrice,
uint256 _expiry,
bool _isPut
) external returns (address);
function getTargetOtokenAddress(
address _underlyingAsset,
address _strikeAsset,
address _collateralAsset,
uint256 _strikePrice,
uint256 _expiry,
bool _isPut
) external view returns (address);
event OtokenCreated(
address tokenAddress,
address creator,
address indexed underlying,
address indexed strike,
address indexed collateral,
uint256 strikePrice,
uint256 expiry,
bool isPut
);
}
interface IController {
// possible actions that can be performed
enum ActionType {
OpenVault,
MintShortOption,
BurnShortOption,
DepositLongOption,
WithdrawLongOption,
DepositCollateral,
WithdrawCollateral,
SettleVault,
Redeem,
Call,
Liquidate
}
struct ActionArgs {
// type of action that is being performed on the system
ActionType actionType;
// address of the account owner
address owner;
// address which we move assets from or to (depending on the action type)
address secondAddress;
// asset that is to be transfered
address asset;
// index of the vault that is to be modified (if any)
uint256 vaultId;
// amount of asset that is to be transfered
uint256 amount;
// each vault can hold multiple short / long / collateral assets
// but we are restricting the scope to only 1 of each in this version
// in future versions this would be the index of the short / long / collateral asset that needs to be modified
uint256 index;
// any other data that needs to be passed in for arbitrary function calls
bytes data;
}
struct RedeemArgs {
// address to which we pay out the oToken proceeds
address receiver;
// oToken that is to be redeemed
address otoken;
// amount of oTokens that is to be redeemed
uint256 amount;
}
function getPayout(address _otoken, uint256 _amount) external view returns (uint256);
function operate(ActionArgs[] calldata _actions) external;
function getAccountVaultCounter(address owner) external view returns (uint256);
function oracle() external view returns (address);
function getVault(address _owner, uint256 _vaultId)
external
view
returns (GammaTypes.Vault memory);
function getProceed(address _owner, uint256 _vaultId) external view returns (uint256);
function isSettlementAllowed(
address _underlying,
address _strike,
address _collateral,
uint256 _expiry
) external view returns (bool);
function clearVaultLiquidationDetails(uint256 _vaultId) external;
function getVaultLiquidationDetails(address _owner, uint256 _vaultId)
external
view
returns (
address,
uint256,
uint256
);
}// SPDX-License-Identifier: AGPL-3.0-only
pragma solidity >=0.8.0;
/// @notice Modern and gas efficient ERC20 + EIP-2612 implementation.
/// @author Solmate (https://github.com/Rari-Capital/solmate/blob/main/src/tokens/ERC20.sol)
/// @author Modified from Uniswap (https://github.com/Uniswap/uniswap-v2-core/blob/master/contracts/UniswapV2ERC20.sol)
/// @dev Do not manually set balances without updating totalSupply, as the sum of all user balances must not exceed it.
abstract contract ERC20 {
/*///////////////////////////////////////////////////////////////
EVENTS
//////////////////////////////////////////////////////////////*/
event Transfer(address indexed from, address indexed to, uint256 amount);
event Approval(address indexed owner, address indexed spender, uint256 amount);
/*///////////////////////////////////////////////////////////////
METADATA STORAGE
//////////////////////////////////////////////////////////////*/
string public name;
string public symbol;
uint8 public immutable decimals;
/*///////////////////////////////////////////////////////////////
ERC20 STORAGE
//////////////////////////////////////////////////////////////*/
uint256 public totalSupply;
mapping(address => uint256) public balanceOf;
mapping(address => mapping(address => uint256)) public allowance;
/*///////////////////////////////////////////////////////////////
EIP-2612 STORAGE
//////////////////////////////////////////////////////////////*/
uint256 internal immutable INITIAL_CHAIN_ID;
bytes32 internal immutable INITIAL_DOMAIN_SEPARATOR;
mapping(address => uint256) public nonces;
/*///////////////////////////////////////////////////////////////
CONSTRUCTOR
//////////////////////////////////////////////////////////////*/
constructor(
string memory _name,
string memory _symbol,
uint8 _decimals
) {
name = _name;
symbol = _symbol;
decimals = _decimals;
INITIAL_CHAIN_ID = block.chainid;
INITIAL_DOMAIN_SEPARATOR = computeDomainSeparator();
}
/*///////////////////////////////////////////////////////////////
ERC20 LOGIC
//////////////////////////////////////////////////////////////*/
function approve(address spender, uint256 amount) public virtual returns (bool) {
allowance[msg.sender][spender] = amount;
emit Approval(msg.sender, spender, amount);
return true;
}
function transfer(address to, uint256 amount) public virtual returns (bool) {
balanceOf[msg.sender] -= amount;
// Cannot overflow because the sum of all user
// balances can't exceed the max uint256 value.
unchecked {
balanceOf[to] += amount;
}
emit Transfer(msg.sender, to, amount);
return true;
}
function transferFrom(
address from,
address to,
uint256 amount
) public virtual returns (bool) {
uint256 allowed = allowance[from][msg.sender]; // Saves gas for limited approvals.
if (allowed != type(uint256).max) allowance[from][msg.sender] = allowed - amount;
balanceOf[from] -= amount;
// Cannot overflow because the sum of all user
// balances can't exceed the max uint256 value.
unchecked {
balanceOf[to] += amount;
}
emit Transfer(from, to, amount);
return true;
}
/*///////////////////////////////////////////////////////////////
EIP-2612 LOGIC
//////////////////////////////////////////////////////////////*/
function permit(
address owner,
address spender,
uint256 value,
uint256 deadline,
uint8 v,
bytes32 r,
bytes32 s
) public virtual {
require(deadline >= block.timestamp, "PERMIT_DEADLINE_EXPIRED");
// Unchecked because the only math done is incrementing
// the owner's nonce which cannot realistically overflow.
unchecked {
bytes32 digest = keccak256(
abi.encodePacked(
"\x19\x01",
DOMAIN_SEPARATOR(),
keccak256(
abi.encode(
keccak256(
"Permit(address owner,address spender,uint256 value,uint256 nonce,uint256 deadline)"
),
owner,
spender,
value,
nonces[owner]++,
deadline
)
)
)
);
address recoveredAddress = ecrecover(digest, v, r, s);
require(recoveredAddress != address(0) && recoveredAddress == owner, "INVALID_SIGNER");
allowance[recoveredAddress][spender] = value;
}
emit Approval(owner, spender, value);
}
function DOMAIN_SEPARATOR() public view virtual returns (bytes32) {
return block.chainid == INITIAL_CHAIN_ID ? INITIAL_DOMAIN_SEPARATOR : computeDomainSeparator();
}
function computeDomainSeparator() internal view virtual returns (bytes32) {
return
keccak256(
abi.encode(
keccak256("EIP712Domain(string name,string version,uint256 chainId,address verifyingContract)"),
keccak256(bytes(name)),
keccak256("1"),
block.chainid,
address(this)
)
);
}
/*///////////////////////////////////////////////////////////////
INTERNAL MINT/BURN LOGIC
//////////////////////////////////////////////////////////////*/
function _mint(address to, uint256 amount) internal virtual {
totalSupply += amount;
// Cannot overflow because the sum of all user
// balances can't exceed the max uint256 value.
unchecked {
balanceOf[to] += amount;
}
emit Transfer(address(0), to, amount);
}
function _burn(address from, uint256 amount) internal virtual {
balanceOf[from] -= amount;
// Cannot underflow because a user's balance
// will never be larger than the total supply.
unchecked {
totalSupply -= amount;
}
emit Transfer(from, address(0), amount);
}
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.9;
import "./interfaces/AggregatorV3Interface.sol";
import "./libraries/AccessControl.sol";
/**
* @title Contract used for accessing exchange rates using chainlink price feeds
* @dev Interacts with chainlink price feeds and services all contracts in the system for price data.
*/
contract PriceFeed is AccessControl {
/////////////////////////////////////
/// governance settable variables ///
/////////////////////////////////////
mapping(address => mapping(address => address)) public priceFeeds;
//////////////////////////
/// constant variables ///
//////////////////////////
uint8 private constant SCALE_DECIMALS = 18;
// seconds since the last price feed update until we deem the data to be stale
uint32 private constant STALE_PRICE_DELAY = 3600;
constructor(address _authority) AccessControl(IAuthority(_authority)) {}
///////////////
/// setters ///
///////////////
function addPriceFeed(
address underlying,
address strike,
address feed
) public {
_onlyGovernor();
priceFeeds[underlying][strike] = feed;
}
///////////////////////
/// complex getters ///
///////////////////////
function getRate(address underlying, address strike) external view returns (uint256) {
address feedAddress = priceFeeds[underlying][strike];
require(feedAddress != address(0), "Price feed does not exist");
AggregatorV3Interface feed = AggregatorV3Interface(feedAddress);
(uint80 roundId, int256 rate, , uint256 timestamp, uint80 answeredInRound) = feed
.latestRoundData();
require(rate > 0, "ChainLinkPricer: price is lower than 0");
require(timestamp != 0, "ROUND_NOT_COMPLETE");
require(block.timestamp <= timestamp + STALE_PRICE_DELAY, "STALE_PRICE");
require(answeredInRound >= roundId, "STALE_PRICE");
return uint256(rate);
}
/// @dev get the rate from chainlink and convert it to e18 decimals
function getNormalizedRate(address underlying, address strike) external view returns (uint256) {
address feedAddress = priceFeeds[underlying][strike];
require(feedAddress != address(0), "Price feed does not exist");
AggregatorV3Interface feed = AggregatorV3Interface(feedAddress);
uint8 feedDecimals = feed.decimals();
(uint80 roundId, int256 rate, , uint256 timestamp, uint80 answeredInRound) = feed
.latestRoundData();
require(rate > 0, "ChainLinkPricer: price is lower than 0");
require(timestamp != 0, "ROUND_NOT_COMPLETE");
require(block.timestamp <= timestamp + STALE_PRICE_DELAY, "STALE_PRICE");
require(answeredInRound >= roundId, "STALE_PRICE_ROUND");
uint8 difference;
if (SCALE_DECIMALS > feedDecimals) {
difference = SCALE_DECIMALS - feedDecimals;
return uint256(rate) * (10**difference);
}
difference = feedDecimals - SCALE_DECIMALS;
return uint256(rate) / (10**difference);
}
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.0;
import "./libraries/AccessControl.sol";
/**
* @title Contract used for storage of important contracts for the liquidity pool
*/
contract Protocol is AccessControl {
////////////////////////
/// static variables ///
////////////////////////
address public immutable optionRegistry;
/////////////////////////////////////
/// governance settable variables ///
/////////////////////////////////////
address public volatilityFeed;
address public portfolioValuesFeed;
address public accounting;
address public priceFeed;
constructor(
address _optionRegistry,
address _priceFeed,
address _volatilityFeed,
address _portfolioValuesFeed,
address _authority
) AccessControl(IAuthority(_authority)) {
optionRegistry = _optionRegistry;
priceFeed = _priceFeed;
volatilityFeed = _volatilityFeed;
portfolioValuesFeed = _portfolioValuesFeed;
}
///////////////
/// setters ///
///////////////
function changeVolatilityFeed(address _volFeed) external {
_onlyGovernor();
volatilityFeed = _volFeed;
}
function changePortfolioValuesFeed(address _portfolioValuesFeed) external {
_onlyGovernor();
portfolioValuesFeed = _portfolioValuesFeed;
}
function changeAccounting(address _accounting) external {
_onlyGovernor();
accounting= _accounting;
}
function changePriceFeed(address _priceFeed) external {
_onlyGovernor();
priceFeed = _priceFeed;
}
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.0;
import "prb-math/contracts/PRBMathSD59x18.sol";
import "prb-math/contracts/PRBMathUD60x18.sol";
import { NormalDist } from "./NormalDist.sol";
/**
* @title Library used to calculate an option price using Black Scholes
*/
library BlackScholes {
using PRBMathSD59x18 for int256;
using PRBMathSD59x18 for int8;
using PRBMathUD60x18 for uint256;
uint256 private constant ONE_YEAR_SECONDS = 31557600;
uint256 private constant ONE = 1000000000000000000;
uint256 private constant TWO = 2000000000000000000;
struct Intermediates {
uint256 d1Denominator;
int256 d1;
int256 eToNegRT;
}
function callOptionPrice(
int256 d1,
int256 d1Denominator,
int256 price,
int256 strike,
int256 eToNegRT
) public pure returns (uint256) {
int256 d2 = d1 - d1Denominator;
int256 cdfD1 = NormalDist.cdf(d1);
int256 cdfD2 = NormalDist.cdf(d2);
int256 priceCdf = price.mul(cdfD1);
int256 strikeBy = strike.mul(eToNegRT).mul(cdfD2);
assert(priceCdf >= strikeBy);
return uint256(priceCdf - strikeBy);
}
function callOptionPriceGreeks(
int256 d1,
int256 d1Denominator,
int256 price,
int256 strike,
int256 eToNegRT
) public pure returns (uint256 quote, int256 delta) {
int256 d2 = d1 - d1Denominator;
int256 cdfD1 = NormalDist.cdf(d1);
int256 cdfD2 = NormalDist.cdf(d2);
int256 priceCdf = price.mul(cdfD1);
int256 strikeBy = strike.mul(eToNegRT).mul(cdfD2);
assert(priceCdf >= strikeBy);
quote = uint256(priceCdf - strikeBy);
delta = cdfD1;
}
function putOptionPriceGreeks(
int256 d1,
int256 d1Denominator,
int256 price,
int256 strike,
int256 eToNegRT
) public pure returns (uint256 quote, int256 delta) {
int256 d2 = d1Denominator - d1;
int256 cdfD1 = NormalDist.cdf(-d1);
int256 cdfD2 = NormalDist.cdf(d2);
int256 priceCdf = price.mul(cdfD1);
int256 strikeBy = strike.mul(eToNegRT).mul(cdfD2);
assert(strikeBy >= priceCdf);
quote = uint256(strikeBy - priceCdf);
delta = -cdfD1;
}
function putOptionPrice(
int256 d1,
int256 d1Denominator,
int256 price,
int256 strike,
int256 eToNegRT
) public pure returns (uint256) {
int256 d2 = d1Denominator - d1;
int256 cdfD1 = NormalDist.cdf(-d1);
int256 cdfD2 = NormalDist.cdf(d2);
int256 priceCdf = price.mul(cdfD1);
int256 strikeBy = strike.mul(eToNegRT).mul(cdfD2);
assert(strikeBy >= priceCdf);
return uint256(strikeBy - priceCdf);
}
function getTimeStamp() private view returns (uint256) {
return block.timestamp;
}
function getD1(
uint256 price,
uint256 strike,
uint256 time,
uint256 vol,
uint256 rfr
) private pure returns (int256 d1, uint256 d1Denominator) {
uint256 d1Right = (vol.mul(vol).div(TWO) + rfr).mul(time);
int256 d1Left = int256(price.div(strike)).ln();
int256 d1Numerator = d1Left + int256(d1Right);
d1Denominator = vol.mul(time.sqrt());
d1 = d1Numerator.div(int256(d1Denominator));
}
function getIntermediates(
uint256 price,
uint256 strike,
uint256 time,
uint256 vol,
uint256 rfr
) private pure returns (Intermediates memory) {
(int256 d1, uint256 d1Denominator) = getD1(price, strike, time, vol, rfr);
return
Intermediates({
d1Denominator: d1Denominator,
d1: d1,
eToNegRT: (int256(rfr).mul(int256(time)).mul(-int256(ONE))).exp()
});
}
function blackScholesCalc(
uint256 price,
uint256 strike,
uint256 expiration,
uint256 vol,
uint256 rfr,
bool isPut
) public view returns (uint256) {
uint256 time = (expiration - getTimeStamp()).div(ONE_YEAR_SECONDS);
Intermediates memory i = getIntermediates(price, strike, time, vol, rfr);
if (!isPut) {
return
callOptionPrice(
int256(i.d1),
int256(i.d1Denominator),
int256(price),
int256(strike),
i.eToNegRT
);
} else {
return
putOptionPrice(
int256(i.d1),
int256(i.d1Denominator),
int256(price),
int256(strike),
i.eToNegRT
);
}
}
function blackScholesCalcGreeks(
uint256 price,
uint256 strike,
uint256 expiration,
uint256 vol,
uint256 rfr,
bool isPut
) public view returns (uint256 quote, int256 delta) {
uint256 time = (expiration - getTimeStamp()).div(ONE_YEAR_SECONDS);
Intermediates memory i = getIntermediates(price, strike, time, vol, rfr);
if (!isPut) {
return
callOptionPriceGreeks(
int256(i.d1),
int256(i.d1Denominator),
int256(price),
int256(strike),
i.eToNegRT
);
} else {
return
putOptionPriceGreeks(
int256(i.d1),
int256(i.d1Denominator),
int256(price),
int256(strike),
i.eToNegRT
);
}
}
function getDelta(
uint256 price,
uint256 strike,
uint256 expiration,
uint256 vol,
uint256 rfr,
bool isPut
) public view returns (int256) {
uint256 time = (expiration - getTimeStamp()).div(ONE_YEAR_SECONDS);
(int256 d1, ) = getD1(price, strike, time, vol, rfr);
if (!isPut) {
return NormalDist.cdf(d1);
} else {
return -NormalDist.cdf(-d1);
}
}
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.9;
/**
* @dev Contract module that helps prevent reentrant calls to a function.
*
* Inheriting from `ReentrancyGuard` will make the {nonReentrant} modifier
* available, which can be applied to functions to make sure there are no nested
* (reentrant) calls to them.
*
* Note that because there is a single `nonReentrant` guard, functions marked as
* `nonReentrant` may not call one another. This can be worked around by making
* those functions `private`, and then adding `external` `nonReentrant` entry
* points to them.
*
* TIP: If you would like to learn more about reentrancy and alternative ways
* to protect against it, check out our blog post
* https://blog.openzeppelin.com/reentrancy-after-istanbul/[Reentrancy After Istanbul].
*/
contract ReentrancyGuard {
// Booleans are more expensive than uint256 or any type that takes up a full
// word because each write operation emits an extra SLOAD to first read the
// slot's contents, replace the bits taken up by the boolean, and then write
// back. This is the compiler's defense against contract upgrades and
// pointer aliasing, and it cannot be disabled.
// The values being non-zero value makes deployment a bit more expensive,
// but in exchange the refund on every call to nonReentrant will be lower in
// amount. Since refunds are capped to a percentage of the total
// transaction's gas, it is best to keep them low in cases like this one, to
// increase the likelihood of the full refund coming into effect.
uint256 private constant _NOT_ENTERED = 1;
uint256 private constant _ENTERED = 2;
uint256 private _status;
constructor() {
_status = _NOT_ENTERED;
}
/**
* @dev Prevents a contract from calling itself, directly or indirectly.
* Calling a `nonReentrant` function from another `nonReentrant`
* function is not supported. It is possible to prevent this from happening
* by making the `nonReentrant` function external, and make it call a
* `private` function that does the actual work.
*/
modifier nonReentrant() {
// On the first call to nonReentrant, _notEntered will be true
require(_status != _ENTERED, "ReentrancyGuard: reentrant call");
// Any calls to nonReentrant after this point will fail
_status = _ENTERED;
_;
// By storing the original value once again, a refund is triggered (see
// https://eips.ethereum.org/EIPS/eip-2200)
_status = _NOT_ENTERED;
}
}// SPDX-License-Identifier: UNLICENSED
pragma solidity >=0.8.9;
/// @title Accounting contract to calculate the dhv token value and handle deposit/withdraw mechanics
interface IAccounting {
struct DepositReceipt {
uint128 epoch;
uint128 amount; // collateral decimals
uint256 unredeemedShares; // e18
}
struct WithdrawalReceipt {
uint128 epoch;
uint128 shares; // e18
}
/**
* @notice logic for adding liquidity to the options liquidity pool
* @param depositor the address making the deposit
* @param _amount amount of the collateral asset to deposit
* @return depositAmount the amount to deposit from the round
* @return unredeemedShares number of shares held in the deposit receipt that havent been redeemed
*/
function deposit(address depositor, uint256 _amount)
external
returns (uint256 depositAmount, uint256 unredeemedShares);
/**
* @notice logic for allowing a user to redeem their shares from a previous epoch
* @param redeemer the address making the deposit
* @param shares amount of the collateral asset to deposit
* @return toRedeem the amount to actually redeem
* @return depositReceipt the updated deposit receipt after the redeem has completed
*/
function redeem(address redeemer, uint256 shares)
external
returns (uint256 toRedeem, DepositReceipt memory depositReceipt);
/**
* @notice logic for accounting a user to initiate a withdraw request from the pool
* @param withdrawer the address carrying out the withdrawal
* @param shares the amount of shares to withdraw for
* @return withdrawalReceipt the new withdrawal receipt to pass to the liquidityPool
*/
function initiateWithdraw(address withdrawer, uint256 shares)
external
returns (WithdrawalReceipt memory withdrawalReceipt);
/**
* @notice logic for accounting a user to complete a withdrawal
* @param withdrawer the address carrying out the withdrawal
* @return withdrawalAmount the amount of collateral to withdraw
* @return withdrawalShares the number of shares to withdraw
* @return withdrawalReceipt the new withdrawal receipt to pass to the liquidityPool
*/
function completeWithdraw(address withdrawer)
external
returns (
uint256 withdrawalAmount,
uint256 withdrawalShares,
WithdrawalReceipt memory withdrawalReceipt
);
/**
* @notice execute the next epoch
* @param totalSupply the total number of share tokens
* @param assets the amount of collateral assets
* @param liabilities the amount of liabilities of the pool
* @return newPricePerShareDeposit the price per share for deposits
* @return newPricePerShareWithdrawal the price per share for withdrawals
* @return sharesToMint the number of shares to mint this epoch
* @return totalWithdrawAmount the amount of collateral to set aside for partitioning
* @return amountNeeded the amount needed to reach the total withdraw amount if collateral balance of lp is insufficient
*/
function executeEpochCalculation(
uint256 totalSupply,
uint256 assets,
int256 liabilities
)
external
view
returns (
uint256 newPricePerShareDeposit,
uint256 newPricePerShareWithdrawal,
uint256 sharesToMint,
uint256 totalWithdrawAmount,
uint256 amountNeeded
);
/**
* @notice get the number of shares for a given amount
* @param _amount the amount to convert to shares - assumed in collateral decimals
* @param assetPerShare the amount of assets received per share
* @return shares the number of shares based on the amount - assumed in e18
*/
function sharesForAmount(uint256 _amount, uint256 assetPerShare)
external
view
returns (uint256 shares);
}// SPDX-License-Identifier: UNLICENSED
pragma solidity >=0.8.9;
/// @title Reactors to hedge delta using means outside of the option pricing skew.
interface IHedgingReactor {
/// @notice Execute a strategy to hedge delta exposure
/// @param delta The exposure of the liquidity pool that the reactor needs to hedge against
/// @return deltaChange The difference in delta exposure as a result of strategy execution
function hedgeDelta(int256 delta) external returns (int256);
/// @notice Returns the delta exposure of the reactor
function getDelta() external view returns (int256 delta);
/// @notice Returns the value of the reactor denominated in the liquidity pool asset
/// @return value the value of the reactor in the liquidity pool asset
function getPoolDenominatedValue() external view returns (uint256 value);
/// @notice Withdraw a given asset from the hedging reactor to the calling liquidity pool.
/// @param amount The amount to withdraw
/// @return the amount actually withdrawn from the reactor denominated in the liquidity pool asset
function withdraw(uint256 amount) external returns (uint256);
/// @notice Handle events such as collateralisation rebalancing
function update() external returns (uint256);
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.9;
import "./libraries/AccessControl.sol";
import "./libraries/CustomErrors.sol";
import "./libraries/SABR.sol";
import "prb-math/contracts/PRBMathSD59x18.sol";
import "prb-math/contracts/PRBMathUD60x18.sol";
/**
* @title Contract used as the Dynamic Hedging Vault for storing funds, issuing shares and processing options transactions
* @dev Interacts with liquidity pool to feed in volatility data.
*/
contract VolatilityFeed is AccessControl {
using PRBMathSD59x18 for int256;
using PRBMathUD60x18 for uint256;
//////////////////////////
/// settable variables ///
//////////////////////////
// Parameters for the sabr volatility model
mapping(uint256 => SABRParams) public sabrParams;
// keeper mapping
mapping(address => bool) public keeper;
// expiry array
uint256[] public expiries;
//////////////////////////
/// constant variables ///
//////////////////////////
// number of seconds in a year used for calculations
int256 private constant ONE_YEAR_SECONDS = 31557600;
int256 private constant BIPS_SCALE = 1e12;
int256 private constant BIPS = 1e6;
struct SABRParams {
int32 callAlpha; // not bigger or less than an int32 and above 0
int32 callBeta; // greater than 0 and less than or equal to 1
int32 callRho; // between 1 and -1
int32 callVolvol; // not bigger or less than an int32 and above 0
int32 putAlpha;
int32 putBeta;
int32 putRho;
int32 putVolvol;
}
constructor(address _authority) AccessControl(IAuthority(_authority)) {}
///////////////
/// setters ///
///////////////
error AlphaError();
error BetaError();
error RhoError();
error VolvolError();
event SabrParamsSet(
uint256 indexed _expiry,
int32 callAlpha,
int32 callBeta,
int32 callRho,
int32 callVolvol,
int32 putAlpha,
int32 putBeta,
int32 putRho,
int32 putVolvol
);
/**
* @notice set the sabr volatility params
* @param _sabrParams set the SABR parameters
* @param _expiry the expiry that the SABR parameters represent
* @dev only keepers can call this function
*/
function setSabrParameters(SABRParams memory _sabrParams, uint256 _expiry) external {
_isKeeper();
if (_sabrParams.callAlpha <= 0 || _sabrParams.putAlpha <= 0) {
revert AlphaError();
}
if (_sabrParams.callVolvol <= 0 || _sabrParams.putVolvol <= 0) {
revert VolvolError();
}
if (
_sabrParams.callBeta <= 0 ||
_sabrParams.callBeta > BIPS ||
_sabrParams.putBeta <= 0 ||
_sabrParams.putBeta > BIPS
) {
revert BetaError();
}
if (
_sabrParams.callRho <= -BIPS ||
_sabrParams.callRho >= BIPS ||
_sabrParams.putRho <= -BIPS ||
_sabrParams.putRho >= BIPS
) {
revert RhoError();
}
// if the expiry is not already a registered expiry then add it to the expiry list
if(sabrParams[_expiry].callAlpha == 0) {
expiries.push(_expiry);
}
sabrParams[_expiry] = _sabrParams;
emit SabrParamsSet(
_expiry,
_sabrParams.callAlpha,
_sabrParams.callBeta,
_sabrParams.callRho,
_sabrParams.callVolvol,
_sabrParams.putAlpha,
_sabrParams.putBeta,
_sabrParams.putRho,
_sabrParams.putVolvol
);
}
/// @notice update the keepers
function setKeeper(address _keeper, bool _auth) external {
_onlyGovernor();
keeper[_keeper] = _auth;
}
///////////////////////
/// complex getters ///
///////////////////////
/**
* @notice get the current implied volatility from the feed
* @param isPut Is the option a call or put?
* @param underlyingPrice The underlying price
* @param strikePrice The strike price of the option
* @param expiration expiration timestamp of option as a PRBMath Float
* @return Implied volatility adjusted for volatility surface
*/
function getImpliedVolatility(
bool isPut,
uint256 underlyingPrice,
uint256 strikePrice,
uint256 expiration
) external view returns (uint256) {
int256 time = (int256(expiration) - int256(block.timestamp)).div(ONE_YEAR_SECONDS);
int256 vol;
SABRParams memory sabrParams_ = sabrParams[expiration];
if (sabrParams_.callAlpha == 0) {
revert CustomErrors.IVNotFound();
}
if (!isPut) {
vol = SABR.lognormalVol(
int256(strikePrice),
int256(underlyingPrice),
time,
sabrParams_.callAlpha * BIPS_SCALE,
sabrParams_.callBeta * BIPS_SCALE,
sabrParams_.callRho * BIPS_SCALE,
sabrParams_.callVolvol * BIPS_SCALE
);
} else {
vol = SABR.lognormalVol(
int256(strikePrice),
int256(underlyingPrice),
time,
sabrParams_.putAlpha * BIPS_SCALE,
sabrParams_.putBeta * BIPS_SCALE,
sabrParams_.putRho * BIPS_SCALE,
sabrParams_.putVolvol * BIPS_SCALE
);
}
if (vol <= 0) {
revert CustomErrors.IVNotFound();
}
return uint256(vol);
}
/**
@notice get the expiry array
@return the expiry array
*/
function getExpiries() external view returns (uint256[] memory) {
return expiries;
}
/// @dev keepers, managers or governors can access
function _isKeeper() internal view {
if (
!keeper[msg.sender] && msg.sender != authority.governor() && msg.sender != authority.manager()
) {
revert CustomErrors.NotKeeper();
}
}
}// SPDX-License-Identifier: UNLICENSED
pragma solidity >=0.8.9;
import { Types } from "../libraries/Types.sol";
interface IOptionRegistry {
//////////////////////////////////////////////////////
/// access-controlled state changing functionality ///
//////////////////////////////////////////////////////
/**
* @notice Either retrieves the option token if it already exists, or deploy it
* @param optionSeries option series to issue
* @return the address of the option
*/
function issue(Types.OptionSeries memory optionSeries) external returns (address);
/**
* @notice Open an options contract using collateral from the liquidity pool
* @param _series the address of the option token to be created
* @param amount the amount of options to deploy
* @param collateralAmount the collateral required for the option
* @dev only callable by the liquidityPool
* @return if the transaction succeeded
* @return the amount of collateral taken from the liquidityPool
*/
function open(
address _series,
uint256 amount,
uint256 collateralAmount
) external returns (bool, uint256);
/**
* @notice Close an options contract (oToken) before it has expired
* @param _series the address of the option token to be burnt
* @param amount the amount of options to burn
* @dev only callable by the liquidityPool
* @return if the transaction succeeded
*/
function close(address _series, uint256 amount) external returns (bool, uint256);
/////////////////////////////////////////////
/// external state changing functionality ///
/////////////////////////////////////////////
/**
* @notice Settle an options vault
* @param _series the address of the option token to be burnt
* @return success if the transaction succeeded
* @return collatReturned the amount of collateral returned from the vault
* @return collatLost the amount of collateral used to pay ITM options on vault settle
* @return amountShort number of oTokens that the vault was short
* @dev callable by anyone but returns funds to the liquidityPool
*/
function settle(address _series)
external
returns (
bool success,
uint256 collatReturned,
uint256 collatLost,
uint256 amountShort
);
///////////////////////
/// complex getters ///
///////////////////////
/**
* @notice Send collateral funds for an option to be minted
* @dev series.strike should be scaled by 1e8.
* @param series details of the option series
* @param amount amount of options to mint
* @return amount transferred
*/
function getCollateral(Types.OptionSeries memory series, uint256 amount)
external
view
returns (uint256);
/**
* @notice Retrieves the option token if it exists
* @param underlying is the address of the underlying asset of the option
* @param strikeAsset is the address of the collateral asset of the option
* @param expiration is the expiry timestamp of the option
* @param isPut the type of option
* @param strike is the strike price of the option - 1e18 format
* @param collateral is the address of the asset to collateralize the option with
* @return the address of the option
*/
function getOtoken(
address underlying,
address strikeAsset,
uint256 expiration,
bool isPut,
uint256 strike,
address collateral
) external view returns (address);
///////////////////////////
/// non-complex getters ///
///////////////////////////
function getSeriesInfo(address series) external view returns (Types.OptionSeries memory);
function vaultIds(address series) external view returns (uint256);
function gammaController() external view returns (address);
}// SPDX-License-Identifier: UNLICENSED
pragma solidity 0.8.9;
import "../libraries/Types.sol";
interface IPortfolioValuesFeed {
/////////////////////////////////////////////
/// external state changing functionality ///
/////////////////////////////////////////////
/**
* @notice Creates a Chainlink request to update portfolio values
* data, then multiply by 1000000000000000000 (to remove decimal places from data).
*
* @return requestId - id of the request
*/
function requestPortfolioData(address _underlying, address _strike)
external
returns (bytes32 requestId);
function updateStores(Types.OptionSeries memory _optionSeries, int256 _shortExposure, int256 _longExposure, address _seriesAddress) external;
///////////////////////////
/// non-complex getters ///
///////////////////////////
function getPortfolioValues(address underlying, address strike)
external
view
returns (Types.PortfolioValues memory);
}// SPDX-License-Identifier: MIT
// OpenZeppelin Contracts (last updated v4.7.0) (security/Pausable.sol)
pragma solidity ^0.8.0;
import "../utils/Context.sol";
/**
* @dev Contract module which allows children to implement an emergency stop
* mechanism that can be triggered by an authorized account.
*
* This module is used through inheritance. It will make available the
* modifiers `whenNotPaused` and `whenPaused`, which can be applied to
* the functions of your contract. Note that they will not be pausable by
* simply including this module, only once the modifiers are put in place.
*/
abstract contract Pausable is Context {
/**
* @dev Emitted when the pause is triggered by `account`.
*/
event Paused(address account);
/**
* @dev Emitted when the pause is lifted by `account`.
*/
event Unpaused(address account);
bool private _paused;
/**
* @dev Initializes the contract in unpaused state.
*/
constructor() {
_paused = false;
}
/**
* @dev Modifier to make a function callable only when the contract is not paused.
*
* Requirements:
*
* - The contract must not be paused.
*/
modifier whenNotPaused() {
_requireNotPaused();
_;
}
/**
* @dev Modifier to make a function callable only when the contract is paused.
*
* Requirements:
*
* - The contract must be paused.
*/
modifier whenPaused() {
_requirePaused();
_;
}
/**
* @dev Returns true if the contract is paused, and false otherwise.
*/
function paused() public view virtual returns (bool) {
return _paused;
}
/**
* @dev Throws if the contract is paused.
*/
function _requireNotPaused() internal view virtual {
require(!paused(), "Pausable: paused");
}
/**
* @dev Throws if the contract is not paused.
*/
function _requirePaused() internal view virtual {
require(paused(), "Pausable: not paused");
}
/**
* @dev Triggers stopped state.
*
* Requirements:
*
* - The contract must not be paused.
*/
function _pause() internal virtual whenNotPaused {
_paused = true;
emit Paused(_msgSender());
}
/**
* @dev Returns to normal state.
*
* Requirements:
*
* - The contract must be paused.
*/
function _unpause() internal virtual whenPaused {
_paused = false;
emit Unpaused(_msgSender());
}
}// SPDX-License-Identifier: UNLICENSED
pragma solidity >=0.6.0;
interface AggregatorV3Interface {
function decimals() external view returns (uint8);
function description() external view returns (string memory);
function version() external view returns (uint256);
// getRoundData and latestRoundData should both raise "No data present"
// if they do not have data to report, instead of returning unset values
// which could be misinterpreted as actual reported values.
function getRoundData(uint80 _roundId)
external
view
returns (
uint80 roundId,
int256 answer,
uint256 startedAt,
uint256 updatedAt,
uint80 answeredInRound
);
function latestRoundData()
external
view
returns (
uint80 roundId,
int256 answer,
uint256 startedAt,
uint256 updatedAt,
uint80 answeredInRound
);
}// SPDX-License-Identifier: AGPL-3.0
pragma solidity >=0.8.0;
interface IAuthority {
/* ========== EVENTS ========== */
event GovernorPushed(address indexed from, address indexed to);
event GuardianPushed(address indexed to);
event ManagerPushed(address indexed from, address indexed to);
event GovernorPulled(address indexed from, address indexed to);
event GuardianRevoked(address indexed to);
event ManagerPulled(address indexed from, address indexed to);
/* ========== VIEW ========== */
function governor() external view returns (address);
function guardian(address _target) external view returns (bool);
function manager() external view returns (address);
}// SPDX-License-Identifier: Unlicense
pragma solidity >=0.8.4;
import "./PRBMath.sol";
/// @title PRBMathUD60x18
/// @author Paul Razvan Berg
/// @notice Smart contract library for advanced fixed-point math that works with uint256 numbers considered to have 18
/// trailing decimals. We call this number representation unsigned 60.18-decimal fixed-point, since there can be up to 60
/// digits in the integer part and up to 18 decimals in the fractional part. The numbers are bound by the minimum and the
/// maximum values permitted by the Solidity type uint256.
library PRBMathUD60x18 {
/// @dev Half the SCALE number.
uint256 internal constant HALF_SCALE = 5e17;
/// @dev log2(e) as an unsigned 60.18-decimal fixed-point number.
uint256 internal constant LOG2_E = 1_442695040888963407;
/// @dev The maximum value an unsigned 60.18-decimal fixed-point number can have.
uint256 internal constant MAX_UD60x18 =
115792089237316195423570985008687907853269984665640564039457_584007913129639935;
/// @dev The maximum whole value an unsigned 60.18-decimal fixed-point number can have.
uint256 internal constant MAX_WHOLE_UD60x18 =
115792089237316195423570985008687907853269984665640564039457_000000000000000000;
/// @dev How many trailing decimals can be represented.
uint256 internal constant SCALE = 1e18;
/// @notice Calculates the arithmetic average of x and y, rounding down.
/// @param x The first operand as an unsigned 60.18-decimal fixed-point number.
/// @param y The second operand as an unsigned 60.18-decimal fixed-point number.
/// @return result The arithmetic average as an unsigned 60.18-decimal fixed-point number.
function avg(uint256 x, uint256 y) internal pure returns (uint256 result) {
// The operations can never overflow.
unchecked {
// The last operand checks if both x and y are odd and if that is the case, we add 1 to the result. We need
// to do this because if both numbers are odd, the 0.5 remainder gets truncated twice.
result = (x >> 1) + (y >> 1) + (x & y & 1);
}
}
/// @notice Yields the least unsigned 60.18 decimal fixed-point number greater than or equal to x.
///
/// @dev Optimized for fractional value inputs, because for every whole value there are (1e18 - 1) fractional counterparts.
/// See https://en.wikipedia.org/wiki/Floor_and_ceiling_functions.
///
/// Requirements:
/// - x must be less than or equal to MAX_WHOLE_UD60x18.
///
/// @param x The unsigned 60.18-decimal fixed-point number to ceil.
/// @param result The least integer greater than or equal to x, as an unsigned 60.18-decimal fixed-point number.
function ceil(uint256 x) internal pure returns (uint256 result) {
if (x > MAX_WHOLE_UD60x18) {
revert PRBMathUD60x18__CeilOverflow(x);
}
assembly {
// Equivalent to "x % SCALE" but faster.
let remainder := mod(x, SCALE)
// Equivalent to "SCALE - remainder" but faster.
let delta := sub(SCALE, remainder)
// Equivalent to "x + delta * (remainder > 0 ? 1 : 0)" but faster.
result := add(x, mul(delta, gt(remainder, 0)))
}
}
/// @notice Divides two unsigned 60.18-decimal fixed-point numbers, returning a new unsigned 60.18-decimal fixed-point number.
///
/// @dev Uses mulDiv to enable overflow-safe multiplication and division.
///
/// Requirements:
/// - The denominator cannot be zero.
///
/// @param x The numerator as an unsigned 60.18-decimal fixed-point number.
/// @param y The denominator as an unsigned 60.18-decimal fixed-point number.
/// @param result The quotient as an unsigned 60.18-decimal fixed-point number.
function div(uint256 x, uint256 y) internal pure returns (uint256 result) {
result = PRBMath.mulDiv(x, SCALE, y);
}
/// @notice Returns Euler's number as an unsigned 60.18-decimal fixed-point number.
/// @dev See https://en.wikipedia.org/wiki/E_(mathematical_constant).
function e() internal pure returns (uint256 result) {
result = 2_718281828459045235;
}
/// @notice Calculates the natural exponent of x.
///
/// @dev Based on the insight that e^x = 2^(x * log2(e)).
///
/// Requirements:
/// - All from "log2".
/// - x must be less than 133.084258667509499441.
///
/// @param x The exponent as an unsigned 60.18-decimal fixed-point number.
/// @return result The result as an unsigned 60.18-decimal fixed-point number.
function exp(uint256 x) internal pure returns (uint256 result) {
// Without this check, the value passed to "exp2" would be greater than 192.
if (x >= 133_084258667509499441) {
revert PRBMathUD60x18__ExpInputTooBig(x);
}
// Do the fixed-point multiplication inline to save gas.
unchecked {
uint256 doubleScaleProduct = x * LOG2_E;
result = exp2((doubleScaleProduct + HALF_SCALE) / SCALE);
}
}
/// @notice Calculates the binary exponent of x using the binary fraction method.
///
/// @dev See https://ethereum.stackexchange.com/q/79903/24693.
///
/// Requirements:
/// - x must be 192 or less.
/// - The result must fit within MAX_UD60x18.
///
/// @param x The exponent as an unsigned 60.18-decimal fixed-point number.
/// @return result The result as an unsigned 60.18-decimal fixed-point number.
function exp2(uint256 x) internal pure returns (uint256 result) {
// 2^192 doesn't fit within the 192.64-bit format used internally in this function.
if (x >= 192e18) {
revert PRBMathUD60x18__Exp2InputTooBig(x);
}
unchecked {
// Convert x to the 192.64-bit fixed-point format.
uint256 x192x64 = (x << 64) / SCALE;
// Pass x to the PRBMath.exp2 function, which uses the 192.64-bit fixed-point number representation.
result = PRBMath.exp2(x192x64);
}
}
/// @notice Yields the greatest unsigned 60.18 decimal fixed-point number less than or equal to x.
/// @dev Optimized for fractional value inputs, because for every whole value there are (1e18 - 1) fractional counterparts.
/// See https://en.wikipedia.org/wiki/Floor_and_ceiling_functions.
/// @param x The unsigned 60.18-decimal fixed-point number to floor.
/// @param result The greatest integer less than or equal to x, as an unsigned 60.18-decimal fixed-point number.
function floor(uint256 x) internal pure returns (uint256 result) {
assembly {
// Equivalent to "x % SCALE" but faster.
let remainder := mod(x, SCALE)
// Equivalent to "x - remainder * (remainder > 0 ? 1 : 0)" but faster.
result := sub(x, mul(remainder, gt(remainder, 0)))
}
}
/// @notice Yields the excess beyond the floor of x.
/// @dev Based on the odd function definition https://en.wikipedia.org/wiki/Fractional_part.
/// @param x The unsigned 60.18-decimal fixed-point number to get the fractional part of.
/// @param result The fractional part of x as an unsigned 60.18-decimal fixed-point number.
function frac(uint256 x) internal pure returns (uint256 result) {
assembly {
result := mod(x, SCALE)
}
}
/// @notice Converts a number from basic integer form to unsigned 60.18-decimal fixed-point representation.
///
/// @dev Requirements:
/// - x must be less than or equal to MAX_UD60x18 divided by SCALE.
///
/// @param x The basic integer to convert.
/// @param result The same number in unsigned 60.18-decimal fixed-point representation.
function fromUint(uint256 x) internal pure returns (uint256 result) {
unchecked {
if (x > MAX_UD60x18 / SCALE) {
revert PRBMathUD60x18__FromUintOverflow(x);
}
result = x * SCALE;
}
}
/// @notice Calculates geometric mean of x and y, i.e. sqrt(x * y), rounding down.
///
/// @dev Requirements:
/// - x * y must fit within MAX_UD60x18, lest it overflows.
///
/// @param x The first operand as an unsigned 60.18-decimal fixed-point number.
/// @param y The second operand as an unsigned 60.18-decimal fixed-point number.
/// @return result The result as an unsigned 60.18-decimal fixed-point number.
function gm(uint256 x, uint256 y) internal pure returns (uint256 result) {
if (x == 0) {
return 0;
}
unchecked {
// Checking for overflow this way is faster than letting Solidity do it.
uint256 xy = x * y;
if (xy / x != y) {
revert PRBMathUD60x18__GmOverflow(x, y);
}
// We don't need to multiply by the SCALE here because the x*y product had already picked up a factor of SCALE
// during multiplication. See the comments within the "sqrt" function.
result = PRBMath.sqrt(xy);
}
}
/// @notice Calculates 1 / x, rounding toward zero.
///
/// @dev Requirements:
/// - x cannot be zero.
///
/// @param x The unsigned 60.18-decimal fixed-point number for which to calculate the inverse.
/// @return result The inverse as an unsigned 60.18-decimal fixed-point number.
function inv(uint256 x) internal pure returns (uint256 result) {
unchecked {
// 1e36 is SCALE * SCALE.
result = 1e36 / x;
}
}
/// @notice Calculates the natural logarithm of x.
///
/// @dev Based on the insight that ln(x) = log2(x) / log2(e).
///
/// Requirements:
/// - All from "log2".
///
/// Caveats:
/// - All from "log2".
/// - This doesn't return exactly 1 for 2.718281828459045235, for that we would need more fine-grained precision.
///
/// @param x The unsigned 60.18-decimal fixed-point number for which to calculate the natural logarithm.
/// @return result The natural logarithm as an unsigned 60.18-decimal fixed-point number.
function ln(uint256 x) internal pure returns (uint256 result) {
// Do the fixed-point multiplication inline to save gas. This is overflow-safe because the maximum value that log2(x)
// can return is 196205294292027477728.
unchecked {
result = (log2(x) * SCALE) / LOG2_E;
}
}
/// @notice Calculates the common logarithm of x.
///
/// @dev First checks if x is an exact power of ten and it stops if yes. If it's not, calculates the common
/// logarithm based on the insight that log10(x) = log2(x) / log2(10).
///
/// Requirements:
/// - All from "log2".
///
/// Caveats:
/// - All from "log2".
///
/// @param x The unsigned 60.18-decimal fixed-point number for which to calculate the common logarithm.
/// @return result The common logarithm as an unsigned 60.18-decimal fixed-point number.
function log10(uint256 x) internal pure returns (uint256 result) {
if (x < SCALE) {
revert PRBMathUD60x18__LogInputTooSmall(x);
}
// Note that the "mul" in this block is the assembly multiplication operation, not the "mul" function defined
// in this contract.
// prettier-ignore
assembly {
switch x
case 1 { result := mul(SCALE, sub(0, 18)) }
case 10 { result := mul(SCALE, sub(1, 18)) }
case 100 { result := mul(SCALE, sub(2, 18)) }
case 1000 { result := mul(SCALE, sub(3, 18)) }
case 10000 { result := mul(SCALE, sub(4, 18)) }
case 100000 { result := mul(SCALE, sub(5, 18)) }
case 1000000 { result := mul(SCALE, sub(6, 18)) }
case 10000000 { result := mul(SCALE, sub(7, 18)) }
case 100000000 { result := mul(SCALE, sub(8, 18)) }
case 1000000000 { result := mul(SCALE, sub(9, 18)) }
case 10000000000 { result := mul(SCALE, sub(10, 18)) }
case 100000000000 { result := mul(SCALE, sub(11, 18)) }
case 1000000000000 { result := mul(SCALE, sub(12, 18)) }
case 10000000000000 { result := mul(SCALE, sub(13, 18)) }
case 100000000000000 { result := mul(SCALE, sub(14, 18)) }
case 1000000000000000 { result := mul(SCALE, sub(15, 18)) }
case 10000000000000000 { result := mul(SCALE, sub(16, 18)) }
case 100000000000000000 { result := mul(SCALE, sub(17, 18)) }
case 1000000000000000000 { result := 0 }
case 10000000000000000000 { result := SCALE }
case 100000000000000000000 { result := mul(SCALE, 2) }
case 1000000000000000000000 { result := mul(SCALE, 3) }
case 10000000000000000000000 { result := mul(SCALE, 4) }
case 100000000000000000000000 { result := mul(SCALE, 5) }
case 1000000000000000000000000 { result := mul(SCALE, 6) }
case 10000000000000000000000000 { result := mul(SCALE, 7) }
case 100000000000000000000000000 { result := mul(SCALE, 8) }
case 1000000000000000000000000000 { result := mul(SCALE, 9) }
case 10000000000000000000000000000 { result := mul(SCALE, 10) }
case 100000000000000000000000000000 { result := mul(SCALE, 11) }
case 1000000000000000000000000000000 { result := mul(SCALE, 12) }
case 10000000000000000000000000000000 { result := mul(SCALE, 13) }
case 100000000000000000000000000000000 { result := mul(SCALE, 14) }
case 1000000000000000000000000000000000 { result := mul(SCALE, 15) }
case 10000000000000000000000000000000000 { result := mul(SCALE, 16) }
case 100000000000000000000000000000000000 { result := mul(SCALE, 17) }
case 1000000000000000000000000000000000000 { result := mul(SCALE, 18) }
case 10000000000000000000000000000000000000 { result := mul(SCALE, 19) }
case 100000000000000000000000000000000000000 { result := mul(SCALE, 20) }
case 1000000000000000000000000000000000000000 { result := mul(SCALE, 21) }
case 10000000000000000000000000000000000000000 { result := mul(SCALE, 22) }
case 100000000000000000000000000000000000000000 { result := mul(SCALE, 23) }
case 1000000000000000000000000000000000000000000 { result := mul(SCALE, 24) }
case 10000000000000000000000000000000000000000000 { result := mul(SCALE, 25) }
case 100000000000000000000000000000000000000000000 { result := mul(SCALE, 26) }
case 1000000000000000000000000000000000000000000000 { result := mul(SCALE, 27) }
case 10000000000000000000000000000000000000000000000 { result := mul(SCALE, 28) }
case 100000000000000000000000000000000000000000000000 { result := mul(SCALE, 29) }
case 1000000000000000000000000000000000000000000000000 { result := mul(SCALE, 30) }
case 10000000000000000000000000000000000000000000000000 { result := mul(SCALE, 31) }
case 100000000000000000000000000000000000000000000000000 { result := mul(SCALE, 32) }
case 1000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 33) }
case 10000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 34) }
case 100000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 35) }
case 1000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 36) }
case 10000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 37) }
case 100000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 38) }
case 1000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 39) }
case 10000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 40) }
case 100000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 41) }
case 1000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 42) }
case 10000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 43) }
case 100000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 44) }
case 1000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 45) }
case 10000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 46) }
case 100000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 47) }
case 1000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 48) }
case 10000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 49) }
case 100000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 50) }
case 1000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 51) }
case 10000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 52) }
case 100000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 53) }
case 1000000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 54) }
case 10000000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 55) }
case 100000000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 56) }
case 1000000000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 57) }
case 10000000000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 58) }
case 100000000000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 59) }
default {
result := MAX_UD60x18
}
}
if (result == MAX_UD60x18) {
// Do the fixed-point division inline to save gas. The denominator is log2(10).
unchecked {
result = (log2(x) * SCALE) / 3_321928094887362347;
}
}
}
/// @notice Calculates the binary logarithm of x.
///
/// @dev Based on the iterative approximation algorithm.
/// https://en.wikipedia.org/wiki/Binary_logarithm#Iterative_approximation
///
/// Requirements:
/// - x must be greater than or equal to SCALE, otherwise the result would be negative.
///
/// Caveats:
/// - The results are nor perfectly accurate to the last decimal, due to the lossy precision of the iterative approximation.
///
/// @param x The unsigned 60.18-decimal fixed-point number for which to calculate the binary logarithm.
/// @return result The binary logarithm as an unsigned 60.18-decimal fixed-point number.
function log2(uint256 x) internal pure returns (uint256 result) {
if (x < SCALE) {
revert PRBMathUD60x18__LogInputTooSmall(x);
}
unchecked {
// Calculate the integer part of the logarithm and add it to the result and finally calculate y = x * 2^(-n).
uint256 n = PRBMath.mostSignificantBit(x / SCALE);
// The integer part of the logarithm as an unsigned 60.18-decimal fixed-point number. The operation can't overflow
// because n is maximum 255 and SCALE is 1e18.
result = n * SCALE;
// This is y = x * 2^(-n).
uint256 y = x >> n;
// If y = 1, the fractional part is zero.
if (y == SCALE) {
return result;
}
// Calculate the fractional part via the iterative approximation.
// The "delta >>= 1" part is equivalent to "delta /= 2", but shifting bits is faster.
for (uint256 delta = HALF_SCALE; delta > 0; delta >>= 1) {
y = (y * y) / SCALE;
// Is y^2 > 2 and so in the range [2,4)?
if (y >= 2 * SCALE) {
// Add the 2^(-m) factor to the logarithm.
result += delta;
// Corresponds to z/2 on Wikipedia.
y >>= 1;
}
}
}
}
/// @notice Multiplies two unsigned 60.18-decimal fixed-point numbers together, returning a new unsigned 60.18-decimal
/// fixed-point number.
/// @dev See the documentation for the "PRBMath.mulDivFixedPoint" function.
/// @param x The multiplicand as an unsigned 60.18-decimal fixed-point number.
/// @param y The multiplier as an unsigned 60.18-decimal fixed-point number.
/// @return result The product as an unsigned 60.18-decimal fixed-point number.
function mul(uint256 x, uint256 y) internal pure returns (uint256 result) {
result = PRBMath.mulDivFixedPoint(x, y);
}
/// @notice Returns PI as an unsigned 60.18-decimal fixed-point number.
function pi() internal pure returns (uint256 result) {
result = 3_141592653589793238;
}
/// @notice Raises x to the power of y.
///
/// @dev Based on the insight that x^y = 2^(log2(x) * y).
///
/// Requirements:
/// - All from "exp2", "log2" and "mul".
///
/// Caveats:
/// - All from "exp2", "log2" and "mul".
/// - Assumes 0^0 is 1.
///
/// @param x Number to raise to given power y, as an unsigned 60.18-decimal fixed-point number.
/// @param y Exponent to raise x to, as an unsigned 60.18-decimal fixed-point number.
/// @return result x raised to power y, as an unsigned 60.18-decimal fixed-point number.
function pow(uint256 x, uint256 y) internal pure returns (uint256 result) {
if (x == 0) {
result = y == 0 ? SCALE : uint256(0);
} else {
result = exp2(mul(log2(x), y));
}
}
/// @notice Raises x (unsigned 60.18-decimal fixed-point number) to the power of y (basic unsigned integer) using the
/// famous algorithm "exponentiation by squaring".
///
/// @dev See https://en.wikipedia.org/wiki/Exponentiation_by_squaring
///
/// Requirements:
/// - The result must fit within MAX_UD60x18.
///
/// Caveats:
/// - All from "mul".
/// - Assumes 0^0 is 1.
///
/// @param x The base as an unsigned 60.18-decimal fixed-point number.
/// @param y The exponent as an uint256.
/// @return result The result as an unsigned 60.18-decimal fixed-point number.
function powu(uint256 x, uint256 y) internal pure returns (uint256 result) {
// Calculate the first iteration of the loop in advance.
result = y & 1 > 0 ? x : SCALE;
// Equivalent to "for(y /= 2; y > 0; y /= 2)" but faster.
for (y >>= 1; y > 0; y >>= 1) {
x = PRBMath.mulDivFixedPoint(x, x);
// Equivalent to "y % 2 == 1" but faster.
if (y & 1 > 0) {
result = PRBMath.mulDivFixedPoint(result, x);
}
}
}
/// @notice Returns 1 as an unsigned 60.18-decimal fixed-point number.
function scale() internal pure returns (uint256 result) {
result = SCALE;
}
/// @notice Calculates the square root of x, rounding down.
/// @dev Uses the Babylonian method https://en.wikipedia.org/wiki/Methods_of_computing_square_roots#Babylonian_method.
///
/// Requirements:
/// - x must be less than MAX_UD60x18 / SCALE.
///
/// @param x The unsigned 60.18-decimal fixed-point number for which to calculate the square root.
/// @return result The result as an unsigned 60.18-decimal fixed-point .
function sqrt(uint256 x) internal pure returns (uint256 result) {
unchecked {
if (x > MAX_UD60x18 / SCALE) {
revert PRBMathUD60x18__SqrtOverflow(x);
}
// Multiply x by the SCALE to account for the factor of SCALE that is picked up when multiplying two unsigned
// 60.18-decimal fixed-point numbers together (in this case, those two numbers are both the square root).
result = PRBMath.sqrt(x * SCALE);
}
}
/// @notice Converts a unsigned 60.18-decimal fixed-point number to basic integer form, rounding down in the process.
/// @param x The unsigned 60.18-decimal fixed-point number to convert.
/// @return result The same number in basic integer form.
function toUint(uint256 x) internal pure returns (uint256 result) {
unchecked {
result = x / SCALE;
}
}
}// SPDX-License-Identifier: Unlicense
pragma solidity >=0.8.4;
import "./PRBMath.sol";
/// @title PRBMathSD59x18
/// @author Paul Razvan Berg
/// @notice Smart contract library for advanced fixed-point math that works with int256 numbers considered to have 18
/// trailing decimals. We call this number representation signed 59.18-decimal fixed-point, since the numbers can have
/// a sign and there can be up to 59 digits in the integer part and up to 18 decimals in the fractional part. The numbers
/// are bound by the minimum and the maximum values permitted by the Solidity type int256.
library PRBMathSD59x18 {
/// @dev log2(e) as a signed 59.18-decimal fixed-point number.
int256 internal constant LOG2_E = 1_442695040888963407;
/// @dev Half the SCALE number.
int256 internal constant HALF_SCALE = 5e17;
/// @dev The maximum value a signed 59.18-decimal fixed-point number can have.
int256 internal constant MAX_SD59x18 =
57896044618658097711785492504343953926634992332820282019728_792003956564819967;
/// @dev The maximum whole value a signed 59.18-decimal fixed-point number can have.
int256 internal constant MAX_WHOLE_SD59x18 =
57896044618658097711785492504343953926634992332820282019728_000000000000000000;
/// @dev The minimum value a signed 59.18-decimal fixed-point number can have.
int256 internal constant MIN_SD59x18 =
-57896044618658097711785492504343953926634992332820282019728_792003956564819968;
/// @dev The minimum whole value a signed 59.18-decimal fixed-point number can have.
int256 internal constant MIN_WHOLE_SD59x18 =
-57896044618658097711785492504343953926634992332820282019728_000000000000000000;
/// @dev How many trailing decimals can be represented.
int256 internal constant SCALE = 1e18;
/// INTERNAL FUNCTIONS ///
/// @notice Calculate the absolute value of x.
///
/// @dev Requirements:
/// - x must be greater than MIN_SD59x18.
///
/// @param x The number to calculate the absolute value for.
/// @param result The absolute value of x.
function abs(int256 x) internal pure returns (int256 result) {
unchecked {
if (x == MIN_SD59x18) {
revert PRBMathSD59x18__AbsInputTooSmall();
}
result = x < 0 ? -x : x;
}
}
/// @notice Calculates the arithmetic average of x and y, rounding down.
/// @param x The first operand as a signed 59.18-decimal fixed-point number.
/// @param y The second operand as a signed 59.18-decimal fixed-point number.
/// @return result The arithmetic average as a signed 59.18-decimal fixed-point number.
function avg(int256 x, int256 y) internal pure returns (int256 result) {
// The operations can never overflow.
unchecked {
int256 sum = (x >> 1) + (y >> 1);
if (sum < 0) {
// If at least one of x and y is odd, we add 1 to the result. This is because shifting negative numbers to the
// right rounds down to infinity.
assembly {
result := add(sum, and(or(x, y), 1))
}
} else {
// If both x and y are odd, we add 1 to the result. This is because if both numbers are odd, the 0.5
// remainder gets truncated twice.
result = sum + (x & y & 1);
}
}
}
/// @notice Yields the least greatest signed 59.18 decimal fixed-point number greater than or equal to x.
///
/// @dev Optimized for fractional value inputs, because for every whole value there are (1e18 - 1) fractional counterparts.
/// See https://en.wikipedia.org/wiki/Floor_and_ceiling_functions.
///
/// Requirements:
/// - x must be less than or equal to MAX_WHOLE_SD59x18.
///
/// @param x The signed 59.18-decimal fixed-point number to ceil.
/// @param result The least integer greater than or equal to x, as a signed 58.18-decimal fixed-point number.
function ceil(int256 x) internal pure returns (int256 result) {
if (x > MAX_WHOLE_SD59x18) {
revert PRBMathSD59x18__CeilOverflow(x);
}
unchecked {
int256 remainder = x % SCALE;
if (remainder == 0) {
result = x;
} else {
// Solidity uses C fmod style, which returns a modulus with the same sign as x.
result = x - remainder;
if (x > 0) {
result += SCALE;
}
}
}
}
/// @notice Divides two signed 59.18-decimal fixed-point numbers, returning a new signed 59.18-decimal fixed-point number.
///
/// @dev Variant of "mulDiv" that works with signed numbers. Works by computing the signs and the absolute values separately.
///
/// Requirements:
/// - All from "PRBMath.mulDiv".
/// - None of the inputs can be MIN_SD59x18.
/// - The denominator cannot be zero.
/// - The result must fit within int256.
///
/// Caveats:
/// - All from "PRBMath.mulDiv".
///
/// @param x The numerator as a signed 59.18-decimal fixed-point number.
/// @param y The denominator as a signed 59.18-decimal fixed-point number.
/// @param result The quotient as a signed 59.18-decimal fixed-point number.
function div(int256 x, int256 y) internal pure returns (int256 result) {
if (x == MIN_SD59x18 || y == MIN_SD59x18) {
revert PRBMathSD59x18__DivInputTooSmall();
}
// Get hold of the absolute values of x and y.
uint256 ax;
uint256 ay;
unchecked {
ax = x < 0 ? uint256(-x) : uint256(x);
ay = y < 0 ? uint256(-y) : uint256(y);
}
// Compute the absolute value of (x*SCALE)÷y. The result must fit within int256.
uint256 rAbs = PRBMath.mulDiv(ax, uint256(SCALE), ay);
if (rAbs > uint256(MAX_SD59x18)) {
revert PRBMathSD59x18__DivOverflow(rAbs);
}
// Get the signs of x and y.
uint256 sx;
uint256 sy;
assembly {
sx := sgt(x, sub(0, 1))
sy := sgt(y, sub(0, 1))
}
// XOR over sx and sy. This is basically checking whether the inputs have the same sign. If yes, the result
// should be positive. Otherwise, it should be negative.
result = sx ^ sy == 1 ? -int256(rAbs) : int256(rAbs);
}
/// @notice Returns Euler's number as a signed 59.18-decimal fixed-point number.
/// @dev See https://en.wikipedia.org/wiki/E_(mathematical_constant).
function e() internal pure returns (int256 result) {
result = 2_718281828459045235;
}
/// @notice Calculates the natural exponent of x.
///
/// @dev Based on the insight that e^x = 2^(x * log2(e)).
///
/// Requirements:
/// - All from "log2".
/// - x must be less than 133.084258667509499441.
///
/// Caveats:
/// - All from "exp2".
/// - For any x less than -41.446531673892822322, the result is zero.
///
/// @param x The exponent as a signed 59.18-decimal fixed-point number.
/// @return result The result as a signed 59.18-decimal fixed-point number.
function exp(int256 x) internal pure returns (int256 result) {
// Without this check, the value passed to "exp2" would be less than -59.794705707972522261.
if (x < -41_446531673892822322) {
return 0;
}
// Without this check, the value passed to "exp2" would be greater than 192.
if (x >= 133_084258667509499441) {
revert PRBMathSD59x18__ExpInputTooBig(x);
}
// Do the fixed-point multiplication inline to save gas.
unchecked {
int256 doubleScaleProduct = x * LOG2_E;
result = exp2((doubleScaleProduct + HALF_SCALE) / SCALE);
}
}
/// @notice Calculates the binary exponent of x using the binary fraction method.
///
/// @dev See https://ethereum.stackexchange.com/q/79903/24693.
///
/// Requirements:
/// - x must be 192 or less.
/// - The result must fit within MAX_SD59x18.
///
/// Caveats:
/// - For any x less than -59.794705707972522261, the result is zero.
///
/// @param x The exponent as a signed 59.18-decimal fixed-point number.
/// @return result The result as a signed 59.18-decimal fixed-point number.
function exp2(int256 x) internal pure returns (int256 result) {
// This works because 2^(-x) = 1/2^x.
if (x < 0) {
// 2^59.794705707972522262 is the maximum number whose inverse does not truncate down to zero.
if (x < -59_794705707972522261) {
return 0;
}
// Do the fixed-point inversion inline to save gas. The numerator is SCALE * SCALE.
unchecked {
result = 1e36 / exp2(-x);
}
} else {
// 2^192 doesn't fit within the 192.64-bit format used internally in this function.
if (x >= 192e18) {
revert PRBMathSD59x18__Exp2InputTooBig(x);
}
unchecked {
// Convert x to the 192.64-bit fixed-point format.
uint256 x192x64 = (uint256(x) << 64) / uint256(SCALE);
// Safe to convert the result to int256 directly because the maximum input allowed is 192.
result = int256(PRBMath.exp2(x192x64));
}
}
}
/// @notice Yields the greatest signed 59.18 decimal fixed-point number less than or equal to x.
///
/// @dev Optimized for fractional value inputs, because for every whole value there are (1e18 - 1) fractional counterparts.
/// See https://en.wikipedia.org/wiki/Floor_and_ceiling_functions.
///
/// Requirements:
/// - x must be greater than or equal to MIN_WHOLE_SD59x18.
///
/// @param x The signed 59.18-decimal fixed-point number to floor.
/// @param result The greatest integer less than or equal to x, as a signed 58.18-decimal fixed-point number.
function floor(int256 x) internal pure returns (int256 result) {
if (x < MIN_WHOLE_SD59x18) {
revert PRBMathSD59x18__FloorUnderflow(x);
}
unchecked {
int256 remainder = x % SCALE;
if (remainder == 0) {
result = x;
} else {
// Solidity uses C fmod style, which returns a modulus with the same sign as x.
result = x - remainder;
if (x < 0) {
result -= SCALE;
}
}
}
}
/// @notice Yields the excess beyond the floor of x for positive numbers and the part of the number to the right
/// of the radix point for negative numbers.
/// @dev Based on the odd function definition. https://en.wikipedia.org/wiki/Fractional_part
/// @param x The signed 59.18-decimal fixed-point number to get the fractional part of.
/// @param result The fractional part of x as a signed 59.18-decimal fixed-point number.
function frac(int256 x) internal pure returns (int256 result) {
unchecked {
result = x % SCALE;
}
}
/// @notice Converts a number from basic integer form to signed 59.18-decimal fixed-point representation.
///
/// @dev Requirements:
/// - x must be greater than or equal to MIN_SD59x18 divided by SCALE.
/// - x must be less than or equal to MAX_SD59x18 divided by SCALE.
///
/// @param x The basic integer to convert.
/// @param result The same number in signed 59.18-decimal fixed-point representation.
function fromInt(int256 x) internal pure returns (int256 result) {
unchecked {
if (x < MIN_SD59x18 / SCALE) {
revert PRBMathSD59x18__FromIntUnderflow(x);
}
if (x > MAX_SD59x18 / SCALE) {
revert PRBMathSD59x18__FromIntOverflow(x);
}
result = x * SCALE;
}
}
/// @notice Calculates geometric mean of x and y, i.e. sqrt(x * y), rounding down.
///
/// @dev Requirements:
/// - x * y must fit within MAX_SD59x18, lest it overflows.
/// - x * y cannot be negative.
///
/// @param x The first operand as a signed 59.18-decimal fixed-point number.
/// @param y The second operand as a signed 59.18-decimal fixed-point number.
/// @return result The result as a signed 59.18-decimal fixed-point number.
function gm(int256 x, int256 y) internal pure returns (int256 result) {
if (x == 0) {
return 0;
}
unchecked {
// Checking for overflow this way is faster than letting Solidity do it.
int256 xy = x * y;
if (xy / x != y) {
revert PRBMathSD59x18__GmOverflow(x, y);
}
// The product cannot be negative.
if (xy < 0) {
revert PRBMathSD59x18__GmNegativeProduct(x, y);
}
// We don't need to multiply by the SCALE here because the x*y product had already picked up a factor of SCALE
// during multiplication. See the comments within the "sqrt" function.
result = int256(PRBMath.sqrt(uint256(xy)));
}
}
/// @notice Calculates 1 / x, rounding toward zero.
///
/// @dev Requirements:
/// - x cannot be zero.
///
/// @param x The signed 59.18-decimal fixed-point number for which to calculate the inverse.
/// @return result The inverse as a signed 59.18-decimal fixed-point number.
function inv(int256 x) internal pure returns (int256 result) {
unchecked {
// 1e36 is SCALE * SCALE.
result = 1e36 / x;
}
}
/// @notice Calculates the natural logarithm of x.
///
/// @dev Based on the insight that ln(x) = log2(x) / log2(e).
///
/// Requirements:
/// - All from "log2".
///
/// Caveats:
/// - All from "log2".
/// - This doesn't return exactly 1 for 2718281828459045235, for that we would need more fine-grained precision.
///
/// @param x The signed 59.18-decimal fixed-point number for which to calculate the natural logarithm.
/// @return result The natural logarithm as a signed 59.18-decimal fixed-point number.
function ln(int256 x) internal pure returns (int256 result) {
// Do the fixed-point multiplication inline to save gas. This is overflow-safe because the maximum value that log2(x)
// can return is 195205294292027477728.
unchecked {
result = (log2(x) * SCALE) / LOG2_E;
}
}
/// @notice Calculates the common logarithm of x.
///
/// @dev First checks if x is an exact power of ten and it stops if yes. If it's not, calculates the common
/// logarithm based on the insight that log10(x) = log2(x) / log2(10).
///
/// Requirements:
/// - All from "log2".
///
/// Caveats:
/// - All from "log2".
///
/// @param x The signed 59.18-decimal fixed-point number for which to calculate the common logarithm.
/// @return result The common logarithm as a signed 59.18-decimal fixed-point number.
function log10(int256 x) internal pure returns (int256 result) {
if (x <= 0) {
revert PRBMathSD59x18__LogInputTooSmall(x);
}
// Note that the "mul" in this block is the assembly mul operation, not the "mul" function defined in this contract.
// prettier-ignore
assembly {
switch x
case 1 { result := mul(SCALE, sub(0, 18)) }
case 10 { result := mul(SCALE, sub(1, 18)) }
case 100 { result := mul(SCALE, sub(2, 18)) }
case 1000 { result := mul(SCALE, sub(3, 18)) }
case 10000 { result := mul(SCALE, sub(4, 18)) }
case 100000 { result := mul(SCALE, sub(5, 18)) }
case 1000000 { result := mul(SCALE, sub(6, 18)) }
case 10000000 { result := mul(SCALE, sub(7, 18)) }
case 100000000 { result := mul(SCALE, sub(8, 18)) }
case 1000000000 { result := mul(SCALE, sub(9, 18)) }
case 10000000000 { result := mul(SCALE, sub(10, 18)) }
case 100000000000 { result := mul(SCALE, sub(11, 18)) }
case 1000000000000 { result := mul(SCALE, sub(12, 18)) }
case 10000000000000 { result := mul(SCALE, sub(13, 18)) }
case 100000000000000 { result := mul(SCALE, sub(14, 18)) }
case 1000000000000000 { result := mul(SCALE, sub(15, 18)) }
case 10000000000000000 { result := mul(SCALE, sub(16, 18)) }
case 100000000000000000 { result := mul(SCALE, sub(17, 18)) }
case 1000000000000000000 { result := 0 }
case 10000000000000000000 { result := SCALE }
case 100000000000000000000 { result := mul(SCALE, 2) }
case 1000000000000000000000 { result := mul(SCALE, 3) }
case 10000000000000000000000 { result := mul(SCALE, 4) }
case 100000000000000000000000 { result := mul(SCALE, 5) }
case 1000000000000000000000000 { result := mul(SCALE, 6) }
case 10000000000000000000000000 { result := mul(SCALE, 7) }
case 100000000000000000000000000 { result := mul(SCALE, 8) }
case 1000000000000000000000000000 { result := mul(SCALE, 9) }
case 10000000000000000000000000000 { result := mul(SCALE, 10) }
case 100000000000000000000000000000 { result := mul(SCALE, 11) }
case 1000000000000000000000000000000 { result := mul(SCALE, 12) }
case 10000000000000000000000000000000 { result := mul(SCALE, 13) }
case 100000000000000000000000000000000 { result := mul(SCALE, 14) }
case 1000000000000000000000000000000000 { result := mul(SCALE, 15) }
case 10000000000000000000000000000000000 { result := mul(SCALE, 16) }
case 100000000000000000000000000000000000 { result := mul(SCALE, 17) }
case 1000000000000000000000000000000000000 { result := mul(SCALE, 18) }
case 10000000000000000000000000000000000000 { result := mul(SCALE, 19) }
case 100000000000000000000000000000000000000 { result := mul(SCALE, 20) }
case 1000000000000000000000000000000000000000 { result := mul(SCALE, 21) }
case 10000000000000000000000000000000000000000 { result := mul(SCALE, 22) }
case 100000000000000000000000000000000000000000 { result := mul(SCALE, 23) }
case 1000000000000000000000000000000000000000000 { result := mul(SCALE, 24) }
case 10000000000000000000000000000000000000000000 { result := mul(SCALE, 25) }
case 100000000000000000000000000000000000000000000 { result := mul(SCALE, 26) }
case 1000000000000000000000000000000000000000000000 { result := mul(SCALE, 27) }
case 10000000000000000000000000000000000000000000000 { result := mul(SCALE, 28) }
case 100000000000000000000000000000000000000000000000 { result := mul(SCALE, 29) }
case 1000000000000000000000000000000000000000000000000 { result := mul(SCALE, 30) }
case 10000000000000000000000000000000000000000000000000 { result := mul(SCALE, 31) }
case 100000000000000000000000000000000000000000000000000 { result := mul(SCALE, 32) }
case 1000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 33) }
case 10000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 34) }
case 100000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 35) }
case 1000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 36) }
case 10000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 37) }
case 100000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 38) }
case 1000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 39) }
case 10000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 40) }
case 100000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 41) }
case 1000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 42) }
case 10000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 43) }
case 100000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 44) }
case 1000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 45) }
case 10000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 46) }
case 100000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 47) }
case 1000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 48) }
case 10000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 49) }
case 100000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 50) }
case 1000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 51) }
case 10000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 52) }
case 100000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 53) }
case 1000000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 54) }
case 10000000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 55) }
case 100000000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 56) }
case 1000000000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 57) }
case 10000000000000000000000000000000000000000000000000000000000000000000000000000 { result := mul(SCALE, 58) }
default {
result := MAX_SD59x18
}
}
if (result == MAX_SD59x18) {
// Do the fixed-point division inline to save gas. The denominator is log2(10).
unchecked {
result = (log2(x) * SCALE) / 3_321928094887362347;
}
}
}
/// @notice Calculates the binary logarithm of x.
///
/// @dev Based on the iterative approximation algorithm.
/// https://en.wikipedia.org/wiki/Binary_logarithm#Iterative_approximation
///
/// Requirements:
/// - x must be greater than zero.
///
/// Caveats:
/// - The results are not perfectly accurate to the last decimal, due to the lossy precision of the iterative approximation.
///
/// @param x The signed 59.18-decimal fixed-point number for which to calculate the binary logarithm.
/// @return result The binary logarithm as a signed 59.18-decimal fixed-point number.
function log2(int256 x) internal pure returns (int256 result) {
if (x <= 0) {
revert PRBMathSD59x18__LogInputTooSmall(x);
}
unchecked {
// This works because log2(x) = -log2(1/x).
int256 sign;
if (x >= SCALE) {
sign = 1;
} else {
sign = -1;
// Do the fixed-point inversion inline to save gas. The numerator is SCALE * SCALE.
assembly {
x := div(1000000000000000000000000000000000000, x)
}
}
// Calculate the integer part of the logarithm and add it to the result and finally calculate y = x * 2^(-n).
uint256 n = PRBMath.mostSignificantBit(uint256(x / SCALE));
// The integer part of the logarithm as a signed 59.18-decimal fixed-point number. The operation can't overflow
// because n is maximum 255, SCALE is 1e18 and sign is either 1 or -1.
result = int256(n) * SCALE;
// This is y = x * 2^(-n).
int256 y = x >> n;
// If y = 1, the fractional part is zero.
if (y == SCALE) {
return result * sign;
}
// Calculate the fractional part via the iterative approximation.
// The "delta >>= 1" part is equivalent to "delta /= 2", but shifting bits is faster.
for (int256 delta = int256(HALF_SCALE); delta > 0; delta >>= 1) {
y = (y * y) / SCALE;
// Is y^2 > 2 and so in the range [2,4)?
if (y >= 2 * SCALE) {
// Add the 2^(-m) factor to the logarithm.
result += delta;
// Corresponds to z/2 on Wikipedia.
y >>= 1;
}
}
result *= sign;
}
}
/// @notice Multiplies two signed 59.18-decimal fixed-point numbers together, returning a new signed 59.18-decimal
/// fixed-point number.
///
/// @dev Variant of "mulDiv" that works with signed numbers and employs constant folding, i.e. the denominator is
/// always 1e18.
///
/// Requirements:
/// - All from "PRBMath.mulDivFixedPoint".
/// - None of the inputs can be MIN_SD59x18
/// - The result must fit within MAX_SD59x18.
///
/// Caveats:
/// - The body is purposely left uncommented; see the NatSpec comments in "PRBMath.mulDiv" to understand how this works.
///
/// @param x The multiplicand as a signed 59.18-decimal fixed-point number.
/// @param y The multiplier as a signed 59.18-decimal fixed-point number.
/// @return result The product as a signed 59.18-decimal fixed-point number.
function mul(int256 x, int256 y) internal pure returns (int256 result) {
if (x == MIN_SD59x18 || y == MIN_SD59x18) {
revert PRBMathSD59x18__MulInputTooSmall();
}
unchecked {
uint256 ax;
uint256 ay;
ax = x < 0 ? uint256(-x) : uint256(x);
ay = y < 0 ? uint256(-y) : uint256(y);
uint256 rAbs = PRBMath.mulDivFixedPoint(ax, ay);
if (rAbs > uint256(MAX_SD59x18)) {
revert PRBMathSD59x18__MulOverflow(rAbs);
}
uint256 sx;
uint256 sy;
assembly {
sx := sgt(x, sub(0, 1))
sy := sgt(y, sub(0, 1))
}
result = sx ^ sy == 1 ? -int256(rAbs) : int256(rAbs);
}
}
/// @notice Returns PI as a signed 59.18-decimal fixed-point number.
function pi() internal pure returns (int256 result) {
result = 3_141592653589793238;
}
/// @notice Raises x to the power of y.
///
/// @dev Based on the insight that x^y = 2^(log2(x) * y).
///
/// Requirements:
/// - All from "exp2", "log2" and "mul".
/// - z cannot be zero.
///
/// Caveats:
/// - All from "exp2", "log2" and "mul".
/// - Assumes 0^0 is 1.
///
/// @param x Number to raise to given power y, as a signed 59.18-decimal fixed-point number.
/// @param y Exponent to raise x to, as a signed 59.18-decimal fixed-point number.
/// @return result x raised to power y, as a signed 59.18-decimal fixed-point number.
function pow(int256 x, int256 y) internal pure returns (int256 result) {
if (x == 0) {
result = y == 0 ? SCALE : int256(0);
} else {
result = exp2(mul(log2(x), y));
}
}
/// @notice Raises x (signed 59.18-decimal fixed-point number) to the power of y (basic unsigned integer) using the
/// famous algorithm "exponentiation by squaring".
///
/// @dev See https://en.wikipedia.org/wiki/Exponentiation_by_squaring
///
/// Requirements:
/// - All from "abs" and "PRBMath.mulDivFixedPoint".
/// - The result must fit within MAX_SD59x18.
///
/// Caveats:
/// - All from "PRBMath.mulDivFixedPoint".
/// - Assumes 0^0 is 1.
///
/// @param x The base as a signed 59.18-decimal fixed-point number.
/// @param y The exponent as an uint256.
/// @return result The result as a signed 59.18-decimal fixed-point number.
function powu(int256 x, uint256 y) internal pure returns (int256 result) {
uint256 xAbs = uint256(abs(x));
// Calculate the first iteration of the loop in advance.
uint256 rAbs = y & 1 > 0 ? xAbs : uint256(SCALE);
// Equivalent to "for(y /= 2; y > 0; y /= 2)" but faster.
uint256 yAux = y;
for (yAux >>= 1; yAux > 0; yAux >>= 1) {
xAbs = PRBMath.mulDivFixedPoint(xAbs, xAbs);
// Equivalent to "y % 2 == 1" but faster.
if (yAux & 1 > 0) {
rAbs = PRBMath.mulDivFixedPoint(rAbs, xAbs);
}
}
// The result must fit within the 59.18-decimal fixed-point representation.
if (rAbs > uint256(MAX_SD59x18)) {
revert PRBMathSD59x18__PowuOverflow(rAbs);
}
// Is the base negative and the exponent an odd number?
bool isNegative = x < 0 && y & 1 == 1;
result = isNegative ? -int256(rAbs) : int256(rAbs);
}
/// @notice Returns 1 as a signed 59.18-decimal fixed-point number.
function scale() internal pure returns (int256 result) {
result = SCALE;
}
/// @notice Calculates the square root of x, rounding down.
/// @dev Uses the Babylonian method https://en.wikipedia.org/wiki/Methods_of_computing_square_roots#Babylonian_method.
///
/// Requirements:
/// - x cannot be negative.
/// - x must be less than MAX_SD59x18 / SCALE.
///
/// @param x The signed 59.18-decimal fixed-point number for which to calculate the square root.
/// @return result The result as a signed 59.18-decimal fixed-point .
function sqrt(int256 x) internal pure returns (int256 result) {
unchecked {
if (x < 0) {
revert PRBMathSD59x18__SqrtNegativeInput(x);
}
if (x > MAX_SD59x18 / SCALE) {
revert PRBMathSD59x18__SqrtOverflow(x);
}
// Multiply x by the SCALE to account for the factor of SCALE that is picked up when multiplying two signed
// 59.18-decimal fixed-point numbers together (in this case, those two numbers are both the square root).
result = int256(PRBMath.sqrt(uint256(x * SCALE)));
}
}
/// @notice Converts a signed 59.18-decimal fixed-point number to basic integer form, rounding down in the process.
/// @param x The signed 59.18-decimal fixed-point number to convert.
/// @return result The same number in basic integer form.
function toInt(int256 x) internal pure returns (int256 result) {
unchecked {
result = x / SCALE;
}
}
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.0;
import "prb-math/contracts/PRBMathSD59x18.sol";
/**
* @title Library used for approximating a normal distribution
*/
library NormalDist {
using PRBMathSD59x18 for int256;
int256 private constant ONE = 1000000000000000000;
int256 private constant ONE_HALF = 500000000000000000;
int256 private constant SQRT_TWO = 1414213562373095048;
// z-scores
// A1 0.254829592
int256 private constant A1 = 254829592000000000;
// A2 -0.284496736
int256 private constant A2 = -284496736000000000;
// A3 1.421413741
int256 private constant A3 = 1421413741000000000;
// A4 -1.453152027
int256 private constant A4 = -1453152027000000000;
// A5 1.061405429
int256 private constant A5 = 1061405429000000000;
// P 0.3275911
int256 private constant P = 327591100000000000;
function cdf(int256 x) public pure returns (int256) {
int256 phiParam = x.div(SQRT_TWO);
int256 onePlusPhi = ONE + (phi(phiParam));
return ONE_HALF.mul(onePlusPhi);
}
function phi(int256 x) public pure returns (int256) {
int256 sign = x >= 0 ? ONE : -ONE;
int256 abs = x.abs();
// A&S formula 7.1.26
int256 t = ONE.div(ONE + (P.mul(abs)));
int256 scoresByT = getScoresFromT(t);
int256 eToXs = abs.mul(-ONE).mul(abs).exp();
int256 y = ONE - (scoresByT.mul(eToXs));
return sign.mul(y);
}
function getScoresFromT(int256 t) public pure returns (int256) {
int256 byA5T = A5.mul(t);
int256 byA4T = (byA5T + A4).mul(t);
int256 byA3T = (byA4T + A3).mul(t);
int256 byA2T = (byA3T + A2).mul(t);
int256 byA1T = (byA2T + A1).mul(t);
return byA1T;
}
}// SPDX-License-Identifier: Unlicense
pragma solidity >=0.8.4;
/// @notice Emitted when the result overflows uint256.
error PRBMath__MulDivFixedPointOverflow(uint256 prod1);
/// @notice Emitted when the result overflows uint256.
error PRBMath__MulDivOverflow(uint256 prod1, uint256 denominator);
/// @notice Emitted when one of the inputs is type(int256).min.
error PRBMath__MulDivSignedInputTooSmall();
/// @notice Emitted when the intermediary absolute result overflows int256.
error PRBMath__MulDivSignedOverflow(uint256 rAbs);
/// @notice Emitted when the input is MIN_SD59x18.
error PRBMathSD59x18__AbsInputTooSmall();
/// @notice Emitted when ceiling a number overflows SD59x18.
error PRBMathSD59x18__CeilOverflow(int256 x);
/// @notice Emitted when one of the inputs is MIN_SD59x18.
error PRBMathSD59x18__DivInputTooSmall();
/// @notice Emitted when one of the intermediary unsigned results overflows SD59x18.
error PRBMathSD59x18__DivOverflow(uint256 rAbs);
/// @notice Emitted when the input is greater than 133.084258667509499441.
error PRBMathSD59x18__ExpInputTooBig(int256 x);
/// @notice Emitted when the input is greater than 192.
error PRBMathSD59x18__Exp2InputTooBig(int256 x);
/// @notice Emitted when flooring a number underflows SD59x18.
error PRBMathSD59x18__FloorUnderflow(int256 x);
/// @notice Emitted when converting a basic integer to the fixed-point format overflows SD59x18.
error PRBMathSD59x18__FromIntOverflow(int256 x);
/// @notice Emitted when converting a basic integer to the fixed-point format underflows SD59x18.
error PRBMathSD59x18__FromIntUnderflow(int256 x);
/// @notice Emitted when the product of the inputs is negative.
error PRBMathSD59x18__GmNegativeProduct(int256 x, int256 y);
/// @notice Emitted when multiplying the inputs overflows SD59x18.
error PRBMathSD59x18__GmOverflow(int256 x, int256 y);
/// @notice Emitted when the input is less than or equal to zero.
error PRBMathSD59x18__LogInputTooSmall(int256 x);
/// @notice Emitted when one of the inputs is MIN_SD59x18.
error PRBMathSD59x18__MulInputTooSmall();
/// @notice Emitted when the intermediary absolute result overflows SD59x18.
error PRBMathSD59x18__MulOverflow(uint256 rAbs);
/// @notice Emitted when the intermediary absolute result overflows SD59x18.
error PRBMathSD59x18__PowuOverflow(uint256 rAbs);
/// @notice Emitted when the input is negative.
error PRBMathSD59x18__SqrtNegativeInput(int256 x);
/// @notice Emitted when the calculating the square root overflows SD59x18.
error PRBMathSD59x18__SqrtOverflow(int256 x);
/// @notice Emitted when addition overflows UD60x18.
error PRBMathUD60x18__AddOverflow(uint256 x, uint256 y);
/// @notice Emitted when ceiling a number overflows UD60x18.
error PRBMathUD60x18__CeilOverflow(uint256 x);
/// @notice Emitted when the input is greater than 133.084258667509499441.
error PRBMathUD60x18__ExpInputTooBig(uint256 x);
/// @notice Emitted when the input is greater than 192.
error PRBMathUD60x18__Exp2InputTooBig(uint256 x);
/// @notice Emitted when converting a basic integer to the fixed-point format format overflows UD60x18.
error PRBMathUD60x18__FromUintOverflow(uint256 x);
/// @notice Emitted when multiplying the inputs overflows UD60x18.
error PRBMathUD60x18__GmOverflow(uint256 x, uint256 y);
/// @notice Emitted when the input is less than 1.
error PRBMathUD60x18__LogInputTooSmall(uint256 x);
/// @notice Emitted when the calculating the square root overflows UD60x18.
error PRBMathUD60x18__SqrtOverflow(uint256 x);
/// @notice Emitted when subtraction underflows UD60x18.
error PRBMathUD60x18__SubUnderflow(uint256 x, uint256 y);
/// @dev Common mathematical functions used in both PRBMathSD59x18 and PRBMathUD60x18. Note that this shared library
/// does not always assume the signed 59.18-decimal fixed-point or the unsigned 60.18-decimal fixed-point
/// representation. When it does not, it is explicitly mentioned in the NatSpec documentation.
library PRBMath {
/// STRUCTS ///
struct SD59x18 {
int256 value;
}
struct UD60x18 {
uint256 value;
}
/// STORAGE ///
/// @dev How many trailing decimals can be represented.
uint256 internal constant SCALE = 1e18;
/// @dev Largest power of two divisor of SCALE.
uint256 internal constant SCALE_LPOTD = 262144;
/// @dev SCALE inverted mod 2^256.
uint256 internal constant SCALE_INVERSE =
78156646155174841979727994598816262306175212592076161876661_508869554232690281;
/// FUNCTIONS ///
/// @notice Calculates the binary exponent of x using the binary fraction method.
/// @dev Has to use 192.64-bit fixed-point numbers.
/// See https://ethereum.stackexchange.com/a/96594/24693.
/// @param x The exponent as an unsigned 192.64-bit fixed-point number.
/// @return result The result as an unsigned 60.18-decimal fixed-point number.
function exp2(uint256 x) internal pure returns (uint256 result) {
unchecked {
// Start from 0.5 in the 192.64-bit fixed-point format.
result = 0x800000000000000000000000000000000000000000000000;
// Multiply the result by root(2, 2^-i) when the bit at position i is 1. None of the intermediary results overflows
// because the initial result is 2^191 and all magic factors are less than 2^65.
if (x & 0x8000000000000000 > 0) {
result = (result * 0x16A09E667F3BCC909) >> 64;
}
if (x & 0x4000000000000000 > 0) {
result = (result * 0x1306FE0A31B7152DF) >> 64;
}
if (x & 0x2000000000000000 > 0) {
result = (result * 0x1172B83C7D517ADCE) >> 64;
}
if (x & 0x1000000000000000 > 0) {
result = (result * 0x10B5586CF9890F62A) >> 64;
}
if (x & 0x800000000000000 > 0) {
result = (result * 0x1059B0D31585743AE) >> 64;
}
if (x & 0x400000000000000 > 0) {
result = (result * 0x102C9A3E778060EE7) >> 64;
}
if (x & 0x200000000000000 > 0) {
result = (result * 0x10163DA9FB33356D8) >> 64;
}
if (x & 0x100000000000000 > 0) {
result = (result * 0x100B1AFA5ABCBED61) >> 64;
}
if (x & 0x80000000000000 > 0) {
result = (result * 0x10058C86DA1C09EA2) >> 64;
}
if (x & 0x40000000000000 > 0) {
result = (result * 0x1002C605E2E8CEC50) >> 64;
}
if (x & 0x20000000000000 > 0) {
result = (result * 0x100162F3904051FA1) >> 64;
}
if (x & 0x10000000000000 > 0) {
result = (result * 0x1000B175EFFDC76BA) >> 64;
}
if (x & 0x8000000000000 > 0) {
result = (result * 0x100058BA01FB9F96D) >> 64;
}
if (x & 0x4000000000000 > 0) {
result = (result * 0x10002C5CC37DA9492) >> 64;
}
if (x & 0x2000000000000 > 0) {
result = (result * 0x1000162E525EE0547) >> 64;
}
if (x & 0x1000000000000 > 0) {
result = (result * 0x10000B17255775C04) >> 64;
}
if (x & 0x800000000000 > 0) {
result = (result * 0x1000058B91B5BC9AE) >> 64;
}
if (x & 0x400000000000 > 0) {
result = (result * 0x100002C5C89D5EC6D) >> 64;
}
if (x & 0x200000000000 > 0) {
result = (result * 0x10000162E43F4F831) >> 64;
}
if (x & 0x100000000000 > 0) {
result = (result * 0x100000B1721BCFC9A) >> 64;
}
if (x & 0x80000000000 > 0) {
result = (result * 0x10000058B90CF1E6E) >> 64;
}
if (x & 0x40000000000 > 0) {
result = (result * 0x1000002C5C863B73F) >> 64;
}
if (x & 0x20000000000 > 0) {
result = (result * 0x100000162E430E5A2) >> 64;
}
if (x & 0x10000000000 > 0) {
result = (result * 0x1000000B172183551) >> 64;
}
if (x & 0x8000000000 > 0) {
result = (result * 0x100000058B90C0B49) >> 64;
}
if (x & 0x4000000000 > 0) {
result = (result * 0x10000002C5C8601CC) >> 64;
}
if (x & 0x2000000000 > 0) {
result = (result * 0x1000000162E42FFF0) >> 64;
}
if (x & 0x1000000000 > 0) {
result = (result * 0x10000000B17217FBB) >> 64;
}
if (x & 0x800000000 > 0) {
result = (result * 0x1000000058B90BFCE) >> 64;
}
if (x & 0x400000000 > 0) {
result = (result * 0x100000002C5C85FE3) >> 64;
}
if (x & 0x200000000 > 0) {
result = (result * 0x10000000162E42FF1) >> 64;
}
if (x & 0x100000000 > 0) {
result = (result * 0x100000000B17217F8) >> 64;
}
if (x & 0x80000000 > 0) {
result = (result * 0x10000000058B90BFC) >> 64;
}
if (x & 0x40000000 > 0) {
result = (result * 0x1000000002C5C85FE) >> 64;
}
if (x & 0x20000000 > 0) {
result = (result * 0x100000000162E42FF) >> 64;
}
if (x & 0x10000000 > 0) {
result = (result * 0x1000000000B17217F) >> 64;
}
if (x & 0x8000000 > 0) {
result = (result * 0x100000000058B90C0) >> 64;
}
if (x & 0x4000000 > 0) {
result = (result * 0x10000000002C5C860) >> 64;
}
if (x & 0x2000000 > 0) {
result = (result * 0x1000000000162E430) >> 64;
}
if (x & 0x1000000 > 0) {
result = (result * 0x10000000000B17218) >> 64;
}
if (x & 0x800000 > 0) {
result = (result * 0x1000000000058B90C) >> 64;
}
if (x & 0x400000 > 0) {
result = (result * 0x100000000002C5C86) >> 64;
}
if (x & 0x200000 > 0) {
result = (result * 0x10000000000162E43) >> 64;
}
if (x & 0x100000 > 0) {
result = (result * 0x100000000000B1721) >> 64;
}
if (x & 0x80000 > 0) {
result = (result * 0x10000000000058B91) >> 64;
}
if (x & 0x40000 > 0) {
result = (result * 0x1000000000002C5C8) >> 64;
}
if (x & 0x20000 > 0) {
result = (result * 0x100000000000162E4) >> 64;
}
if (x & 0x10000 > 0) {
result = (result * 0x1000000000000B172) >> 64;
}
if (x & 0x8000 > 0) {
result = (result * 0x100000000000058B9) >> 64;
}
if (x & 0x4000 > 0) {
result = (result * 0x10000000000002C5D) >> 64;
}
if (x & 0x2000 > 0) {
result = (result * 0x1000000000000162E) >> 64;
}
if (x & 0x1000 > 0) {
result = (result * 0x10000000000000B17) >> 64;
}
if (x & 0x800 > 0) {
result = (result * 0x1000000000000058C) >> 64;
}
if (x & 0x400 > 0) {
result = (result * 0x100000000000002C6) >> 64;
}
if (x & 0x200 > 0) {
result = (result * 0x10000000000000163) >> 64;
}
if (x & 0x100 > 0) {
result = (result * 0x100000000000000B1) >> 64;
}
if (x & 0x80 > 0) {
result = (result * 0x10000000000000059) >> 64;
}
if (x & 0x40 > 0) {
result = (result * 0x1000000000000002C) >> 64;
}
if (x & 0x20 > 0) {
result = (result * 0x10000000000000016) >> 64;
}
if (x & 0x10 > 0) {
result = (result * 0x1000000000000000B) >> 64;
}
if (x & 0x8 > 0) {
result = (result * 0x10000000000000006) >> 64;
}
if (x & 0x4 > 0) {
result = (result * 0x10000000000000003) >> 64;
}
if (x & 0x2 > 0) {
result = (result * 0x10000000000000001) >> 64;
}
if (x & 0x1 > 0) {
result = (result * 0x10000000000000001) >> 64;
}
// We're doing two things at the same time:
//
// 1. Multiply the result by 2^n + 1, where "2^n" is the integer part and the one is added to account for
// the fact that we initially set the result to 0.5. This is accomplished by subtracting from 191
// rather than 192.
// 2. Convert the result to the unsigned 60.18-decimal fixed-point format.
//
// This works because 2^(191-ip) = 2^ip / 2^191, where "ip" is the integer part "2^n".
result *= SCALE;
result >>= (191 - (x >> 64));
}
}
/// @notice Finds the zero-based index of the first one in the binary representation of x.
/// @dev See the note on msb in the "Find First Set" Wikipedia article https://en.wikipedia.org/wiki/Find_first_set
/// @param x The uint256 number for which to find the index of the most significant bit.
/// @return msb The index of the most significant bit as an uint256.
function mostSignificantBit(uint256 x) internal pure returns (uint256 msb) {
if (x >= 2**128) {
x >>= 128;
msb += 128;
}
if (x >= 2**64) {
x >>= 64;
msb += 64;
}
if (x >= 2**32) {
x >>= 32;
msb += 32;
}
if (x >= 2**16) {
x >>= 16;
msb += 16;
}
if (x >= 2**8) {
x >>= 8;
msb += 8;
}
if (x >= 2**4) {
x >>= 4;
msb += 4;
}
if (x >= 2**2) {
x >>= 2;
msb += 2;
}
if (x >= 2**1) {
// No need to shift x any more.
msb += 1;
}
}
/// @notice Calculates floor(x*y÷denominator) with full precision.
///
/// @dev Credit to Remco Bloemen under MIT license https://xn--2-umb.com/21/muldiv.
///
/// Requirements:
/// - The denominator cannot be zero.
/// - The result must fit within uint256.
///
/// Caveats:
/// - This function does not work with fixed-point numbers.
///
/// @param x The multiplicand as an uint256.
/// @param y The multiplier as an uint256.
/// @param denominator The divisor as an uint256.
/// @return result The result as an uint256.
function mulDiv(
uint256 x,
uint256 y,
uint256 denominator
) internal pure returns (uint256 result) {
// 512-bit multiply [prod1 prod0] = x * y. Compute the product mod 2^256 and mod 2^256 - 1, then use
// use the Chinese Remainder Theorem to reconstruct the 512 bit result. The result is stored in two 256
// variables such that product = prod1 * 2^256 + prod0.
uint256 prod0; // Least significant 256 bits of the product
uint256 prod1; // Most significant 256 bits of the product
assembly {
let mm := mulmod(x, y, not(0))
prod0 := mul(x, y)
prod1 := sub(sub(mm, prod0), lt(mm, prod0))
}
// Handle non-overflow cases, 256 by 256 division.
if (prod1 == 0) {
unchecked {
result = prod0 / denominator;
}
return result;
}
// Make sure the result is less than 2^256. Also prevents denominator == 0.
if (prod1 >= denominator) {
revert PRBMath__MulDivOverflow(prod1, denominator);
}
///////////////////////////////////////////////
// 512 by 256 division.
///////////////////////////////////////////////
// Make division exact by subtracting the remainder from [prod1 prod0].
uint256 remainder;
assembly {
// Compute remainder using mulmod.
remainder := mulmod(x, y, denominator)
// Subtract 256 bit number from 512 bit number.
prod1 := sub(prod1, gt(remainder, prod0))
prod0 := sub(prod0, remainder)
}
// Factor powers of two out of denominator and compute largest power of two divisor of denominator. Always >= 1.
// See https://cs.stackexchange.com/q/138556/92363.
unchecked {
// Does not overflow because the denominator cannot be zero at this stage in the function.
uint256 lpotdod = denominator & (~denominator + 1);
assembly {
// Divide denominator by lpotdod.
denominator := div(denominator, lpotdod)
// Divide [prod1 prod0] by lpotdod.
prod0 := div(prod0, lpotdod)
// Flip lpotdod such that it is 2^256 / lpotdod. If lpotdod is zero, then it becomes one.
lpotdod := add(div(sub(0, lpotdod), lpotdod), 1)
}
// Shift in bits from prod1 into prod0.
prod0 |= prod1 * lpotdod;
// Invert denominator mod 2^256. Now that denominator is an odd number, it has an inverse modulo 2^256 such
// that denominator * inv = 1 mod 2^256. Compute the inverse by starting with a seed that is correct for
// four bits. That is, denominator * inv = 1 mod 2^4.
uint256 inverse = (3 * denominator) ^ 2;
// Use the Newton-Raphson iteration to improve the precision. Thanks to Hensel's lifting lemma, this also works
// in modular arithmetic, doubling the correct bits in each step.
inverse *= 2 - denominator * inverse; // inverse mod 2^8
inverse *= 2 - denominator * inverse; // inverse mod 2^16
inverse *= 2 - denominator * inverse; // inverse mod 2^32
inverse *= 2 - denominator * inverse; // inverse mod 2^64
inverse *= 2 - denominator * inverse; // inverse mod 2^128
inverse *= 2 - denominator * inverse; // inverse mod 2^256
// Because the division is now exact we can divide by multiplying with the modular inverse of denominator.
// This will give us the correct result modulo 2^256. Since the preconditions guarantee that the outcome is
// less than 2^256, this is the final result. We don't need to compute the high bits of the result and prod1
// is no longer required.
result = prod0 * inverse;
return result;
}
}
/// @notice Calculates floor(x*y÷1e18) with full precision.
///
/// @dev Variant of "mulDiv" with constant folding, i.e. in which the denominator is always 1e18. Before returning the
/// final result, we add 1 if (x * y) % SCALE >= HALF_SCALE. Without this, 6.6e-19 would be truncated to 0 instead of
/// being rounded to 1e-18. See "Listing 6" and text above it at https://accu.org/index.php/journals/1717.
///
/// Requirements:
/// - The result must fit within uint256.
///
/// Caveats:
/// - The body is purposely left uncommented; see the NatSpec comments in "PRBMath.mulDiv" to understand how this works.
/// - It is assumed that the result can never be type(uint256).max when x and y solve the following two equations:
/// 1. x * y = type(uint256).max * SCALE
/// 2. (x * y) % SCALE >= SCALE / 2
///
/// @param x The multiplicand as an unsigned 60.18-decimal fixed-point number.
/// @param y The multiplier as an unsigned 60.18-decimal fixed-point number.
/// @return result The result as an unsigned 60.18-decimal fixed-point number.
function mulDivFixedPoint(uint256 x, uint256 y) internal pure returns (uint256 result) {
uint256 prod0;
uint256 prod1;
assembly {
let mm := mulmod(x, y, not(0))
prod0 := mul(x, y)
prod1 := sub(sub(mm, prod0), lt(mm, prod0))
}
if (prod1 >= SCALE) {
revert PRBMath__MulDivFixedPointOverflow(prod1);
}
uint256 remainder;
uint256 roundUpUnit;
assembly {
remainder := mulmod(x, y, SCALE)
roundUpUnit := gt(remainder, 499999999999999999)
}
if (prod1 == 0) {
unchecked {
result = (prod0 / SCALE) + roundUpUnit;
return result;
}
}
assembly {
result := add(
mul(
or(
div(sub(prod0, remainder), SCALE_LPOTD),
mul(sub(prod1, gt(remainder, prod0)), add(div(sub(0, SCALE_LPOTD), SCALE_LPOTD), 1))
),
SCALE_INVERSE
),
roundUpUnit
)
}
}
/// @notice Calculates floor(x*y÷denominator) with full precision.
///
/// @dev An extension of "mulDiv" for signed numbers. Works by computing the signs and the absolute values separately.
///
/// Requirements:
/// - None of the inputs can be type(int256).min.
/// - The result must fit within int256.
///
/// @param x The multiplicand as an int256.
/// @param y The multiplier as an int256.
/// @param denominator The divisor as an int256.
/// @return result The result as an int256.
function mulDivSigned(
int256 x,
int256 y,
int256 denominator
) internal pure returns (int256 result) {
if (x == type(int256).min || y == type(int256).min || denominator == type(int256).min) {
revert PRBMath__MulDivSignedInputTooSmall();
}
// Get hold of the absolute values of x, y and the denominator.
uint256 ax;
uint256 ay;
uint256 ad;
unchecked {
ax = x < 0 ? uint256(-x) : uint256(x);
ay = y < 0 ? uint256(-y) : uint256(y);
ad = denominator < 0 ? uint256(-denominator) : uint256(denominator);
}
// Compute the absolute value of (x*y)÷denominator. The result must fit within int256.
uint256 rAbs = mulDiv(ax, ay, ad);
if (rAbs > uint256(type(int256).max)) {
revert PRBMath__MulDivSignedOverflow(rAbs);
}
// Get the signs of x, y and the denominator.
uint256 sx;
uint256 sy;
uint256 sd;
assembly {
sx := sgt(x, sub(0, 1))
sy := sgt(y, sub(0, 1))
sd := sgt(denominator, sub(0, 1))
}
// XOR over sx, sy and sd. This is checking whether there are one or three negative signs in the inputs.
// If yes, the result should be negative.
result = sx ^ sy ^ sd == 0 ? -int256(rAbs) : int256(rAbs);
}
/// @notice Calculates the square root of x, rounding down.
/// @dev Uses the Babylonian method https://en.wikipedia.org/wiki/Methods_of_computing_square_roots#Babylonian_method.
///
/// Caveats:
/// - This function does not work with fixed-point numbers.
///
/// @param x The uint256 number for which to calculate the square root.
/// @return result The result as an uint256.
function sqrt(uint256 x) internal pure returns (uint256 result) {
if (x == 0) {
return 0;
}
// Set the initial guess to the least power of two that is greater than or equal to sqrt(x).
uint256 xAux = uint256(x);
result = 1;
if (xAux >= 0x100000000000000000000000000000000) {
xAux >>= 128;
result <<= 64;
}
if (xAux >= 0x10000000000000000) {
xAux >>= 64;
result <<= 32;
}
if (xAux >= 0x100000000) {
xAux >>= 32;
result <<= 16;
}
if (xAux >= 0x10000) {
xAux >>= 16;
result <<= 8;
}
if (xAux >= 0x100) {
xAux >>= 8;
result <<= 4;
}
if (xAux >= 0x10) {
xAux >>= 4;
result <<= 2;
}
if (xAux >= 0x8) {
result <<= 1;
}
// The operations can never overflow because the result is max 2^127 when it enters this block.
unchecked {
result = (result + x / result) >> 1;
result = (result + x / result) >> 1;
result = (result + x / result) >> 1;
result = (result + x / result) >> 1;
result = (result + x / result) >> 1;
result = (result + x / result) >> 1;
result = (result + x / result) >> 1; // Seven iterations should be enough
uint256 roundedDownResult = x / result;
return result >= roundedDownResult ? roundedDownResult : result;
}
}
}// SPDX-License-Identifier: MIT
pragma solidity >=0.8.0;
import "prb-math/contracts/PRBMath.sol";
import "prb-math/contracts/PRBMathSD59x18.sol";
library SABR {
using PRBMathSD59x18 for int256;
int256 private constant eps = 1e11;
struct IntermediateVariables {
int256 a;
int256 b;
int256 c;
int256 d;
int256 v;
int256 w;
int256 z;
int256 k;
int256 f;
int256 t;
}
function lognormalVol(
int256 k,
int256 f,
int256 t,
int256 alpha,
int256 beta,
int256 rho,
int256 volvol
) internal pure returns (int256 iv) {
// Hagan's 2002 SABR lognormal vol expansion.
// negative strikes or forwards
if (k <= 0 || f <= 0) {
return 0;
}
IntermediateVariables memory vars;
vars.k = k;
vars.f = f;
vars.t = t;
if (beta == 1e18) {
vars.a = 0;
vars.v = 0;
vars.w = 0;
} else {
vars.a = ((1e18 - beta).pow(2e18)).mul(alpha.pow(2e18)).div(
int256(24e18).mul(_fkbeta(vars.f, vars.k, beta))
);
vars.v = ((1e18 - beta).pow(2e18)).mul(_logfk(vars.f, vars.k).powu(2)).div(24e18);
vars.w = ((1e18 - beta).pow(4e18)).mul(_logfk(vars.f, vars.k).powu(4)).div(1920e18);
}
vars.b = int256(25e16).mul(rho).mul(beta).mul(volvol).mul(alpha).div(
_fkbeta(vars.f, vars.k, beta).sqrt()
);
vars.c = (2e18 - int256(3e18).mul(rho.powu(2))).mul(volvol.pow(2e18)).div(24e18);
vars.d = _fkbeta(vars.f, vars.k, beta).sqrt();
vars.z = volvol.mul(_fkbeta(vars.f, vars.k, beta).sqrt()).mul(_logfk(vars.f, vars.k)).div(alpha);
// if |z| > eps
if (vars.z.abs() > eps) {
int256 vz = alpha.mul(vars.z).mul(1e18 + (vars.a + vars.b + vars.c).mul(vars.t)).div(
vars.d.mul(1e18 + vars.v + vars.w).mul(_x(rho, vars.z))
);
return vz;
// if |z| <= eps
} else {
int256 v0 = alpha.mul(1e18 + (vars.a + vars.b + vars.c).mul(vars.t)).div(
vars.d.mul(1e18 + vars.v + vars.w)
);
return v0;
}
}
function _logfk(int256 f, int256 k) internal pure returns (int256) {
return (f.div(k)).ln();
}
function _fkbeta(
int256 f,
int256 k,
int256 beta
) internal pure returns (int256) {
return (f.mul(k)).pow(1e18 - beta);
}
function _x(int256 rho, int256 z) internal pure returns (int256) {
int256 a = (1e18 - 2 * rho.mul(z) + z.powu(2)).sqrt() + z - rho;
int256 b = 1e18 - rho;
return (a.div(b)).ln();
}
}// SPDX-License-Identifier: MIT
// OpenZeppelin Contracts v4.4.1 (utils/Context.sol)
pragma solidity ^0.8.0;
/**
* @dev Provides information about the current execution context, including the
* sender of the transaction and its data. While these are generally available
* via msg.sender and msg.data, they should not be accessed in such a direct
* manner, since when dealing with meta-transactions the account sending and
* paying for execution may not be the actual sender (as far as an application
* is concerned).
*
* This contract is only required for intermediate, library-like contracts.
*/
abstract contract Context {
function _msgSender() internal view virtual returns (address) {
return msg.sender;
}
function _msgData() internal view virtual returns (bytes calldata) {
return msg.data;
}
}{
"optimizer": {
"enabled": true,
"runs": 200
},
"outputSelection": {
"*": {
"*": [
"evm.bytecode",
"evm.deployedBytecode",
"devdoc",
"userdoc",
"metadata",
"abi"
]
}
},
"metadata": {
"useLiteralContent": true
},
"libraries": {
"contracts/libraries/OpynInteractions.sol": {
"OpynInteractions": "0x048603543a0fd41b56b831b80981addb19c1ea30"
}
}
}[{"inputs":[{"internalType":"address","name":"_collateralAsset","type":"address"},{"internalType":"address","name":"_oTokenFactory","type":"address"},{"internalType":"address","name":"_gammaController","type":"address"},{"internalType":"address","name":"_marginPool","type":"address"},{"internalType":"address","name":"_liquidityPool","type":"address"},{"internalType":"address","name":"_addressBook","type":"address"},{"internalType":"address","name":"_authority","type":"address"}],"stateMutability":"nonpayable","type":"constructor"},{"inputs":[],"name":"AlreadyExpired","type":"error"},{"inputs":[],"name":"HealthyVault","type":"error"},{"inputs":[],"name":"InsufficientBalance","type":"error"},{"inputs":[],"name":"InvalidCollateral","type":"error"},{"inputs":[],"name":"InvalidDecimals","type":"error"},{"inputs":[],"name":"NoVault","type":"error"},{"inputs":[],"name":"NonExistentSeries","type":"error"},{"inputs":[],"name":"NotExpired","type":"error"},{"inputs":[],"name":"NotKeeper","type":"error"},{"inputs":[],"name":"NotLiquidityPool","type":"error"},{"inputs":[],"name":"UNAUTHORIZED","type":"error"},{"inputs":[],"name":"VaultExpired","type":"error"},{"inputs":[],"name":"VaultNotLiquidated","type":"error"},{"inputs":[],"name":"WithdrawExceedsLiquidity","type":"error"},{"anonymous":false,"inputs":[{"indexed":false,"internalType":"contract IAuthority","name":"authority","type":"address"}],"name":"AuthorityUpdated","type":"event"},{"anonymous":false,"inputs":[{"indexed":false,"internalType":"address","name":"token","type":"address"}],"name":"OptionTokenCreated","type":"event"},{"anonymous":false,"inputs":[{"indexed":true,"internalType":"address","name":"series","type":"address"},{"indexed":false,"internalType":"uint256","name":"vaultId","type":"uint256"},{"indexed":false,"internalType":"uint256","name":"closedAmount","type":"uint256"}],"name":"OptionsContractClosed","type":"event"},{"anonymous":false,"inputs":[{"indexed":true,"internalType":"address","name":"series","type":"address"},{"indexed":false,"internalType":"uint256","name":"vaultId","type":"uint256"},{"indexed":false,"internalType":"uint256","name":"optionsAmount","type":"uint256"}],"name":"OptionsContractOpened","type":"event"},{"anonymous":false,"inputs":[{"indexed":true,"internalType":"address","name":"series","type":"address"},{"indexed":false,"internalType":"uint256","name":"collateralReturned","type":"uint256"},{"indexed":false,"internalType":"uint256","name":"collateralLost","type":"uint256"},{"indexed":false,"internalType":"uint256","name":"amountLost","type":"uint256"}],"name":"OptionsContractSettled","type":"event"},{"anonymous":false,"inputs":[{"indexed":false,"internalType":"address","name":"series","type":"address"},{"indexed":false,"internalType":"uint256","name":"underlyingAmount","type":"uint256"},{"indexed":false,"internalType":"uint256","name":"strikeAmount","type":"uint256"}],"name":"SeriesRedeemed","type":"event"},{"anonymous":false,"inputs":[{"indexed":true,"internalType":"address","name":"series","type":"address"},{"indexed":false,"internalType":"uint256","name":"vaultId","type":"uint256"},{"indexed":false,"internalType":"uint256","name":"amountLiquidated","type":"uint256"},{"indexed":false,"internalType":"uint256","name":"collateralLiquidated","type":"uint256"}],"name":"VaultLiquidationRegistered","type":"event"},{"inputs":[],"name":"addressBook","outputs":[{"internalType":"contract AddressBookInterface","name":"","type":"address"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"uint256","name":"vaultId","type":"uint256"}],"name":"adjustCollateral","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"uint256","name":"vaultId","type":"uint256"}],"name":"adjustCollateralCaller","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[],"name":"authority","outputs":[{"internalType":"contract IAuthority","name":"","type":"address"}],"stateMutability":"view","type":"function"},{"inputs":[],"name":"callLowerHealthFactor","outputs":[{"internalType":"uint64","name":"","type":"uint64"}],"stateMutability":"view","type":"function"},{"inputs":[],"name":"callUpperHealthFactor","outputs":[{"internalType":"uint64","name":"","type":"uint64"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"uint256","name":"vaultId","type":"uint256"}],"name":"checkVaultHealth","outputs":[{"internalType":"bool","name":"isBelowMin","type":"bool"},{"internalType":"bool","name":"isAboveMax","type":"bool"},{"internalType":"uint256","name":"healthFactor","type":"uint256"},{"internalType":"uint256","name":"upperHealthFactor","type":"uint256"},{"internalType":"uint256","name":"collatRequired","type":"uint256"},{"internalType":"address","name":"collatAsset","type":"address"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"address","name":"_series","type":"address"},{"internalType":"uint256","name":"amount","type":"uint256"}],"name":"close","outputs":[{"internalType":"bool","name":"","type":"bool"},{"internalType":"uint256","name":"","type":"uint256"}],"stateMutability":"nonpayable","type":"function"},{"inputs":[],"name":"collateralAsset","outputs":[{"internalType":"address","name":"","type":"address"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"uint256","name":"strikePrice","type":"uint256"},{"internalType":"address","name":"collateral","type":"address"}],"name":"formatStrikePrice","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"stateMutability":"view","type":"function"},{"inputs":[],"name":"gammaController","outputs":[{"internalType":"address","name":"","type":"address"}],"stateMutability":"view","type":"function"},{"inputs":[{"components":[{"internalType":"uint64","name":"expiration","type":"uint64"},{"internalType":"uint128","name":"strike","type":"uint128"},{"internalType":"bool","name":"isPut","type":"bool"},{"internalType":"address","name":"underlying","type":"address"},{"internalType":"address","name":"strikeAsset","type":"address"},{"internalType":"address","name":"collateral","type":"address"}],"internalType":"struct Types.OptionSeries","name":"series","type":"tuple"},{"internalType":"uint256","name":"amount","type":"uint256"}],"name":"getCollateral","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"stateMutability":"view","type":"function"},{"inputs":[{"components":[{"internalType":"uint64","name":"expiration","type":"uint64"},{"internalType":"uint128","name":"strike","type":"uint128"},{"internalType":"bool","name":"isPut","type":"bool"},{"internalType":"address","name":"underlying","type":"address"},{"internalType":"address","name":"strikeAsset","type":"address"},{"internalType":"address","name":"collateral","type":"address"}],"internalType":"struct Types.OptionSeries","name":"_series","type":"tuple"}],"name":"getIssuanceHash","outputs":[{"internalType":"bytes32","name":"","type":"bytes32"}],"stateMutability":"pure","type":"function"},{"inputs":[{"internalType":"address","name":"underlying","type":"address"},{"internalType":"address","name":"strikeAsset","type":"address"},{"internalType":"uint256","name":"expiration","type":"uint256"},{"internalType":"bool","name":"isPut","type":"bool"},{"internalType":"uint256","name":"strike","type":"uint256"},{"internalType":"address","name":"collateral","type":"address"}],"name":"getOtoken","outputs":[{"internalType":"address","name":"","type":"address"}],"stateMutability":"view","type":"function"},{"inputs":[{"components":[{"internalType":"uint64","name":"expiration","type":"uint64"},{"internalType":"uint128","name":"strike","type":"uint128"},{"internalType":"bool","name":"isPut","type":"bool"},{"internalType":"address","name":"underlying","type":"address"},{"internalType":"address","name":"strikeAsset","type":"address"},{"internalType":"address","name":"collateral","type":"address"}],"internalType":"struct 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Types.OptionSeries","name":"","type":"tuple"}],"stateMutability":"view","type":"function"},{"inputs":[{"components":[{"internalType":"uint64","name":"expiration","type":"uint64"},{"internalType":"uint128","name":"strike","type":"uint128"},{"internalType":"bool","name":"isPut","type":"bool"},{"internalType":"address","name":"underlying","type":"address"},{"internalType":"address","name":"strikeAsset","type":"address"},{"internalType":"address","name":"collateral","type":"address"}],"internalType":"struct Types.OptionSeries","name":"optionSeries","type":"tuple"}],"name":"issue","outputs":[{"internalType":"address","name":"","type":"address"}],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"address","name":"","type":"address"}],"name":"keeper","outputs":[{"internalType":"bool","name":"","type":"bool"}],"stateMutability":"view","type":"function"},{"inputs":[],"name":"liquidityPool","outputs":[{"internalType":"address","name":"","type":"address"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"address","name":"_series","type":"address"},{"internalType":"uint256","name":"amount","type":"uint256"},{"internalType":"uint256","name":"collateralAmount","type":"uint256"}],"name":"open","outputs":[{"internalType":"bool","name":"","type":"bool"},{"internalType":"uint256","name":"","type":"uint256"}],"stateMutability":"nonpayable","type":"function"},{"inputs":[],"name":"putLowerHealthFactor","outputs":[{"internalType":"uint64","name":"","type":"uint64"}],"stateMutability":"view","type":"function"},{"inputs":[],"name":"putUpperHealthFactor","outputs":[{"internalType":"uint64","name":"","type":"uint64"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"address","name":"_series","type":"address"}],"name":"redeem","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"uint256","name":"vaultId","type":"uint256"}],"name":"registerLiquidatedVault","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"address","name":"","type":"address"}],"name":"seriesInfo","outputs":[{"internalType":"uint64","name":"expiration","type":"uint64"},{"internalType":"uint128","name":"strike","type":"uint128"},{"internalType":"bool","name":"isPut","type":"bool"},{"internalType":"address","name":"underlying","type":"address"},{"internalType":"address","name":"strikeAsset","type":"address"},{"internalType":"address","name":"collateral","type":"address"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"contract IAuthority","name":"_newAuthority","type":"address"}],"name":"setAuthority","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"uint64","name":"_putLower","type":"uint64"},{"internalType":"uint64","name":"_putUpper","type":"uint64"},{"internalType":"uint64","name":"_callLower","type":"uint64"},{"internalType":"uint64","name":"_callUpper","type":"uint64"}],"name":"setHealthThresholds","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"address","name":"_target","type":"address"},{"internalType":"bool","name":"_auth","type":"bool"}],"name":"setKeeper","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"address","name":"_newLiquidityPool","type":"address"}],"name":"setLiquidityPool","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"address","name":"_series","type":"address"}],"name":"settle","outputs":[{"internalType":"bool","name":"","type":"bool"},{"internalType":"uint256","name":"","type":"uint256"},{"internalType":"uint256","name":"","type":"uint256"},{"internalType":"uint256","name":"","type":"uint256"}],"stateMutability":"nonpayable","type":"function"},{"inputs":[],"name":"vaultCount","outputs":[{"internalType":"uint64","name":"","type":"uint64"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"address","name":"","type":"address"}],"name":"vaultIds","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"uint256","name":"vaultId","type":"uint256"}],"name":"wCollatLiquidatedVault","outputs":[],"stateMutability":"nonpayable","type":"function"}]Contract Creation Code
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Constructor Arguments (ABI-Encoded and is the last bytes of the Contract Creation Code above)
000000000000000000000000ff970a61a04b1ca14834a43f5de4533ebddb5cc8000000000000000000000000ba1952ecdba02de66fcf73f29068e8cf072644ec000000000000000000000000594bd4ec29f7900ae29549c140ac53b5240d4019000000000000000000000000b9f33349db1d0711d95c1198acba9511b8269626000000000000000000000000a67d0c1180e0e183f482304a9b5436a3478f0674000000000000000000000000ca19f26c52b11186b4b1e76a662a14da5149ea5a0000000000000000000000000c83e447dc7f4045b8717d5321056d4e9e86dcd2
-----Decoded View---------------
Arg [0] : _collateralAsset (address): 0xff970a61a04b1ca14834a43f5de4533ebddb5cc8
Arg [1] : _oTokenFactory (address): 0xba1952ecdba02de66fcf73f29068e8cf072644ec
Arg [2] : _gammaController (address): 0x594bd4ec29f7900ae29549c140ac53b5240d4019
Arg [3] : _marginPool (address): 0xb9f33349db1d0711d95c1198acba9511b8269626
Arg [4] : _liquidityPool (address): 0xa67d0c1180e0e183f482304a9b5436a3478f0674
Arg [5] : _addressBook (address): 0xca19f26c52b11186b4b1e76a662a14da5149ea5a
Arg [6] : _authority (address): 0x0c83e447dc7f4045b8717d5321056d4e9e86dcd2
-----Encoded View---------------
7 Constructor Arguments found :
Arg [0] : 000000000000000000000000ff970a61a04b1ca14834a43f5de4533ebddb5cc8
Arg [1] : 000000000000000000000000ba1952ecdba02de66fcf73f29068e8cf072644ec
Arg [2] : 000000000000000000000000594bd4ec29f7900ae29549c140ac53b5240d4019
Arg [3] : 000000000000000000000000b9f33349db1d0711d95c1198acba9511b8269626
Arg [4] : 000000000000000000000000a67d0c1180e0e183f482304a9b5436a3478f0674
Arg [5] : 000000000000000000000000ca19f26c52b11186b4b1e76a662a14da5149ea5a
Arg [6] : 0000000000000000000000000c83e447dc7f4045b8717d5321056d4e9e86dcd2
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