ERC-721
Overview
Max Total Supply
0 Ly-wETH-ot
Holders
0
Total Transfers
-
Market
Onchain Market Cap
$0.00
Circulating Supply Market Cap
-
Other Info
Token Contract
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Contract Name:
OptionToken
Compiler Version
v0.8.16+commit.07a7930e
Optimization Enabled:
Yes with 1000 runs
Other Settings:
default evmVersion
Contract Source Code (Solidity Standard Json-Input format)
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Libraries import "./synthetix/DecimalMath.sol"; import "./libraries/ConvertDecimals.sol"; import "openzeppelin-contracts-4.4.1/utils/math/SafeCast.sol"; // Inherited import "openzeppelin-contracts-4.4.1/token/ERC721/extensions/ERC721Enumerable.sol"; import "./synthetix/Owned.sol"; import "./libraries/SimpleInitializable.sol"; import "openzeppelin-contracts-4.4.1/security/ReentrancyGuard.sol"; // Interfaces import "./OptionMarket.sol"; import "./BaseExchangeAdapter.sol"; import "./OptionGreekCache.sol"; /** * @title OptionToken * @author Lyra * @dev Provides a tokenized representation of each trade position including amount of options and collateral. */ contract OptionToken is Owned, SimpleInitializable, ReentrancyGuard, ERC721Enumerable { using DecimalMath for uint; enum PositionState { EMPTY, ACTIVE, CLOSED, LIQUIDATED, SETTLED, MERGED } enum PositionUpdatedType { OPENED, ADJUSTED, CLOSED, SPLIT_FROM, SPLIT_INTO, MERGED, MERGED_INTO, SETTLED, LIQUIDATED, TRANSFER } struct OptionPosition { uint positionId; uint strikeId; OptionMarket.OptionType optionType; uint amount; uint collateral; PositionState state; } /////////////// // Parameters // /////////////// struct PartialCollateralParameters { // Percent of collateral used for penalty (amm + sm + liquidator fees) uint penaltyRatio; // Percent of penalty used for amm fees uint liquidatorFeeRatio; // Percent of penalty used for SM fees uint smFeeRatio; // Minimal value of quote that is used to charge a fee uint minLiquidationFee; } /////////////// // In-memory // /////////////// struct PositionWithOwner { uint positionId; uint strikeId; OptionMarket.OptionType optionType; uint amount; uint collateral; PositionState state; address owner; } struct LiquidationFees { uint returnCollateral; // quote || base uint lpPremiums; // quote || base uint lpFee; // quote || base uint liquidatorFee; // quote || base uint smFee; // quote || base uint insolventAmount; // quote } /////////////// // Variables // /////////////// OptionMarket internal optionMarket; OptionGreekCache internal greekCache; address internal shortCollateral; BaseExchangeAdapter internal exchangeAdapter; mapping(uint => OptionPosition) public positions; uint public nextId = 1; PartialCollateralParameters public partialCollatParams; string public baseURI; /////////// // Setup // /////////// constructor(string memory name_, string memory symbol_) ERC721(name_, symbol_) Owned() {} /** * @notice Initialise the contract. * * @param _optionMarket The OptionMarket contract address. */ function init( OptionMarket _optionMarket, OptionGreekCache _greekCache, address _shortCollateral, BaseExchangeAdapter _exchangeAdapter ) external onlyOwner initializer { optionMarket = _optionMarket; greekCache = _greekCache; shortCollateral = _shortCollateral; exchangeAdapter = _exchangeAdapter; } /////////// // Admin // /////////// /// @notice set PartialCollateralParameters function setPartialCollateralParams(PartialCollateralParameters memory _partialCollatParams) external onlyOwner { if ( _partialCollatParams.penaltyRatio > DecimalMath.UNIT || (_partialCollatParams.liquidatorFeeRatio + _partialCollatParams.smFeeRatio) > DecimalMath.UNIT ) { revert InvalidPartialCollateralParameters(address(this), _partialCollatParams); } partialCollatParams = _partialCollatParams; emit PartialCollateralParamsSet(partialCollatParams); } /** * @param newURI The new uri definition for the contract. */ function setURI(string memory newURI) external onlyOwner { baseURI = newURI; emit URISet(baseURI); } function _baseURI() internal view override returns (string memory) { return baseURI; } ///////////////////////// // Adjusting positions // ///////////////////////// /** * @notice Adjusts position amount and collateral when position is: * - opened * - closed * - forceClosed * - liquidated * * @param trade TradeParameters as defined in OptionMarket. * @param strikeId id of strike for adjusted position. * @param trader owner of position. * @param positionId id of position. * @param optionCost totalCost of closing or opening position. * @param setCollateralTo final collateral to leave in position. * @param isOpen whether order is to increase or decrease position.amount. * * @return uint positionId of position being adjusted (relevant for new positions) * @return pendingCollateral amount of additional quote to receive from msg.sender */ function adjustPosition( OptionMarket.TradeParameters memory trade, uint strikeId, address trader, uint positionId, uint optionCost, uint setCollateralTo, bool isOpen ) external onlyOptionMarket returns (uint, int pendingCollateral) { OptionPosition storage position; bool newPosition = false; if (positionId == 0) { if (!isOpen) { revert CannotClosePositionZero(address(this)); } if (trade.amount == 0) { revert CannotOpenZeroAmount(address(this)); } positionId = nextId++; _mint(trader, positionId); position = positions[positionId]; position.positionId = positionId; position.strikeId = strikeId; position.optionType = trade.optionType; position.state = PositionState.ACTIVE; newPosition = true; } else { position = positions[positionId]; } if ( position.positionId == 0 || position.state != PositionState.ACTIVE || position.strikeId != strikeId || position.optionType != trade.optionType ) { revert CannotAdjustInvalidPosition( address(this), positionId, position.positionId == 0, position.state != PositionState.ACTIVE, position.strikeId != strikeId, position.optionType != trade.optionType ); } if (trader != ownerOf(position.positionId)) { revert OnlyOwnerCanAdjustPosition(address(this), positionId, trader, ownerOf(position.positionId)); } if (isOpen) { position.amount += trade.amount; } else { position.amount -= trade.amount; } if (position.amount == 0) { if (setCollateralTo != 0) { revert FullyClosingWithNonZeroSetCollateral(address(this), position.positionId, setCollateralTo); } // return all collateral to the user if they fully close the position pendingCollateral = -(SafeCast.toInt256(position.collateral)); if ( trade.optionType == OptionMarket.OptionType.SHORT_CALL_QUOTE || trade.optionType == OptionMarket.OptionType.SHORT_PUT_QUOTE ) { // Add the optionCost to the inverted collateral (subtract from collateral) pendingCollateral += SafeCast.toInt256(optionCost); } position.collateral = 0; position.state = PositionState.CLOSED; _burn(position.positionId); // burn tokens that have been closed. emit PositionUpdated(position.positionId, trader, PositionUpdatedType.CLOSED, position, block.timestamp); return (position.positionId, pendingCollateral); } if (_isShort(trade.optionType)) { uint preCollateral = position.collateral; if (trade.optionType != OptionMarket.OptionType.SHORT_CALL_BASE) { if (isOpen) { preCollateral += optionCost; } else { // This will only throw if the position is insolvent preCollateral -= optionCost; } } pendingCollateral = SafeCast.toInt256(setCollateralTo) - SafeCast.toInt256(preCollateral); position.collateral = setCollateralTo; if (canLiquidate(position, trade.expiry, trade.strikePrice, trade.spotPrice)) { revert AdjustmentResultsInMinimumCollateralNotBeingMet(address(this), position, trade.spotPrice); } } // if long, pendingCollateral is 0 - ignore emit PositionUpdated( position.positionId, trader, newPosition ? PositionUpdatedType.OPENED : PositionUpdatedType.ADJUSTED, position, block.timestamp ); return (position.positionId, pendingCollateral); } /** * @notice Only allows increase to position.collateral * * @param positionId id of position. * @param amountCollateral amount of collateral to add to position. * * @return optionType OptionType of adjusted position */ function addCollateral( uint positionId, uint amountCollateral ) external onlyOptionMarket returns (OptionMarket.OptionType optionType) { OptionPosition storage position = positions[positionId]; if (position.positionId == 0 || position.state != PositionState.ACTIVE || !_isShort(position.optionType)) { revert AddingCollateralToInvalidPosition( address(this), positionId, position.positionId == 0, position.state != PositionState.ACTIVE, !_isShort(position.optionType) ); } _requireStrikeNotExpired(position.strikeId); position.collateral += amountCollateral; emit PositionUpdated( position.positionId, ownerOf(positionId), PositionUpdatedType.ADJUSTED, position, block.timestamp ); return position.optionType; } /** * @notice burns and updates position.state when board is settled * @dev invalid positions get caught when trying to query owner for event (or in burn) * * @param positionIds array of position ids to settle */ function settlePositions(uint[] memory positionIds) external onlyShortCollateral { uint positionsLength = positionIds.length; for (uint i = 0; i < positionsLength; ++i) { positions[positionIds[i]].state = PositionState.SETTLED; emit PositionUpdated( positionIds[i], ownerOf(positionIds[i]), PositionUpdatedType.SETTLED, positions[positionIds[i]], block.timestamp ); _burn(positionIds[i]); } } ///////////////// // Liquidation // ///////////////// /** * @notice checks of liquidation is valid, burns liquidation position and determines fee distribution * @dev called when 'OptionMarket.liquidatePosition()' is called * * @param positionId position id to liquidate * @param trade TradeParameters as defined in OptionMarket * @param totalCost totalCost paid to LiquidityPool from position.collateral (excludes liquidation fees) */ function liquidate( uint positionId, OptionMarket.TradeParameters memory trade, uint totalCost ) external onlyOptionMarket returns (LiquidationFees memory liquidationFees) { OptionPosition storage position = positions[positionId]; if (!canLiquidate(position, trade.expiry, trade.strikePrice, trade.spotPrice)) { revert PositionNotLiquidatable(address(this), position, trade.spotPrice); } uint convertedMinLiquidationFee = partialCollatParams.minLiquidationFee; uint insolvencyMultiplier = DecimalMath.UNIT; if (trade.optionType == OptionMarket.OptionType.SHORT_CALL_BASE) { totalCost = exchangeAdapter.estimateExchangeToExactQuote(address(optionMarket), totalCost); convertedMinLiquidationFee = partialCollatParams.minLiquidationFee.divideDecimal(trade.spotPrice); insolvencyMultiplier = trade.spotPrice; } position.state = PositionState.LIQUIDATED; emit PositionUpdated( position.positionId, ownerOf(position.positionId), PositionUpdatedType.LIQUIDATED, position, block.timestamp ); _burn(positionId); return getLiquidationFees(totalCost, position.collateral, convertedMinLiquidationFee, insolvencyMultiplier); } /** * @notice checks whether position is valid and position.collateral < minimum required collateral * @dev useful for estimating liquidatability in different spot/strike/expiry scenarios * * @param position any OptionPosition struct (does not need to be an existing position) * @param expiry expiry of option (does not need to match position.strikeId expiry) * @param strikePrice strike price of position * @param spotPrice spot price of base */ function canLiquidate( OptionPosition memory position, uint expiry, uint strikePrice, uint spotPrice ) public view returns (bool) { if (!_isShort(position.optionType)) { return false; } if (position.state != PositionState.ACTIVE) { return false; } // Option expiry is checked in optionMarket._doTrade() // Will revert if called post expiry uint minCollateral = greekCache.getMinCollateral( position.optionType, strikePrice, expiry, spotPrice, position.amount ); return position.collateral < minCollateral; } /** * @notice gets breakdown of fee distribution during liquidation event * @dev useful for estimating fees earned by all parties during liquidation * * @param gwavPremium totalCost paid to LiquidityPool from position.collateral to close position * @param userPositionCollateral total collateral in position * @param convertedMinLiquidationFee minimum static liquidation fee (defined in partialCollatParams.minLiquidationFee) * @param insolvencyMultiplier used to denominate insolveny in quote in case of base collateral insolvencies */ function getLiquidationFees( uint gwavPremium, // quote || base uint userPositionCollateral, // quote || base uint convertedMinLiquidationFee, // quote || base uint insolvencyMultiplier // 1 for quote || spotPrice for base ) public view returns (LiquidationFees memory liquidationFees) { // User is fully solvent uint minOwed = gwavPremium + convertedMinLiquidationFee; uint totalCollatPenalty; if (userPositionCollateral >= minOwed) { uint remainingCollateral = userPositionCollateral - gwavPremium; totalCollatPenalty = remainingCollateral.multiplyDecimal(partialCollatParams.penaltyRatio); if (totalCollatPenalty < convertedMinLiquidationFee) { totalCollatPenalty = convertedMinLiquidationFee; } liquidationFees.returnCollateral = remainingCollateral - totalCollatPenalty; } else { // user is insolvent liquidationFees.returnCollateral = 0; // edge case where short call base collat < minLiquidationFee if (userPositionCollateral >= convertedMinLiquidationFee) { totalCollatPenalty = convertedMinLiquidationFee; liquidationFees.insolventAmount = (minOwed - userPositionCollateral).multiplyDecimal(insolvencyMultiplier); } else { totalCollatPenalty = userPositionCollateral; liquidationFees.insolventAmount = (gwavPremium).multiplyDecimal(insolvencyMultiplier); } } liquidationFees.smFee = totalCollatPenalty.multiplyDecimal(partialCollatParams.smFeeRatio); liquidationFees.liquidatorFee = totalCollatPenalty.multiplyDecimal(partialCollatParams.liquidatorFeeRatio); liquidationFees.lpFee = totalCollatPenalty - (liquidationFees.smFee + liquidationFees.liquidatorFee); liquidationFees.lpPremiums = userPositionCollateral - totalCollatPenalty - liquidationFees.returnCollateral; } /////////////// // Transfers // /////////////// /** * @notice Allows a user to split a curent position into two. The amount of the original position will * be subtracted from and a new position will be minted with the desired amount and collateral. * @dev Only ACTIVE positions can be owned by users, so status does not need to be checked * @dev Both resulting positions must not be liquidatable * * @param positionId the positionId of the original position to be split * @param newAmount the amount in the new position * @param newCollateral the amount of collateral for the new position * @param recipient recipient of new position */ function split( uint positionId, uint newAmount, uint newCollateral, address recipient ) external nonReentrant notGlobalPaused returns (uint newPositionId) { OptionPosition storage originalPosition = positions[positionId]; // Will both check whether position is valid and whether approved to split // Will revert if it is an invalid positionId or inactive position (as they cannot be owned) if (!_isApprovedOrOwner(msg.sender, originalPosition.positionId)) { revert SplittingUnapprovedPosition(address(this), msg.sender, originalPosition.positionId); } _requireStrikeNotExpired(originalPosition.strikeId); // Do not allow splits that result in originalPosition.amount = 0 && newPosition.amount = 0; if (newAmount >= originalPosition.amount || newAmount == 0) { revert InvalidSplitAmount(address(this), originalPosition.amount, newAmount); } originalPosition.amount -= newAmount; // Create new position newPositionId = nextId++; _mint(recipient, newPositionId); OptionPosition storage newPosition = positions[newPositionId]; newPosition.positionId = newPositionId; newPosition.amount = newAmount; newPosition.strikeId = originalPosition.strikeId; newPosition.optionType = originalPosition.optionType; newPosition.state = PositionState.ACTIVE; if (_isShort(originalPosition.optionType)) { // only change collateral if partial option type originalPosition.collateral -= newCollateral; newPosition.collateral = newCollateral; (uint strikePrice, uint expiry) = optionMarket.getStrikeAndExpiry(originalPosition.strikeId); uint spotPrice = exchangeAdapter.getSpotPriceForMarket( address(optionMarket), BaseExchangeAdapter.PriceType.REFERENCE ); if (canLiquidate(originalPosition, expiry, strikePrice, spotPrice)) { revert ResultingOriginalPositionLiquidatable(address(this), originalPosition, spotPrice); } if (canLiquidate(newPosition, expiry, strikePrice, spotPrice)) { revert ResultingNewPositionLiquidatable(address(this), newPosition, spotPrice); } } emit PositionUpdated( newPosition.positionId, recipient, PositionUpdatedType.SPLIT_INTO, newPosition, block.timestamp ); emit PositionUpdated( originalPosition.positionId, ownerOf(positionId), PositionUpdatedType.SPLIT_FROM, originalPosition, block.timestamp ); } /** * @notice User can merge many positions with matching strike and optionType into a single position * @dev Only ACTIVE positions can be owned by users, so status does not need to be checked. * @dev Merged position must not be liquidatable. * * @param positionIds the positionIds to be merged together */ function merge(uint[] memory positionIds) external nonReentrant notGlobalPaused { uint positionsLen = positionIds.length; if (positionsLen < 2) { revert MustMergeTwoOrMorePositions(address(this)); } OptionPosition storage firstPosition = positions[positionIds[0]]; if (!_isApprovedOrOwner(msg.sender, firstPosition.positionId)) { revert MergingUnapprovedPosition(address(this), msg.sender, firstPosition.positionId); } _requireStrikeNotExpired(firstPosition.strikeId); address positionOwner = ownerOf(firstPosition.positionId); OptionPosition storage nextPosition; for (uint i = 1; i < positionsLen; ++i) { nextPosition = positions[positionIds[i]]; if (!_isApprovedOrOwner(msg.sender, nextPosition.positionId)) { revert MergingUnapprovedPosition(address(this), msg.sender, nextPosition.positionId); } if ( positionOwner != ownerOf(nextPosition.positionId) || firstPosition.strikeId != nextPosition.strikeId || firstPosition.optionType != nextPosition.optionType || firstPosition.positionId == nextPosition.positionId ) { revert PositionMismatchWhenMerging( address(this), firstPosition, nextPosition, positionOwner != ownerOf(nextPosition.positionId), firstPosition.strikeId != nextPosition.strikeId, firstPosition.optionType != nextPosition.optionType, firstPosition.positionId == nextPosition.positionId ); } firstPosition.amount += nextPosition.amount; firstPosition.collateral += nextPosition.collateral; nextPosition.collateral = 0; nextPosition.amount = 0; nextPosition.state = PositionState.MERGED; // By burning the position, if the position owner is queried again, it will revert. _burn(positionIds[i]); emit PositionUpdated( nextPosition.positionId, positionOwner, PositionUpdatedType.MERGED, nextPosition, block.timestamp ); } // make sure final position is not liquidatable if (_isShort(firstPosition.optionType)) { (uint strikePrice, uint expiry) = optionMarket.getStrikeAndExpiry(firstPosition.strikeId); uint spotPrice = exchangeAdapter.getSpotPriceForMarket( address(optionMarket), BaseExchangeAdapter.PriceType.REFERENCE ); if (canLiquidate(firstPosition, expiry, strikePrice, spotPrice)) { revert ResultingNewPositionLiquidatable(address(this), firstPosition, spotPrice); } } emit PositionUpdated( firstPosition.positionId, positionOwner, PositionUpdatedType.MERGED_INTO, firstPosition, block.timestamp ); } ////////// // Util // ////////// /// @dev Returns bool on whether the optionType is SHORT_CALL_BASE, SHORT_CALL_QUOTE or SHORT_PUT_QUOTE function _isShort(OptionMarket.OptionType optionType) internal pure returns (bool shortPosition) { shortPosition = (uint(optionType) >= uint(OptionMarket.OptionType.SHORT_CALL_BASE)) ? true : false; } /// @dev Returns the PositionState of a given positionId function getPositionState(uint positionId) external view returns (PositionState) { return positions[positionId].state; } /// @dev Returns an OptionPosition struct of a given positionId function getOptionPosition(uint positionId) external view returns (OptionPosition memory) { return positions[positionId]; } /// @dev Returns an array of OptionPosition structs given an array of positionIds function getOptionPositions(uint[] memory positionIds) external view returns (OptionPosition[] memory) { uint positionsLen = positionIds.length; OptionPosition[] memory result = new OptionPosition[](positionsLen); for (uint i = 0; i < positionsLen; ++i) { result[i] = positions[positionIds[i]]; } return result; } /// @dev Returns a PositionWithOwner struct of a given positionId (same as OptionPosition but with owner) function getPositionWithOwner(uint positionId) external view returns (PositionWithOwner memory) { return _getPositionWithOwner(positionId); } /// @dev Returns an array of PositionWithOwner structs given an array of positionIds function getPositionsWithOwner(uint[] memory positionIds) external view returns (PositionWithOwner[] memory) { uint positionsLen = positionIds.length; PositionWithOwner[] memory result = new PositionWithOwner[](positionsLen); for (uint i = 0; i < positionsLen; ++i) { result[i] = _getPositionWithOwner(positionIds[i]); } return result; } /// @notice Returns an array of OptionPosition structs owned by a given address /// @dev Meant to be used offchain as it can run out of gas function getOwnerPositions(address target) external view returns (OptionPosition[] memory) { uint balance = balanceOf(target); OptionPosition[] memory result = new OptionPosition[](balance); for (uint i = 0; i < balance; ++i) { result[i] = positions[ERC721Enumerable.tokenOfOwnerByIndex(target, i)]; } return result; } function _getPositionWithOwner(uint positionId) internal view returns (PositionWithOwner memory) { OptionPosition memory position = positions[positionId]; return PositionWithOwner({ positionId: position.positionId, strikeId: position.strikeId, optionType: position.optionType, amount: position.amount, collateral: position.collateral, state: position.state, owner: ownerOf(positionId) }); } /// @dev returns PartialCollateralParameters struct function getPartialCollatParams() external view returns (PartialCollateralParameters memory) { return partialCollatParams; } function _requireStrikeNotExpired(uint strikeId) internal view { (, uint priceAtExpiry, , ) = optionMarket.getSettlementParameters(strikeId); if (priceAtExpiry != 0) { revert StrikeIsSettled(address(this), strikeId); } } /////////////// // Modifiers // /////////////// modifier onlyOptionMarket() { if (msg.sender != address(optionMarket)) { revert OnlyOptionMarket(address(this), msg.sender, address(optionMarket)); } _; } modifier onlyShortCollateral() { if (msg.sender != address(shortCollateral)) { revert OnlyShortCollateral(address(this), msg.sender, address(shortCollateral)); } _; } modifier notGlobalPaused() { exchangeAdapter.requireNotGlobalPaused(address(optionMarket)); _; } function _beforeTokenTransfer(address from, address to, uint tokenId) internal override { super._beforeTokenTransfer(from, to, tokenId); if (from != address(0) && to != address(0)) { emit PositionUpdated(tokenId, to, PositionUpdatedType.TRANSFER, positions[tokenId], block.timestamp); } } //////////// // Events // /////////// /** * @dev Emitted when the URI is modified */ event URISet(string URI); /** * @dev Emitted when partial collateral parameters are modified */ event PartialCollateralParamsSet(PartialCollateralParameters partialCollateralParams); /** * @dev Emitted when a position is minted, adjusted, burned, merged or split. */ event PositionUpdated( uint indexed positionId, address indexed owner, PositionUpdatedType indexed updatedType, OptionPosition position, uint timestamp ); //////////// // Errors // //////////// // Admin error InvalidPartialCollateralParameters(address thrower, PartialCollateralParameters partialCollatParams); // Adjusting error AdjustmentResultsInMinimumCollateralNotBeingMet(address thrower, OptionPosition position, uint spotPrice); error CannotClosePositionZero(address thrower); error CannotOpenZeroAmount(address thrower); error CannotAdjustInvalidPosition( address thrower, uint positionId, bool invalidPositionId, bool positionInactive, bool strikeMismatch, bool optionTypeMismatch ); error OnlyOwnerCanAdjustPosition(address thrower, uint positionId, address trader, address owner); error FullyClosingWithNonZeroSetCollateral(address thrower, uint positionId, uint setCollateralTo); error AddingCollateralToInvalidPosition( address thrower, uint positionId, bool invalidPositionId, bool positionInactive, bool isShort ); // Liquidation error PositionNotLiquidatable(address thrower, OptionPosition position, uint spotPrice); // Splitting error SplittingUnapprovedPosition(address thrower, address caller, uint positionId); error InvalidSplitAmount(address thrower, uint originalPositionAmount, uint splitAmount); error ResultingOriginalPositionLiquidatable(address thrower, OptionPosition position, uint spotPrice); error ResultingNewPositionLiquidatable(address thrower, OptionPosition position, uint spotPrice); // Merging error MustMergeTwoOrMorePositions(address thrower); error MergingUnapprovedPosition(address thrower, address caller, uint positionId); error PositionMismatchWhenMerging( address thrower, OptionPosition firstPosition, OptionPosition nextPosition, bool ownerMismatch, bool strikeMismatch, bool optionTypeMismatch, bool duplicatePositionId ); // Access error StrikeIsSettled(address thrower, uint strikeId); error OnlyOptionMarket(address thrower, address caller, address optionMarket); error OnlyShortCollateral(address thrower, address caller, address shortCollateral); }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Libraries import "./synthetix/DecimalMath.sol"; import "./libraries/ConvertDecimals.sol"; // Inherited import "./synthetix/OwnedUpgradeable.sol"; // Interfaces import "./interfaces/IERC20Decimals.sol"; /** * @title BaseExchangeAdapter * @author Lyra * @dev Base contract for managing access to exchange functions. */ abstract contract BaseExchangeAdapter is OwnedUpgradeable { enum PriceType { MIN_PRICE, // minimise the spot based on logic in adapter - can revert MAX_PRICE, // maximise the spot based on logic in adapter REFERENCE, FORCE_MIN, // minimise the spot based on logic in adapter - shouldn't revert unless feeds are compromised FORCE_MAX } /// @dev Pause the whole market. Note; this will not pause settling previously expired options. mapping(address => bool) public isMarketPaused; // @dev Pause the whole system. bool public isGlobalPaused; uint[48] private __gap; //////////////////// // Initialization // //////////////////// function initialize() external initializer { __Ownable_init(); } ///////////// // Pausing // ///////////// ///@dev Pauses all market actions for a given market. function setMarketPaused(address optionMarket, bool isPaused) external onlyOwner { if (optionMarket == address(0)) { revert InvalidAddress(address(this), optionMarket); } isMarketPaused[optionMarket] = isPaused; emit MarketPausedSet(optionMarket, isPaused); } /** * @dev Pauses all market actions across all markets. */ function setGlobalPaused(bool isPaused) external onlyOwner { isGlobalPaused = isPaused; emit GlobalPausedSet(isPaused); } /// @dev Revert if the global state is paused function requireNotGlobalPaused(address optionMarket) external view { _checkNotGlobalPaused(); } /// @dev Revert if the global state or market is paused function requireNotMarketPaused(address optionMarket) external view notPaused(optionMarket) {} ///////////// // Getters // ///////////// /** * @notice get the risk-free interest rate */ function rateAndCarry(address /*_optionMarket*/) external view virtual returns (int) { revert NotImplemented(address(this)); } /** * @notice Gets spot price of the optionMarket's base asset. * @dev All rates are denominated in terms of quoteAsset. * * @param pricing enum to specify which pricing to use */ function getSpotPriceForMarket( address optionMarket, PriceType pricing ) external view virtual notPaused(optionMarket) returns (uint spotPrice) { revert NotImplemented(address(this)); } /** * @notice Gets spot price of the optionMarket's base asset used for settlement * @dev All rates are denominated in terms of quoteAsset. * * @param optionMarket the baseAsset for this optionMarket */ function getSettlementPriceForMarket( address optionMarket, uint expiry ) external view virtual notPaused(optionMarket) returns (uint spotPrice) { revert NotImplemented(address(this)); } //////////////////// // Estimate swaps // //////////////////// /** * @notice Returns the base needed to swap for the amount in quote * @dev All rates are denominated in terms of quoteAsset. * * @param optionMarket the baseAsset used for this optionMarket * @param amountQuote the requested amount of quote */ function estimateExchangeToExactQuote( address optionMarket, uint amountQuote ) external view virtual returns (uint baseNeeded) { revert NotImplemented(address(this)); } /** * @notice Returns the quote needed to swap for the amount in base * @dev All rates are denominated in terms of quoteAsset. */ function estimateExchangeToExactBase( address optionMarket, uint amountBase ) external view virtual returns (uint quoteNeeded) { revert NotImplemented(address(this)); } /////////// // Swaps // /////////// /** * @notice Swaps base for quote * @dev All rates are denominated in terms of quoteAsset. */ function exchangeFromExactBase(address optionMarket, uint amountBase) external virtual returns (uint quoteReceived) { revert NotImplemented(address(this)); } /** * @dev Swap an exact amount of quote for base. */ function exchangeFromExactQuote(address optionMarket, uint amountQuote) external virtual returns (uint baseReceived) { revert NotImplemented(address(this)); } /** * @notice Swaps quote for base * @dev All rates are denominated in terms of quoteAsset. * * @param quoteLimit The max amount of quote that can be used to receive `amountBase`. */ function exchangeToExactBaseWithLimit( address optionMarket, uint amountBase, uint quoteLimit ) external virtual returns (uint quoteSpent, uint baseReceived) { revert NotImplemented(address(this)); } /** * @notice Swap an exact amount of base for any amount of quote. */ function exchangeToExactBase( address optionMarket, uint amountBase ) external virtual returns (uint quoteSpent, uint baseReceived) { revert NotImplemented(address(this)); } /** * @notice Swaps quote for base * @dev All rates are denominated in terms of quoteAsset. * * @param baseLimit The max amount of base that can be used to receive `amountQuote`. */ function exchangeToExactQuoteWithLimit( address optionMarket, uint amountQuote, uint baseLimit ) external virtual returns (uint quoteSpent, uint baseReceived) { revert NotImplemented(address(this)); } /** * @notice Swap to an exact amount of quote for any amount of base. */ function exchangeToExactQuote( address optionMarket, uint amountQuote ) external virtual returns (uint baseSpent, uint quoteReceived) { revert NotImplemented(address(this)); } ////////////// // Internal // ////////////// function _receiveAsset(IERC20Decimals asset, uint amount) internal returns (uint convertedAmount) { convertedAmount = ConvertDecimals.convertFrom18(amount, asset.decimals()); if (!asset.transferFrom(msg.sender, address(this), convertedAmount)) { revert AssetTransferFailed(address(this), asset, msg.sender, address(this), convertedAmount); } } function _transferAsset(IERC20Decimals asset, address recipient, uint amount) internal { uint convertedAmount = ConvertDecimals.convertFrom18(amount, asset.decimals()); if (!asset.transfer(recipient, convertedAmount)) { revert AssetTransferFailed(address(this), asset, address(this), recipient, convertedAmount); } } function _checkNotGlobalPaused() internal view { if (isGlobalPaused) { revert AllMarketsPaused(address(this)); } } function _checkNotMarketPaused(address contractAddress) internal view { if (isMarketPaused[contractAddress]) { revert MarketIsPaused(address(this), contractAddress); } } /////////////// // Modifiers // /////////////// modifier notPaused(address contractAddress) { _checkNotGlobalPaused(); _checkNotMarketPaused(contractAddress); _; } //////////// // Events // //////////// /// @dev Emitted when GlobalPause. event GlobalPausedSet(bool isPaused); /// @dev Emitted when single market paused. event MarketPausedSet(address indexed contractAddress, bool isPaused); /** * @dev Emitted when an exchange for base to quote occurs. * Which base and quote were swapped can be determined by the given marketAddress. */ event BaseSwappedForQuote( address indexed marketAddress, address indexed exchanger, uint baseSwapped, uint quoteReceived ); /** * @dev Emitted when an exchange for quote to base occurs. * Which base and quote were swapped can be determined by the given marketAddress. */ event QuoteSwappedForBase( address indexed marketAddress, address indexed exchanger, uint quoteSwapped, uint baseReceived ); //////////// // Errors // //////////// // Admin error InvalidAddress(address thrower, address inputAddress); error NotImplemented(address thrower); // Market Paused error AllMarketsPaused(address thrower); error MarketIsPaused(address thrower, address marketAddress); // Swapping errors error AssetTransferFailed(address thrower, IERC20Decimals asset, address sender, address receiver, uint amount); error TransferFailed(address thrower, IERC20Decimals asset, address from, address to, uint amount); error InsufficientSwap( address thrower, uint amountOut, uint minAcceptedOut, IERC20Decimals tokenIn, IERC20Decimals tokenOut, address receiver ); error QuoteBaseExchangeExceedsLimit( address thrower, uint amountBaseRequested, uint quoteToSpend, uint quoteLimit, uint spotPrice, bytes32 quoteKey, bytes32 baseKey ); error BaseQuoteExchangeExceedsLimit( address thrower, uint amountQuoteRequested, uint baseToSpend, uint baseLimit, uint spotPrice, bytes32 baseKey, bytes32 quoteKey ); }
//SPDX-License-Identifier: ISC pragma solidity ^0.8.0; import "openzeppelin-contracts-4.4.1/token/ERC20/IERC20.sol"; /** * @dev Optional functions from the ERC20 standard. */ interface IERC20Decimals is IERC20 { /** * @dev Returns the name of the token. */ function name() external view returns (string memory); /** * @dev Returns the symbol of the token, usually a shorter version of the * name. */ function symbol() external view returns (string memory); /** * @dev Returns the number of decimals used to get its user representation. * For example, if `decimals` equals `2`, a balance of `505` tokens should * be displayed to a user as `5.05` (`505 / 10 ** 2`). * * Tokens usually opt for a value of 18, imitating the relationship between * Ether and Wei. This is the value {ERC20} uses, unless this function is * overridden; * * NOTE: This information is only used for _display_ purposes: it in * no way affects any of the arithmetic of the contract, including * {IERC20-balanceOf} and {IERC20-transfer}. */ function decimals() external view returns (uint8); }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // https://docs.synthetix.io/contracts/source/interfaces/iaddressresolver interface ILiquidityTracker { function addTokens(address trader, uint amount) external; function removeTokens(address trader, uint amount) external; }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Libraries import "../synthetix/SignedDecimalMath.sol"; import "../synthetix/DecimalMath.sol"; import "./FixedPointMathLib.sol"; import "./Math.sol"; /** * @title BlackScholes * @author Lyra * @dev Contract to compute the black scholes price of options. Where the unit is unspecified, it should be treated as a * PRECISE_DECIMAL, which has 1e27 units of precision. The default decimal matches the ethereum standard of 1e18 units * of precision. */ library BlackScholes { using DecimalMath for uint; using SignedDecimalMath for int; struct PricesDeltaStdVega { uint callPrice; uint putPrice; int callDelta; int putDelta; uint vega; uint stdVega; } /** * @param timeToExpirySec Number of seconds to the expiry of the option * @param volatilityDecimal Implied volatility over the period til expiry as a percentage * @param spotDecimal The current price of the base asset * @param strikePriceDecimal The strikePrice price of the option * @param rateDecimal The percentage risk free rate + carry cost */ struct BlackScholesInputs { uint timeToExpirySec; uint volatilityDecimal; uint spotDecimal; uint strikePriceDecimal; int rateDecimal; } uint private constant SECONDS_PER_YEAR = 31536000; /// @dev Internally this library uses 27 decimals of precision uint private constant PRECISE_UNIT = 1e27; uint private constant SQRT_TWOPI = 2506628274631000502415765285; /// @dev Value to use to avoid any division by 0 or values near 0 uint private constant MIN_T_ANNUALISED = PRECISE_UNIT / SECONDS_PER_YEAR; // 1 second uint private constant MIN_VOLATILITY = PRECISE_UNIT / 10000; // 0.001% uint private constant VEGA_STANDARDISATION_MIN_DAYS = 7 days; /// @dev Magic numbers for normal CDF uint private constant SPLIT = 7071067811865470000000000000; uint private constant N0 = 220206867912376000000000000000; uint private constant N1 = 221213596169931000000000000000; uint private constant N2 = 112079291497871000000000000000; uint private constant N3 = 33912866078383000000000000000; uint private constant N4 = 6373962203531650000000000000; uint private constant N5 = 700383064443688000000000000; uint private constant N6 = 35262496599891100000000000; uint private constant M0 = 440413735824752000000000000000; uint private constant M1 = 793826512519948000000000000000; uint private constant M2 = 637333633378831000000000000000; uint private constant M3 = 296564248779674000000000000000; uint private constant M4 = 86780732202946100000000000000; uint private constant M5 = 16064177579207000000000000000; uint private constant M6 = 1755667163182640000000000000; uint private constant M7 = 88388347648318400000000000; ///////////////////////////////////// // Option Pricing public functions // ///////////////////////////////////// /** * @dev Returns call and put prices for options with given parameters. */ function optionPrices(BlackScholesInputs memory bsInput) public pure returns (uint call, uint put) { uint tAnnualised = _annualise(bsInput.timeToExpirySec); uint spotPrecise = bsInput.spotDecimal.decimalToPreciseDecimal(); uint strikePricePrecise = bsInput.strikePriceDecimal.decimalToPreciseDecimal(); int ratePrecise = bsInput.rateDecimal.decimalToPreciseDecimal(); (int d1, int d2) = _d1d2( tAnnualised, bsInput.volatilityDecimal.decimalToPreciseDecimal(), spotPrecise, strikePricePrecise, ratePrecise ); (call, put) = _optionPrices(tAnnualised, spotPrecise, strikePricePrecise, ratePrecise, d1, d2); return (call.preciseDecimalToDecimal(), put.preciseDecimalToDecimal()); } /** * @dev Returns call/put prices and delta/stdVega for options with given parameters. */ function pricesDeltaStdVega(BlackScholesInputs memory bsInput) public pure returns (PricesDeltaStdVega memory) { uint tAnnualised = _annualise(bsInput.timeToExpirySec); uint spotPrecise = bsInput.spotDecimal.decimalToPreciseDecimal(); (int d1, int d2) = _d1d2( tAnnualised, bsInput.volatilityDecimal.decimalToPreciseDecimal(), spotPrecise, bsInput.strikePriceDecimal.decimalToPreciseDecimal(), bsInput.rateDecimal.decimalToPreciseDecimal() ); (uint callPrice, uint putPrice) = _optionPrices( tAnnualised, spotPrecise, bsInput.strikePriceDecimal.decimalToPreciseDecimal(), bsInput.rateDecimal.decimalToPreciseDecimal(), d1, d2 ); (uint vegaPrecise, uint stdVegaPrecise) = _standardVega(d1, spotPrecise, bsInput.timeToExpirySec); (int callDelta, int putDelta) = _delta(d1); return PricesDeltaStdVega( callPrice.preciseDecimalToDecimal(), putPrice.preciseDecimalToDecimal(), callDelta.preciseDecimalToDecimal(), putDelta.preciseDecimalToDecimal(), vegaPrecise.preciseDecimalToDecimal(), stdVegaPrecise.preciseDecimalToDecimal() ); } /** * @dev Returns call delta given parameters. */ function delta(BlackScholesInputs memory bsInput) public pure returns (int callDeltaDecimal, int putDeltaDecimal) { uint tAnnualised = _annualise(bsInput.timeToExpirySec); uint spotPrecise = bsInput.spotDecimal.decimalToPreciseDecimal(); (int d1, ) = _d1d2( tAnnualised, bsInput.volatilityDecimal.decimalToPreciseDecimal(), spotPrecise, bsInput.strikePriceDecimal.decimalToPreciseDecimal(), bsInput.rateDecimal.decimalToPreciseDecimal() ); (int callDelta, int putDelta) = _delta(d1); return (callDelta.preciseDecimalToDecimal(), putDelta.preciseDecimalToDecimal()); } /** * @dev Returns non-normalized vega given parameters. Quoted in cents. */ function vega(BlackScholesInputs memory bsInput) public pure returns (uint vegaDecimal) { uint tAnnualised = _annualise(bsInput.timeToExpirySec); uint spotPrecise = bsInput.spotDecimal.decimalToPreciseDecimal(); (int d1, ) = _d1d2( tAnnualised, bsInput.volatilityDecimal.decimalToPreciseDecimal(), spotPrecise, bsInput.strikePriceDecimal.decimalToPreciseDecimal(), bsInput.rateDecimal.decimalToPreciseDecimal() ); return _vega(tAnnualised, spotPrecise, d1).preciseDecimalToDecimal(); } ////////////////////// // Computing Greeks // ////////////////////// /** * @dev Returns internal coefficients of the Black-Scholes call price formula, d1 and d2. * @param tAnnualised Number of years to expiry * @param volatility Implied volatility over the period til expiry as a percentage * @param spot The current price of the base asset * @param strikePrice The strikePrice price of the option * @param rate The percentage risk free rate + carry cost */ function _d1d2( uint tAnnualised, uint volatility, uint spot, uint strikePrice, int rate ) internal pure returns (int d1, int d2) { // Set minimum values for tAnnualised and volatility to not break computation in extreme scenarios // These values will result in option prices reflecting only the difference in stock/strikePrice, which is expected. // This should be caught before calling this function, however the function shouldn't break if the values are 0. tAnnualised = tAnnualised < MIN_T_ANNUALISED ? MIN_T_ANNUALISED : tAnnualised; volatility = volatility < MIN_VOLATILITY ? MIN_VOLATILITY : volatility; int vtSqrt = int(volatility.multiplyDecimalRoundPrecise(_sqrtPrecise(tAnnualised))); int log = FixedPointMathLib.lnPrecise(int(spot.divideDecimalRoundPrecise(strikePrice))); int v2t = (int(volatility.multiplyDecimalRoundPrecise(volatility) / 2) + rate).multiplyDecimalRoundPrecise( int(tAnnualised) ); d1 = (log + v2t).divideDecimalRoundPrecise(vtSqrt); d2 = d1 - vtSqrt; } /** * @dev Internal coefficients of the Black-Scholes call price formula. * @param tAnnualised Number of years to expiry * @param spot The current price of the base asset * @param strikePrice The strikePrice price of the option * @param rate The percentage risk free rate + carry cost * @param d1 Internal coefficient of Black-Scholes * @param d2 Internal coefficient of Black-Scholes */ function _optionPrices( uint tAnnualised, uint spot, uint strikePrice, int rate, int d1, int d2 ) internal pure returns (uint call, uint put) { uint strikePricePV = strikePrice.multiplyDecimalRoundPrecise( FixedPointMathLib.expPrecise(int(-rate.multiplyDecimalRoundPrecise(int(tAnnualised)))) ); uint spotNd1 = spot.multiplyDecimalRoundPrecise(_stdNormalCDF(d1)); uint strikePriceNd2 = strikePricePV.multiplyDecimalRoundPrecise(_stdNormalCDF(d2)); // We clamp to zero if the minuend is less than the subtrahend // In some scenarios it may be better to compute put price instead and derive call from it depending on which way // around is more precise. call = strikePriceNd2 <= spotNd1 ? spotNd1 - strikePriceNd2 : 0; put = call + strikePricePV; put = spot <= put ? put - spot : 0; } /* * Greeks */ /** * @dev Returns the option's delta value * @param d1 Internal coefficient of Black-Scholes */ function _delta(int d1) internal pure returns (int callDelta, int putDelta) { callDelta = int(_stdNormalCDF(d1)); putDelta = callDelta - int(PRECISE_UNIT); } /** * @dev Returns the option's vega value based on d1. Quoted in cents. * * @param d1 Internal coefficient of Black-Scholes * @param tAnnualised Number of years to expiry * @param spot The current price of the base asset */ function _vega(uint tAnnualised, uint spot, int d1) internal pure returns (uint) { return _sqrtPrecise(tAnnualised).multiplyDecimalRoundPrecise(_stdNormal(d1).multiplyDecimalRoundPrecise(spot)); } /** * @dev Returns the option's vega value with expiry modified to be at least VEGA_STANDARDISATION_MIN_DAYS * @param d1 Internal coefficient of Black-Scholes * @param spot The current price of the base asset * @param timeToExpirySec Number of seconds to expiry */ function _standardVega(int d1, uint spot, uint timeToExpirySec) internal pure returns (uint, uint) { uint tAnnualised = _annualise(timeToExpirySec); uint normalisationFactor = _getVegaNormalisationFactorPrecise(timeToExpirySec); uint vegaPrecise = _vega(tAnnualised, spot, d1); return (vegaPrecise, vegaPrecise.multiplyDecimalRoundPrecise(normalisationFactor)); } function _getVegaNormalisationFactorPrecise(uint timeToExpirySec) internal pure returns (uint) { timeToExpirySec = timeToExpirySec < VEGA_STANDARDISATION_MIN_DAYS ? VEGA_STANDARDISATION_MIN_DAYS : timeToExpirySec; uint daysToExpiry = timeToExpirySec / 1 days; uint thirty = 30 * PRECISE_UNIT; return _sqrtPrecise(thirty / daysToExpiry) / 100; } ///////////////////// // Math Operations // ///////////////////// /// @notice Calculates the square root of x, rounding down (borrowed from https://github.com/paulrberg/prb-math) /// @dev Uses the Babylonian method https://en.wikipedia.org/wiki/Methods_of_computing_square_roots#Babylonian_method. /// @param x The uint256 number for which to calculate the square root. /// @return result The result as an uint256. function _sqrt(uint x) internal pure returns (uint result) { if (x == 0) { return 0; } // Calculate the square root of the perfect square of a power of two that is the closest to x. uint xAux = uint(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 uint roundedDownResult = x / result; return result >= roundedDownResult ? roundedDownResult : result; } } /** * @dev Returns the square root of the value using Newton's method. */ function _sqrtPrecise(uint x) internal pure returns (uint) { // Add in an extra unit factor for the square root to gobble; // otherwise, sqrt(x * UNIT) = sqrt(x) * sqrt(UNIT) return _sqrt(x * PRECISE_UNIT); } /** * @dev The standard normal distribution of the value. */ function _stdNormal(int x) internal pure returns (uint) { return FixedPointMathLib.expPrecise(int(-x.multiplyDecimalRoundPrecise(x / 2))).divideDecimalRoundPrecise(SQRT_TWOPI); } /** * @dev The standard normal cumulative distribution of the value. * borrowed from a C++ implementation https://stackoverflow.com/a/23119456 */ function _stdNormalCDF(int x) public pure returns (uint) { uint z = Math.abs(x); int c = 0; if (z <= 37 * PRECISE_UNIT) { uint e = FixedPointMathLib.expPrecise(-int(z.multiplyDecimalRoundPrecise(z / 2))); if (z < SPLIT) { c = int( (_stdNormalCDFNumerator(z).divideDecimalRoundPrecise(_stdNormalCDFDenom(z)).multiplyDecimalRoundPrecise(e)) ); } else { uint f = (z + PRECISE_UNIT.divideDecimalRoundPrecise( z + (2 * PRECISE_UNIT).divideDecimalRoundPrecise( z + (3 * PRECISE_UNIT).divideDecimalRoundPrecise( z + (4 * PRECISE_UNIT).divideDecimalRoundPrecise(z + ((PRECISE_UNIT * 13) / 20)) ) ) )); c = int(e.divideDecimalRoundPrecise(f.multiplyDecimalRoundPrecise(SQRT_TWOPI))); } } return uint((x <= 0 ? c : (int(PRECISE_UNIT) - c))); } /** * @dev Helper for _stdNormalCDF */ function _stdNormalCDFNumerator(uint z) internal pure returns (uint) { uint numeratorInner = ((((((N6 * z) / PRECISE_UNIT + N5) * z) / PRECISE_UNIT + N4) * z) / PRECISE_UNIT + N3); return (((((numeratorInner * z) / PRECISE_UNIT + N2) * z) / PRECISE_UNIT + N1) * z) / PRECISE_UNIT + N0; } /** * @dev Helper for _stdNormalCDF */ function _stdNormalCDFDenom(uint z) internal pure returns (uint) { uint denominatorInner = ((((((M7 * z) / PRECISE_UNIT + M6) * z) / PRECISE_UNIT + M5) * z) / PRECISE_UNIT + M4); return (((((((denominatorInner * z) / PRECISE_UNIT + M3) * z) / PRECISE_UNIT + M2) * z) / PRECISE_UNIT + M1) * z) / PRECISE_UNIT + M0; } /** * @dev Converts an integer number of seconds to a fractional number of years. */ function _annualise(uint secs) internal pure returns (uint yearFraction) { return secs.divideDecimalRoundPrecise(SECONDS_PER_YEAR); } }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Libraries import "./Math.sol"; /** * @title ConvertDecimals * @author Lyra * @dev Contract to convert amounts to and from erc20 tokens to 18 dp. */ library ConvertDecimals { /// @dev Converts amount from token native dp to 18 dp. This cuts off precision for decimals > 18. function convertTo18(uint amount, uint8 decimals) internal pure returns (uint) { return (amount * 1e18) / (10 ** decimals); } /// @dev Converts amount from 18dp to token.decimals(). This cuts off precision for decimals < 18. function convertFrom18(uint amount, uint8 decimals) internal pure returns (uint) { return (amount * (10 ** decimals)) / 1e18; } /// @dev Converts amount from a given precisionFactor to 18 dp. This cuts off precision for decimals > 18. function normaliseTo18(uint amount, uint precisionFactor) internal pure returns (uint) { return (amount * 1e18) / precisionFactor; } // Loses precision /// @dev Converts amount from 18dp to the given precisionFactor. This cuts off precision for decimals < 18. function normaliseFrom18(uint amount, uint precisionFactor) internal pure returns (uint) { return (amount * precisionFactor) / 1e18; } /// @dev Ensure a value converted from 18dp is rounded up, to ensure the value requested is covered fully. function convertFrom18AndRoundUp(uint amount, uint8 assetDecimals) internal pure returns (uint amountConverted) { // If we lost precision due to conversion we ensure the lost value is rounded up to the lowest precision of the asset if (assetDecimals < 18) { // Taking the ceil of 10^(18-decimals) will ensure the first n (asset decimals) have precision when converting amount = Math.ceil(amount, 10 ** (18 - assetDecimals)); } amountConverted = ConvertDecimals.convertFrom18(amount, assetDecimals); } }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Slightly modified version of: // - https://github.com/recmo/experiment-solexp/blob/605738f3ed72d6c67a414e992be58262fbc9bb80/src/FixedPointMathLib.sol library FixedPointMathLib { /// @dev Computes ln(x) for a 1e27 fixed point. Loses 9 last significant digits of precision. function lnPrecise(int x) internal pure returns (int r) { return ln(x / 1e9) * 1e9; } /// @dev Computes e ^ x for a 1e27 fixed point. Loses 9 last significant digits of precision. function expPrecise(int x) internal pure returns (uint r) { return exp(x / 1e9) * 1e9; } // Computes ln(x) in 1e18 fixed point. // Reverts if x is negative or zero. // Consumes 670 gas. function ln(int x) internal pure returns (int r) { unchecked { if (x < 1) { if (x < 0) revert LnNegativeUndefined(); revert Overflow(); } // We want to convert x from 10**18 fixed point to 2**96 fixed point. // We do this by multiplying by 2**96 / 10**18. // But since ln(x * C) = ln(x) + ln(C), we can simply do nothing here // and add ln(2**96 / 10**18) at the end. // Reduce range of x to (1, 2) * 2**96 // ln(2^k * x) = k * ln(2) + ln(x) // Note: inlining ilog2 saves 8 gas. int k = int(ilog2(uint(x))) - 96; x <<= uint(159 - k); x = int(uint(x) >> 159); // Evaluate using a (8, 8)-term rational approximation // p is made monic, we will multiply by a scale factor later int p = x + 3273285459638523848632254066296; p = ((p * x) >> 96) + 24828157081833163892658089445524; p = ((p * x) >> 96) + 43456485725739037958740375743393; p = ((p * x) >> 96) - 11111509109440967052023855526967; p = ((p * x) >> 96) - 45023709667254063763336534515857; p = ((p * x) >> 96) - 14706773417378608786704636184526; p = p * x - (795164235651350426258249787498 << 96); //emit log_named_int("p", p); // We leave p in 2**192 basis so we don't need to scale it back up for the division. // q is monic by convention int q = x + 5573035233440673466300451813936; q = ((q * x) >> 96) + 71694874799317883764090561454958; q = ((q * x) >> 96) + 283447036172924575727196451306956; q = ((q * x) >> 96) + 401686690394027663651624208769553; q = ((q * x) >> 96) + 204048457590392012362485061816622; q = ((q * x) >> 96) + 31853899698501571402653359427138; q = ((q * x) >> 96) + 909429971244387300277376558375; assembly { // Div in assembly because solidity adds a zero check despite the `unchecked`. // The q polynomial is known not to have zeros in the domain. (All roots are complex) // No scaling required because p is already 2**96 too large. r := sdiv(p, q) } // r is in the range (0, 0.125) * 2**96 // Finalization, we need to // * multiply by the scale factor s = 5.549… // * add ln(2**96 / 10**18) // * add k * ln(2) // * multiply by 10**18 / 2**96 = 5**18 >> 78 // mul s * 5e18 * 2**96, base is now 5**18 * 2**192 r *= 1677202110996718588342820967067443963516166; // add ln(2) * k * 5e18 * 2**192 r += 16597577552685614221487285958193947469193820559219878177908093499208371 * k; // add ln(2**96 / 10**18) * 5e18 * 2**192 r += 600920179829731861736702779321621459595472258049074101567377883020018308; // base conversion: mul 2**18 / 2**192 r >>= 174; } } // Integer log2 // @returns floor(log2(x)) if x is nonzero, otherwise 0. This is the same // as the location of the highest set bit. // Consumes 232 gas. This could have been an 3 gas EVM opcode though. function ilog2(uint x) internal pure returns (uint r) { assembly { r := shl(7, lt(0xffffffffffffffffffffffffffffffff, x)) r := or(r, shl(6, lt(0xffffffffffffffff, shr(r, x)))) r := or(r, shl(5, lt(0xffffffff, shr(r, x)))) r := or(r, shl(4, lt(0xffff, shr(r, x)))) r := or(r, shl(3, lt(0xff, shr(r, x)))) r := or(r, shl(2, lt(0xf, shr(r, x)))) r := or(r, shl(1, lt(0x3, shr(r, x)))) r := or(r, lt(0x1, shr(r, x))) } } // Computes e^x in 1e18 fixed point. function exp(int x) internal pure returns (uint r) { unchecked { // Input x is in fixed point format, with scale factor 1/1e18. // When the result is < 0.5 we return zero. This happens when // x <= floor(log(0.5e18) * 1e18) ~ -42e18 if (x <= -42139678854452767551) { return 0; } // When the result is > (2**255 - 1) / 1e18 we can not represent it // as an int256. This happens when x >= floor(log((2**255 -1) / 1e18) * 1e18) ~ 135. if (x >= 135305999368893231589) revert ExpOverflow(); // x is now in the range (-42, 136) * 1e18. Convert to (-42, 136) * 2**96 // for more intermediate precision and a binary basis. This base conversion // is a multiplication by 1e18 / 2**96 = 5**18 / 2**78. x = (x << 78) / 5 ** 18; // Reduce range of x to (-½ ln 2, ½ ln 2) * 2**96 by factoring out powers of two // such that exp(x) = exp(x') * 2**k, where k is an integer. // Solving this gives k = round(x / log(2)) and x' = x - k * log(2). int k = ((x << 96) / 54916777467707473351141471128 + 2 ** 95) >> 96; x = x - k * 54916777467707473351141471128; // k is in the range [-61, 195]. // Evaluate using a (6, 7)-term rational approximation // p is made monic, we will multiply by a scale factor later int p = x + 2772001395605857295435445496992; p = ((p * x) >> 96) + 44335888930127919016834873520032; p = ((p * x) >> 96) + 398888492587501845352592340339721; p = ((p * x) >> 96) + 1993839819670624470859228494792842; p = p * x + (4385272521454847904632057985693276 << 96); // We leave p in 2**192 basis so we don't need to scale it back up for the division. // Evaluate using using Knuth's scheme from p. 491. int z = x + 750530180792738023273180420736; z = ((z * x) >> 96) + 32788456221302202726307501949080; int w = x - 2218138959503481824038194425854; w = ((w * z) >> 96) + 892943633302991980437332862907700; int q = z + w - 78174809823045304726920794422040; q = ((q * w) >> 96) + 4203224763890128580604056984195872; assembly { // Div in assembly because solidity adds a zero check despite the `unchecked`. // The q polynomial is known not to have zeros in the domain. (All roots are complex) // No scaling required because p is already 2**96 too large. r := sdiv(p, q) } // r should be in the range (0.09, 0.25) * 2**96. // We now need to multiply r by // * the scale factor s = ~6.031367120..., // * the 2**k factor from the range reduction, and // * the 1e18 / 2**96 factor for base converison. // We do all of this at once, with an intermediate result in 2**213 basis // so the final right shift is always by a positive amount. r = (uint(r) * 3822833074963236453042738258902158003155416615667) >> uint(195 - k); } } error Overflow(); error ExpOverflow(); error LnNegativeUndefined(); }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Libraries import "../synthetix/SignedDecimalMath.sol"; import "../synthetix/DecimalMath.sol"; import "./FixedPointMathLib.sol"; /** * @title Geometric Moving Average Oracle * @author Lyra * @dev Instances of stored oracle data, "observations", are collected in the oracle array * * The GWAV values are calculated from the blockTimestamps and "q" accumulator values of two Observations. When * requested the closest observations are scaled to the requested timestamp. */ library GWAV { using DecimalMath for uint; using SignedDecimalMath for int; /// @dev Stores all past Observations and the current index struct Params { Observation[] observations; uint index; } /// @dev An observation holds the cumulative log value of all historic observations (accumulator) /// and other relevant fields for computing the next accumulator value. /// @dev A pair of oracle Observations is used to deduce the GWAV TWAP struct Observation { int q; // accumulator value used to compute GWAV uint nextVal; // value at the time the observation was made, used to calculate the next q value uint blockTimestamp; } ///////////// // Setters // ///////////// /** * @notice Initialize the oracle array by writing the first Observation. * @dev Called once for the lifecycle of the observations array * @dev First Observation uses blockTimestamp as the time interval to prevent manipulation of the GWAV immediately * after initialization * @param self Stores past Observations and the index of the latest Observation * @param newVal First observed value for blockTimestamp * @param blockTimestamp Timestamp of first Observation */ function _initialize(Params storage self, uint newVal, uint blockTimestamp) internal { // if Observation older than blockTimestamp is used for GWAV, // _getFirstBefore() will scale the first Observation "q" accordingly _initializeWithManualQ(self, FixedPointMathLib.ln((int(newVal))) * int(blockTimestamp), newVal, blockTimestamp); } /** * @notice Writes an oracle Observation to the GWAV array * @dev Writable at most once per block. BlockTimestamp must be > last.blockTimestamp * @param self Stores past Observations and the index of the latest Observation * @param nextVal Value at given blockTimestamp * @param blockTimestamp Current blockTimestamp */ function _write(Params storage self, uint nextVal, uint blockTimestamp) internal { Observation memory last = self.observations[self.index]; // Ensure entries are sequential if (blockTimestamp < last.blockTimestamp) { revert InvalidBlockTimestamp(address(this), blockTimestamp, last.blockTimestamp); } // early return if we've already written an observation this block if (last.blockTimestamp == blockTimestamp) { self.observations[self.index].nextVal = nextVal; return; } // No reason to record an entry if it's the same as the last one if (last.nextVal == nextVal) return; // update accumulator value // assumes the market value between the previous and current blockTimstamps was "last.nextVal" uint timestampDelta = blockTimestamp - last.blockTimestamp; int newQ = last.q + FixedPointMathLib.ln((int(last.nextVal))) * int(timestampDelta); // update latest index and store Observation uint indexUpdated = (self.index + 1); self.observations.push(_transform(newQ, nextVal, blockTimestamp)); self.index = indexUpdated; } ///////////// // Getters // ///////////// /** * @notice Calculates the geometric moving average between two Observations A & B. These observations are scaled to * the requested timestamps * @dev For the current GWAV value, "0" may be passed in for secondsAgo * @dev If timestamps A==B, returns the value at A/B. * @param self Stores past Observations and the index of the latest Observation * @param secondsAgoA Seconds from blockTimestamp to Observation A * @param secondsAgoB Seconds from blockTimestamp to Observation B */ function getGWAVForPeriod(Params storage self, uint secondsAgoA, uint secondsAgoB) public view returns (uint) { (uint v0, int q0, uint t0) = queryFirstBeforeAndScale(self, block.timestamp, secondsAgoA); (, int q1, uint t1) = queryFirstBeforeAndScale(self, block.timestamp, secondsAgoB); // if the record found for each timestamp is the same, return the recorded value. if (t0 == t1) return v0; return uint(FixedPointMathLib.exp((q1 - q0) / int(t1 - t0))); } /** * @notice Returns the GWAV accumulator/timestamps values for each "secondsAgo" in the array `secondsAgos[]` * @param currentBlockTimestamp Timestamp of current block * @param secondsAgos Array of all timestamps for which to export accumulator/timestamp values */ function observe( Params storage self, uint currentBlockTimestamp, uint[] memory secondsAgos ) public view returns (int[] memory qCumulatives, uint[] memory timestamps) { uint secondsAgosLength = secondsAgos.length; qCumulatives = new int[](secondsAgosLength); timestamps = new uint[](secondsAgosLength); for (uint i = 0; i < secondsAgosLength; ++i) { (qCumulatives[i], timestamps[i]) = queryFirstBefore(self, currentBlockTimestamp, secondsAgos[i]); } } ////////////////////////////////////////////////////// // Querying observation closest to target timestamp // ////////////////////////////////////////////////////// /** * @notice Finds the first observation before a timestamp "secondsAgo" from the "currentBlockTimestamp" * @dev If target falls between two Observations, the older one is returned * @dev See _queryFirstBefore() for edge cases where target lands * after the newest Observation or before the oldest Observation * @dev Reverts if secondsAgo exceeds the currentBlockTimestamp * @param self Stores past Observations and the index of the latest Observation * @param currentBlockTimestamp Timestamp of current block * @param secondsAgo Seconds from currentBlockTimestamp to target Observation */ function queryFirstBefore( Params storage self, uint currentBlockTimestamp, uint secondsAgo ) internal view returns (int qCumulative, uint timestamp) { uint target = currentBlockTimestamp - secondsAgo; Observation memory beforeOrAt = _queryFirstBefore(self, target); return (beforeOrAt.q, beforeOrAt.blockTimestamp); } function queryFirstBeforeAndScale( Params storage self, uint currentBlockTimestamp, uint secondsAgo ) internal view returns (uint v, int qCumulative, uint timestamp) { uint target = currentBlockTimestamp - secondsAgo; Observation memory beforeOrAt = _queryFirstBefore(self, target); int timestampDelta = int(target - beforeOrAt.blockTimestamp); return ( beforeOrAt.nextVal, beforeOrAt.q + (FixedPointMathLib.ln(int(beforeOrAt.nextVal)) * timestampDelta), target ); } /** * @notice Finds the first observation before the "target" timestamp * @dev Checks for trivial scenarios before entering _binarySearch() * @dev Assumes _initialize() has been called * @param self Stores past Observations and the index of the latest Observation * @param target BlockTimestamp of target Observation */ function _queryFirstBefore(Params storage self, uint target) private view returns (Observation memory beforeOrAt) { // Case 1: target blockTimestamp is at or after the most recent Observation beforeOrAt = self.observations[self.index]; if (beforeOrAt.blockTimestamp <= target) { return (beforeOrAt); } // Now, set to the oldest observation beforeOrAt = self.observations[0]; // Case 2: target blockTimestamp is older than the oldest Observation // The observation is scaled to the target using the nextVal if (beforeOrAt.blockTimestamp > target) { return _transform((beforeOrAt.q * int(target)) / int(beforeOrAt.blockTimestamp), beforeOrAt.nextVal, target); } // Case 3: target is within the recorded Observations. return self.observations[_binarySearch(self, target)]; } /** * @notice Finds closest Observation before target using binary search and returns its index * @dev Used when the target is located within the stored observation boundaries * e.g. Older than the most recent observation and younger, or the same age as, the oldest observation * @return foundIndex Returns the Observation which is older than target (instead of newer) * @param self Stores past Observations and the index of the latest Observation * @param target BlockTimestamp of target Observation */ function _binarySearch(Params storage self, uint target) internal view returns (uint) { uint oldest = 0; // oldest observation uint newest = self.index; // newest observation uint i = 0; while (true) { i = (oldest + newest) / 2; uint beforeOrAtTimestamp = self.observations[i].blockTimestamp; uint atOrAfterTimestamp = self.observations[i + 1].blockTimestamp; bool targetAtOrAfter = beforeOrAtTimestamp <= target; // check if we've found the answer! if (targetAtOrAfter && target <= atOrAfterTimestamp) break; if (!targetAtOrAfter) { newest = i - 1; } else { oldest = i + 1; } } return i; } ///////////// // Utility // ///////////// /** * @notice Creates the first Observation with manual Q accumulator value. * @param qVal Initial GWAV accumulator value * @param nextVal First observed value for blockTimestamp * @param blockTimestamp Timestamp of Observation */ function _initializeWithManualQ(Params storage self, int qVal, uint nextVal, uint blockTimestamp) internal { self.observations.push(Observation({q: qVal, nextVal: nextVal, blockTimestamp: blockTimestamp})); } /** * @dev Creates an Observation given a GWAV accumulator, latest value, and a blockTimestamp */ function _transform(int newQ, uint nextVal, uint blockTimestamp) private pure returns (Observation memory) { return Observation({q: newQ, nextVal: nextVal, blockTimestamp: blockTimestamp}); } //////////// // Errors // //////////// error InvalidBlockTimestamp(address thrower, uint timestamp, uint lastObservedTimestamp); }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; /** * @title Math * @author Lyra * @dev Library to unify logic for common shared functions */ library Math { /// @dev Return the minimum value between the two inputs function min(uint x, uint y) internal pure returns (uint) { return (x < y) ? x : y; } /// @dev Return the maximum value between the two inputs function max(uint x, uint y) internal pure returns (uint) { return (x > y) ? x : y; } /// @dev Compute the absolute value of `val`. function abs(int val) internal pure returns (uint) { return uint(val < 0 ? -val : val); } /// @dev Takes ceiling of a to m precision /// @param m represents 1eX where X is the number of trailing 0's function ceil(uint a, uint m) internal pure returns (uint) { return ((a + m - 1) / m) * m; } }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Interfaces import "../LiquidityPool.sol"; /** * @title PoolHedger * @author Lyra * @dev Scaffold for using the delta hedging funds from the LiquidityPool to hedge option deltas, so LPs are minimally * exposed to movements in the underlying asset price. */ abstract contract PoolHedger { struct PoolHedgerParameters { uint interactionDelay; uint hedgeCap; } LiquidityPool internal liquidityPool; PoolHedgerParameters internal poolHedgerParams; uint public lastInteraction; ///////////// // Only LP // ///////////// function resetInteractionDelay() external onlyLiquidityPool { lastInteraction = 0; } ///////////// // Getters // ///////////// /** * @dev Returns the current hedged netDelta position. */ function getCurrentHedgedNetDelta() external view virtual returns (int); /// @notice Returns pending delta hedge liquidity and used delta hedge liquidity /// @dev include funds that would need to be transferred to the contract to hedge optimally function getHedgingLiquidity( uint spotPrice ) external view virtual returns (uint pendingDeltaLiquidity, uint usedDeltaLiquidity); /** * @dev Calculates the expected delta hedge that hedger must perform and * adjusts the result down to the hedgeCap param if needed. */ function getCappedExpectedHedge() public view virtual returns (int cappedExpectedHedge); ////////////// // External // ////////////// /// @param increasesPoolDelta Does the trade increase or decrease the pool's net delta position function canHedge(uint tradeSize, bool increasesPoolDelta, uint strikeId) external view virtual returns (bool); /** * @dev Retrieves the netDelta for the system and hedges appropriately. */ function hedgeDelta() external payable virtual; function updateCollateral() external payable virtual; function getPoolHedgerParams() external view virtual returns (PoolHedgerParameters memory) { return poolHedgerParams; } ////////////// // Internal // ////////////// function _setPoolHedgerParams(PoolHedgerParameters memory _poolHedgerParams) internal { poolHedgerParams = _poolHedgerParams; emit PoolHedgerParametersSet(poolHedgerParams); } /////////////// // Modifiers // /////////////// modifier onlyLiquidityPool() { if (msg.sender != address(liquidityPool)) { revert OnlyLiquidityPool(address(this), msg.sender, address(liquidityPool)); } _; } //////////// // Events // //////////// /** * @dev Emitted when pool hedger parameters are updated. */ event PoolHedgerParametersSet(PoolHedgerParameters poolHedgerParams); //////////// // Errors // //////////// // Access error OnlyLiquidityPool(address thrower, address caller, address liquidityPool); }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; /** * @title SimpleInitializable * @author Lyra * @dev Contract to enable a function to be marked as the initializer */ abstract contract SimpleInitializable { bool internal initialized = false; modifier initializer() { if (initialized) { revert AlreadyInitialised(address(this)); } initialized = true; _; } //////////// // Errors // //////////// error AlreadyInitialised(address thrower); }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Libraries import "./synthetix/DecimalMath.sol"; import "./libraries/ConvertDecimals.sol"; import "openzeppelin-contracts-4.4.1/utils/math/SafeCast.sol"; // Inherited import "./synthetix/Owned.sol"; import "./libraries/SimpleInitializable.sol"; import "openzeppelin-contracts-4.4.1/security/ReentrancyGuard.sol"; // Interfaces import "./interfaces/IERC20Decimals.sol"; import "./LiquidityToken.sol"; import "./OptionGreekCache.sol"; import "./OptionMarket.sol"; import "./ShortCollateral.sol"; import "./libraries/PoolHedger.sol"; import "./BaseExchangeAdapter.sol"; /** * @title LiquidityPool * @author Lyra * @dev Holds funds from LPs, which are used for the following purposes: * 1. Collateralizing options sold by the OptionMarket. * 2. Buying options from users. * 3. Delta hedging the LPs. * 4. Storing funds for expired in the money options. */ contract LiquidityPool is Owned, SimpleInitializable, ReentrancyGuard { using DecimalMath for uint; struct Collateral { // This is the total amount of puts * strike uint quote; // This is the total amount of calls uint base; } /// These values are all in quoteAsset amounts. struct Liquidity { // Amount of liquidity available for option collateral and premiums uint freeLiquidity; // Amount of liquidity available for withdrawals - different to freeLiquidity uint burnableLiquidity; // Amount of liquidity reserved for long options sold to traders uint reservedCollatLiquidity; // Portion of liquidity reserved for delta hedging (quote outstanding) uint pendingDeltaLiquidity; // Current value of delta hedge uint usedDeltaLiquidity; // Net asset value, including everything and netOptionValue uint NAV; // longs scaled down by this factor in a contract adjustment event uint longScaleFactor; } struct QueuedDeposit { uint id; // Who will receive the LiquidityToken minted for this deposit after the wait time address beneficiary; // The amount of quoteAsset deposited to be converted to LiquidityToken after wait time uint amountLiquidity; // The amount of LiquidityToken minted. Will equal to 0 if not processed uint mintedTokens; uint depositInitiatedTime; } struct QueuedWithdrawal { uint id; // Who will receive the quoteAsset returned after burning the LiquidityToken address beneficiary; // The amount of LiquidityToken being burnt after the wait time uint amountTokens; // The amount of quote transferred. Will equal to 0 if process not started uint quoteSent; uint withdrawInitiatedTime; } struct LiquidityPoolParameters { // The minimum amount of quoteAsset for a deposit, or the amount of LiquidityToken for a withdrawal uint minDepositWithdraw; // Time between initiating a deposit and when it can be processed uint depositDelay; // Time between initiating a withdrawal and when it can be processed uint withdrawalDelay; // Fee charged on withdrawn funds uint withdrawalFee; // The address of the "guardian" address guardianMultisig; // Length of time a deposit/withdrawal since initiation for before a guardian can force process their transaction uint guardianDelay; // Percentage of liquidity that can be used in a contract adjustment event uint adjustmentNetScalingFactor; // Scale amount of long call collateral held by the LP uint callCollatScalingFactor; // Scale amount of long put collateral held by the LP uint putCollatScalingFactor; } struct CircuitBreakerParameters { // Percentage of NAV below which the liquidity CB fires uint liquidityCBThreshold; // Length of time after the liq. CB stops firing during which deposits/withdrawals are still blocked uint liquidityCBTimeout; // Difference between the spot and GWAV baseline IVs after which point the vol CB will fire uint ivVarianceCBThreshold; // Difference between the spot and GWAV skew ratios after which point the vol CB will fire uint skewVarianceCBThreshold; // Length of time after the (base) vol. CB stops firing during which deposits/withdrawals are still blocked uint ivVarianceCBTimeout; // Length of time after the (skew) vol. CB stops firing during which deposits/withdrawals are still blocked uint skewVarianceCBTimeout; // When a new board is listed, block deposits/withdrawals uint boardSettlementCBTimeout; // Timeout on deposits and withdrawals in a contract adjustment event uint contractAdjustmentCBTimeout; } BaseExchangeAdapter internal exchangeAdapter; OptionMarket internal optionMarket; LiquidityToken internal liquidityToken; ShortCollateral internal shortCollateral; OptionGreekCache internal greekCache; PoolHedger public poolHedger; IERC20Decimals public quoteAsset; IERC20Decimals internal baseAsset; mapping(uint => QueuedDeposit) public queuedDeposits; /// @dev The total amount of quoteAsset pending deposit (that hasn't entered the pool) uint public totalQueuedDeposits = 0; /// @dev The next queue item that needs to be processed uint public queuedDepositHead = 1; uint public nextQueuedDepositId = 1; mapping(uint => QueuedWithdrawal) public queuedWithdrawals; uint public totalQueuedWithdrawals = 0; /// @dev The next queue item that needs to be processed uint public queuedWithdrawalHead = 1; uint public nextQueuedWithdrawalId = 1; /// @dev Parameters relating to depositing and withdrawing from the Lyra LP LiquidityPoolParameters public lpParams; /// @dev Parameters relating to circuit breakers CircuitBreakerParameters public cbParams; // timestamp for when deposits/withdrawals will be available to deposit/withdraw // This checks if liquidity is all used - adds 3 days to block.timestamp if it is // This also checks if vol variance is high - adds 12 hrs to block.timestamp if it is uint public CBTimestamp = 0; //// // Other Variables //// /// @dev Amount of collateral locked for outstanding calls and puts sold to users Collateral public lockedCollateral; /// @dev Total amount of quoteAsset reserved for all settled options that have yet to be paid out uint public totalOutstandingSettlements; /// @dev Total value not transferred to this contract for all shorts that didn't have enough collateral after expiry uint public insolventSettlementAmount; /// @dev Total value not transferred to this contract for all liquidations that didn't have enough collateral when liquidated uint public liquidationInsolventAmount; /// @dev Quote amount that's protected for LPs in case of AMM insolvencies uint public protectedQuote; /////////// // Setup // /////////// constructor() Owned() {} /// @dev Initialise important addresses for the contract function init( BaseExchangeAdapter _exchangeAdapter, OptionMarket _optionMarket, LiquidityToken _liquidityToken, OptionGreekCache _greekCache, PoolHedger _poolHedger, ShortCollateral _shortCollateral, IERC20Decimals _quoteAsset, IERC20Decimals _baseAsset ) external onlyOwner initializer { exchangeAdapter = _exchangeAdapter; optionMarket = _optionMarket; liquidityToken = _liquidityToken; greekCache = _greekCache; shortCollateral = _shortCollateral; poolHedger = _poolHedger; quoteAsset = _quoteAsset; baseAsset = _baseAsset; } /////////// // Admin // /////////// /// @notice set `LiquidityPoolParameteres` function setLiquidityPoolParameters(LiquidityPoolParameters memory _lpParams) external onlyOwner { if ( !(_lpParams.depositDelay < 365 days && _lpParams.withdrawalDelay < 365 days && _lpParams.withdrawalFee < 2e17 && _lpParams.guardianDelay < 365 days) ) { revert InvalidLiquidityPoolParameters(address(this), _lpParams); } lpParams = _lpParams; emit LiquidityPoolParametersUpdated(lpParams); } /// @notice set `LiquidityPoolParameteres` function setCircuitBreakerParameters(CircuitBreakerParameters memory _cbParams) external onlyOwner { if ( !(_cbParams.liquidityCBThreshold < DecimalMath.UNIT && _cbParams.liquidityCBTimeout < 60 days && _cbParams.ivVarianceCBTimeout < 60 days && _cbParams.skewVarianceCBTimeout < 60 days && _cbParams.boardSettlementCBTimeout < 10 days) ) { revert InvalidCircuitBreakerParameters(address(this), _cbParams); } cbParams = _cbParams; emit CircuitBreakerParametersUpdated(cbParams); } /// @dev Swap out current PoolHedger with a new contract function setPoolHedger(PoolHedger newPoolHedger) external onlyOwner { poolHedger = newPoolHedger; emit PoolHedgerUpdated(poolHedger); } /// @notice Allow incorrectly sent funds to be recovered function recoverFunds(IERC20Decimals token, address recipient) external onlyOwner { if (token == quoteAsset || token == baseAsset) { revert CannotRecoverQuoteBase(address(this)); } token.transfer(recipient, token.balanceOf(address(this))); } ////////////////////////////// // Deposits and Withdrawals // ////////////////////////////// /** * @notice LP will send sUSD into the contract in return for LiquidityToken (representative of their share of the entire pool) * to be given either instantly (if no live boards) or after the delay period passes (including CBs). * This action is not reversible. * * @param beneficiary will receive the LiquidityToken after the deposit is processed * @param amountQuote is the amount of sUSD the LP is depositing */ function initiateDeposit(address beneficiary, uint amountQuote) external nonReentrant { uint realQuote = amountQuote; // Convert to 18 dp for LP token minting amountQuote = ConvertDecimals.convertTo18(amountQuote, quoteAsset.decimals()); if (beneficiary == address(0)) { revert InvalidBeneficiaryAddress(address(this), beneficiary); } if (amountQuote < lpParams.minDepositWithdraw) { revert MinimumDepositNotMet(address(this), amountQuote, lpParams.minDepositWithdraw); } // getLiquidity will also make deposits pause when the market/global system is paused Liquidity memory liquidity = getLiquidity(); if (optionMarket.getNumLiveBoards() == 0) { uint tokenPrice = _getTokenPrice(liquidity.NAV, getTotalTokenSupply()); uint amountTokens = amountQuote.divideDecimal(tokenPrice); liquidityToken.mint(beneficiary, amountTokens); // guaranteed to have long scaling factor of 1 when liv boards == 0 protectedQuote = (liquidity.NAV + amountQuote).multiplyDecimal( DecimalMath.UNIT - lpParams.adjustmentNetScalingFactor ); emit DepositProcessed(msg.sender, beneficiary, 0, amountQuote, tokenPrice, amountTokens, block.timestamp); } else { QueuedDeposit storage newDeposit = queuedDeposits[nextQueuedDepositId]; newDeposit.id = nextQueuedDepositId++; newDeposit.beneficiary = beneficiary; newDeposit.amountLiquidity = amountQuote; newDeposit.depositInitiatedTime = block.timestamp; totalQueuedDeposits += amountQuote; emit DepositQueued(msg.sender, beneficiary, newDeposit.id, amountQuote, totalQueuedDeposits, block.timestamp); } if (!quoteAsset.transferFrom(msg.sender, address(this), realQuote)) { revert QuoteTransferFailed(address(this), msg.sender, address(this), realQuote); } } /** * @notice LP instantly burns LiquidityToken, signalling they wish to withdraw * their share of the pool in exchange for quote, to be processed instantly (if no live boards) * or after the delay period passes (including CBs). * This action is not reversible. * * * @param beneficiary will receive * @param amountLiquidityToken: is the amount of LiquidityToken the LP is withdrawing */ function initiateWithdraw(address beneficiary, uint amountLiquidityToken) external nonReentrant { if (beneficiary == address(0)) { revert InvalidBeneficiaryAddress(address(this), beneficiary); } Liquidity memory liquidity = getLiquidity(); uint tokenPrice = _getTokenPrice(liquidity.NAV, getTotalTokenSupply()); uint withdrawalValue = amountLiquidityToken.multiplyDecimal(tokenPrice); if (withdrawalValue < lpParams.minDepositWithdraw && amountLiquidityToken < lpParams.minDepositWithdraw) { revert MinimumWithdrawNotMet(address(this), withdrawalValue, lpParams.minDepositWithdraw); } if (optionMarket.getNumLiveBoards() == 0 && liquidity.longScaleFactor == DecimalMath.UNIT) { _transferQuote(beneficiary, withdrawalValue); protectedQuote = (liquidity.NAV - withdrawalValue).multiplyDecimal( DecimalMath.UNIT - lpParams.adjustmentNetScalingFactor ); // quoteReceived in the event is in 18dp emit WithdrawProcessed( msg.sender, beneficiary, 0, amountLiquidityToken, tokenPrice, withdrawalValue, totalQueuedWithdrawals, block.timestamp ); } else { QueuedWithdrawal storage newWithdrawal = queuedWithdrawals[nextQueuedWithdrawalId]; newWithdrawal.id = nextQueuedWithdrawalId++; newWithdrawal.beneficiary = beneficiary; newWithdrawal.amountTokens = amountLiquidityToken; newWithdrawal.withdrawInitiatedTime = block.timestamp; totalQueuedWithdrawals += amountLiquidityToken; emit WithdrawQueued( msg.sender, beneficiary, newWithdrawal.id, amountLiquidityToken, totalQueuedWithdrawals, block.timestamp ); } liquidityToken.burn(msg.sender, amountLiquidityToken); } /// @param limit number of deposit tickets to process in a single transaction to avoid gas limit soft-locks function processDepositQueue(uint limit) external nonReentrant { Liquidity memory liquidity = _getLiquidityAndUpdateCB(); uint tokenPrice = _getTokenPrice(liquidity.NAV, getTotalTokenSupply()); uint processedDeposits; for (uint i = 0; i < limit; ++i) { QueuedDeposit storage current = queuedDeposits[queuedDepositHead]; if (!_canProcess(current.depositInitiatedTime, lpParams.depositDelay, queuedDepositHead)) { break; } uint amountTokens = current.amountLiquidity.divideDecimal(tokenPrice); liquidityToken.mint(current.beneficiary, amountTokens); current.mintedTokens = amountTokens; processedDeposits += current.amountLiquidity; emit DepositProcessed( msg.sender, current.beneficiary, queuedDepositHead, current.amountLiquidity, tokenPrice, amountTokens, block.timestamp ); current.amountLiquidity = 0; queuedDepositHead++; } // only update if deposit processed to avoid changes when CB's are firing if (processedDeposits != 0) { totalQueuedDeposits -= processedDeposits; protectedQuote = (liquidity.NAV + processedDeposits).multiplyDecimal( DecimalMath.UNIT - lpParams.adjustmentNetScalingFactor ); } } /// @param limit number of withdrawal tickets to process in a single transaction to avoid gas limit soft-locks function processWithdrawalQueue(uint limit) external nonReentrant { uint oldQueuedWithdrawals = totalQueuedWithdrawals; for (uint i = 0; i < limit; ++i) { (uint totalTokensBurnable, uint tokenPriceWithFee) = _getBurnableTokensAndAddFee(); QueuedWithdrawal storage current = queuedWithdrawals[queuedWithdrawalHead]; if (!_canProcess(current.withdrawInitiatedTime, lpParams.withdrawalDelay, queuedWithdrawalHead)) { break; } if (totalTokensBurnable == 0) { break; } uint burnAmount = current.amountTokens; if (burnAmount > totalTokensBurnable) { burnAmount = totalTokensBurnable; } current.amountTokens -= burnAmount; totalQueuedWithdrawals -= burnAmount; uint quoteAmount = burnAmount.multiplyDecimal(tokenPriceWithFee); if (_tryTransferQuote(current.beneficiary, quoteAmount)) { // success current.quoteSent += quoteAmount; } else { // On unknown failure reason, return LP tokens and continue totalQueuedWithdrawals -= current.amountTokens; uint returnAmount = current.amountTokens + burnAmount; liquidityToken.mint(current.beneficiary, returnAmount); current.amountTokens = 0; emit WithdrawReverted( msg.sender, current.beneficiary, queuedWithdrawalHead, tokenPriceWithFee, totalQueuedWithdrawals, block.timestamp, returnAmount ); queuedWithdrawalHead++; continue; } if (current.amountTokens > 0) { emit WithdrawPartiallyProcessed( msg.sender, current.beneficiary, queuedWithdrawalHead, burnAmount, tokenPriceWithFee, quoteAmount, totalQueuedWithdrawals, block.timestamp ); break; } emit WithdrawProcessed( msg.sender, current.beneficiary, queuedWithdrawalHead, burnAmount, tokenPriceWithFee, quoteAmount, totalQueuedWithdrawals, block.timestamp ); queuedWithdrawalHead++; } // only update if withdrawal processed to avoid changes when CB's are firing // getLiquidity() called again to account for withdrawal fee if (oldQueuedWithdrawals > totalQueuedWithdrawals) { Liquidity memory liquidity = getLiquidity(); protectedQuote = liquidity.NAV.multiplyDecimal(DecimalMath.UNIT - lpParams.adjustmentNetScalingFactor); } } /// @dev Checks if deposit/withdrawal ticket can be processed function _canProcess(uint initiatedTime, uint minimumDelay, uint entryId) internal returns (bool) { bool validEntry = initiatedTime != 0; // bypass circuit breaker and stale checks if the guardian is calling and their delay has passed bool guardianBypass = msg.sender == lpParams.guardianMultisig && initiatedTime + lpParams.guardianDelay < block.timestamp; // if minimum delay or circuit breaker timeout hasn't passed, we can't process bool delaysExpired = initiatedTime + minimumDelay < block.timestamp && CBTimestamp < block.timestamp; // cannot process if greekCache stale uint spotPrice = exchangeAdapter.getSpotPriceForMarket( address(optionMarket), BaseExchangeAdapter.PriceType.REFERENCE ); bool isStale = greekCache.isGlobalCacheStale(spotPrice); emit CheckingCanProcess(entryId, !isStale, validEntry, guardianBypass, delaysExpired); return validEntry && ((!isStale && delaysExpired) || guardianBypass); } function _getBurnableTokensAndAddFee() internal returns (uint burnableTokens, uint tokenPriceWithFee) { (uint tokenPrice, uint burnableLiquidity) = _getTokenPriceAndBurnableLiquidity(); tokenPriceWithFee = (optionMarket.getNumLiveBoards() != 0) ? tokenPrice.multiplyDecimal(DecimalMath.UNIT - lpParams.withdrawalFee) : tokenPrice; return (burnableLiquidity.divideDecimal(tokenPriceWithFee), tokenPriceWithFee); } function _getTokenPriceAndBurnableLiquidity() internal returns (uint tokenPrice, uint burnableLiquidity) { Liquidity memory liquidity = _getLiquidityAndUpdateCB(); uint totalTokenSupply = getTotalTokenSupply(); tokenPrice = _getTokenPrice(liquidity.NAV, totalTokenSupply); return (tokenPrice, liquidity.burnableLiquidity); } ////////////////////// // Circuit Breakers // ////////////////////// /// @notice Checks the ivVariance, skewVariance, and liquidity circuit breakers and triggers if necessary function updateCBs() external nonReentrant { _getLiquidityAndUpdateCB(); } function _updateCBs( Liquidity memory liquidity, uint maxIvVariance, uint maxSkewVariance, int optionValueDebt ) internal { // don't trigger CBs if pool has no open options if (liquidity.reservedCollatLiquidity == 0 && optionValueDebt == 0) { return; } uint timeToAdd = 0; // if NAV == 0, openAmount will be zero too and _updateCB() won't be called. uint freeLiquidityPercent = liquidity.freeLiquidity.divideDecimal(liquidity.NAV); bool ivVarianceThresholdCrossed = maxIvVariance > cbParams.ivVarianceCBThreshold; bool skewVarianceThresholdCrossed = maxSkewVariance > cbParams.skewVarianceCBThreshold; bool liquidityThresholdCrossed = freeLiquidityPercent < cbParams.liquidityCBThreshold; bool contractAdjustmentEvent = liquidity.longScaleFactor != DecimalMath.UNIT; if (ivVarianceThresholdCrossed) { timeToAdd = cbParams.ivVarianceCBTimeout; } if (skewVarianceThresholdCrossed && cbParams.skewVarianceCBTimeout > timeToAdd) { timeToAdd = cbParams.skewVarianceCBTimeout; } if (liquidityThresholdCrossed && cbParams.liquidityCBTimeout > timeToAdd) { timeToAdd = cbParams.liquidityCBTimeout; } if (contractAdjustmentEvent && cbParams.contractAdjustmentCBTimeout > timeToAdd) { timeToAdd = cbParams.contractAdjustmentCBTimeout; } if (timeToAdd > 0 && CBTimestamp < block.timestamp + timeToAdd) { CBTimestamp = block.timestamp + timeToAdd; emit CircuitBreakerUpdated( CBTimestamp, ivVarianceThresholdCrossed, skewVarianceThresholdCrossed, liquidityThresholdCrossed, contractAdjustmentEvent ); } } /////////////////////// // Only OptionMarket // /////////////////////// /** * @notice Locks quote as collateral when the AMM sells a put option. * * @param amount The amount of quote to lock. * @param freeLiquidity The amount of free collateral that can be locked. */ function lockPutCollateral(uint amount, uint freeLiquidity, uint strikeId) external onlyOptionMarket { if (amount.multiplyDecimal(lpParams.putCollatScalingFactor) > freeLiquidity) { revert LockingMoreQuoteThanIsFree(address(this), amount, freeLiquidity, lockedCollateral); } _checkCanHedge(amount, true, strikeId); lockedCollateral.quote += amount; emit PutCollateralLocked(amount, lockedCollateral.quote); } /** * @notice Locks quote as collateral when the AMM sells a call option. * * @param amount The amount of quote to lock. */ function lockCallCollateral( uint amount, uint spotPrice, uint freeLiquidity, uint strikeId ) external onlyOptionMarket { _checkCanHedge(amount, false, strikeId); if (amount.multiplyDecimal(spotPrice).multiplyDecimal(lpParams.callCollatScalingFactor) > freeLiquidity) { revert LockingMoreQuoteThanIsFree( address(this), amount.multiplyDecimal(spotPrice), freeLiquidity, lockedCollateral ); } lockedCollateral.base += amount; emit CallCollateralLocked(amount, lockedCollateral.base); } /** * @notice Frees quote collateral when user closes a long put * and sends them the option premium * * @param amountQuoteFreed The amount of quote to free. */ function freePutCollateralAndSendPremium( uint amountQuoteFreed, address recipient, uint totalCost, uint reservedFee, uint longScaleFactor ) external onlyOptionMarket { _freePutCollateral(amountQuoteFreed); _sendPremium(recipient, totalCost.multiplyDecimal(longScaleFactor), reservedFee); } /** * @notice Frees/exchange base collateral when user closes a long call * and sends the option premium to the user * * @param amountBase The amount of base to free and exchange. */ function freeCallCollateralAndSendPremium( uint amountBase, address recipient, uint totalCost, uint reservedFee, uint longScaleFactor ) external onlyOptionMarket { _freeCallCollateral(amountBase); _sendPremium(recipient, totalCost.multiplyDecimal(longScaleFactor), reservedFee); } /** * @notice Sends premium user selling an option to the pool. * @dev The caller must be the OptionMarket. * * @param recipient The address of the recipient. * @param amountContracts The number of contracts sold to AMM. * @param premium The amount to transfer to the user. * @param freeLiquidity The amount of free collateral liquidity. * @param reservedFee The amount collected by the OptionMarket. */ function sendShortPremium( address recipient, uint amountContracts, uint premium, uint freeLiquidity, uint reservedFee, bool isCall, uint strikeId ) external onlyOptionMarket { if (premium + reservedFee > freeLiquidity) { revert SendPremiumNotEnoughCollateral(address(this), premium, reservedFee, freeLiquidity); } // only blocks opening new positions if cannot hedge // Since this is opening a short, pool delta exposure is the same direction as if it were a call // (user opens a short call, the pool acquires on a long call) _checkCanHedge(amountContracts, isCall, strikeId); _sendPremium(recipient, premium, reservedFee); } /** * @notice Manages collateral at the time of board liquidation, also converting base received from shortCollateral. * * @param insolventSettlements amount of AMM profits not paid by shortCollateral due to user insolvencies. * @param amountQuoteFreed amount of AMM long put quote collateral that can be freed, including ITM profits. * @param amountQuoteReserved amount of AMM quote reserved for long call/put ITM profits. * @param amountBaseFreed amount of AMM long call base collateral that can be freed, including ITM profits. */ function boardSettlement( uint insolventSettlements, uint amountQuoteFreed, uint amountQuoteReserved, uint amountBaseFreed ) external onlyOptionMarket returns (uint) { // Update circuit breaker whenever a board is settled, to pause deposits/withdrawals // This allows keepers some time to settle insolvent positions if (block.timestamp + cbParams.boardSettlementCBTimeout > CBTimestamp) { CBTimestamp = block.timestamp + cbParams.boardSettlementCBTimeout; emit BoardSettlementCircuitBreakerUpdated(CBTimestamp); } insolventSettlementAmount += insolventSettlements; _freePutCollateral(amountQuoteFreed); _freeCallCollateral(amountBaseFreed); // If amountQuoteReserved > available liquidity, amountQuoteReserved is scaled down to an available amount Liquidity memory liquidity = getLiquidity(); // calculates total pool value and potential scaling totalOutstandingSettlements += amountQuoteReserved.multiplyDecimal(liquidity.longScaleFactor); emit BoardSettlement(insolventSettlementAmount, amountQuoteReserved, totalOutstandingSettlements); if (address(poolHedger) != address(0)) { poolHedger.resetInteractionDelay(); } return liquidity.longScaleFactor; } /** * @notice Frees quote when the AMM buys back/settles a put from the user. * @param amountQuote The amount of quote to free. */ function _freePutCollateral(uint amountQuote) internal { // In case of rounding errors amountQuote = amountQuote > lockedCollateral.quote ? lockedCollateral.quote : amountQuote; lockedCollateral.quote -= amountQuote; emit PutCollateralFreed(amountQuote, lockedCollateral.quote); } /** * @notice Frees quote when the AMM buys back/settles a call from the user. * @param amountBase The amount of base to free. */ function _freeCallCollateral(uint amountBase) internal { // In case of rounding errors amountBase = amountBase > lockedCollateral.base ? lockedCollateral.base : amountBase; lockedCollateral.base -= amountBase; emit CallCollateralFreed(amountBase, lockedCollateral.base); } /** * @notice Sends the premium to a user who is closing a long or opening a short. * @dev The caller must be the OptionMarket. * * @param recipient The address of the recipient. * @param recipientAmount The amount to transfer to the recipient. * @param optionMarketPortion The fee to transfer to the optionMarket. */ function _sendPremium(address recipient, uint recipientAmount, uint optionMarketPortion) internal { _transferQuote(recipient, recipientAmount); _transferQuote(address(optionMarket), optionMarketPortion); emit PremiumTransferred(recipient, recipientAmount, optionMarketPortion); } ////////////////////////// // Only ShortCollateral // ////////////////////////// /** * @notice Transfers long option settlement profits to `user`. * @dev The caller must be the ShortCollateral. * * @param user The address of the user to send the quote. * @param amount The amount of quote to send. */ function sendSettlementValue(address user, uint amount) external onlyShortCollateral { // To prevent any potential rounding errors if (amount > totalOutstandingSettlements) { amount = totalOutstandingSettlements; } totalOutstandingSettlements -= amount; _transferQuote(user, amount); emit OutstandingSettlementSent(user, amount, totalOutstandingSettlements); } /** * @notice Claims AMM profits that were not paid during boardSettlement() due to * total quote insolvencies > total solvent quote collateral. * @dev The caller must be ShortCollateral. * * @param amountQuote The amount of quote to send to the LiquidityPool. */ function reclaimInsolventQuote(uint amountQuote) external onlyShortCollateral { Liquidity memory liquidity = getLiquidity(); if (amountQuote > liquidity.freeLiquidity) { revert NotEnoughFreeToReclaimInsolvency(address(this), amountQuote, liquidity); } _transferQuote(address(shortCollateral), amountQuote); insolventSettlementAmount += amountQuote; emit InsolventSettlementAmountUpdated(amountQuote, insolventSettlementAmount); } /** * @notice Claims AMM profits that were not paid during boardSettlement() due to * total base insolvencies > total solvent base collateral. * @dev The caller must be ShortCollateral. * * @param amountBase The amount of base to send to the LiquidityPool. */ function reclaimInsolventBase(uint amountBase) external onlyShortCollateral { Liquidity memory liquidity = getLiquidity(); uint freeLiq = ConvertDecimals.convertFrom18(liquidity.freeLiquidity, quoteAsset.decimals()); if (!quoteAsset.approve(address(exchangeAdapter), freeLiq)) { revert QuoteApprovalFailure(address(this), address(exchangeAdapter), freeLiq); } // Assume the inputs and outputs of exchangeAdapter are always 1e18 (uint quoteSpent, ) = exchangeAdapter.exchangeToExactBaseWithLimit( address(optionMarket), amountBase, liquidity.freeLiquidity ); insolventSettlementAmount += quoteSpent; // It is better for the contract to revert if there is not enough here (due to rounding) to keep accounting in // ShortCollateral correct. baseAsset can be donated (sent) to this contract to allow this to pass. uint realBase = ConvertDecimals.convertFrom18(amountBase, baseAsset.decimals()); if (realBase > 0 && !baseAsset.transfer(address(shortCollateral), realBase)) { revert BaseTransferFailed(address(this), address(this), address(shortCollateral), realBase); } emit InsolventSettlementAmountUpdated(quoteSpent, insolventSettlementAmount); } ////////////////////////////// // Getting Pool Token Value // ////////////////////////////// /// @dev Get total number of oustanding LiquidityToken function getTotalTokenSupply() public view returns (uint) { return liquidityToken.totalSupply() + totalQueuedWithdrawals; } /** * @notice Get current pool token price and check if market conditions warrant an accurate token price * * @return tokenPrice price of token * @return isStale has global cache not been updated in a long time (if stale, greeks may be inaccurate) * @return circuitBreakerExpiry expiry timestamp of the CircuitBreaker (if not expired, greeks may be inaccurate) */ function getTokenPriceWithCheck() external view returns (uint tokenPrice, bool isStale, uint circuitBreakerExpiry) { tokenPrice = getTokenPrice(); uint spotPrice = exchangeAdapter.getSpotPriceForMarket( address(optionMarket), BaseExchangeAdapter.PriceType.REFERENCE ); isStale = greekCache.isGlobalCacheStale(spotPrice); return (tokenPrice, isStale, CBTimestamp); } /// @dev Get current pool token price without market condition check function getTokenPrice() public view returns (uint) { Liquidity memory liquidity = getLiquidity(); return _getTokenPrice(liquidity.NAV, getTotalTokenSupply()); } function _getTokenPrice(uint totalPoolValue, uint totalTokenSupply) internal pure returns (uint) { if (totalTokenSupply == 0) { return DecimalMath.UNIT; } return totalPoolValue.divideDecimal(totalTokenSupply); } //////////////////////////// // Getting Pool Liquidity // //////////////////////////// /** * @notice Same return as `getCurrentLiquidity()` but with manual spot price */ function getLiquidity() public view returns (Liquidity memory) { uint spotPrice = exchangeAdapter.getSpotPriceForMarket( address(optionMarket), BaseExchangeAdapter.PriceType.REFERENCE ); // if cache is stale, pendingDelta may be inaccurate (uint pendingDelta, uint usedDelta) = _getPoolHedgerLiquidity(spotPrice); int optionValueDebt = greekCache.getGlobalOptionValue(); (uint totalPoolValue, uint longScaleFactor) = _getTotalPoolValueQuote(spotPrice, usedDelta, optionValueDebt); uint tokenPrice = _getTokenPrice(totalPoolValue, getTotalTokenSupply()); Liquidity memory liquidity = _getLiquidity( spotPrice, totalPoolValue, tokenPrice.multiplyDecimal(totalQueuedWithdrawals), usedDelta, pendingDelta, longScaleFactor ); return liquidity; } function _getLiquidityAndUpdateCB() internal returns (Liquidity memory liquidity) { liquidity = getLiquidity(); // update Circuit Breakers OptionGreekCache.GlobalCache memory globalCache = greekCache.getGlobalCache(); _updateCBs(liquidity, globalCache.maxIvVariance, globalCache.maxSkewVariance, globalCache.netGreeks.netOptionValue); } /// @dev Gets the current NAV function getTotalPoolValueQuote() external view returns (uint totalPoolValue) { Liquidity memory liquidity = getLiquidity(); return liquidity.NAV; } function _getTotalPoolValueQuote( uint basePrice, uint usedDeltaLiquidity, int optionValueDebt ) internal view returns (uint, uint) { int totalAssetValue = SafeCast.toInt256( ConvertDecimals.convertTo18(quoteAsset.balanceOf(address(this)), quoteAsset.decimals()) + ConvertDecimals.convertTo18(baseAsset.balanceOf(address(this)), baseAsset.decimals()).multiplyDecimal(basePrice) ) + SafeCast.toInt256(usedDeltaLiquidity) - SafeCast.toInt256(totalOutstandingSettlements + totalQueuedDeposits); if (totalAssetValue < 0) { revert NegativeTotalAssetValue(address(this), totalAssetValue); } // If debt is negative we can simply return TAV - (-debt) // availableAssetValue here is +'ve and optionValueDebt is -'ve so we can safely return uint if (optionValueDebt < 0) { return (SafeCast.toUint256(totalAssetValue - optionValueDebt), DecimalMath.UNIT); } // ensure a percentage of the pool's NAV is always protected from AMM's insolvency int availableAssetValue = totalAssetValue - int(protectedQuote); uint longScaleFactor = DecimalMath.UNIT; // in extreme situations, if the TAV < reserved cash, set long options to worthless if (availableAssetValue < 0) { return (SafeCast.toUint256(totalAssetValue), 0); } // NOTE: the longScaleFactor is calculated using the total option debt however only the long debts are scaled down // when paid out. Therefore the asset value affected is less than the real amount. if (availableAssetValue < optionValueDebt) { // both guaranteed to be positive longScaleFactor = SafeCast.toUint256(availableAssetValue).divideDecimal(SafeCast.toUint256(optionValueDebt)); } return ( SafeCast.toUint256(totalAssetValue) - SafeCast.toUint256(optionValueDebt).multiplyDecimal(longScaleFactor), longScaleFactor ); } function _getLiquidity( uint basePrice, uint totalPoolValue, uint reservedTokenValue, uint usedDelta, uint pendingDelta, uint longScaleFactor ) internal view returns (Liquidity memory) { Liquidity memory liquidity = Liquidity(0, 0, 0, 0, 0, 0, 0); liquidity.NAV = totalPoolValue; liquidity.usedDeltaLiquidity = usedDelta; uint usedQuote = totalOutstandingSettlements + totalQueuedDeposits; uint totalQuote = ConvertDecimals.convertTo18(quoteAsset.balanceOf(address(this)), quoteAsset.decimals()); uint availableQuote = totalQuote > usedQuote ? totalQuote - usedQuote : 0; liquidity.pendingDeltaLiquidity = pendingDelta > availableQuote ? availableQuote : pendingDelta; availableQuote -= liquidity.pendingDeltaLiquidity; // Only reserve lockedColleratal x scalingFactor which unlocks more liquidity // No longer need to lock one ETH worth of quote per call sold uint reservedCollatLiquidity = lockedCollateral.quote.multiplyDecimal(lpParams.putCollatScalingFactor) + lockedCollateral.base.multiplyDecimal(basePrice).multiplyDecimal(lpParams.callCollatScalingFactor); liquidity.reservedCollatLiquidity = availableQuote > reservedCollatLiquidity ? reservedCollatLiquidity : availableQuote; availableQuote -= liquidity.reservedCollatLiquidity; liquidity.freeLiquidity = availableQuote > reservedTokenValue ? availableQuote - reservedTokenValue : 0; liquidity.burnableLiquidity = availableQuote; liquidity.longScaleFactor = longScaleFactor; return liquidity; } ///////////////////// // Exchanging Base // ///////////////////// /// @notice Will exchange any base balance for quote function exchangeBase() public nonReentrant { uint currentBaseBalance = baseAsset.balanceOf(address(this)); if (currentBaseBalance > 0) { if (!baseAsset.approve(address(exchangeAdapter), currentBaseBalance)) { revert BaseApprovalFailure(address(this), address(exchangeAdapter), currentBaseBalance); } currentBaseBalance = ConvertDecimals.convertTo18(currentBaseBalance, baseAsset.decimals()); uint quoteReceived = exchangeAdapter.exchangeFromExactBase(address(optionMarket), currentBaseBalance); emit BaseSold(currentBaseBalance, quoteReceived); } } ////////// // Misc // ////////// /// @notice returns the LiquidityPoolParameters struct function getLpParams() external view returns (LiquidityPoolParameters memory) { return lpParams; } /// @notice returns the CircuitBreakerParameters struct function getCBParams() external view returns (CircuitBreakerParameters memory) { return cbParams; } /// @notice updates `liquidationInsolventAmount` if liquidated position is insolveny function updateLiquidationInsolvency(uint insolvencyAmountInQuote) external onlyOptionMarket { liquidationInsolventAmount += insolvencyAmountInQuote; } /** * @dev get the total amount of quote used and pending for delta hedging * * @return pendingDeltaLiquidity The amount of liquidity reserved for delta hedging that hasn't occured yet * @return usedDeltaLiquidity The value of the current hedge position (long value OR collateral - short debt) */ function _getPoolHedgerLiquidity( uint basePrice ) internal view returns (uint pendingDeltaLiquidity, uint usedDeltaLiquidity) { if (address(poolHedger) != address(0)) { return poolHedger.getHedgingLiquidity(basePrice); } return (0, 0); } function _checkCanHedge(uint amountOptions, bool increasesPoolDelta, uint strikeId) internal view { if (address(poolHedger) == address(0)) { return; } if (!poolHedger.canHedge(amountOptions, increasesPoolDelta, strikeId)) { revert UnableToHedgeDelta(address(this), amountOptions, increasesPoolDelta, strikeId); } } /** * @notice Sends quote to the PoolHedger. * @dev Transfer amount up to `pendingLiquidity + freeLiquidity`. * The hedger must determine what to do with the amount received. * * @param amount The amount requested by the PoolHedger. */ function transferQuoteToHedge(uint amount) external onlyPoolHedger returns (uint) { Liquidity memory liquidity = getLiquidity(); uint available = liquidity.pendingDeltaLiquidity + liquidity.freeLiquidity; amount = amount > available ? available : amount; _transferQuote(address(poolHedger), amount); emit QuoteTransferredToPoolHedger(amount); return amount; } function _transferQuote(address to, uint amount) internal { amount = ConvertDecimals.convertFrom18(amount, quoteAsset.decimals()); if (amount > 0) { if (!quoteAsset.transfer(to, amount)) { revert QuoteTransferFailed(address(this), address(this), to, amount); } } } function _tryTransferQuote(address to, uint amount) internal returns (bool success) { amount = ConvertDecimals.convertFrom18(amount, quoteAsset.decimals()); if (amount > 0) { try quoteAsset.transfer(to, amount) returns (bool res) { return res; } catch { return false; } } return true; } /////////////// // Modifiers // /////////////// modifier onlyPoolHedger() { if (msg.sender != address(poolHedger)) { revert OnlyPoolHedger(address(this), msg.sender, address(poolHedger)); } _; } modifier onlyOptionMarket() { if (msg.sender != address(optionMarket)) { revert OnlyOptionMarket(address(this), msg.sender, address(optionMarket)); } _; } modifier onlyShortCollateral() { if (msg.sender != address(shortCollateral)) { revert OnlyShortCollateral(address(this), msg.sender, address(shortCollateral)); } _; } //////////// // Events // //////////// /// @dev Emitted whenever the pool parameters are updated event LiquidityPoolParametersUpdated(LiquidityPoolParameters lpParams); /// @dev Emitted whenever the circuit breaker parameters are updated event CircuitBreakerParametersUpdated(CircuitBreakerParameters cbParams); /// @dev Emitted whenever the poolHedger address is modified event PoolHedgerUpdated(PoolHedger poolHedger); /// @dev Emitted when AMM put collateral is locked. event PutCollateralLocked(uint quoteLocked, uint lockedCollateralQuote); /// @dev Emitted when quote is freed. event PutCollateralFreed(uint quoteFreed, uint lockedCollateralQuote); /// @dev Emitted when AMM call collateral is locked. event CallCollateralLocked(uint baseLocked, uint lockedCollateralBase); /// @dev Emitted when base is freed. event CallCollateralFreed(uint baseFreed, uint lockedCollateralBase); /// @dev Emitted when a board is settled. event BoardSettlement(uint insolventSettlementAmount, uint amountQuoteReserved, uint totalOutstandingSettlements); /// @dev Emitted when reserved quote is sent. event OutstandingSettlementSent(address indexed user, uint amount, uint totalOutstandingSettlements); /// @dev Emitted whenever quote is exchanged for base event BasePurchased(uint quoteSpent, uint baseReceived); /// @dev Emitted whenever base is exchanged for quote event BaseSold(uint amountBase, uint quoteReceived); /// @dev Emitted whenever premium is sent to a trader closing their position event PremiumTransferred(address indexed recipient, uint recipientPortion, uint optionMarketPortion); /// @dev Emitted whenever quote is sent to the PoolHedger event QuoteTransferredToPoolHedger(uint amountQuote); /// @dev Emitted whenever the insolvent settlement amount is updated (settlement and excess) event InsolventSettlementAmountUpdated(uint amountQuoteAdded, uint totalInsolventSettlementAmount); /// @dev Emitted whenever a user deposits and enters the queue. event DepositQueued( address indexed depositor, address indexed beneficiary, uint indexed depositQueueId, uint amountDeposited, uint totalQueuedDeposits, uint timestamp ); /// @dev Emitted whenever a deposit gets processed. Note, can be processed without being queued. /// QueueId of 0 indicates it was not queued. event DepositProcessed( address indexed caller, address indexed beneficiary, uint indexed depositQueueId, uint amountDeposited, uint tokenPrice, uint tokensReceived, uint timestamp ); /// @dev Emitted whenever a deposit gets processed. Note, can be processed without being queued. /// QueueId of 0 indicates it was not queued. event WithdrawProcessed( address indexed caller, address indexed beneficiary, uint indexed withdrawalQueueId, uint amountWithdrawn, uint tokenPrice, uint quoteReceived, uint totalQueuedWithdrawals, uint timestamp ); event WithdrawPartiallyProcessed( address indexed caller, address indexed beneficiary, uint indexed withdrawalQueueId, uint amountWithdrawn, uint tokenPrice, uint quoteReceived, uint totalQueuedWithdrawals, uint timestamp ); event WithdrawReverted( address indexed caller, address indexed beneficiary, uint indexed withdrawalQueueId, uint tokenPrice, uint totalQueuedWithdrawals, uint timestamp, uint tokensReturned ); event WithdrawQueued( address indexed withdrawer, address indexed beneficiary, uint indexed withdrawalQueueId, uint amountWithdrawn, uint totalQueuedWithdrawals, uint timestamp ); /// @dev Emitted whenever the CB timestamp is updated event CircuitBreakerUpdated( uint newTimestamp, bool ivVarianceThresholdCrossed, bool skewVarianceThresholdCrossed, bool liquidityThresholdCrossed, bool contractAdjustmentEvent ); /// @dev Emitted whenever the CB timestamp is updated from a board settlement event BoardSettlementCircuitBreakerUpdated(uint newTimestamp); /// @dev Emitted whenever a queue item is checked for the ability to be processed event CheckingCanProcess(uint entryId, bool boardNotStale, bool validEntry, bool guardianBypass, bool delaysExpired); //////////// // Errors // //////////// // Admin error InvalidLiquidityPoolParameters(address thrower, LiquidityPoolParameters lpParams); error InvalidCircuitBreakerParameters(address thrower, CircuitBreakerParameters cbParams); error CannotRecoverQuoteBase(address thrower); // Deposits and withdrawals error InvalidBeneficiaryAddress(address thrower, address beneficiary); error MinimumDepositNotMet(address thrower, uint amountQuote, uint minDeposit); error MinimumWithdrawNotMet(address thrower, uint amountQuote, uint minWithdraw); // Liquidity and accounting error LockingMoreQuoteThanIsFree(address thrower, uint quoteToLock, uint freeLiquidity, Collateral lockedCollateral); error SendPremiumNotEnoughCollateral(address thrower, uint premium, uint reservedFee, uint freeLiquidity); error NotEnoughFreeToReclaimInsolvency(address thrower, uint amountQuote, Liquidity liquidity); error OptionValueDebtExceedsTotalAssets(address thrower, int totalAssetValue, int optionValueDebt); error NegativeTotalAssetValue(address thrower, int totalAssetValue); // Access error OnlyPoolHedger(address thrower, address caller, address poolHedger); error OnlyOptionMarket(address thrower, address caller, address optionMarket); error OnlyShortCollateral(address thrower, address caller, address poolHedger); // Token transfers error QuoteTransferFailed(address thrower, address from, address to, uint realAmount); error BaseTransferFailed(address thrower, address from, address to, uint realAmount); error QuoteApprovalFailure(address thrower, address approvee, uint amount); error BaseApprovalFailure(address thrower, address approvee, uint amount); // @dev Emmitted whenever a position can not be opened as the hedger is unable to hedge error UnableToHedgeDelta(address thrower, uint amountOptions, bool increasesDelta, uint strikeId); }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Libraries import "./synthetix/DecimalMath.sol"; // Inherited import "openzeppelin-contracts-4.4.1/token/ERC20/ERC20.sol"; import "./synthetix/Owned.sol"; import "./libraries/SimpleInitializable.sol"; // Interfaces import "./interfaces/ILiquidityTracker.sol"; /** * @title LiquidityToken * @author Lyra * @dev An ERC20 token which represents a share of the LiquidityPool. * It is minted when users deposit, and burned when users withdraw. */ contract LiquidityToken is ERC20, Owned, SimpleInitializable { using DecimalMath for uint; /// @dev The liquidityPool for which these tokens represent a share of address public liquidityPool; /// @dev Contract to call when liquidity gets updated. Basically a hook for future contracts to use. ILiquidityTracker public liquidityTracker; /////////// // Setup // /////////// /** * @param name_ Token collection name * @param symbol_ Token collection symbol */ constructor(string memory name_, string memory symbol_) ERC20(name_, symbol_) Owned() {} /** * @dev Initialize the contract. * @param _liquidityPool LiquidityPool address */ function init(address _liquidityPool) external onlyOwner initializer { liquidityPool = _liquidityPool; } /////////// // Admin // /////////// function setLiquidityTracker(ILiquidityTracker _liquidityTracker) external onlyOwner { liquidityTracker = _liquidityTracker; emit LiquidityTrackerSet(liquidityTracker); } //////////////////////// // Only LiquidityPool // //////////////////////// /** * @dev Mints new tokens and transfers them to `owner`. */ function mint(address account, uint tokenAmount) external onlyLiquidityPool { _mint(account, tokenAmount); } /** * @dev Burn new tokens and transfers them to `owner`. */ function burn(address account, uint tokenAmount) external onlyLiquidityPool { _burn(account, tokenAmount); } ////////// // Misc // ////////// /** * @dev Override to track the liquidty of the token. Mint, address(0), burn - to, address(0) */ function _afterTokenTransfer(address from, address to, uint amount) internal override { if (address(liquidityTracker) != address(0)) { if (from != address(0)) { liquidityTracker.removeTokens(from, amount); } if (to != address(0)) { liquidityTracker.addTokens(to, amount); } } } /////////////// // Modifiers // /////////////// modifier onlyLiquidityPool() { if (msg.sender != liquidityPool) { revert OnlyLiquidityPool(address(this), msg.sender, liquidityPool); } _; } //////////// // Events // //////////// event LiquidityTrackerSet(ILiquidityTracker liquidityTracker); //////////// // Errors // //////////// // Access error OnlyLiquidityPool(address thrower, address caller, address liquidityPool); }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Libraries import "./synthetix/DecimalMath.sol"; import "./synthetix/SignedDecimalMath.sol"; import "./libraries/BlackScholes.sol"; import "./libraries/ConvertDecimals.sol"; import "./libraries/Math.sol"; import "./libraries/GWAV.sol"; // Inherited import "./synthetix/Owned.sol"; import "./libraries/SimpleInitializable.sol"; import "openzeppelin-contracts-4.4.1/security/ReentrancyGuard.sol"; // Interfaces import "./BaseExchangeAdapter.sol"; import "./OptionMarket.sol"; import "./OptionMarketPricer.sol"; /** * @title OptionGreekCache * @author Lyra * @dev Aggregates the netDelta and netStdVega of the OptionMarket by iterating over current strikes, using gwav vols. * Needs to be called by an external actor as it's not feasible to do all the computation during the trade flow and * because delta/vega change over time and with movements in asset price and volatility. * All stored values in this contract are the aggregate of the trader's perspective. So values need to be inverted * to get the LP's perspective * Also handles logic for figuring out minimal collateral requirements for shorts. */ contract OptionGreekCache is Owned, SimpleInitializable, ReentrancyGuard { using DecimalMath for uint; using SignedDecimalMath for int; using GWAV for GWAV.Params; using BlackScholes for BlackScholes.BlackScholesInputs; //////////////// // Parameters // //////////////// struct GreekCacheParameters { // Cap the number of strikes per board to avoid hitting gasLimit constraints uint maxStrikesPerBoard; // How much spot price can move since last update before deposits/withdrawals are blocked uint acceptableSpotPricePercentMove; // How much time has passed since last update before deposits/withdrawals are blocked uint staleUpdateDuration; // Length of the GWAV for the baseline volatility used to fire the vol circuit breaker uint varianceIvGWAVPeriod; // Length of the GWAV for the skew ratios used to fire the vol circuit breaker uint varianceSkewGWAVPeriod; // Length of the GWAV for the baseline used to determine the NAV of the pool uint optionValueIvGWAVPeriod; // Length of the GWAV for the skews used to determine the NAV of the pool uint optionValueSkewGWAVPeriod; // Minimum skew that will be fed into the GWAV calculation // Prevents near 0 values being used to heavily manipulate the GWAV uint gwavSkewFloor; // Maximum skew that will be fed into the GWAV calculation uint gwavSkewCap; } struct ForceCloseParameters { // Length of the GWAV for the baseline vol used in ForceClose() and liquidations uint ivGWAVPeriod; // Length of the GWAV for the skew ratio used in ForceClose() and liquidations uint skewGWAVPeriod; // When a user buys back an option using ForceClose() we increase the GWAV vol to penalise the trader uint shortVolShock; // Increase the penalty when within the trading cutoff uint shortPostCutoffVolShock; // When a user sells back an option to the AMM using ForceClose(), we decrease the GWAV to penalise the seller uint longVolShock; // Increase the penalty when within the trading cutoff uint longPostCutoffVolShock; // Same justification as shortPostCutoffVolShock uint liquidateVolShock; // Increase the penalty when within the trading cutoff uint liquidatePostCutoffVolShock; // Minimum price the AMM will sell back an option at for force closes (as a % of current spot) uint shortSpotMin; // Minimum price the AMM will sell back an option at for liquidations (as a % of current spot) uint liquidateSpotMin; } struct MinCollateralParameters { // Minimum collateral that must be posted for a short to be opened (denominated in quote) uint minStaticQuoteCollateral; // Minimum collateral that must be posted for a short to be opened (denominated in base) uint minStaticBaseCollateral; /* Shock Vol: * Vol used to compute the minimum collateral requirements for short positions. * This value is derived from the following chart, created by using the 4 values listed below. * * vol * | * volA |____ * | \ * volB | \___ * |___________ time to expiry * A B */ uint shockVolA; uint shockVolPointA; uint shockVolB; uint shockVolPointB; // Static percentage shock to the current spot price for calls uint callSpotPriceShock; // Static percentage shock to the current spot price for puts uint putSpotPriceShock; } /////////////////// // Cache storage // /////////////////// struct GlobalCache { uint minUpdatedAt; uint minUpdatedAtPrice; uint maxUpdatedAtPrice; uint maxSkewVariance; uint maxIvVariance; NetGreeks netGreeks; } struct OptionBoardCache { uint id; uint[] strikes; uint expiry; uint iv; NetGreeks netGreeks; uint updatedAt; uint updatedAtPrice; uint maxSkewVariance; uint ivVariance; } struct StrikeCache { uint id; uint boardId; uint strikePrice; uint skew; StrikeGreeks greeks; int callExposure; // long - short int putExposure; // long - short uint skewVariance; // (GWAVSkew - skew) } // These are based on GWAVed iv struct StrikeGreeks { int callDelta; int putDelta; uint stdVega; uint callPrice; uint putPrice; } // These are based on GWAVed iv struct NetGreeks { int netDelta; int netStdVega; int netOptionValue; } /////////////// // In-memory // /////////////// struct TradePricing { uint optionPrice; int preTradeAmmNetStdVega; int postTradeAmmNetStdVega; int callDelta; uint volTraded; uint ivVariance; uint vega; } struct BoardGreeksView { NetGreeks boardGreeks; uint ivGWAV; StrikeGreeks[] strikeGreeks; uint[] skewGWAVs; } /////////////// // Variables // /////////////// BaseExchangeAdapter internal exchangeAdapter; OptionMarket internal optionMarket; address internal optionMarketPricer; GreekCacheParameters internal greekCacheParams; ForceCloseParameters internal forceCloseParams; MinCollateralParameters internal minCollatParams; // Cached values and GWAVs /// @dev Should be a clone of OptionMarket.liveBoards uint[] internal liveBoards; GlobalCache internal globalCache; mapping(uint => OptionBoardCache) internal boardCaches; mapping(uint => GWAV.Params) internal boardIVGWAV; mapping(uint => StrikeCache) internal strikeCaches; mapping(uint => GWAV.Params) internal strikeSkewGWAV; /////////// // Setup // /////////// constructor() Owned() {} /** * @dev Initialize the contract. * * @param _exchangeAdapter BaseExchangeAdapter address * @param _optionMarket OptionMarket address * @param _optionMarketPricer OptionMarketPricer address */ function init( BaseExchangeAdapter _exchangeAdapter, OptionMarket _optionMarket, address _optionMarketPricer ) external onlyOwner initializer { exchangeAdapter = _exchangeAdapter; optionMarket = _optionMarket; optionMarketPricer = _optionMarketPricer; } /////////// // Admin // /////////// function setGreekCacheParameters(GreekCacheParameters memory _greekCacheParams) external onlyOwner { if ( !(_greekCacheParams.acceptableSpotPricePercentMove <= 10e18 && // _greekCacheParams.staleUpdateDuration <= 30 days && // _greekCacheParams.varianceIvGWAVPeriod > 0 && // _greekCacheParams.varianceIvGWAVPeriod <= 60 days && // _greekCacheParams.varianceSkewGWAVPeriod > 0 && _greekCacheParams.varianceSkewGWAVPeriod <= 60 days && _greekCacheParams.optionValueIvGWAVPeriod > 0 && _greekCacheParams.optionValueIvGWAVPeriod <= 60 days && _greekCacheParams.optionValueSkewGWAVPeriod > 0 && _greekCacheParams.optionValueSkewGWAVPeriod <= 60 days && _greekCacheParams.gwavSkewFloor <= 1e18 && _greekCacheParams.gwavSkewFloor > 0 && _greekCacheParams.gwavSkewCap >= 1e18) ) { revert InvalidGreekCacheParameters(address(this), _greekCacheParams); } greekCacheParams = _greekCacheParams; emit GreekCacheParametersSet(greekCacheParams); } function setForceCloseParameters(ForceCloseParameters memory _forceCloseParams) external onlyOwner { if ( !(_forceCloseParams.ivGWAVPeriod > 0 && _forceCloseParams.ivGWAVPeriod <= 60 days && _forceCloseParams.skewGWAVPeriod > 0 && _forceCloseParams.skewGWAVPeriod <= 60 days && _forceCloseParams.shortVolShock >= 1e18 && _forceCloseParams.shortPostCutoffVolShock >= 1e18 && _forceCloseParams.longVolShock > 0 && _forceCloseParams.longVolShock <= 1e18 && _forceCloseParams.longPostCutoffVolShock > 0 && _forceCloseParams.longPostCutoffVolShock <= 1e18 && _forceCloseParams.liquidateVolShock >= 1e18 && _forceCloseParams.liquidatePostCutoffVolShock >= 1e18 && _forceCloseParams.shortSpotMin <= 1e18 && _forceCloseParams.liquidateSpotMin <= 1e18) ) { revert InvalidForceCloseParameters(address(this), _forceCloseParams); } forceCloseParams = _forceCloseParams; emit ForceCloseParametersSet(forceCloseParams); } function setMinCollateralParameters(MinCollateralParameters memory _minCollatParams) external onlyOwner { if ( !(_minCollatParams.minStaticQuoteCollateral > 0 && _minCollatParams.minStaticBaseCollateral > 0 && _minCollatParams.shockVolA > 0 && _minCollatParams.shockVolA >= _minCollatParams.shockVolB && _minCollatParams.shockVolPointA <= _minCollatParams.shockVolPointB && _minCollatParams.callSpotPriceShock >= 1e18 && _minCollatParams.putSpotPriceShock > 0 && _minCollatParams.putSpotPriceShock <= 1e18) ) { revert InvalidMinCollatParams(address(this), _minCollatParams); } minCollatParams = _minCollatParams; emit MinCollateralParametersSet(minCollatParams); } ////////////////////////////////////////////////////// // Sync Boards with OptionMarket (onlyOptionMarket) // ////////////////////////////////////////////////////// /** * @notice Adds a new OptionBoardCache * @dev Called by the OptionMarket whenever a new OptionBoard is added * * @param board The new OptionBoard * @param strikes The new Strikes for the given board */ function addBoard( OptionMarket.OptionBoard memory board, OptionMarket.Strike[] memory strikes ) external onlyOptionMarket { uint strikesLength = strikes.length; if (strikesLength > greekCacheParams.maxStrikesPerBoard) { revert BoardStrikeLimitExceeded(address(this), board.id, strikesLength, greekCacheParams.maxStrikesPerBoard); } OptionBoardCache storage boardCache = boardCaches[board.id]; boardCache.id = board.id; boardCache.expiry = board.expiry; boardCache.iv = board.iv; boardCache.updatedAt = block.timestamp; emit BoardCacheUpdated(boardCache); boardIVGWAV[board.id]._initialize(board.iv, block.timestamp); emit BoardIvUpdated(boardCache.id, board.iv, globalCache.maxIvVariance); liveBoards.push(board.id); for (uint i = 0; i < strikesLength; ++i) { _addNewStrikeToStrikeCache(boardCache, strikes[i].id, strikes[i].strikePrice, strikes[i].skew); } updateBoardCachedGreeks(board.id); } /// @dev After board settlement, remove an OptionBoardCache. Called by OptionMarket function removeBoard(uint boardId) external onlyOptionMarket { // Remove board from cache, removing net positions from global count OptionBoardCache memory boardCache = boardCaches[boardId]; globalCache.netGreeks.netDelta -= boardCache.netGreeks.netDelta; globalCache.netGreeks.netStdVega -= boardCache.netGreeks.netStdVega; globalCache.netGreeks.netOptionValue -= boardCache.netGreeks.netOptionValue; // Clean up, cache isn't necessary for settle logic uint boardStrikesLength = boardCache.strikes.length; for (uint i = 0; i < boardStrikesLength; ++i) { emit StrikeCacheRemoved(boardCache.strikes[i]); delete strikeCaches[boardCache.strikes[i]]; } uint liveBoardsLength = liveBoards.length; for (uint i = 0; i < liveBoardsLength; ++i) { if (liveBoards[i] == boardId) { liveBoards[i] = liveBoards[liveBoardsLength - 1]; liveBoards.pop(); break; } } emit BoardCacheRemoved(boardId); emit GlobalCacheUpdated(globalCache); delete boardCaches[boardId]; } /// @dev Add a new strike to a given boardCache. Only callable by OptionMarket. function addStrikeToBoard(uint boardId, uint strikeId, uint strikePrice, uint skew) external onlyOptionMarket { OptionBoardCache storage boardCache = boardCaches[boardId]; if (boardCache.strikes.length == greekCacheParams.maxStrikesPerBoard) { revert BoardStrikeLimitExceeded( address(this), boardId, boardCache.strikes.length + 1, greekCacheParams.maxStrikesPerBoard ); } _addNewStrikeToStrikeCache(boardCache, strikeId, strikePrice, skew); updateBoardCachedGreeks(boardId); } /// @dev Updates an OptionBoard's baseIv. Only callable by OptionMarket. function setBoardIv(uint boardId, uint newBaseIv) external onlyOptionMarket { OptionBoardCache storage boardCache = boardCaches[boardId]; _updateBoardIv(boardCache, newBaseIv); emit BoardIvUpdated(boardId, newBaseIv, globalCache.maxIvVariance); } /** * @dev Updates a Strike's skew. Only callable by OptionMarket. * * @param strikeId The id of the Strike * @param newSkew The new skew of the given Strike */ function setStrikeSkew(uint strikeId, uint newSkew) external onlyOptionMarket { StrikeCache storage strikeCache = strikeCaches[strikeId]; OptionBoardCache storage boardCache = boardCaches[strikeCache.boardId]; _updateStrikeSkew(boardCache, strikeCache, newSkew); } /// @dev Adds a new strike to a given board, initialising the skew GWAV function _addNewStrikeToStrikeCache( OptionBoardCache storage boardCache, uint strikeId, uint strikePrice, uint skew ) internal { // This is only called when a new board or a new strike is added, so exposure values will be 0 StrikeCache storage strikeCache = strikeCaches[strikeId]; strikeCache.id = strikeId; strikeCache.strikePrice = strikePrice; strikeCache.skew = skew; strikeCache.boardId = boardCache.id; emit StrikeCacheUpdated(strikeCache); strikeSkewGWAV[strikeId]._initialize( Math.max(Math.min(skew, greekCacheParams.gwavSkewCap), greekCacheParams.gwavSkewFloor), block.timestamp ); emit StrikeSkewUpdated(strikeCache.id, skew, globalCache.maxSkewVariance); boardCache.strikes.push(strikeId); } ////////////////////////////////////////////// // Updating exposure/getting option pricing // ////////////////////////////////////////////// /** * @notice During a trade, updates the exposure of the given strike, board and global state. Computes the cost of the * trade and returns it to the OptionMarketPricer. * @return pricing The final price of the option to be paid for by the user. This could use marketVol or shockVol, * depending on the trade executed. */ function updateStrikeExposureAndGetPrice( OptionMarket.Strike memory strike, OptionMarket.TradeParameters memory trade, uint iv, uint skew, bool isPostCutoff ) external onlyOptionMarketPricer returns (TradePricing memory pricing) { StrikeCache storage strikeCache = strikeCaches[strike.id]; OptionBoardCache storage boardCache = boardCaches[strikeCache.boardId]; _updateBoardIv(boardCache, iv); _updateStrikeSkew(boardCache, strikeCache, skew); pricing = _updateStrikeExposureAndGetPrice( strikeCache, boardCache, trade, SafeCast.toInt256(strike.longCall) - SafeCast.toInt256(strike.shortCallBase + strike.shortCallQuote), SafeCast.toInt256(strike.longPut) - SafeCast.toInt256(strike.shortPut) ); pricing.ivVariance = boardCache.ivVariance; // If this is a force close or liquidation, override the option price, delta and volTraded based on pricing for // force closes. if (trade.isForceClose) { (pricing.optionPrice, pricing.volTraded) = getPriceForForceClose( trade, strike, boardCache.expiry, iv.multiplyDecimal(skew), isPostCutoff ); } return pricing; } /// @dev Updates the exposure of the strike and computes the market black scholes price function _updateStrikeExposureAndGetPrice( StrikeCache storage strikeCache, OptionBoardCache storage boardCache, OptionMarket.TradeParameters memory trade, int newCallExposure, int newPutExposure ) internal returns (TradePricing memory pricing) { BlackScholes.PricesDeltaStdVega memory pricesDeltaStdVega = BlackScholes .BlackScholesInputs({ timeToExpirySec: _timeToMaturitySeconds(boardCache.expiry), volatilityDecimal: boardCache.iv.multiplyDecimal(strikeCache.skew), spotDecimal: trade.spotPrice, strikePriceDecimal: strikeCache.strikePrice, rateDecimal: exchangeAdapter.rateAndCarry(address(optionMarket)) }) .pricesDeltaStdVega(); int strikeOptionValue = (newCallExposure - strikeCache.callExposure).multiplyDecimal( SafeCast.toInt256(strikeCache.greeks.callPrice) ) + (newPutExposure - strikeCache.putExposure).multiplyDecimal(SafeCast.toInt256(strikeCache.greeks.putPrice)); int netDeltaDiff = (newCallExposure - strikeCache.callExposure).multiplyDecimal(strikeCache.greeks.callDelta) + (newPutExposure - strikeCache.putExposure).multiplyDecimal(strikeCache.greeks.putDelta); int netStdVegaDiff = (newCallExposure + newPutExposure - strikeCache.callExposure - strikeCache.putExposure) .multiplyDecimal(SafeCast.toInt256(strikeCache.greeks.stdVega)); strikeCache.callExposure = newCallExposure; strikeCache.putExposure = newPutExposure; boardCache.netGreeks.netOptionValue += strikeOptionValue; boardCache.netGreeks.netDelta += netDeltaDiff; boardCache.netGreeks.netStdVega += netStdVegaDiff; // The AMM's net std vega is opposite to the global sum of user's std vega pricing.preTradeAmmNetStdVega = -globalCache.netGreeks.netStdVega; globalCache.netGreeks.netOptionValue += strikeOptionValue; globalCache.netGreeks.netDelta += netDeltaDiff; globalCache.netGreeks.netStdVega += netStdVegaDiff; pricing.optionPrice = (trade.optionType != OptionMarket.OptionType.LONG_PUT && trade.optionType != OptionMarket.OptionType.SHORT_PUT_QUOTE) ? pricesDeltaStdVega.callPrice : pricesDeltaStdVega.putPrice; // AMM's net positions are the inverse of the user's net position pricing.postTradeAmmNetStdVega = -globalCache.netGreeks.netStdVega; pricing.callDelta = pricesDeltaStdVega.callDelta; pricing.volTraded = boardCache.iv.multiplyDecimal(strikeCache.skew); pricing.vega = pricesDeltaStdVega.vega; emit StrikeCacheUpdated(strikeCache); emit BoardCacheUpdated(boardCache); emit GlobalCacheUpdated(globalCache); return pricing; } ///////////////////////////////////// // Liquidation/Force Close pricing // ///////////////////////////////////// /** * @notice Calculate price paid by the user to forceClose an options position * * @param trade TradeParameter as defined in OptionMarket * @param strike strikes details (including total exposure) * @param expiry expiry of option * @param newVol volatility post slippage as determined in `OptionTokOptionMarketPriceren.ivImpactForTrade()` * @param isPostCutoff flag for whether order is closer to expiry than postCutoff param. * @return optionPrice premium to charge for close order (excluding fees added in OptionMarketPricer) * @return forceCloseVol volatility used to calculate optionPrice */ function getPriceForForceClose( OptionMarket.TradeParameters memory trade, OptionMarket.Strike memory strike, uint expiry, uint newVol, bool isPostCutoff ) public view returns (uint optionPrice, uint forceCloseVol) { forceCloseVol = _getGWAVVolWithOverride( strike.boardId, strike.id, forceCloseParams.ivGWAVPeriod, forceCloseParams.skewGWAVPeriod ); if (trade.tradeDirection == OptionMarket.TradeDirection.CLOSE) { // If the tradeDirection is a close, we know the user force closed. if (trade.isBuy) { // closing a short - maximise vol forceCloseVol = Math.max(forceCloseVol, newVol); forceCloseVol = isPostCutoff ? forceCloseVol.multiplyDecimal(forceCloseParams.shortPostCutoffVolShock) : forceCloseVol.multiplyDecimal(forceCloseParams.shortVolShock); } else { // closing a long - minimise vol forceCloseVol = Math.min(forceCloseVol, newVol); forceCloseVol = isPostCutoff ? forceCloseVol.multiplyDecimal(forceCloseParams.longPostCutoffVolShock) : forceCloseVol.multiplyDecimal(forceCloseParams.longVolShock); } } else { // Otherwise it can only be a liquidation forceCloseVol = isPostCutoff ? forceCloseVol.multiplyDecimal(forceCloseParams.liquidatePostCutoffVolShock) : forceCloseVol.multiplyDecimal(forceCloseParams.liquidateVolShock); } (uint callPrice, uint putPrice) = BlackScholes .BlackScholesInputs({ timeToExpirySec: _timeToMaturitySeconds(expiry), volatilityDecimal: forceCloseVol, spotDecimal: trade.spotPrice, strikePriceDecimal: strike.strikePrice, rateDecimal: exchangeAdapter.rateAndCarry(address(optionMarket)) }) .optionPrices(); uint price = (trade.optionType == OptionMarket.OptionType.LONG_PUT || trade.optionType == OptionMarket.OptionType.SHORT_PUT_QUOTE) ? putPrice : callPrice; if (trade.isBuy) { // In the case a short is being closed, ensure the AMM doesn't overpay by charging parity + some excess uint parity = _getParity(strike.strikePrice, trade.spotPrice, trade.optionType); uint minPrice = parity + trade.spotPrice.multiplyDecimal( trade.tradeDirection == OptionMarket.TradeDirection.CLOSE ? forceCloseParams.shortSpotMin : forceCloseParams.liquidateSpotMin ); price = Math.max(price, minPrice); } return (price, forceCloseVol); } function _getGWAVVolWithOverride( uint boardId, uint strikeId, uint overrideIvPeriod, uint overrideSkewPeriod ) internal view returns (uint gwavVol) { uint gwavIV = boardIVGWAV[boardId].getGWAVForPeriod(overrideIvPeriod, 0); uint strikeGWAVSkew = strikeSkewGWAV[strikeId].getGWAVForPeriod(overrideSkewPeriod, 0); return gwavIV.multiplyDecimal(strikeGWAVSkew); } /** * @notice Gets minimum collateral requirement for the specified option * * @param optionType The option type * @param strikePrice The strike price of the option * @param expiry The expiry of the option * @param spotPrice The price of the underlying asset * @param amount The size of the option */ function getMinCollateral( OptionMarket.OptionType optionType, uint strikePrice, uint expiry, uint spotPrice, uint amount ) external view returns (uint minCollateral) { if (amount == 0) { return 0; } // If put, reduce spot by percentage. If call, increase. uint shockPrice = (optionType == OptionMarket.OptionType.SHORT_PUT_QUOTE) ? spotPrice.multiplyDecimal(minCollatParams.putSpotPriceShock) : spotPrice.multiplyDecimal(minCollatParams.callSpotPriceShock); uint timeToMaturity = _timeToMaturitySeconds(expiry); (uint callPrice, uint putPrice) = BlackScholes .BlackScholesInputs({ timeToExpirySec: timeToMaturity, volatilityDecimal: getShockVol(timeToMaturity), spotDecimal: shockPrice, strikePriceDecimal: strikePrice, rateDecimal: exchangeAdapter.rateAndCarry(address(optionMarket)) }) .optionPrices(); uint fullCollat; uint volCollat; uint staticCollat = minCollatParams.minStaticQuoteCollateral; if (optionType == OptionMarket.OptionType.SHORT_CALL_BASE) { // Can be more lenient to SHORT_CALL_BASE traders volCollat = callPrice.multiplyDecimal(amount).divideDecimal(shockPrice); fullCollat = amount; staticCollat = minCollatParams.minStaticBaseCollateral; } else if (optionType == OptionMarket.OptionType.SHORT_CALL_QUOTE) { volCollat = callPrice.multiplyDecimal(amount); fullCollat = type(uint).max; } else { // optionType == OptionMarket.OptionType.SHORT_PUT_QUOTE volCollat = putPrice.multiplyDecimal(amount); fullCollat = amount.multiplyDecimal(strikePrice); } return Math.min(Math.max(volCollat, staticCollat), fullCollat); } /// @notice Gets shock vol (Vol used to compute the minimum collateral requirements for short positions) function getShockVol(uint timeToMaturity) public view returns (uint) { if (timeToMaturity <= minCollatParams.shockVolPointA) { return minCollatParams.shockVolA; } if (timeToMaturity >= minCollatParams.shockVolPointB) { return minCollatParams.shockVolB; } // Flip a and b so we don't need to convert to int return minCollatParams.shockVolA - (((minCollatParams.shockVolA - minCollatParams.shockVolB) * (timeToMaturity - minCollatParams.shockVolPointA)) / (minCollatParams.shockVolPointB - minCollatParams.shockVolPointA)); } ////////////////////////////////////////// // Update GWAV vol greeks and net greeks // ////////////////////////////////////////// /** * @notice Updates the cached greeks for an OptionBoardCache used to calculate: * - trading fees * - aggregate AMM option value * - net delta exposure for proper hedging * * @param boardId The id of the OptionBoardCache. */ function updateBoardCachedGreeks(uint boardId) public nonReentrant { _updateBoardCachedGreeks( exchangeAdapter.getSpotPriceForMarket(address(optionMarket), BaseExchangeAdapter.PriceType.REFERENCE), boardId ); } function _updateBoardCachedGreeks(uint spotPrice, uint boardId) internal { OptionBoardCache storage boardCache = boardCaches[boardId]; if (boardCache.id == 0) { revert InvalidBoardId(address(this), boardCache.id); } if (block.timestamp > boardCache.expiry) { revert CannotUpdateExpiredBoard(address(this), boardCache.id, boardCache.expiry, block.timestamp); } // Zero out the board net greeks and recompute all strikes, adding to the totals globalCache.netGreeks.netOptionValue -= boardCache.netGreeks.netOptionValue; globalCache.netGreeks.netDelta -= boardCache.netGreeks.netDelta; globalCache.netGreeks.netStdVega -= boardCache.netGreeks.netStdVega; boardCache.netGreeks.netOptionValue = 0; boardCache.netGreeks.netDelta = 0; boardCache.netGreeks.netStdVega = 0; _updateBoardIvVariance(boardCache); uint navGWAVbaseIv = boardIVGWAV[boardId].getGWAVForPeriod(greekCacheParams.optionValueIvGWAVPeriod, 0); uint strikesLen = boardCache.strikes.length; for (uint i = 0; i < strikesLen; ++i) { StrikeCache storage strikeCache = strikeCaches[boardCache.strikes[i]]; _updateStrikeSkewVariance(strikeCache); // update variance for strike skew uint strikeNavGWAVSkew = strikeSkewGWAV[strikeCache.id].getGWAVForPeriod( greekCacheParams.optionValueSkewGWAVPeriod, 0 ); uint navGWAVvol = navGWAVbaseIv.multiplyDecimal(strikeNavGWAVSkew); _updateStrikeCachedGreeks(strikeCache, boardCache, spotPrice, navGWAVvol); } _updateMaxSkewVariance(boardCache); _updateMaxIvVariance(); boardCache.updatedAt = block.timestamp; boardCache.updatedAtPrice = spotPrice; _updateGlobalLastUpdatedAt(); emit BoardIvUpdated(boardCache.id, boardCache.iv, globalCache.maxIvVariance); emit BoardCacheUpdated(boardCache); emit GlobalCacheUpdated(globalCache); } /** * @dev Updates an StrikeCache using TWAP. * Assumes board has been zeroed out before updating all strikes at once * * @param strikeCache The StrikeCache. * @param boardCache The OptionBoardCache. */ function _updateStrikeCachedGreeks( StrikeCache storage strikeCache, OptionBoardCache storage boardCache, uint spotPrice, uint navGWAVvol ) internal { BlackScholes.PricesDeltaStdVega memory pricesDeltaStdVega = BlackScholes .BlackScholesInputs({ timeToExpirySec: _timeToMaturitySeconds(boardCache.expiry), volatilityDecimal: navGWAVvol, spotDecimal: spotPrice, strikePriceDecimal: strikeCache.strikePrice, rateDecimal: exchangeAdapter.rateAndCarry(address(optionMarket)) }) .pricesDeltaStdVega(); strikeCache.greeks.callPrice = pricesDeltaStdVega.callPrice; strikeCache.greeks.putPrice = pricesDeltaStdVega.putPrice; strikeCache.greeks.callDelta = pricesDeltaStdVega.callDelta; strikeCache.greeks.putDelta = pricesDeltaStdVega.putDelta; strikeCache.greeks.stdVega = pricesDeltaStdVega.stdVega; // only update board/global if exposure present if (strikeCache.callExposure != 0 || strikeCache.putExposure != 0) { int strikeOptionValue = (strikeCache.callExposure).multiplyDecimal( SafeCast.toInt256(strikeCache.greeks.callPrice) ) + (strikeCache.putExposure).multiplyDecimal(SafeCast.toInt256(strikeCache.greeks.putPrice)); int strikeNetDelta = strikeCache.callExposure.multiplyDecimal(strikeCache.greeks.callDelta) + strikeCache.putExposure.multiplyDecimal(strikeCache.greeks.putDelta); int strikeNetStdVega = (strikeCache.callExposure + strikeCache.putExposure).multiplyDecimal( SafeCast.toInt256(strikeCache.greeks.stdVega) ); boardCache.netGreeks.netOptionValue += strikeOptionValue; boardCache.netGreeks.netDelta += strikeNetDelta; boardCache.netGreeks.netStdVega += strikeNetStdVega; globalCache.netGreeks.netOptionValue += strikeOptionValue; globalCache.netGreeks.netDelta += strikeNetDelta; globalCache.netGreeks.netStdVega += strikeNetStdVega; } emit StrikeCacheUpdated(strikeCache); emit StrikeSkewUpdated(strikeCache.id, strikeCache.skew, globalCache.maxSkewVariance); } /// @dev Updates global `lastUpdatedAt`. function _updateGlobalLastUpdatedAt() internal { OptionBoardCache storage boardCache = boardCaches[liveBoards[0]]; uint minUpdatedAt = boardCache.updatedAt; uint minUpdatedAtPrice = boardCache.updatedAtPrice; uint maxUpdatedAtPrice = boardCache.updatedAtPrice; uint maxSkewVariance = boardCache.maxSkewVariance; uint maxIvVariance = boardCache.ivVariance; uint liveBoardsLen = liveBoards.length; for (uint i = 1; i < liveBoardsLen; ++i) { boardCache = boardCaches[liveBoards[i]]; if (boardCache.updatedAt < minUpdatedAt) { minUpdatedAt = boardCache.updatedAt; } if (boardCache.updatedAtPrice < minUpdatedAtPrice) { minUpdatedAtPrice = boardCache.updatedAtPrice; } if (boardCache.updatedAtPrice > maxUpdatedAtPrice) { maxUpdatedAtPrice = boardCache.updatedAtPrice; } if (boardCache.maxSkewVariance > maxSkewVariance) { maxSkewVariance = boardCache.maxSkewVariance; } if (boardCache.ivVariance > maxIvVariance) { maxIvVariance = boardCache.ivVariance; } } globalCache.minUpdatedAt = minUpdatedAt; globalCache.minUpdatedAtPrice = minUpdatedAtPrice; globalCache.maxUpdatedAtPrice = maxUpdatedAtPrice; globalCache.maxSkewVariance = maxSkewVariance; globalCache.maxIvVariance = maxIvVariance; } ///////////////////////// // Updating GWAV values // ///////////////////////// /// @dev updates baseIv for a given board, updating the baseIv gwav function _updateBoardIv(OptionBoardCache storage boardCache, uint newIv) internal { boardCache.iv = newIv; boardIVGWAV[boardCache.id]._write(newIv, block.timestamp); _updateBoardIvVariance(boardCache); _updateMaxIvVariance(); emit BoardIvUpdated(boardCache.id, newIv, globalCache.maxIvVariance); } /// @dev updates skew for a given strike, updating the skew gwav function _updateStrikeSkew( OptionBoardCache storage boardCache, StrikeCache storage strikeCache, uint newSkew ) internal { strikeCache.skew = newSkew; strikeSkewGWAV[strikeCache.id]._write( Math.max(Math.min(newSkew, greekCacheParams.gwavSkewCap), greekCacheParams.gwavSkewFloor), block.timestamp ); // Update variance _updateStrikeSkewVariance(strikeCache); _updateMaxSkewVariance(boardCache); emit StrikeSkewUpdated(strikeCache.id, newSkew, globalCache.maxSkewVariance); } /// @dev updates maxIvVariance across all boards function _updateMaxIvVariance() internal { uint maxIvVariance = boardCaches[liveBoards[0]].ivVariance; uint liveBoardsLen = liveBoards.length; for (uint i = 1; i < liveBoardsLen; ++i) { if (boardCaches[liveBoards[i]].ivVariance > maxIvVariance) { maxIvVariance = boardCaches[liveBoards[i]].ivVariance; } } globalCache.maxIvVariance = maxIvVariance; } /// @dev updates skewVariance for strike, used to trigger CBs and charge varianceFees function _updateStrikeSkewVariance(StrikeCache storage strikeCache) internal { uint strikeVarianceGWAVSkew = strikeSkewGWAV[strikeCache.id].getGWAVForPeriod( greekCacheParams.varianceSkewGWAVPeriod, 0 ); if (strikeVarianceGWAVSkew >= strikeCache.skew) { strikeCache.skewVariance = strikeVarianceGWAVSkew - strikeCache.skew; } else { strikeCache.skewVariance = strikeCache.skew - strikeVarianceGWAVSkew; } } /// @dev updates ivVariance for board, used to trigger CBs and charge varianceFees function _updateBoardIvVariance(OptionBoardCache storage boardCache) internal { uint boardVarianceGWAVIv = boardIVGWAV[boardCache.id].getGWAVForPeriod(greekCacheParams.varianceIvGWAVPeriod, 0); if (boardVarianceGWAVIv >= boardCache.iv) { boardCache.ivVariance = boardVarianceGWAVIv - boardCache.iv; } else { boardCache.ivVariance = boardCache.iv - boardVarianceGWAVIv; } } /// @dev updates maxSkewVariance for the board and across all strikes function _updateMaxSkewVariance(OptionBoardCache storage boardCache) internal { uint maxBoardSkewVariance = strikeCaches[boardCache.strikes[0]].skewVariance; uint strikesLen = boardCache.strikes.length; for (uint i = 1; i < strikesLen; ++i) { if (strikeCaches[boardCache.strikes[i]].skewVariance > maxBoardSkewVariance) { maxBoardSkewVariance = strikeCaches[boardCache.strikes[i]].skewVariance; } } boardCache.maxSkewVariance = maxBoardSkewVariance; uint maxSkewVariance = boardCaches[liveBoards[0]].maxSkewVariance; uint liveBoardsLen = liveBoards.length; for (uint i = 1; i < liveBoardsLen; ++i) { if (boardCaches[liveBoards[i]].maxSkewVariance > maxSkewVariance) { maxSkewVariance = boardCaches[liveBoards[i]].maxSkewVariance; } } globalCache.maxSkewVariance = maxSkewVariance; } ////////////////////////// // Stale cache checking // ////////////////////////// /** * @notice returns `true` if even one board not updated within `staleUpdateDuration` or * if spot price moves up/down beyond `acceptablePriceMovement` */ function isGlobalCacheStale(uint spotPrice) external view returns (bool) { if (liveBoards.length == 0) { return false; } else { return (_isUpdatedAtTimeStale(globalCache.minUpdatedAt) || !_isPriceMoveAcceptable(globalCache.minUpdatedAtPrice, spotPrice) || !_isPriceMoveAcceptable(globalCache.maxUpdatedAtPrice, spotPrice)); } } /** * @notice returns `true` if board not updated within `staleUpdateDuration` or * if spot price moves up/down beyond `acceptablePriceMovement` */ function isBoardCacheStale(uint boardId) external view returns (bool) { uint spotPrice = exchangeAdapter.getSpotPriceForMarket( address(optionMarket), BaseExchangeAdapter.PriceType.REFERENCE ); OptionBoardCache memory boardCache = boardCaches[boardId]; if (boardCache.id == 0) { revert InvalidBoardId(address(this), boardCache.id); } return (_isUpdatedAtTimeStale(boardCache.updatedAt) || !_isPriceMoveAcceptable(boardCache.updatedAtPrice, spotPrice)); } /** * @notice Check if the price move of base asset renders the cache stale. * * @param pastPrice The previous price. * @param currentPrice The current price. */ function _isPriceMoveAcceptable(uint pastPrice, uint currentPrice) internal view returns (bool) { uint acceptablePriceMovement = pastPrice.multiplyDecimal(greekCacheParams.acceptableSpotPricePercentMove); if (currentPrice > pastPrice) { return (currentPrice - pastPrice) < acceptablePriceMovement; } else { return (pastPrice - currentPrice) < acceptablePriceMovement; } } /** * @notice Checks if board updated within `staleUpdateDuration`. * * @param updatedAt The time of the last update. */ function _isUpdatedAtTimeStale(uint updatedAt) internal view returns (bool) { // This can be more complex than just checking the item wasn't updated in the last two hours return _getSecondsTo(updatedAt, block.timestamp) > greekCacheParams.staleUpdateDuration; } ///////////////////////////// // External View functions // ///////////////////////////// /// @notice Get the current cached global netDelta exposure. function getGlobalNetDelta() external view returns (int) { return globalCache.netGreeks.netDelta; } /// @notice Get the current global net option value function getGlobalOptionValue() external view returns (int) { return globalCache.netGreeks.netOptionValue; } /// @notice Returns the BoardGreeksView struct given a specific boardId function getBoardGreeksView(uint boardId) external view returns (BoardGreeksView memory) { uint strikesLen = boardCaches[boardId].strikes.length; StrikeGreeks[] memory strikeGreeks = new StrikeGreeks[](strikesLen); uint[] memory skewGWAVs = new uint[](strikesLen); for (uint i = 0; i < strikesLen; ++i) { strikeGreeks[i] = strikeCaches[boardCaches[boardId].strikes[i]].greeks; skewGWAVs[i] = strikeSkewGWAV[boardCaches[boardId].strikes[i]].getGWAVForPeriod( forceCloseParams.skewGWAVPeriod, 0 ); } return BoardGreeksView({ boardGreeks: boardCaches[boardId].netGreeks, ivGWAV: boardIVGWAV[boardId].getGWAVForPeriod(forceCloseParams.ivGWAVPeriod, 0), strikeGreeks: strikeGreeks, skewGWAVs: skewGWAVs }); } /// @notice Get StrikeCache given a specific strikeId function getStrikeCache(uint strikeId) external view returns (StrikeCache memory) { return (strikeCaches[strikeId]); } /// @notice Get OptionBoardCache given a specific boardId function getOptionBoardCache(uint boardId) external view returns (OptionBoardCache memory) { return (boardCaches[boardId]); } /// @notice Get the global cache function getGlobalCache() external view returns (GlobalCache memory) { return globalCache; } /// @notice Returns ivGWAV for a given boardId and GWAV time interval function getIvGWAV(uint boardId, uint secondsAgo) external view returns (uint ivGWAV) { return boardIVGWAV[boardId].getGWAVForPeriod(secondsAgo, 0); } /// @notice Returns skewGWAV for a given strikeId and GWAV time interval function getSkewGWAV(uint strikeId, uint secondsAgo) external view returns (uint skewGWAV) { return strikeSkewGWAV[strikeId].getGWAVForPeriod(secondsAgo, 0); } /// @notice Get the GreekCacheParameters function getGreekCacheParams() external view returns (GreekCacheParameters memory) { return greekCacheParams; } /// @notice Get the ForceCloseParamters function getForceCloseParams() external view returns (ForceCloseParameters memory) { return forceCloseParams; } /// @notice Get the MinCollateralParamters function getMinCollatParams() external view returns (MinCollateralParameters memory) { return minCollatParams; } //////////////////////////// // Utility/Math functions // //////////////////////////// /// @dev Calculate option payout on expiry given a strikePrice, spot on expiry and optionType. function _getParity( uint strikePrice, uint spot, OptionMarket.OptionType optionType ) internal pure returns (uint parity) { int diff = (optionType == OptionMarket.OptionType.LONG_PUT || optionType == OptionMarket.OptionType.SHORT_PUT_QUOTE) ? SafeCast.toInt256(strikePrice) - SafeCast.toInt256(spot) : SafeCast.toInt256(spot) - SafeCast.toInt256(strikePrice); parity = diff > 0 ? uint(diff) : 0; } /// @dev Returns time to maturity for a given expiry. function _timeToMaturitySeconds(uint expiry) internal view returns (uint) { return _getSecondsTo(block.timestamp, expiry); } /// @dev Returns the difference in seconds between two dates. function _getSecondsTo(uint fromTime, uint toTime) internal pure returns (uint) { if (toTime > fromTime) { return toTime - fromTime; } return 0; } /////////////// // Modifiers // /////////////// modifier onlyOptionMarket() { if (msg.sender != address(optionMarket)) { revert OnlyOptionMarket(address(this), msg.sender, address(optionMarket)); } _; } modifier onlyOptionMarketPricer() { if (msg.sender != address(optionMarketPricer)) { revert OnlyOptionMarketPricer(address(this), msg.sender, address(optionMarketPricer)); } _; } //////////// // Events // //////////// event GreekCacheParametersSet(GreekCacheParameters params); event ForceCloseParametersSet(ForceCloseParameters params); event MinCollateralParametersSet(MinCollateralParameters params); event StrikeCacheUpdated(StrikeCache strikeCache); event BoardCacheUpdated(OptionBoardCache boardCache); event GlobalCacheUpdated(GlobalCache globalCache); event BoardCacheRemoved(uint boardId); event StrikeCacheRemoved(uint strikeId); event BoardIvUpdated(uint boardId, uint newIv, uint globalMaxIvVariance); event StrikeSkewUpdated(uint strikeId, uint newSkew, uint globalMaxSkewVariance); //////////// // Errors // //////////// // Admin error InvalidGreekCacheParameters(address thrower, GreekCacheParameters greekCacheParams); error InvalidForceCloseParameters(address thrower, ForceCloseParameters forceCloseParams); error InvalidMinCollatParams(address thrower, MinCollateralParameters minCollatParams); // Board related error BoardStrikeLimitExceeded(address thrower, uint boardId, uint newStrikesLength, uint maxStrikesPerBoard); error InvalidBoardId(address thrower, uint boardId); error CannotUpdateExpiredBoard(address thrower, uint boardId, uint expiry, uint currentTimestamp); // Access error OnlyOptionMarket(address thrower, address caller, address optionMarket); error OnlyOptionMarketPricer(address thrower, address caller, address optionMarketPricer); }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Libraries import "./synthetix/DecimalMath.sol"; import "./libraries/ConvertDecimals.sol"; import "openzeppelin-contracts-4.4.1/utils/math/SafeCast.sol"; // Inherited import "./synthetix/Owned.sol"; import "./libraries/SimpleInitializable.sol"; import "openzeppelin-contracts-4.4.1/security/ReentrancyGuard.sol"; // Interfaces import "./interfaces/IERC20Decimals.sol"; import "./BaseExchangeAdapter.sol"; import "./LiquidityPool.sol"; import "./OptionToken.sol"; import "./OptionGreekCache.sol"; import "./ShortCollateral.sol"; import "./OptionMarketPricer.sol"; /** * @title OptionMarket * @author Lyra * @dev An AMM which allows users to trade options. Supports both buying and selling options. Also handles liquidating * short positions. */ contract OptionMarket is Owned, SimpleInitializable, ReentrancyGuard { using DecimalMath for uint; enum TradeDirection { OPEN, CLOSE, LIQUIDATE } enum OptionType { LONG_CALL, LONG_PUT, SHORT_CALL_BASE, SHORT_CALL_QUOTE, SHORT_PUT_QUOTE } /// @notice For returning more specific errors enum NonZeroValues { BASE_IV, SKEW, STRIKE_PRICE, ITERATIONS, STRIKE_ID } /////////////////// // Internal Data // /////////////////// struct Strike { // strike listing identifier uint id; // strike price uint strikePrice; // volatility component specific to the strike listing (boardIv * skew = vol of strike) uint skew; // total user long call exposure uint longCall; // total user short call (base collateral) exposure uint shortCallBase; // total user short call (quote collateral) exposure uint shortCallQuote; // total user long put exposure uint longPut; // total user short put (quote collateral) exposure uint shortPut; // id of board to which strike belongs uint boardId; } struct OptionBoard { // board identifier uint id; // expiry of all strikes belonging to board uint expiry; // volatility component specific to board (boardIv * skew = vol of strike) uint iv; // admin settable flag blocking all trading on this board bool frozen; // list of all strikes belonging to this board uint[] strikeIds; } /////////////// // In-memory // /////////////// struct OptionMarketParameters { // max allowable expiry of added boards uint maxBoardExpiry; // security module address address securityModule; // fee portion reserved for Lyra DAO uint feePortionReserved; // expected fee charged to LPs, used for pricing short_call_base settlement uint staticBaseSettlementFee; } struct TradeInputParameters { // id of strike uint strikeId; // OptionToken ERC721 id for position (set to 0 for new positions) uint positionId; // number of sub-orders to break order into (reduces slippage) uint iterations; // type of option to trade OptionType optionType; // number of contracts to trade uint amount; // final amount of collateral to leave in OptionToken position uint setCollateralTo; // revert trade if totalCost is below this value uint minTotalCost; // revert trade if totalCost is above this value uint maxTotalCost; // referrer emitted in Trade event, no on-chain interaction address referrer; } struct TradeParameters { bool isBuy; bool isForceClose; TradeDirection tradeDirection; OptionType optionType; uint amount; uint expiry; uint strikePrice; uint spotPrice; LiquidityPool.Liquidity liquidity; } struct TradeEventData { uint strikeId; uint expiry; uint strikePrice; OptionType optionType; TradeDirection tradeDirection; uint amount; uint setCollateralTo; bool isForceClose; uint spotPrice; uint reservedFee; uint totalCost; } struct LiquidationEventData { address rewardBeneficiary; address caller; uint returnCollateral; // quote || base uint lpPremiums; // quote || base uint lpFee; // quote || base uint liquidatorFee; // quote || base uint smFee; // quote || base uint insolventAmount; // quote } struct Result { uint positionId; uint totalCost; uint totalFee; } /////////////// // Variables // /////////////// BaseExchangeAdapter internal exchangeAdapter; LiquidityPool internal liquidityPool; OptionMarketPricer internal optionPricer; OptionGreekCache internal greekCache; ShortCollateral internal shortCollateral; OptionToken internal optionToken; IERC20Decimals public quoteAsset; IERC20Decimals public baseAsset; uint internal nextStrikeId = 1; uint internal nextBoardId = 1; uint[] internal liveBoards; OptionMarketParameters internal optionMarketParams; mapping(uint => OptionBoard) internal optionBoards; mapping(uint => Strike) internal strikes; mapping(uint => uint) public boardToPriceAtExpiry; mapping(uint => uint) internal strikeToBaseReturnedRatio; mapping(uint => uint) public scaledLongsForBoard; // calculated at expiry, used for contract adjustments constructor() Owned() {} /** * @dev Initialize the contract. */ function init( BaseExchangeAdapter _exchangeAdapter, LiquidityPool _liquidityPool, OptionMarketPricer _optionPricer, OptionGreekCache _greekCache, ShortCollateral _shortCollateral, OptionToken _optionToken, IERC20Decimals _quoteAsset, IERC20Decimals _baseAsset ) external onlyOwner initializer { exchangeAdapter = _exchangeAdapter; liquidityPool = _liquidityPool; optionPricer = _optionPricer; greekCache = _greekCache; shortCollateral = _shortCollateral; optionToken = _optionToken; quoteAsset = _quoteAsset; baseAsset = _baseAsset; } ///////////////////// // Admin functions // ///////////////////// /** * @notice Creates a new OptionBoard with defined strikePrices and initial skews. * * @param expiry The timestamp when the board expires. * @param baseIV The initial value for baseIv (baseIv * skew = strike volatility). * @param strikePrices The array of strikePrices offered for this expiry. * @param skews The array of initial skews for each strikePrice. * @param frozen Whether the board is frozen or not at creation. */ function createOptionBoard( uint expiry, uint baseIV, uint[] memory strikePrices, uint[] memory skews, bool frozen ) external onlyOwner returns (uint boardId) { uint strikePricesLength = strikePrices.length; // strikePrice and skew length must match and must have at least 1 if (strikePricesLength != skews.length || strikePricesLength == 0) { revert StrikeSkewLengthMismatch(address(this), strikePricesLength, skews.length); } if (expiry <= block.timestamp || expiry > block.timestamp + optionMarketParams.maxBoardExpiry) { revert InvalidExpiryTimestamp(address(this), block.timestamp, expiry, optionMarketParams.maxBoardExpiry); } if (baseIV == 0) { revert ExpectedNonZeroValue(address(this), NonZeroValues.BASE_IV); } boardId = nextBoardId++; OptionBoard storage board = optionBoards[boardId]; board.id = boardId; board.expiry = expiry; board.iv = baseIV; board.frozen = frozen; liveBoards.push(boardId); emit BoardCreated(boardId, expiry, baseIV, frozen); Strike[] memory newStrikes = new Strike[](strikePricesLength); for (uint i = 0; i < strikePricesLength; ++i) { newStrikes[i] = _addStrikeToBoard(board, strikePrices[i], skews[i]); } greekCache.addBoard(board, newStrikes); return boardId; } /** * @notice Sets the frozen state of an OptionBoard, preventing or allowing all trading on board. * @param boardId The id of the OptionBoard. * @param frozen Whether the board will be frozen or not. */ function setBoardFrozen(uint boardId, bool frozen) external onlyOwner { OptionBoard storage board = optionBoards[boardId]; if (board.id != boardId || board.id == 0) { revert InvalidBoardId(address(this), boardId); } optionBoards[boardId].frozen = frozen; emit BoardFrozen(boardId, frozen); } /** * @notice Sets the baseIv of a frozen OptionBoard. * * @param boardId The id of the OptionBoard. * @param baseIv The new baseIv value. */ function setBoardBaseIv(uint boardId, uint baseIv) external onlyOwner { OptionBoard storage board = optionBoards[boardId]; if (board.id != boardId || board.id == 0) { revert InvalidBoardId(address(this), boardId); } if (baseIv == 0) { revert ExpectedNonZeroValue(address(this), NonZeroValues.BASE_IV); } if (!board.frozen) { revert BoardNotFrozen(address(this), boardId); } board.iv = baseIv; greekCache.setBoardIv(boardId, baseIv); emit BoardBaseIvSet(boardId, baseIv); } /** * @notice Sets the skew of a Strike of a frozen OptionBoard. * * @param strikeId The id of the strike being modified. * @param skew The new skew value. */ function setStrikeSkew(uint strikeId, uint skew) external onlyOwner { Strike storage strike = strikes[strikeId]; if (strike.id != strikeId) { revert InvalidStrikeId(address(this), strikeId); } if (skew == 0) { revert ExpectedNonZeroValue(address(this), NonZeroValues.SKEW); } OptionBoard memory board = optionBoards[strike.boardId]; if (!board.frozen) { revert BoardNotFrozen(address(this), board.id); } strike.skew = skew; greekCache.setStrikeSkew(strikeId, skew); emit StrikeSkewSet(strikeId, skew); } /** * @notice Add a strike to an existing board in the OptionMarket. * * @param boardId The id of the board which the strike will be added * @param strikePrice The strike price of the strike being added * @param skew Skew of the Strike */ function addStrikeToBoard(uint boardId, uint strikePrice, uint skew) external onlyOwner { OptionBoard storage board = optionBoards[boardId]; if (board.id != boardId || board.id == 0) { revert InvalidBoardId(address(this), boardId); } Strike memory strike = _addStrikeToBoard(board, strikePrice, skew); greekCache.addStrikeToBoard(boardId, strike.id, strikePrice, skew); } /// @dev Add a strike to an existing board. function _addStrikeToBoard(OptionBoard storage board, uint strikePrice, uint skew) internal returns (Strike memory) { if (strikePrice == 0) { revert ExpectedNonZeroValue(address(this), NonZeroValues.STRIKE_PRICE); } if (skew == 0) { revert ExpectedNonZeroValue(address(this), NonZeroValues.SKEW); } uint strikeId = nextStrikeId++; strikes[strikeId] = Strike(strikeId, strikePrice, skew, 0, 0, 0, 0, 0, board.id); board.strikeIds.push(strikeId); emit StrikeAdded(board.id, strikeId, strikePrice, skew); return strikes[strikeId]; } /** * @notice Force settle all open options before expiry. * @dev Only used during emergency situations. * * @param boardId The id of the board to settle */ function forceSettleBoard(uint boardId) external onlyOwner { OptionBoard memory board = optionBoards[boardId]; if (board.id != boardId || board.id == 0) { revert InvalidBoardId(address(this), boardId); } if (!board.frozen) { revert BoardNotFrozen(address(this), boardId); } _clearAndSettleBoard(board); } /// @notice set OptionMarketParams function setOptionMarketParams(OptionMarketParameters memory _optionMarketParams) external onlyOwner { if (_optionMarketParams.feePortionReserved > DecimalMath.UNIT) { revert InvalidOptionMarketParams(address(this), _optionMarketParams); } optionMarketParams = _optionMarketParams; emit OptionMarketParamsSet(optionMarketParams); } /// @notice claim all reserved option fees function smClaim() external notGlobalPaused { if (msg.sender != optionMarketParams.securityModule) { revert OnlySecurityModule(address(this), msg.sender, optionMarketParams.securityModule); } uint quoteBal = quoteAsset.balanceOf(address(this)); if (quoteBal > 0 && !quoteAsset.transfer(msg.sender, quoteBal)) { revert QuoteTransferFailed(address(this), address(this), msg.sender, quoteBal); } emit SMClaimed(msg.sender, quoteBal); } /// @notice Allow incorrectly sent funds to be recovered function recoverFunds(IERC20Decimals token, address recipient) external onlyOwner { if (token == quoteAsset) { revert CannotRecoverQuote(address(this)); } token.transfer(recipient, token.balanceOf(address(this))); } /////////// // Views // /////////// function getOptionMarketParams() external view returns (OptionMarketParameters memory) { return optionMarketParams; } /** * @notice Returns the list of live board ids. */ function getLiveBoards() external view returns (uint[] memory _liveBoards) { uint liveBoardsLen = liveBoards.length; _liveBoards = new uint[](liveBoardsLen); for (uint i = 0; i < liveBoardsLen; ++i) { _liveBoards[i] = liveBoards[i]; } return _liveBoards; } /// @notice Returns the number of current live boards function getNumLiveBoards() external view returns (uint numLiveBoards) { return liveBoards.length; } /// @notice Returns the strike and expiry for a given strikeId function getStrikeAndExpiry(uint strikeId) external view returns (uint strikePrice, uint expiry) { return (strikes[strikeId].strikePrice, optionBoards[strikes[strikeId].boardId].expiry); } /** * @notice Returns the strike ids for a given `boardId`. * * @param boardId The id of the relevant OptionBoard. */ function getBoardStrikes(uint boardId) external view returns (uint[] memory strikeIds) { uint strikeIdsLen = optionBoards[boardId].strikeIds.length; strikeIds = new uint[](strikeIdsLen); for (uint i = 0; i < strikeIdsLen; ++i) { strikeIds[i] = optionBoards[boardId].strikeIds[i]; } return strikeIds; } /// @notice Returns the Strike struct for a given strikeId function getStrike(uint strikeId) external view returns (Strike memory) { return strikes[strikeId]; } /// @notice Returns the OptionBoard struct for a given boardId function getOptionBoard(uint boardId) external view returns (OptionBoard memory) { return optionBoards[boardId]; } /// @notice Returns the Strike and OptionBoard structs for a given strikeId function getStrikeAndBoard(uint strikeId) external view returns (Strike memory, OptionBoard memory) { Strike memory strike = strikes[strikeId]; return (strike, optionBoards[strike.boardId]); } /** * @notice Returns board and strike details given a boardId * * @return board * @return boardStrikes * @return strikeToBaseReturnedRatios For each strike, the ratio of full base collateral to return to the trader * @return priceAtExpiry * @return longScaleFactor The amount to scale payouts for long options */ function getBoardAndStrikeDetails( uint boardId ) external view returns (OptionBoard memory, Strike[] memory, uint[] memory, uint, uint) { OptionBoard memory board = optionBoards[boardId]; uint strikesLen = board.strikeIds.length; Strike[] memory boardStrikes = new Strike[](strikesLen); uint[] memory strikeToBaseReturnedRatios = new uint[](strikesLen); for (uint i = 0; i < strikesLen; ++i) { boardStrikes[i] = strikes[board.strikeIds[i]]; strikeToBaseReturnedRatios[i] = strikeToBaseReturnedRatio[board.strikeIds[i]]; } return ( board, boardStrikes, strikeToBaseReturnedRatios, boardToPriceAtExpiry[boardId], scaledLongsForBoard[boardId] ); } //////////////////// // User functions // //////////////////// /** * @notice Attempts to open positions within cost bounds. * @dev If a positionId is specified that position is adjusted accordingly * * @param params The parameters for the requested trade */ function openPosition(TradeInputParameters memory params) external nonReentrant returns (Result memory result) { result = _openPosition(params); _checkCostInBounds(result.totalCost, params.minTotalCost, params.maxTotalCost); } /** * @notice Attempts to reduce or fully close position within cost bounds. * * @param params The parameters for the requested trade */ function closePosition(TradeInputParameters memory params) external nonReentrant returns (Result memory result) { result = _closePosition(params, false); _checkCostInBounds(result.totalCost, params.minTotalCost, params.maxTotalCost); } /** * @notice Attempts to reduce or fully close position within cost bounds while ignoring delta trading cutoffs. * * @param params The parameters for the requested trade */ function forceClosePosition(TradeInputParameters memory params) external nonReentrant returns (Result memory result) { result = _closePosition(params, true); _checkCostInBounds(result.totalCost, params.minTotalCost, params.maxTotalCost); } /** * @notice Add collateral of size amountCollateral onto a short position (long or call) specified by positionId; * this transfers tokens (which may be denominated in the quote or the base asset). This allows you to * further collateralise a short position in order to, say, prevent imminent liquidation. * * @param positionId id of OptionToken to add collateral to * @param amountCollateral the amount of collateral to be added */ function addCollateral(uint positionId, uint amountCollateral) external nonReentrant notGlobalPaused { int pendingCollateral = SafeCast.toInt256(amountCollateral); OptionType optionType = optionToken.addCollateral(positionId, amountCollateral); _routeUserCollateral(optionType, pendingCollateral); } function _checkCostInBounds(uint totalCost, uint minCost, uint maxCost) internal view { if (totalCost < minCost || totalCost > maxCost) { revert TotalCostOutsideOfSpecifiedBounds(address(this), totalCost, minCost, maxCost); } } ///////////////////////// // Opening and Closing // ///////////////////////// /** * @dev Opens a position, which may be long call, long put, short call or short put. */ function _openPosition(TradeInputParameters memory params) internal returns (Result memory result) { (TradeParameters memory trade, Strike storage strike, OptionBoard storage board) = _composeTrade( params.strikeId, params.optionType, params.amount, TradeDirection.OPEN, params.iterations, false ); OptionMarketPricer.TradeResult[] memory tradeResults; (trade.amount, result.totalCost, result.totalFee, tradeResults) = _doTrade( strike, board, trade, params.iterations, params.amount ); int pendingCollateral; // collateral logic happens within optionToken (result.positionId, pendingCollateral) = optionToken.adjustPosition( trade, params.strikeId, msg.sender, params.positionId, result.totalCost, params.setCollateralTo, true ); uint reservedFee = result.totalFee.multiplyDecimal(optionMarketParams.feePortionReserved); _routeLPFundsOnOpen(trade, result.totalCost, reservedFee, params.strikeId); _routeUserCollateral(trade.optionType, pendingCollateral); liquidityPool.updateCBs(); emit Trade( msg.sender, result.positionId, params.referrer, TradeEventData({ strikeId: params.strikeId, expiry: trade.expiry, strikePrice: trade.strikePrice, optionType: params.optionType, tradeDirection: TradeDirection.OPEN, amount: trade.amount, setCollateralTo: params.setCollateralTo, isForceClose: false, spotPrice: trade.spotPrice, reservedFee: reservedFee, totalCost: result.totalCost }), tradeResults, LiquidationEventData(address(0), address(0), 0, 0, 0, 0, 0, 0), trade.liquidity.longScaleFactor, block.timestamp ); } /** * @dev Closes some amount of an open position. The user does not have to close the whole position. * */ function _closePosition(TradeInputParameters memory params, bool forceClose) internal returns (Result memory result) { (TradeParameters memory trade, Strike storage strike, OptionBoard storage board) = _composeTrade( params.strikeId, params.optionType, params.amount, TradeDirection.CLOSE, params.iterations, forceClose ); OptionMarketPricer.TradeResult[] memory tradeResults; (trade.amount, result.totalCost, result.totalFee, tradeResults) = _doTrade( strike, board, trade, params.iterations, params.amount ); int pendingCollateral; // collateral logic happens within optionToken (result.positionId, pendingCollateral) = optionToken.adjustPosition( trade, params.strikeId, msg.sender, params.positionId, result.totalCost, params.setCollateralTo, false ); uint reservedFee = result.totalFee.multiplyDecimal(optionMarketParams.feePortionReserved); _routeUserCollateral(trade.optionType, pendingCollateral); _routeLPFundsOnClose(trade, result.totalCost, reservedFee); liquidityPool.updateCBs(); emit Trade( msg.sender, result.positionId, params.referrer, TradeEventData({ strikeId: params.strikeId, expiry: trade.expiry, strikePrice: trade.strikePrice, optionType: params.optionType, tradeDirection: TradeDirection.CLOSE, amount: params.amount, setCollateralTo: params.setCollateralTo, isForceClose: forceClose, reservedFee: reservedFee, spotPrice: trade.spotPrice, totalCost: result.totalCost }), tradeResults, LiquidationEventData(address(0), address(0), 0, 0, 0, 0, 0, 0), trade.liquidity.longScaleFactor, block.timestamp ); } /** * @dev Compile all trade related details */ function _composeTrade( uint strikeId, OptionType optionType, uint amount, TradeDirection _tradeDirection, uint iterations, bool isForceClose ) internal view returns (TradeParameters memory trade, Strike storage strike, OptionBoard storage board) { if (strikeId == 0) { revert ExpectedNonZeroValue(address(this), NonZeroValues.STRIKE_ID); } if (iterations == 0) { revert ExpectedNonZeroValue(address(this), NonZeroValues.ITERATIONS); } strike = strikes[strikeId]; if (strike.id != strikeId) { revert InvalidStrikeId(address(this), strikeId); } board = optionBoards[strike.boardId]; if (boardToPriceAtExpiry[board.id] != 0) { revert BoardAlreadySettled(address(this), board.id); } bool isBuy = (_tradeDirection == TradeDirection.OPEN) ? _isLong(optionType) : !_isLong(optionType); BaseExchangeAdapter.PriceType pricing; if (_tradeDirection == TradeDirection.LIQUIDATE) { pricing = BaseExchangeAdapter.PriceType.REFERENCE; } else if (optionType == OptionType.LONG_CALL || optionType == OptionType.SHORT_PUT_QUOTE) { pricing = _tradeDirection == TradeDirection.OPEN ? BaseExchangeAdapter.PriceType.MAX_PRICE : (isForceClose ? BaseExchangeAdapter.PriceType.FORCE_MIN : BaseExchangeAdapter.PriceType.MIN_PRICE); } else { pricing = _tradeDirection == TradeDirection.OPEN ? BaseExchangeAdapter.PriceType.MIN_PRICE : (isForceClose ? BaseExchangeAdapter.PriceType.FORCE_MAX : BaseExchangeAdapter.PriceType.MAX_PRICE); } trade = TradeParameters({ isBuy: isBuy, isForceClose: isForceClose, tradeDirection: _tradeDirection, optionType: optionType, amount: amount / iterations, expiry: board.expiry, strikePrice: strike.strikePrice, liquidity: liquidityPool.getLiquidity(), // NOTE: uses PriceType.REFERENCE spotPrice: exchangeAdapter.getSpotPriceForMarket(address(this), pricing) }); } function _isLong(OptionType optionType) internal pure returns (bool) { return (optionType == OptionType.LONG_CALL || optionType == OptionType.LONG_PUT); } /** * @dev Determine the cost of the trade and update the system's iv/skew/exposure parameters. * * @param strike The currently traded Strike. * @param board The currently traded OptionBoard. * @param trade The trade parameters struct, informing the trade the caller wants to make. */ function _doTrade( Strike storage strike, OptionBoard storage board, TradeParameters memory trade, uint iterations, uint expectedAmount ) internal returns (uint totalAmount, uint totalCost, uint totalFee, OptionMarketPricer.TradeResult[] memory tradeResults) { // don't engage AMM if only collateral is added/removed if (trade.amount == 0) { if (expectedAmount != 0) { revert TradeIterationsHasRemainder(address(this), iterations, expectedAmount, 0, 0); } return (0, 0, 0, new OptionMarketPricer.TradeResult[](0)); } if (board.frozen) { revert BoardIsFrozen(address(this), board.id); } if (block.timestamp >= board.expiry) { revert BoardExpired(address(this), board.id, board.expiry, block.timestamp); } tradeResults = new OptionMarketPricer.TradeResult[](iterations); for (uint i = 0; i < iterations; ++i) { if (i == iterations - 1) { trade.amount = expectedAmount - totalAmount; } _updateExposure(trade.amount, trade.optionType, strike, trade.tradeDirection == TradeDirection.OPEN); OptionMarketPricer.TradeResult memory tradeResult = optionPricer.updateCacheAndGetTradeResult( strike, trade, board.iv, board.expiry ); board.iv = tradeResult.newBaseIv; strike.skew = tradeResult.newSkew; totalCost += tradeResult.totalCost; totalFee += tradeResult.totalFee; totalAmount += trade.amount; tradeResults[i] = tradeResult; } return (totalAmount, totalCost, totalFee, tradeResults); } ///////////////// // Liquidation // ///////////////// /** * @dev Allows anyone to liquidate an underwater position * * @param positionId the position to be liquidated * @param rewardBeneficiary the address to receive the liquidator fee in either quote or base */ function liquidatePosition(uint positionId, address rewardBeneficiary) external nonReentrant { OptionToken.PositionWithOwner memory position = optionToken.getPositionWithOwner(positionId); (TradeParameters memory trade, Strike storage strike, OptionBoard storage board) = _composeTrade( position.strikeId, position.optionType, position.amount, TradeDirection.LIQUIDATE, 1, true ); // updating AMM but disregarding the spotCost (, uint totalCost, , OptionMarketPricer.TradeResult[] memory tradeResults) = _doTrade( strike, board, trade, 1, position.amount ); OptionToken.LiquidationFees memory liquidationFees = optionToken.liquidate(positionId, trade, totalCost); if (liquidationFees.insolventAmount > 0) { liquidityPool.updateLiquidationInsolvency(liquidationFees.insolventAmount); } shortCollateral.routeLiquidationFunds(position.owner, rewardBeneficiary, position.optionType, liquidationFees); liquidityPool.updateCBs(); emit Trade( position.owner, positionId, address(0), TradeEventData({ strikeId: position.strikeId, expiry: trade.expiry, strikePrice: trade.strikePrice, optionType: position.optionType, tradeDirection: TradeDirection.LIQUIDATE, amount: position.amount, setCollateralTo: 0, isForceClose: true, spotPrice: trade.spotPrice, reservedFee: 0, totalCost: totalCost }), tradeResults, LiquidationEventData({ caller: msg.sender, rewardBeneficiary: rewardBeneficiary, returnCollateral: liquidationFees.returnCollateral, lpPremiums: liquidationFees.lpPremiums, lpFee: liquidationFees.lpFee, liquidatorFee: liquidationFees.liquidatorFee, smFee: liquidationFees.smFee, insolventAmount: liquidationFees.insolventAmount }), trade.liquidity.longScaleFactor, block.timestamp ); } ////////////////// // Fund routing // ////////////////// /// @dev send/receive quote or base to/from LiquidityPool on position open function _routeLPFundsOnOpen(TradeParameters memory trade, uint totalCost, uint feePortion, uint strikeId) internal { if (trade.amount == 0) { return; } if (trade.optionType == OptionType.LONG_CALL) { liquidityPool.lockCallCollateral(trade.amount, trade.spotPrice, trade.liquidity.freeLiquidity, strikeId); _transferFromQuote(msg.sender, address(liquidityPool), totalCost - feePortion); _transferFromQuote(msg.sender, address(this), feePortion); } else if (trade.optionType == OptionType.LONG_PUT) { liquidityPool.lockPutCollateral( trade.amount.multiplyDecimal(trade.strikePrice), trade.liquidity.freeLiquidity, strikeId ); _transferFromQuote(msg.sender, address(liquidityPool), totalCost - feePortion); _transferFromQuote(msg.sender, address(this), feePortion); } else if (trade.optionType == OptionType.SHORT_CALL_BASE) { liquidityPool.sendShortPremium( msg.sender, trade.amount, totalCost, trade.liquidity.freeLiquidity, feePortion, true, strikeId ); } else { // OptionType.SHORT_CALL_QUOTE || OptionType.SHORT_PUT_QUOTE liquidityPool.sendShortPremium( address(shortCollateral), trade.amount, totalCost, trade.liquidity.freeLiquidity, feePortion, trade.optionType == OptionType.SHORT_CALL_QUOTE, strikeId ); } } /// @dev send/receive quote or base to/from LiquidityPool on position close function _routeLPFundsOnClose(TradeParameters memory trade, uint totalCost, uint reservedFee) internal { if (trade.amount == 0) { return; } if (trade.optionType == OptionType.LONG_CALL) { liquidityPool.freeCallCollateralAndSendPremium( trade.amount, msg.sender, totalCost, reservedFee, trade.liquidity.longScaleFactor ); } else if (trade.optionType == OptionType.LONG_PUT) { liquidityPool.freePutCollateralAndSendPremium( trade.amount.multiplyDecimal(trade.strikePrice), msg.sender, totalCost, reservedFee, trade.liquidity.longScaleFactor ); } else if (trade.optionType == OptionType.SHORT_CALL_BASE) { _transferFromQuote(msg.sender, address(liquidityPool), totalCost - reservedFee); _transferFromQuote(msg.sender, address(this), reservedFee); } else { // OptionType.SHORT_CALL_QUOTE || OptionType.SHORT_PUT_QUOTE shortCollateral.sendQuoteCollateral(address(liquidityPool), totalCost - reservedFee); shortCollateral.sendQuoteCollateral(address(this), reservedFee); } } /// @dev route collateral to/from msg.sender when short positions are adjusted function _routeUserCollateral(OptionType optionType, int pendingCollateral) internal { if (pendingCollateral == 0) { return; } if (optionType == OptionType.SHORT_CALL_BASE) { if (pendingCollateral > 0) { uint pendingCollateralConverted = ConvertDecimals.convertFrom18AndRoundUp( uint(pendingCollateral), baseAsset.decimals() ); if ( pendingCollateralConverted > 0 && !baseAsset.transferFrom(msg.sender, address(shortCollateral), uint(pendingCollateralConverted)) ) { revert BaseTransferFailed( address(this), msg.sender, address(shortCollateral), uint(pendingCollateralConverted) ); } } else { shortCollateral.sendBaseCollateral(msg.sender, uint(-pendingCollateral)); } } else { // quote collateral if (pendingCollateral > 0) { _transferFromQuote(msg.sender, address(shortCollateral), uint(pendingCollateral)); } else { shortCollateral.sendQuoteCollateral(msg.sender, uint(-pendingCollateral)); } } } /// @dev update all exposures per strike and optionType function _updateExposure(uint amount, OptionType optionType, Strike storage strike, bool isOpen) internal { int exposure = isOpen ? SafeCast.toInt256(amount) : -SafeCast.toInt256(amount); if (optionType == OptionType.LONG_CALL) { exposure += SafeCast.toInt256(strike.longCall); strike.longCall = SafeCast.toUint256(exposure); } else if (optionType == OptionType.LONG_PUT) { exposure += SafeCast.toInt256(strike.longPut); strike.longPut = SafeCast.toUint256(exposure); } else if (optionType == OptionType.SHORT_CALL_BASE) { exposure += SafeCast.toInt256(strike.shortCallBase); strike.shortCallBase = SafeCast.toUint256(exposure); } else if (optionType == OptionType.SHORT_CALL_QUOTE) { exposure += SafeCast.toInt256(strike.shortCallQuote); strike.shortCallQuote = SafeCast.toUint256(exposure); } else { // OptionType.SHORT_PUT_QUOTE exposure += SafeCast.toInt256(strike.shortPut); strike.shortPut = SafeCast.toUint256(exposure); } } ///////////////////////////////// // Board Expiry and settlement // ///////////////////////////////// /** * @notice Settles an expired board. * - Transfers all AMM profits for user shorts from ShortCollateral to LiquidityPool. * - Reserves all user profits for user longs in LiquidityPool. * - Records any profits that AMM did not receive due to user insolvencies * * @param boardId The relevant OptionBoard. */ function settleExpiredBoard(uint boardId) external nonReentrant { OptionBoard memory board = optionBoards[boardId]; if (board.id != boardId || board.id == 0) { revert InvalidBoardId(address(this), boardId); } if (block.timestamp < board.expiry) { revert BoardNotExpired(address(this), boardId); } _clearAndSettleBoard(board); } function _clearAndSettleBoard(OptionBoard memory board) internal { bool popped = false; uint liveBoardsLen = liveBoards.length; // Find and remove the board from the list of live boards for (uint i = 0; i < liveBoardsLen; ++i) { if (liveBoards[i] == board.id) { liveBoards[i] = liveBoards[liveBoardsLen - 1]; liveBoards.pop(); popped = true; break; } } // prevent old boards being liquidated if (!popped) { revert BoardAlreadySettled(address(this), board.id); } _settleExpiredBoard(board); greekCache.removeBoard(board.id); } function _settleExpiredBoard(OptionBoard memory board) internal { uint spotPrice = exchangeAdapter.getSettlementPriceForMarket(address(this), board.expiry); uint totalUserLongProfitQuote = 0; uint totalBoardLongCallCollateral = 0; uint totalBoardLongPutCollateral = 0; uint totalAMMShortCallProfitBase = 0; uint totalAMMShortCallProfitQuote = 0; uint totalAMMShortPutProfitQuote = 0; // Store the price now for when users come to settle their options boardToPriceAtExpiry[board.id] = spotPrice; for (uint i = 0; i < board.strikeIds.length; ++i) { Strike memory strike = strikes[board.strikeIds[i]]; totalBoardLongCallCollateral += strike.longCall; totalBoardLongPutCollateral += strike.longPut.multiplyDecimal(strike.strikePrice); if (spotPrice > strike.strikePrice) { // For long calls totalUserLongProfitQuote += strike.longCall.multiplyDecimal(spotPrice - strike.strikePrice); // Per unit of shortCalls uint baseReturnedRatio = (spotPrice - strike.strikePrice).divideDecimal(spotPrice).divideDecimal( DecimalMath.UNIT - optionMarketParams.staticBaseSettlementFee ); // This is impossible unless the baseAsset price has gone up ~900%+ baseReturnedRatio = baseReturnedRatio > DecimalMath.UNIT ? DecimalMath.UNIT : baseReturnedRatio; totalAMMShortCallProfitBase += baseReturnedRatio.multiplyDecimal(strike.shortCallBase); totalAMMShortCallProfitQuote += (spotPrice - strike.strikePrice).multiplyDecimal(strike.shortCallQuote); strikeToBaseReturnedRatio[strike.id] = baseReturnedRatio; } else if (spotPrice < strike.strikePrice) { // if amount > 0 can be skipped as it will be multiplied by 0 totalUserLongProfitQuote += strike.longPut.multiplyDecimal(strike.strikePrice - spotPrice); totalAMMShortPutProfitQuote += (strike.strikePrice - spotPrice).multiplyDecimal(strike.shortPut); } } (uint lpBaseInsolvency, uint lpQuoteInsolvency) = shortCollateral.boardSettlement( totalAMMShortCallProfitBase, totalAMMShortPutProfitQuote + totalAMMShortCallProfitQuote ); // This will batch all base we want to convert to quote and sell it in one transaction uint longScaleFactor = liquidityPool.boardSettlement( lpQuoteInsolvency + lpBaseInsolvency.multiplyDecimal(spotPrice), totalBoardLongPutCollateral, totalUserLongProfitQuote, totalBoardLongCallCollateral ); scaledLongsForBoard[board.id] = longScaleFactor; emit BoardSettled( board.id, spotPrice, totalUserLongProfitQuote, totalBoardLongCallCollateral, totalBoardLongPutCollateral, totalAMMShortCallProfitBase, totalAMMShortCallProfitQuote, totalAMMShortPutProfitQuote, longScaleFactor ); } /// @dev Returns the strike price, price at expiry, and profit ratio for user shorts post expiry function getSettlementParameters( uint strikeId ) external view returns (uint strikePrice, uint priceAtExpiry, uint strikeToBaseReturned, uint longScaleFactor) { return ( strikes[strikeId].strikePrice, boardToPriceAtExpiry[strikes[strikeId].boardId], strikeToBaseReturnedRatio[strikeId], scaledLongsForBoard[strikes[strikeId].boardId] ); } ////////// // Misc // ////////// /// @dev Transfers the amount from 18dp to the quoteAsset's decimals ensuring any precision loss is rounded up function _transferFromQuote(address from, address to, uint amount) internal { amount = ConvertDecimals.convertFrom18AndRoundUp(amount, quoteAsset.decimals()); if (!quoteAsset.transferFrom(from, to, amount)) { revert QuoteTransferFailed(address(this), from, to, amount); } } /////////////// // Modifiers // /////////////// modifier notGlobalPaused() { exchangeAdapter.requireNotGlobalPaused(address(this)); _; } //////////// // Events // //////////// /** * @dev Emitted when a Board is created. */ event BoardCreated(uint indexed boardId, uint expiry, uint baseIv, bool frozen); /** * @dev Emitted when a Board frozen is updated. */ event BoardFrozen(uint indexed boardId, bool frozen); /** * @dev Emitted when a Board new baseIv is set. */ event BoardBaseIvSet(uint indexed boardId, uint baseIv); /** * @dev Emitted when a Strike new skew is set. */ event StrikeSkewSet(uint indexed strikeId, uint skew); /** * @dev Emitted when a Strike is added to a board */ event StrikeAdded(uint indexed boardId, uint indexed strikeId, uint strikePrice, uint skew); /** * @dev Emitted when parameters for the option market are adjusted */ event OptionMarketParamsSet(OptionMarketParameters optionMarketParams); /** * @dev Emitted whenever the security module claims their portion of fees */ event SMClaimed(address securityModule, uint quoteAmount); /** * @dev Emitted when a Position is opened, closed or liquidated. */ event Trade( address indexed trader, uint indexed positionId, address indexed referrer, TradeEventData trade, OptionMarketPricer.TradeResult[] tradeResults, LiquidationEventData liquidation, uint longScaleFactor, uint timestamp ); /** * @dev Emitted when a Board is liquidated. */ event BoardSettled( uint indexed boardId, uint spotPriceAtExpiry, uint totalUserLongProfitQuote, uint totalBoardLongCallCollateral, uint totalBoardLongPutCollateral, uint totalAMMShortCallProfitBase, uint totalAMMShortCallProfitQuote, uint totalAMMShortPutProfitQuote, uint longScaleFactor ); //////////// // Errors // //////////// // General purpose error ExpectedNonZeroValue(address thrower, NonZeroValues valueType); // Admin error InvalidOptionMarketParams(address thrower, OptionMarketParameters optionMarketParams); error CannotRecoverQuote(address thrower); // Board related error InvalidBoardId(address thrower, uint boardId); error InvalidExpiryTimestamp(address thrower, uint currentTime, uint expiry, uint maxBoardExpiry); error BoardNotFrozen(address thrower, uint boardId); error BoardAlreadySettled(address thrower, uint boardId); error BoardNotExpired(address thrower, uint boardId); // Strike related error InvalidStrikeId(address thrower, uint strikeId); error StrikeSkewLengthMismatch(address thrower, uint strikesLength, uint skewsLength); // Trade error TotalCostOutsideOfSpecifiedBounds(address thrower, uint totalCost, uint minCost, uint maxCost); error BoardIsFrozen(address thrower, uint boardId); error BoardExpired(address thrower, uint boardId, uint boardExpiry, uint currentTime); error TradeIterationsHasRemainder( address thrower, uint iterations, uint expectedAmount, uint tradeAmount, uint totalAmount ); // Access error OnlySecurityModule(address thrower, address caller, address securityModule); // Token transfers error BaseTransferFailed(address thrower, address from, address to, uint amount); error QuoteTransferFailed(address thrower, address from, address to, uint amount); }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Libraries import "./synthetix/SignedDecimalMath.sol"; import "./synthetix/DecimalMath.sol"; import "openzeppelin-contracts-4.4.1/utils/math/SafeCast.sol"; // Inherited import "./synthetix/Owned.sol"; import "./libraries/SimpleInitializable.sol"; import "./libraries/Math.sol"; // Interfaces import "./LiquidityPool.sol"; import "./OptionMarket.sol"; import "./OptionGreekCache.sol"; /** * @title OptionMarketPricer * @author Lyra * @dev Logic for working out the price of an option. Includes the IV impact of the trade, the fee components and * premium. */ contract OptionMarketPricer is Owned, SimpleInitializable { using DecimalMath for uint; //////////////// // Parameters // //////////////// struct PricingParameters { // Percentage of option price that is charged as a fee uint optionPriceFeeCoefficient; // Refer to: getTimeWeightedFee() uint optionPriceFee1xPoint; uint optionPriceFee2xPoint; // Percentage of spot price that is charged as a fee per option uint spotPriceFeeCoefficient; // Refer to: getTimeWeightedFee() uint spotPriceFee1xPoint; uint spotPriceFee2xPoint; // Refer to: getVegaUtilFee() uint vegaFeeCoefficient; // The amount of options traded to move baseIv for the board up or down 1 point (depending on trade direction) uint standardSize; // The relative move of skew for a given strike based on standard sizes traded uint skewAdjustmentFactor; } struct TradeLimitParameters { // Delta cutoff past which no options can be traded (optionD > minD && optionD < 1 - minD) - using call delta int minDelta; // Delta cutoff at which ForceClose can be called (optionD < minD || optionD > 1 - minD) - using call delta int minForceCloseDelta; // Time when trading closes. Only ForceClose can be called after this uint tradingCutoff; // Lowest baseIv for a board that can be traded for regular option opens/closes uint minBaseIV; // Maximal baseIv for a board that can be traded for regular option opens/closes uint maxBaseIV; // Lowest skew for a strike that can be traded for regular option opens/closes uint minSkew; // Maximal skew for a strike that can be traded for regular option opens/closes uint maxSkew; // Minimal vol traded for regular option opens/closes (baseIv * skew) uint minVol; // Maximal vol traded for regular option opens/closes (baseIv * skew) uint maxVol; // Absolute lowest skew that ForceClose can go to uint absMinSkew; // Absolute highest skew that ForceClose can go to uint absMaxSkew; // Cap the skew the abs max/min skews - only relevant to liquidations bool capSkewsToAbs; } struct VarianceFeeParameters { uint defaultVarianceFeeCoefficient; uint forceCloseVarianceFeeCoefficient; // coefficient that allows the skew component of the fee to be scaled up uint skewAdjustmentCoefficient; // measures the difference of the skew to a reference skew uint referenceSkew; // constant to ensure small vega terms have a fee uint minimumStaticSkewAdjustment; // coefficient that allows the vega component of the fee to be scaled up uint vegaCoefficient; // constant to ensure small vega terms have a fee uint minimumStaticVega; // coefficient that allows the ivVariance component of the fee to be scaled up uint ivVarianceCoefficient; // constant to ensure small variance terms have a fee uint minimumStaticIvVariance; } /////////////// // In-memory // /////////////// struct TradeResult { uint amount; uint premium; uint optionPriceFee; uint spotPriceFee; VegaUtilFeeComponents vegaUtilFee; VarianceFeeComponents varianceFee; uint totalFee; uint totalCost; uint volTraded; uint newBaseIv; uint newSkew; } struct VegaUtilFeeComponents { int preTradeAmmNetStdVega; int postTradeAmmNetStdVega; uint vegaUtil; uint volTraded; uint NAV; uint vegaUtilFee; } struct VarianceFeeComponents { uint varianceFeeCoefficient; uint vega; uint vegaCoefficient; uint skew; uint skewCoefficient; uint ivVariance; uint ivVarianceCoefficient; uint varianceFee; } struct VolComponents { uint vol; uint baseIv; uint skew; } /////////////// // Variables // /////////////// address internal optionMarket; OptionGreekCache internal greekCache; PricingParameters public pricingParams; TradeLimitParameters public tradeLimitParams; VarianceFeeParameters public varianceFeeParams; /////////// // Setup // /////////// constructor() Owned() {} /** * @dev Initialize the contract. * * @param _optionMarket OptionMarket address * @param _greekCache OptionGreekCache address */ function init(address _optionMarket, OptionGreekCache _greekCache) external onlyOwner initializer { optionMarket = _optionMarket; greekCache = _greekCache; } /////////// // Admin // /////////// /** * @dev * * @param params new parameters */ function setPricingParams(PricingParameters memory _pricingParams) public onlyOwner { if ( !(_pricingParams.optionPriceFeeCoefficient <= 200e18 && _pricingParams.spotPriceFeeCoefficient <= 2e18 && _pricingParams.optionPriceFee1xPoint >= 1 weeks && _pricingParams.optionPriceFee2xPoint >= (_pricingParams.optionPriceFee1xPoint + 1 weeks) && _pricingParams.spotPriceFee1xPoint >= 1 weeks && _pricingParams.spotPriceFee2xPoint >= (_pricingParams.spotPriceFee1xPoint + 1 weeks) && _pricingParams.standardSize > 0 && _pricingParams.skewAdjustmentFactor <= 1000e18) ) { revert InvalidPricingParameters(address(this), _pricingParams); } pricingParams = _pricingParams; emit PricingParametersSet(pricingParams); } /** * @dev * * @param params new parameters */ function setTradeLimitParams(TradeLimitParameters memory _tradeLimitParams) public onlyOwner { if ( !(_tradeLimitParams.minDelta <= 1e18 && _tradeLimitParams.minForceCloseDelta <= 1e18 && _tradeLimitParams.tradingCutoff > 0 && _tradeLimitParams.tradingCutoff <= 10 days && _tradeLimitParams.minBaseIV < 10e18 && _tradeLimitParams.maxBaseIV > 0 && _tradeLimitParams.maxBaseIV < 100e18 && _tradeLimitParams.minSkew < 10e18 && _tradeLimitParams.maxSkew > 0 && _tradeLimitParams.maxSkew < 10e18 && _tradeLimitParams.maxVol > 0 && _tradeLimitParams.absMaxSkew >= _tradeLimitParams.maxSkew && _tradeLimitParams.absMinSkew <= _tradeLimitParams.minSkew) ) { revert InvalidTradeLimitParameters(address(this), _tradeLimitParams); } tradeLimitParams = _tradeLimitParams; emit TradeLimitParametersSet(tradeLimitParams); } /** * @dev * * @param params new parameters */ function setVarianceFeeParams(VarianceFeeParameters memory _varianceFeeParams) public onlyOwner { varianceFeeParams = _varianceFeeParams; emit VarianceFeeParametersSet(varianceFeeParams); } //////////////////////// // Only Option Market // //////////////////////// /** * @dev The entry point for the OptionMarket into the pricing logic when a trade is performed. * * @param strike The strike being traded. * @param trade The trade struct, containing fields related to the ongoing trade. * @param boardBaseIv The base IV of the OptionBoard. */ function updateCacheAndGetTradeResult( OptionMarket.Strike memory strike, OptionMarket.TradeParameters memory trade, uint boardBaseIv, uint boardExpiry ) external onlyOptionMarket returns (TradeResult memory tradeResult) { (uint newBaseIv, uint newSkew) = ivImpactForTrade(trade, boardBaseIv, strike.skew); bool isPostCutoff = block.timestamp + tradeLimitParams.tradingCutoff > boardExpiry; if (trade.isForceClose) { // don't actually update baseIV for forceCloses newBaseIv = boardBaseIv; // If it is a force close and skew ends up outside the "abs min/max" thresholds if ( trade.tradeDirection != OptionMarket.TradeDirection.LIQUIDATE && (newSkew <= tradeLimitParams.absMinSkew || newSkew >= tradeLimitParams.absMaxSkew) ) { revert ForceCloseSkewOutOfRange( address(this), trade.isBuy, newSkew, tradeLimitParams.absMinSkew, tradeLimitParams.absMaxSkew ); } } else { if (isPostCutoff) { revert TradingCutoffReached(address(this), tradeLimitParams.tradingCutoff, boardExpiry, block.timestamp); } uint newVol = newBaseIv.multiplyDecimal(newSkew); if (trade.isBuy) { if ( newVol > tradeLimitParams.maxVol || newBaseIv > tradeLimitParams.maxBaseIV || newSkew > tradeLimitParams.maxSkew ) { revert VolSkewOrBaseIvOutsideOfTradingBounds( address(this), trade.isBuy, VolComponents(boardBaseIv.multiplyDecimal(strike.skew), boardBaseIv, strike.skew), VolComponents(newVol, newBaseIv, newSkew), VolComponents(tradeLimitParams.maxVol, tradeLimitParams.maxBaseIV, tradeLimitParams.maxSkew) ); } } else { if ( newVol < tradeLimitParams.minVol || newBaseIv < tradeLimitParams.minBaseIV || newSkew < tradeLimitParams.minSkew ) { revert VolSkewOrBaseIvOutsideOfTradingBounds( address(this), trade.isBuy, VolComponents(boardBaseIv.multiplyDecimal(strike.skew), boardBaseIv, strike.skew), VolComponents(newVol, newBaseIv, newSkew), VolComponents(tradeLimitParams.minVol, tradeLimitParams.minBaseIV, tradeLimitParams.minSkew) ); } } } if (tradeLimitParams.capSkewsToAbs) { // Only relevant to liquidations. Technically only needs to be capped on the max side (as closing shorts) newSkew = Math.max(Math.min(newSkew, tradeLimitParams.absMaxSkew), tradeLimitParams.absMinSkew); } OptionGreekCache.TradePricing memory pricing = greekCache.updateStrikeExposureAndGetPrice( strike, trade, newBaseIv, newSkew, isPostCutoff ); if (trade.isForceClose) { // ignore delta cutoffs post trading cutoff, and for liquidations if (trade.tradeDirection != OptionMarket.TradeDirection.LIQUIDATE && !isPostCutoff) { // delta must fall BELOW the min or ABOVE the max to allow for force closes if ( pricing.callDelta > tradeLimitParams.minForceCloseDelta && pricing.callDelta < (int(DecimalMath.UNIT) - tradeLimitParams.minForceCloseDelta) ) { revert ForceCloseDeltaOutOfRange( address(this), pricing.callDelta, tradeLimitParams.minForceCloseDelta, (int(DecimalMath.UNIT) - tradeLimitParams.minForceCloseDelta) ); } } } else { if ( pricing.callDelta < tradeLimitParams.minDelta || pricing.callDelta > int(DecimalMath.UNIT) - tradeLimitParams.minDelta ) { revert TradeDeltaOutOfRange( address(this), pricing.callDelta, tradeLimitParams.minDelta, int(DecimalMath.UNIT) - tradeLimitParams.minDelta ); } } return getTradeResult(trade, pricing, newBaseIv, newSkew); } /** * @dev Calculates the impact a trade has on the base IV of the OptionBoard and the skew of the Strike. * * @param trade The trade struct, containing fields related to the ongoing trade. * @param boardBaseIv The base IV of the OptionBoard. * @param strikeSkew The skew of the option being traded. */ function ivImpactForTrade( OptionMarket.TradeParameters memory trade, uint boardBaseIv, uint strikeSkew ) public view returns (uint newBaseIv, uint newSkew) { uint orderSize = trade.amount.divideDecimal(pricingParams.standardSize); uint orderMoveBaseIv = orderSize / 100; uint orderMoveSkew = orderMoveBaseIv.multiplyDecimal(pricingParams.skewAdjustmentFactor); if (trade.isBuy) { return (boardBaseIv + orderMoveBaseIv, strikeSkew + orderMoveSkew); } else { return (boardBaseIv - orderMoveBaseIv, strikeSkew - orderMoveSkew); } } ///////////////////// // Fee Computation // ///////////////////// /** * @dev Calculates the final premium for a trade. * * @param trade The trade struct, containing fields related to the ongoing trade. * @param pricing Fields related to option pricing and required for fees. */ function getTradeResult( OptionMarket.TradeParameters memory trade, OptionGreekCache.TradePricing memory pricing, uint newBaseIv, uint newSkew ) public view returns (TradeResult memory tradeResult) { uint premium = pricing.optionPrice.multiplyDecimal(trade.amount); // time weight fees uint timeWeightedOptionPriceFee = getTimeWeightedFee( trade.expiry, pricingParams.optionPriceFee1xPoint, pricingParams.optionPriceFee2xPoint, pricingParams.optionPriceFeeCoefficient ); uint timeWeightedSpotPriceFee = getTimeWeightedFee( trade.expiry, pricingParams.spotPriceFee1xPoint, pricingParams.spotPriceFee2xPoint, pricingParams.spotPriceFeeCoefficient ); // scale by premium/amount/spot uint optionPriceFee = timeWeightedOptionPriceFee.multiplyDecimal(premium); uint spotPriceFee = timeWeightedSpotPriceFee.multiplyDecimal(trade.spotPrice).multiplyDecimal(trade.amount); VegaUtilFeeComponents memory vegaUtilFeeComponents = getVegaUtilFee(trade, pricing); VarianceFeeComponents memory varianceFeeComponents = getVarianceFee(trade, pricing, newSkew); uint totalFee = optionPriceFee + spotPriceFee + vegaUtilFeeComponents.vegaUtilFee + varianceFeeComponents.varianceFee; uint totalCost; if (trade.isBuy) { // If we are selling, increase the amount the user pays totalCost = premium + totalFee; } else { // If we are buying, reduce the amount we pay if (totalFee > premium) { totalFee = premium; totalCost = 0; } else { totalCost = premium - totalFee; } } return TradeResult({ amount: trade.amount, premium: premium, optionPriceFee: optionPriceFee, spotPriceFee: spotPriceFee, vegaUtilFee: vegaUtilFeeComponents, varianceFee: varianceFeeComponents, totalCost: totalCost, totalFee: totalFee, newBaseIv: newBaseIv, newSkew: newSkew, volTraded: pricing.volTraded }); } /** * @dev Calculates a time weighted fee depending on the time to expiry. The fee graph has value = 1 and slope = 0 * until pointA is reached; at which it increasing linearly to 2x at pointB. This only assumes pointA < pointB, so * fees can only get larger for longer dated options. * | * | / * | / * 2x | /| * | / | * 1x |___/ | * |__________ * A B * @param expiry the timestamp at which the listing/board expires * @param pointA the point (time to expiry) at which the fees start to increase beyond 1x * @param pointB the point (time to expiry) at which the fee are 2x * @param coefficient the fee coefficent as a result of the time to expiry. */ function getTimeWeightedFee( uint expiry, uint pointA, uint pointB, uint coefficient ) public view returns (uint timeWeightedFee) { uint timeToExpiry = expiry - block.timestamp; if (timeToExpiry <= pointA) { return coefficient; } return coefficient.multiplyDecimal(DecimalMath.UNIT + ((timeToExpiry - pointA) * DecimalMath.UNIT) / (pointB - pointA)); } /** * @dev Calculates vega utilisation to be used as part of the trade fee. If the trade reduces net standard vega, this * component is omitted from the fee. * * @param trade The trade struct, containing fields related to the ongoing trade. * @param pricing Fields related to option pricing and required for fees. */ function getVegaUtilFee( OptionMarket.TradeParameters memory trade, OptionGreekCache.TradePricing memory pricing ) public view returns (VegaUtilFeeComponents memory vegaUtilFeeComponents) { if (Math.abs(pricing.preTradeAmmNetStdVega) >= Math.abs(pricing.postTradeAmmNetStdVega)) { return VegaUtilFeeComponents({ preTradeAmmNetStdVega: pricing.preTradeAmmNetStdVega, postTradeAmmNetStdVega: pricing.postTradeAmmNetStdVega, vegaUtil: 0, volTraded: pricing.volTraded, NAV: trade.liquidity.NAV, vegaUtilFee: 0 }); } // As we use nav here and the value doesn't change between iterations, opening 5x 1 options will be different to // opening 5 options with 5 iterations as nav won't update each iteration // This would be the whitepaper vegaUtil divided by 100 due to vol being stored as a percentage uint vegaUtil = pricing.volTraded.multiplyDecimal(Math.abs(pricing.postTradeAmmNetStdVega)).divideDecimal( trade.liquidity.NAV ); uint vegaUtilFee = pricingParams.vegaFeeCoefficient.multiplyDecimal(vegaUtil).multiplyDecimal(trade.amount); return VegaUtilFeeComponents({ preTradeAmmNetStdVega: pricing.preTradeAmmNetStdVega, postTradeAmmNetStdVega: pricing.postTradeAmmNetStdVega, vegaUtil: vegaUtil, volTraded: pricing.volTraded, NAV: trade.liquidity.NAV, vegaUtilFee: vegaUtilFee }); } /** * @dev Calculates the variance fee to be used as part of the trade fee. * * @param trade The trade struct, containing fields related to the ongoing trade. * @param pricing Fields related to option pricing and required for fees. */ function getVarianceFee( OptionMarket.TradeParameters memory trade, OptionGreekCache.TradePricing memory pricing, uint skew ) public view returns (VarianceFeeComponents memory varianceFeeComponents) { uint coefficient = trade.isForceClose ? varianceFeeParams.forceCloseVarianceFeeCoefficient : varianceFeeParams.defaultVarianceFeeCoefficient; if (coefficient == 0) { return VarianceFeeComponents({ varianceFeeCoefficient: 0, vega: pricing.vega, vegaCoefficient: 0, skew: skew, skewCoefficient: 0, ivVariance: pricing.ivVariance, ivVarianceCoefficient: 0, varianceFee: 0 }); } uint vegaCoefficient = varianceFeeParams.minimumStaticVega + pricing.vega.multiplyDecimal(varianceFeeParams.vegaCoefficient); uint skewCoefficient = varianceFeeParams.minimumStaticSkewAdjustment + Math.abs(SafeCast.toInt256(skew) - SafeCast.toInt256(varianceFeeParams.referenceSkew)).multiplyDecimal( varianceFeeParams.skewAdjustmentCoefficient ); uint ivVarianceCoefficient = varianceFeeParams.minimumStaticIvVariance + pricing.ivVariance.multiplyDecimal(varianceFeeParams.ivVarianceCoefficient); uint varianceFee = coefficient .multiplyDecimal(vegaCoefficient) .multiplyDecimal(skewCoefficient) .multiplyDecimal(ivVarianceCoefficient) .multiplyDecimal(trade.amount); return VarianceFeeComponents({ varianceFeeCoefficient: coefficient, vega: pricing.vega, vegaCoefficient: vegaCoefficient, skew: skew, skewCoefficient: skewCoefficient, ivVariance: pricing.ivVariance, ivVarianceCoefficient: ivVarianceCoefficient, varianceFee: varianceFee }); } ///////////////////////////// // External View functions // ///////////////////////////// /// @notice returns current pricing paramters function getPricingParams() external view returns (PricingParameters memory pricingParameters) { return pricingParams; } /// @notice returns current trade limit parameters function getTradeLimitParams() external view returns (TradeLimitParameters memory tradeLimitParameters) { return tradeLimitParams; } /// @notice returns current variance fee parameters function getVarianceFeeParams() external view returns (VarianceFeeParameters memory varianceFeeParameters) { return varianceFeeParams; } /////////////// // Modifiers // /////////////// modifier onlyOptionMarket() { if (msg.sender != optionMarket) { revert OnlyOptionMarket(address(this), msg.sender, optionMarket); } _; } //////////// // Events // //////////// event PricingParametersSet(PricingParameters pricingParams); event TradeLimitParametersSet(TradeLimitParameters tradeLimitParams); event VarianceFeeParametersSet(VarianceFeeParameters varianceFeeParams); //////////// // Errors // //////////// // Admin error InvalidTradeLimitParameters(address thrower, TradeLimitParameters tradeLimitParams); error InvalidPricingParameters(address thrower, PricingParameters pricingParams); // Trade limitations error TradingCutoffReached(address thrower, uint tradingCutoff, uint boardExpiry, uint currentTime); error ForceCloseSkewOutOfRange(address thrower, bool isBuy, uint newSkew, uint minSkew, uint maxSkew); error VolSkewOrBaseIvOutsideOfTradingBounds( address thrower, bool isBuy, VolComponents currentVol, VolComponents newVol, VolComponents tradeBounds ); error TradeDeltaOutOfRange(address thrower, int strikeCallDelta, int minDelta, int maxDelta); error ForceCloseDeltaOutOfRange(address thrower, int strikeCallDelta, int minDelta, int maxDelta); // Access error OnlyOptionMarket(address thrower, address caller, address optionMarket); }
//SPDX-License-Identifier: ISC pragma solidity 0.8.16; // Libraries import "./synthetix/DecimalMath.sol"; import "./libraries/ConvertDecimals.sol"; // Inherited import "./synthetix/Owned.sol"; import "./libraries/SimpleInitializable.sol"; import "openzeppelin-contracts-4.4.1/security/ReentrancyGuard.sol"; // Interfaces import "./interfaces/IERC20Decimals.sol"; import "./libraries/PoolHedger.sol"; import "./BaseExchangeAdapter.sol"; import "./LiquidityPool.sol"; import "./OptionMarket.sol"; import "./OptionToken.sol"; /** * @title ShortCollateral * @author Lyra * @dev Holds collateral from users who are selling (shorting) options to the OptionMarket. */ contract ShortCollateral is Owned, SimpleInitializable, ReentrancyGuard { using DecimalMath for uint; OptionMarket internal optionMarket; LiquidityPool internal liquidityPool; OptionToken internal optionToken; BaseExchangeAdapter internal exchangeAdapter; IERC20Decimals internal quoteAsset; IERC20Decimals internal baseAsset; // The amount the SC underpaid the LP due to insolvency. // The SC will take this much less from the LP when settling insolvent positions. uint public LPBaseExcess; uint public LPQuoteExcess; /////////// // Setup // /////////// constructor() Owned() {} /** * @dev Initialize the contract. */ function init( OptionMarket _optionMarket, LiquidityPool _liquidityPool, OptionToken _optionToken, BaseExchangeAdapter _exchangeAdapter, IERC20Decimals _quoteAsset, IERC20Decimals _baseAsset ) external onlyOwner initializer { optionMarket = _optionMarket; liquidityPool = _liquidityPool; optionToken = _optionToken; exchangeAdapter = _exchangeAdapter; quoteAsset = _quoteAsset; baseAsset = _baseAsset; } //////////////////////////////// // Collateral/premium sending // //////////////////////////////// /** * @notice Transfers quoteAsset to the recipient. This should only be called by OptionMarket in the following cases: * - A short is closed, in which case the premium for the option is sent to the LP * - A user reduces their collateral position on a quote collateralized option * * @param recipient The recipient of the transfer. * @param amount The amount to send. */ function sendQuoteCollateral(address recipient, uint amount) external onlyOptionMarket { _sendQuoteCollateral(recipient, amount); } /** * @notice Transfers baseAsset to the recipient. This should only be called by OptionMarket when a user is reducing * their collateral on a base collateralized option. * * @param recipient The recipient of the transfer. * @param amount The amount to send. */ function sendBaseCollateral(address recipient, uint amount) external onlyOptionMarket { _sendBaseCollateral(recipient, amount); } /** * @notice Transfers quote/base fees and remaining collateral when `OptionMarket.liquidatePosition()` called * - liquidator: liquidator portion of liquidation fees * - LiquidityPool: premium to close position + LP portion of liquidation fees * - OptionMarket: SM portion of the liquidation fees * - position owner: remaining collateral after all above fees deducted * * @param trader address of position owner * @param liquidator address of liquidator * @param optionType OptionType * @param liquidationFees fee/collateral distribution as determined by OptionToken */ function routeLiquidationFunds( address trader, address liquidator, OptionMarket.OptionType optionType, OptionToken.LiquidationFees memory liquidationFees ) external onlyOptionMarket { if (optionType == OptionMarket.OptionType.SHORT_CALL_BASE) { _sendBaseCollateral(trader, liquidationFees.returnCollateral); _sendBaseCollateral(liquidator, liquidationFees.liquidatorFee); _sendBaseCollateral(address(optionMarket), liquidationFees.smFee); _sendBaseCollateral(address(liquidityPool), liquidationFees.lpFee + liquidationFees.lpPremiums); } else { // quote collateral _sendQuoteCollateral(trader, liquidationFees.returnCollateral); _sendQuoteCollateral(liquidator, liquidationFees.liquidatorFee); _sendQuoteCollateral(address(optionMarket), liquidationFees.smFee); _sendQuoteCollateral(address(liquidityPool), liquidationFees.lpFee + liquidationFees.lpPremiums); } } ////////////////////// // Board settlement // ////////////////////// /** * @notice Transfers quoteAsset and baseAsset to the LiquidityPool on board settlement. * * @param amountBase The amount of baseAsset to transfer. * @param amountQuote The amount of quoteAsset to transfer. * @return lpBaseInsolvency total base amount owed to LP but not sent due to large amount of user insolvencies * @return lpQuoteInsolvency total quote amount owed to LP but not sent due to large amount of user insolvencies */ function boardSettlement( uint amountBase, uint amountQuote ) external onlyOptionMarket returns (uint lpBaseInsolvency, uint lpQuoteInsolvency) { uint currentBaseBalance = ConvertDecimals.convertTo18(baseAsset.balanceOf(address(this)), baseAsset.decimals()); if (amountBase > currentBaseBalance) { lpBaseInsolvency = amountBase - currentBaseBalance; amountBase = currentBaseBalance; LPBaseExcess += lpBaseInsolvency; } uint currentQuoteBalance = ConvertDecimals.convertTo18(quoteAsset.balanceOf(address(this)), quoteAsset.decimals()); if (amountQuote > currentQuoteBalance) { lpQuoteInsolvency = amountQuote - currentQuoteBalance; amountQuote = currentQuoteBalance; LPQuoteExcess += lpQuoteInsolvency; } _sendBaseCollateral(address(liquidityPool), amountBase); _sendQuoteCollateral(address(liquidityPool), amountQuote); emit BoardSettlementCollateralSent( amountBase, amountQuote, lpBaseInsolvency, lpQuoteInsolvency, LPBaseExcess, LPQuoteExcess ); return (lpBaseInsolvency, lpQuoteInsolvency); } ///////////////////////// // Position Settlement // ///////////////////////// /** * @notice Routes profits or remaining collateral for settled long and short options. * * @param positionIds The ids of the relevant OptionTokens. */ function settleOptions(uint[] memory positionIds) external nonReentrant notGlobalPaused { // This is how much is missing from the ShortCollateral contract that was claimed by LPs at board expiry // We want to take it back when we know how much was missing. uint baseInsolventAmount = 0; uint quoteInsolventAmount = 0; OptionToken.PositionWithOwner[] memory optionPositions = optionToken.getPositionsWithOwner(positionIds); optionToken.settlePositions(positionIds); uint positionsLength = optionPositions.length; for (uint i = 0; i < positionsLength; ++i) { OptionToken.PositionWithOwner memory position = optionPositions[i]; uint settlementAmount = 0; uint insolventAmount = 0; (uint strikePrice, uint priceAtExpiry, uint ammShortCallBaseProfitRatio, uint longScaleFactor) = optionMarket .getSettlementParameters(position.strikeId); if (priceAtExpiry == 0) { revert BoardMustBeSettled(address(this), position); } if (position.optionType == OptionMarket.OptionType.LONG_CALL) { settlementAmount = _sendLongCallProceeds( position.owner, position.amount.multiplyDecimal(longScaleFactor), strikePrice, priceAtExpiry ); } else if (position.optionType == OptionMarket.OptionType.LONG_PUT) { settlementAmount = _sendLongPutProceeds( position.owner, position.amount.multiplyDecimal(longScaleFactor), strikePrice, priceAtExpiry ); } else if (position.optionType == OptionMarket.OptionType.SHORT_CALL_BASE) { (settlementAmount, insolventAmount) = _sendShortCallBaseProceeds( position.owner, position.collateral, position.amount, ammShortCallBaseProfitRatio ); baseInsolventAmount += insolventAmount; } else if (position.optionType == OptionMarket.OptionType.SHORT_CALL_QUOTE) { (settlementAmount, insolventAmount) = _sendShortCallQuoteProceeds( position.owner, position.collateral, position.amount, strikePrice, priceAtExpiry ); quoteInsolventAmount += insolventAmount; } else { // OptionMarket.OptionType.SHORT_PUT_QUOTE (settlementAmount, insolventAmount) = _sendShortPutQuoteProceeds( position.owner, position.collateral, position.amount, strikePrice, priceAtExpiry ); quoteInsolventAmount += insolventAmount; } // Emit event emit PositionSettled( position.positionId, msg.sender, position.owner, strikePrice, priceAtExpiry, position.optionType, position.amount, settlementAmount, insolventAmount, longScaleFactor ); } _reclaimInsolvency(baseInsolventAmount, quoteInsolventAmount); } /// @dev Send quote or base owed to LiquidityPool due to large number of insolvencies function _reclaimInsolvency(uint baseInsolventAmount, uint quoteInsolventAmount) internal { if (LPBaseExcess > baseInsolventAmount) { LPBaseExcess -= baseInsolventAmount; } else if (baseInsolventAmount > 0) { baseInsolventAmount -= LPBaseExcess; LPBaseExcess = 0; liquidityPool.reclaimInsolventBase(baseInsolventAmount); } if (LPQuoteExcess > quoteInsolventAmount) { LPQuoteExcess -= quoteInsolventAmount; } else if (quoteInsolventAmount > 0) { quoteInsolventAmount -= LPQuoteExcess; LPQuoteExcess = 0; liquidityPool.reclaimInsolventQuote(quoteInsolventAmount); } } function _sendLongCallProceeds( address account, uint amount, uint strikePrice, uint priceAtExpiry ) internal returns (uint settlementAmount) { settlementAmount = (priceAtExpiry > strikePrice) ? (priceAtExpiry - strikePrice).multiplyDecimal(amount) : 0; liquidityPool.sendSettlementValue(account, settlementAmount); return settlementAmount; } function _sendLongPutProceeds( address account, uint amount, uint strikePrice, uint priceAtExpiry ) internal returns (uint settlementAmount) { settlementAmount = (strikePrice > priceAtExpiry) ? (strikePrice - priceAtExpiry).multiplyDecimal(amount) : 0; liquidityPool.sendSettlementValue(account, settlementAmount); return settlementAmount; } function _sendShortCallBaseProceeds( address account, uint userCollateral, uint amount, uint strikeToBaseReturnedRatio ) internal returns (uint settlementAmount, uint insolvency) { uint ammProfit = strikeToBaseReturnedRatio.multiplyDecimal(amount); (settlementAmount, insolvency) = _getInsolvency(userCollateral, ammProfit); _sendBaseCollateral(account, settlementAmount); return (settlementAmount, insolvency); } function _sendShortCallQuoteProceeds( address account, uint userCollateral, uint amount, uint strikePrice, uint priceAtExpiry ) internal returns (uint settlementAmount, uint insolvency) { uint ammProfit = (priceAtExpiry > strikePrice) ? (priceAtExpiry - strikePrice).multiplyDecimal(amount) : 0; (settlementAmount, insolvency) = _getInsolvency(userCollateral, ammProfit); _sendQuoteCollateral(account, settlementAmount); return (settlementAmount, insolvency); } function _sendShortPutQuoteProceeds( address account, uint userCollateral, uint amount, uint strikePrice, uint priceAtExpiry ) internal returns (uint settlementAmount, uint insolvency) { uint ammProfit = (priceAtExpiry < strikePrice) ? (strikePrice - priceAtExpiry).multiplyDecimal(amount) : 0; (settlementAmount, insolvency) = _getInsolvency(userCollateral, ammProfit); _sendQuoteCollateral(account, settlementAmount); return (settlementAmount, insolvency); } function _getInsolvency( uint userCollateral, uint ammProfit ) internal pure returns (uint returnCollateral, uint insolvency) { if (userCollateral >= ammProfit) { returnCollateral = userCollateral - ammProfit; } else { insolvency = ammProfit - userCollateral; } return (returnCollateral, insolvency); } /////////////// // Transfers // /////////////// function _sendQuoteCollateral(address recipient, uint amount) internal { if (amount == 0) { return; } // Convert amount to same dp as quoteAsset uint nativeAmount = ConvertDecimals.convertFrom18(amount, quoteAsset.decimals()); uint currentBalance = quoteAsset.balanceOf(address(this)); if (nativeAmount > currentBalance) { revert OutOfQuoteCollateralForTransfer(address(this), currentBalance, nativeAmount); } if (nativeAmount > 0 && !quoteAsset.transfer(recipient, nativeAmount)) { revert QuoteTransferFailed(address(this), address(this), recipient, nativeAmount); } emit QuoteSent(recipient, nativeAmount); } function _sendBaseCollateral(address recipient, uint amount) internal { if (amount == 0) { return; } uint nativeAmount = ConvertDecimals.convertFrom18(amount, baseAsset.decimals()); uint currentBalance = baseAsset.balanceOf(address(this)); if (nativeAmount > currentBalance) { revert OutOfBaseCollateralForTransfer(address(this), currentBalance, nativeAmount); } if (nativeAmount > 0 && !baseAsset.transfer(recipient, nativeAmount)) { revert BaseTransferFailed(address(this), address(this), recipient, nativeAmount); } emit BaseSent(recipient, nativeAmount); } /////////////// // Modifiers // /////////////// modifier onlyOptionMarket() { if (msg.sender != address(optionMarket)) { revert OnlyOptionMarket(address(this), msg.sender, address(optionMarket)); } _; } modifier notGlobalPaused() { exchangeAdapter.requireNotMarketPaused(address(optionMarket)); _; } //////////// // Events // //////////// /// @dev Emitted when a board is settled event BoardSettlementCollateralSent( uint amountBaseSent, uint amountQuoteSent, uint lpBaseInsolvency, uint lpQuoteInsolvency, uint LPBaseExcess, uint LPQuoteExcess ); /** * @dev Emitted when an Option is settled. */ event PositionSettled( uint indexed positionId, address indexed settler, address indexed optionOwner, uint strikePrice, uint priceAtExpiry, OptionMarket.OptionType optionType, uint amount, uint settlementAmount, uint insolventAmount, uint longScaleFactor ); /** * @dev Emitted when quote is sent to either a user or the LiquidityPool */ event QuoteSent(address indexed receiver, uint nativeAmount); /** * @dev Emitted when base is sent to either a user or the LiquidityPool */ event BaseSent(address indexed receiver, uint nativeAmount); //////////// // Errors // //////////// // Collateral transfers error OutOfQuoteCollateralForTransfer(address thrower, uint balance, uint amount); error OutOfBaseCollateralForTransfer(address thrower, uint balance, uint amount); // Token transfers error BaseTransferFailed(address thrower, address from, address to, uint amount); error QuoteTransferFailed(address thrower, address from, address to, uint amount); // Access error BoardMustBeSettled(address thrower, OptionToken.PositionWithOwner position); error OnlyOptionMarket(address thrower, address caller, address optionMarket); }
//SPDX-License-Identifier: MIT // //Copyright (c) 2019 Synthetix // //Permission is hereby granted, free of charge, to any person obtaining a copy //of this software and associated documentation files (the "Software"), to deal //in the Software without restriction, including without limitation the rights //to use, copy, modify, merge, publish, distribute, sublicense, and/or sell //copies of the Software, and to permit persons to whom the Software is //furnished to do so, subject to the following conditions: // //The above copyright notice and this permission notice shall be included in all //copies or substantial portions of the Software. // //THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR //IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, //FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE //AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER //LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, //OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE //SOFTWARE. pragma solidity 0.8.16; /** * @title Owned * @author Synthetix * @dev Synthetix owned contract without constructor and custom errors * @dev https://docs.synthetix.io/contracts/source/contracts/owned */ abstract contract AbstractOwned { address public owner; address public nominatedOwner; uint[48] private __gap; function nominateNewOwner(address _owner) external onlyOwner { nominatedOwner = _owner; emit OwnerNominated(_owner); } function acceptOwnership() external { if (msg.sender != nominatedOwner) { revert OnlyNominatedOwner(address(this), msg.sender, nominatedOwner); } emit OwnerChanged(owner, nominatedOwner); owner = nominatedOwner; nominatedOwner = address(0); } modifier onlyOwner() { _onlyOwner(); _; } function _onlyOwner() private view { if (msg.sender != owner) { revert OnlyOwner(address(this), msg.sender, owner); } } event OwnerNominated(address newOwner); event OwnerChanged(address oldOwner, address newOwner); //////////// // Errors // //////////// error OnlyOwner(address thrower, address caller, address owner); error OnlyNominatedOwner(address thrower, address caller, address nominatedOwner); }
//SPDX-License-Identifier: MIT // //Copyright (c) 2019 Synthetix // //Permission is hereby granted, free of charge, to any person obtaining a copy //of this software and associated documentation files (the "Software"), to deal //in the Software without restriction, including without limitation the rights //to use, copy, modify, merge, publish, distribute, sublicense, and/or sell //copies of the Software, and to permit persons to whom the Software is //furnished to do so, subject to the following conditions: // //The above copyright notice and this permission notice shall be included in all //copies or substantial portions of the Software. // //THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR //IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, //FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE //AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER //LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, //OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE //SOFTWARE. pragma solidity 0.8.16; /** * @title DecimalMath * @author Lyra * @dev Modified synthetix SafeDecimalMath to include internal arithmetic underflow/overflow. * @dev https://docs.synthetix.io/contracts/source/libraries/SafeDecimalMath/ */ library DecimalMath { /* Number of decimal places in the representations. */ uint8 public constant decimals = 18; uint8 public constant highPrecisionDecimals = 27; /* The number representing 1.0. */ uint public constant UNIT = 10 ** uint(decimals); /* The number representing 1.0 for higher fidelity numbers. */ uint public constant PRECISE_UNIT = 10 ** uint(highPrecisionDecimals); uint private constant UNIT_TO_HIGH_PRECISION_CONVERSION_FACTOR = 10 ** uint(highPrecisionDecimals - decimals); /** * @return Provides an interface to UNIT. */ function unit() external pure returns (uint) { return UNIT; } /** * @return Provides an interface to PRECISE_UNIT. */ function preciseUnit() external pure returns (uint) { return PRECISE_UNIT; } /** * @return The result of multiplying x and y, interpreting the operands as fixed-point * decimals. * * @dev A unit factor is divided out after the product of x and y is evaluated, * so that product must be less than 2**256. As this is an integer division, * the internal division always rounds down. This helps save on gas. Rounding * is more expensive on gas. */ function multiplyDecimal(uint x, uint y) internal pure returns (uint) { /* Divide by UNIT to remove the extra factor introduced by the product. */ return (x * y) / UNIT; } /** * @return The result of safely multiplying x and y, interpreting the operands * as fixed-point decimals of the specified precision unit. * * @dev The operands should be in the form of a the specified unit factor which will be * divided out after the product of x and y is evaluated, so that product must be * less than 2**256. * * Unlike multiplyDecimal, this function rounds the result to the nearest increment. * Rounding is useful when you need to retain fidelity for small decimal numbers * (eg. small fractions or percentages). */ function _multiplyDecimalRound(uint x, uint y, uint precisionUnit) private pure returns (uint) { /* Divide by UNIT to remove the extra factor introduced by the product. */ uint quotientTimesTen = (x * y) / (precisionUnit / 10); if (quotientTimesTen % 10 >= 5) { quotientTimesTen += 10; } return quotientTimesTen / 10; } /** * @return The result of safely multiplying x and y, interpreting the operands * as fixed-point decimals of a precise unit. * * @dev The operands should be in the precise unit factor which will be * divided out after the product of x and y is evaluated, so that product must be * less than 2**256. * * Unlike multiplyDecimal, this function rounds the result to the nearest increment. * Rounding is useful when you need to retain fidelity for small decimal numbers * (eg. small fractions or percentages). */ function multiplyDecimalRoundPrecise(uint x, uint y) internal pure returns (uint) { return _multiplyDecimalRound(x, y, PRECISE_UNIT); } /** * @return The result of safely multiplying x and y, interpreting the operands * as fixed-point decimals of a standard unit. * * @dev The operands should be in the standard unit factor which will be * divided out after the product of x and y is evaluated, so that product must be * less than 2**256. * * Unlike multiplyDecimal, this function rounds the result to the nearest increment. * Rounding is useful when you need to retain fidelity for small decimal numbers * (eg. small fractions or percentages). */ function multiplyDecimalRound(uint x, uint y) internal pure returns (uint) { return _multiplyDecimalRound(x, y, UNIT); } /** * @return The result of safely dividing x and y. The return value is a high * precision decimal. * * @dev y is divided after the product of x and the standard precision unit * is evaluated, so the product of x and UNIT must be less than 2**256. As * this is an integer division, the result is always rounded down. * This helps save on gas. Rounding is more expensive on gas. */ function divideDecimal(uint x, uint y) internal pure returns (uint) { /* Reintroduce the UNIT factor that will be divided out by y. */ return (x * UNIT) / y; } /** * @return The result of safely dividing x and y. The return value is as a rounded * decimal in the precision unit specified in the parameter. * * @dev y is divided after the product of x and the specified precision unit * is evaluated, so the product of x and the specified precision unit must * be less than 2**256. The result is rounded to the nearest increment. */ function _divideDecimalRound(uint x, uint y, uint precisionUnit) private pure returns (uint) { uint resultTimesTen = (x * (precisionUnit * 10)) / y; if (resultTimesTen % 10 >= 5) { resultTimesTen += 10; } return resultTimesTen / 10; } /** * @return The result of safely dividing x and y. The return value is as a rounded * standard precision decimal. * * @dev y is divided after the product of x and the standard precision unit * is evaluated, so the product of x and the standard precision unit must * be less than 2**256. The result is rounded to the nearest increment. */ function divideDecimalRound(uint x, uint y) internal pure returns (uint) { return _divideDecimalRound(x, y, UNIT); } /** * @return The result of safely dividing x and y. The return value is as a rounded * high precision decimal. * * @dev y is divided after the product of x and the high precision unit * is evaluated, so the product of x and the high precision unit must * be less than 2**256. The result is rounded to the nearest increment. */ function divideDecimalRoundPrecise(uint x, uint y) internal pure returns (uint) { return _divideDecimalRound(x, y, PRECISE_UNIT); } /** * @dev Convert a standard decimal representation to a high precision one. */ function decimalToPreciseDecimal(uint i) internal pure returns (uint) { return i * UNIT_TO_HIGH_PRECISION_CONVERSION_FACTOR; } /** * @dev Convert a high precision decimal to a standard decimal representation. */ function preciseDecimalToDecimal(uint i) internal pure returns (uint) { uint quotientTimesTen = i / (UNIT_TO_HIGH_PRECISION_CONVERSION_FACTOR / 10); if (quotientTimesTen % 10 >= 5) { quotientTimesTen += 10; } return quotientTimesTen / 10; } }
//SPDX-License-Identifier: MIT // //Copyright (c) 2019 Synthetix // //Permission is hereby granted, free of charge, to any person obtaining a copy //of this software and associated documentation files (the "Software"), to deal //in the Software without restriction, including without limitation the rights //to use, copy, modify, merge, publish, distribute, sublicense, and/or sell //copies of the Software, and to permit persons to whom the Software is //furnished to do so, subject to the following conditions: // //The above copyright notice and this permission notice shall be included in all //copies or substantial portions of the Software. // //THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR //IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, //FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE //AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER //LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, //OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE //SOFTWARE. pragma solidity 0.8.16; import "./AbstractOwned.sol"; /** * @title Owned * @author Synthetix * @dev Slightly modified Synthetix owned contract, so that first owner is msg.sender * @dev https://docs.synthetix.io/contracts/source/contracts/owned */ contract Owned is AbstractOwned { constructor() { owner = msg.sender; emit OwnerChanged(address(0), msg.sender); } }
//SPDX-License-Identifier: MIT import "openzeppelin-contracts-upgradeable-4.5.1/proxy/utils/Initializable.sol"; import "./AbstractOwned.sol"; pragma solidity 0.8.16; /** * @title OwnedUpgradeable * @author Lyra * @dev Modified owned contract to allow for the owner to be initialised by the calling proxy * @dev https://docs.synthetix.io/contracts/source/contracts/owned */ contract OwnedUpgradeable is AbstractOwned, Initializable { /** * @dev Initializes the contract setting the deployer as the initial owner. */ function __Ownable_init() internal onlyInitializing { owner = msg.sender; } }
//SPDX-License-Identifier: MIT // //Copyright (c) 2019 Synthetix // //Permission is hereby granted, free of charge, to any person obtaining a copy //of this software and associated documentation files (the "Software"), to deal //in the Software without restriction, including without limitation the rights //to use, copy, modify, merge, publish, distribute, sublicense, and/or sell //copies of the Software, and to permit persons to whom the Software is //furnished to do so, subject to the following conditions: // //The above copyright notice and this permission notice shall be included in all //copies or substantial portions of the Software. // //THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR //IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, //FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE //AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER //LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, //OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE //SOFTWARE. pragma solidity 0.8.16; /** * @title SignedDecimalMath * @author Lyra * @dev Modified synthetix SafeSignedDecimalMath to include internal arithmetic underflow/overflow. * @dev https://docs.synthetix.io/contracts/source/libraries/safedecimalmath */ library SignedDecimalMath { /* Number of decimal places in the representations. */ uint8 public constant decimals = 18; uint8 public constant highPrecisionDecimals = 27; /* The number representing 1.0. */ int public constant UNIT = int(10 ** uint(decimals)); /* The number representing 1.0 for higher fidelity numbers. */ int public constant PRECISE_UNIT = int(10 ** uint(highPrecisionDecimals)); int private constant UNIT_TO_HIGH_PRECISION_CONVERSION_FACTOR = int(10 ** uint(highPrecisionDecimals - decimals)); /** * @return Provides an interface to UNIT. */ function unit() external pure returns (int) { return UNIT; } /** * @return Provides an interface to PRECISE_UNIT. */ function preciseUnit() external pure returns (int) { return PRECISE_UNIT; } /** * @dev Rounds an input with an extra zero of precision, returning the result without the extra zero. * Half increments round away from zero; positive numbers at a half increment are rounded up, * while negative such numbers are rounded down. This behaviour is designed to be consistent with the * unsigned version of this library (SafeDecimalMath). */ function _roundDividingByTen(int valueTimesTen) private pure returns (int) { int increment; if (valueTimesTen % 10 >= 5) { increment = 10; } else if (valueTimesTen % 10 <= -5) { increment = -10; } return (valueTimesTen + increment) / 10; } /** * @return The result of multiplying x and y, interpreting the operands as fixed-point * decimals. * * @dev A unit factor is divided out after the product of x and y is evaluated, * so that product must be less than 2**256. As this is an integer division, * the internal division always rounds down. This helps save on gas. Rounding * is more expensive on gas. */ function multiplyDecimal(int x, int y) internal pure returns (int) { /* Divide by UNIT to remove the extra factor introduced by the product. */ return (x * y) / UNIT; } /** * @return The result of safely multiplying x and y, interpreting the operands * as fixed-point decimals of the specified precision unit. * * @dev The operands should be in the form of a the specified unit factor which will be * divided out after the product of x and y is evaluated, so that product must be * less than 2**256. * * Unlike multiplyDecimal, this function rounds the result to the nearest increment. * Rounding is useful when you need to retain fidelity for small decimal numbers * (eg. small fractions or percentages). */ function _multiplyDecimalRound(int x, int y, int precisionUnit) private pure returns (int) { /* Divide by UNIT to remove the extra factor introduced by the product. */ int quotientTimesTen = (x * y) / (precisionUnit / 10); return _roundDividingByTen(quotientTimesTen); } /** * @return The result of safely multiplying x and y, interpreting the operands * as fixed-point decimals of a precise unit. * * @dev The operands should be in the precise unit factor which will be * divided out after the product of x and y is evaluated, so that product must be * less than 2**256. * * Unlike multiplyDecimal, this function rounds the result to the nearest increment. * Rounding is useful when you need to retain fidelity for small decimal numbers * (eg. small fractions or percentages). */ function multiplyDecimalRoundPrecise(int x, int y) internal pure returns (int) { return _multiplyDecimalRound(x, y, PRECISE_UNIT); } /** * @return The result of safely multiplying x and y, interpreting the operands * as fixed-point decimals of a standard unit. * * @dev The operands should be in the standard unit factor which will be * divided out after the product of x and y is evaluated, so that product must be * less than 2**256. * * Unlike multiplyDecimal, this function rounds the result to the nearest increment. * Rounding is useful when you need to retain fidelity for small decimal numbers * (eg. small fractions or percentages). */ function multiplyDecimalRound(int x, int y) internal pure returns (int) { return _multiplyDecimalRound(x, y, UNIT); } /** * @return The result of safely dividing x and y. The return value is a high * precision decimal. * * @dev y is divided after the product of x and the standard precision unit * is evaluated, so the product of x and UNIT must be less than 2**256. As * this is an integer division, the result is always rounded down. * This helps save on gas. Rounding is more expensive on gas. */ function divideDecimal(int x, int y) internal pure returns (int) { /* Reintroduce the UNIT factor that will be divided out by y. */ return (x * UNIT) / y; } /** * @return The result of safely dividing x and y. The return value is as a rounded * decimal in the precision unit specified in the parameter. * * @dev y is divided after the product of x and the specified precision unit * is evaluated, so the product of x and the specified precision unit must * be less than 2**256. The result is rounded to the nearest increment. */ function _divideDecimalRound(int x, int y, int precisionUnit) private pure returns (int) { int resultTimesTen = (x * (precisionUnit * 10)) / y; return _roundDividingByTen(resultTimesTen); } /** * @return The result of safely dividing x and y. The return value is as a rounded * standard precision decimal. * * @dev y is divided after the product of x and the standard precision unit * is evaluated, so the product of x and the standard precision unit must * be less than 2**256. The result is rounded to the nearest increment. */ function divideDecimalRound(int x, int y) internal pure returns (int) { return _divideDecimalRound(x, y, UNIT); } /** * @return The result of safely dividing x and y. The return value is as a rounded * high precision decimal. * * @dev y is divided after the product of x and the high precision unit * is evaluated, so the product of x and the high precision unit must * be less than 2**256. The result is rounded to the nearest increment. */ function divideDecimalRoundPrecise(int x, int y) internal pure returns (int) { return _divideDecimalRound(x, y, PRECISE_UNIT); } /** * @dev Convert a standard decimal representation to a high precision one. */ function decimalToPreciseDecimal(int i) internal pure returns (int) { return i * UNIT_TO_HIGH_PRECISION_CONVERSION_FACTOR; } /** * @dev Convert a high precision decimal to a standard decimal representation. */ function preciseDecimalToDecimal(int i) internal pure returns (int) { int quotientTimesTen = i / (UNIT_TO_HIGH_PRECISION_CONVERSION_FACTOR / 10); return _roundDividingByTen(quotientTimesTen); } }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (security/ReentrancyGuard.sol) pragma solidity ^0.8.0; /** * @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]. */ abstract 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 making 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: MIT // OpenZeppelin Contracts v4.4.1 (token/ERC20/ERC20.sol) pragma solidity ^0.8.0; import "./IERC20.sol"; import "./extensions/IERC20Metadata.sol"; import "../../utils/Context.sol"; /** * @dev Implementation of the {IERC20} interface. * * This implementation is agnostic to the way tokens are created. This means * that a supply mechanism has to be added in a derived contract using {_mint}. * For a generic mechanism see {ERC20PresetMinterPauser}. * * TIP: For a detailed writeup see our guide * https://forum.zeppelin.solutions/t/how-to-implement-erc20-supply-mechanisms/226[How * to implement supply mechanisms]. * * We have followed general OpenZeppelin Contracts guidelines: functions revert * instead returning `false` on failure. This behavior is nonetheless * conventional and does not conflict with the expectations of ERC20 * applications. * * Additionally, an {Approval} event is emitted on calls to {transferFrom}. * This allows applications to reconstruct the allowance for all accounts just * by listening to said events. Other implementations of the EIP may not emit * these events, as it isn't required by the specification. * * Finally, the non-standard {decreaseAllowance} and {increaseAllowance} * functions have been added to mitigate the well-known issues around setting * allowances. See {IERC20-approve}. */ contract ERC20 is Context, IERC20, IERC20Metadata { mapping(address => uint256) private _balances; mapping(address => mapping(address => uint256)) private _allowances; uint256 private _totalSupply; string private _name; string private _symbol; /** * @dev Sets the values for {name} and {symbol}. * * The default value of {decimals} is 18. To select a different value for * {decimals} you should overload it. * * All two of these values are immutable: they can only be set once during * construction. */ constructor(string memory name_, string memory symbol_) { _name = name_; _symbol = symbol_; } /** * @dev Returns the name of the token. */ function name() public view virtual override returns (string memory) { return _name; } /** * @dev Returns the symbol of the token, usually a shorter version of the * name. */ function symbol() public view virtual override returns (string memory) { return _symbol; } /** * @dev Returns the number of decimals used to get its user representation. * For example, if `decimals` equals `2`, a balance of `505` tokens should * be displayed to a user as `5.05` (`505 / 10 ** 2`). * * Tokens usually opt for a value of 18, imitating the relationship between * Ether and Wei. This is the value {ERC20} uses, unless this function is * overridden; * * NOTE: This information is only used for _display_ purposes: it in * no way affects any of the arithmetic of the contract, including * {IERC20-balanceOf} and {IERC20-transfer}. */ function decimals() public view virtual override returns (uint8) { return 18; } /** * @dev See {IERC20-totalSupply}. */ function totalSupply() public view virtual override returns (uint256) { return _totalSupply; } /** * @dev See {IERC20-balanceOf}. */ function balanceOf(address account) public view virtual override returns (uint256) { return _balances[account]; } /** * @dev See {IERC20-transfer}. * * Requirements: * * - `recipient` cannot be the zero address. * - the caller must have a balance of at least `amount`. */ function transfer(address recipient, uint256 amount) public virtual override returns (bool) { _transfer(_msgSender(), recipient, amount); return true; } /** * @dev See {IERC20-allowance}. */ function allowance(address owner, address spender) public view virtual override returns (uint256) { return _allowances[owner][spender]; } /** * @dev See {IERC20-approve}. * * Requirements: * * - `spender` cannot be the zero address. */ function approve(address spender, uint256 amount) public virtual override returns (bool) { _approve(_msgSender(), spender, amount); return true; } /** * @dev See {IERC20-transferFrom}. * * Emits an {Approval} event indicating the updated allowance. This is not * required by the EIP. See the note at the beginning of {ERC20}. * * Requirements: * * - `sender` and `recipient` cannot be the zero address. * - `sender` must have a balance of at least `amount`. * - the caller must have allowance for ``sender``'s tokens of at least * `amount`. */ function transferFrom( address sender, address recipient, uint256 amount ) public virtual override returns (bool) { _transfer(sender, recipient, amount); uint256 currentAllowance = _allowances[sender][_msgSender()]; require(currentAllowance >= amount, "ERC20: transfer amount exceeds allowance"); unchecked { _approve(sender, _msgSender(), currentAllowance - amount); } return true; } /** * @dev Atomically increases the allowance granted to `spender` by the caller. * * This is an alternative to {approve} that can be used as a mitigation for * problems described in {IERC20-approve}. * * Emits an {Approval} event indicating the updated allowance. * * Requirements: * * - `spender` cannot be the zero address. */ function increaseAllowance(address spender, uint256 addedValue) public virtual returns (bool) { _approve(_msgSender(), spender, _allowances[_msgSender()][spender] + addedValue); return true; } /** * @dev Atomically decreases the allowance granted to `spender` by the caller. * * This is an alternative to {approve} that can be used as a mitigation for * problems described in {IERC20-approve}. * * Emits an {Approval} event indicating the updated allowance. * * Requirements: * * - `spender` cannot be the zero address. * - `spender` must have allowance for the caller of at least * `subtractedValue`. */ function decreaseAllowance(address spender, uint256 subtractedValue) public virtual returns (bool) { uint256 currentAllowance = _allowances[_msgSender()][spender]; require(currentAllowance >= subtractedValue, "ERC20: decreased allowance below zero"); unchecked { _approve(_msgSender(), spender, currentAllowance - subtractedValue); } return true; } /** * @dev Moves `amount` of tokens from `sender` to `recipient`. * * This internal function is equivalent to {transfer}, and can be used to * e.g. implement automatic token fees, slashing mechanisms, etc. * * Emits a {Transfer} event. * * Requirements: * * - `sender` cannot be the zero address. * - `recipient` cannot be the zero address. * - `sender` must have a balance of at least `amount`. */ function _transfer( address sender, address recipient, uint256 amount ) internal virtual { require(sender != address(0), "ERC20: transfer from the zero address"); require(recipient != address(0), "ERC20: transfer to the zero address"); _beforeTokenTransfer(sender, recipient, amount); uint256 senderBalance = _balances[sender]; require(senderBalance >= amount, "ERC20: transfer amount exceeds balance"); unchecked { _balances[sender] = senderBalance - amount; } _balances[recipient] += amount; emit Transfer(sender, recipient, amount); _afterTokenTransfer(sender, recipient, amount); } /** @dev Creates `amount` tokens and assigns them to `account`, increasing * the total supply. * * Emits a {Transfer} event with `from` set to the zero address. * * Requirements: * * - `account` cannot be the zero address. */ function _mint(address account, uint256 amount) internal virtual { require(account != address(0), "ERC20: mint to the zero address"); _beforeTokenTransfer(address(0), account, amount); _totalSupply += amount; _balances[account] += amount; emit Transfer(address(0), account, amount); _afterTokenTransfer(address(0), account, amount); } /** * @dev Destroys `amount` tokens from `account`, reducing the * total supply. * * Emits a {Transfer} event with `to` set to the zero address. * * Requirements: * * - `account` cannot be the zero address. * - `account` must have at least `amount` tokens. */ function _burn(address account, uint256 amount) internal virtual { require(account != address(0), "ERC20: burn from the zero address"); _beforeTokenTransfer(account, address(0), amount); uint256 accountBalance = _balances[account]; require(accountBalance >= amount, "ERC20: burn amount exceeds balance"); unchecked { _balances[account] = accountBalance - amount; } _totalSupply -= amount; emit Transfer(account, address(0), amount); _afterTokenTransfer(account, address(0), amount); } /** * @dev Sets `amount` as the allowance of `spender` over the `owner` s tokens. * * This internal function is equivalent to `approve`, and can be used to * e.g. set automatic allowances for certain subsystems, etc. * * Emits an {Approval} event. * * Requirements: * * - `owner` cannot be the zero address. * - `spender` cannot be the zero address. */ function _approve( address owner, address spender, uint256 amount ) internal virtual { require(owner != address(0), "ERC20: approve from the zero address"); require(spender != address(0), "ERC20: approve to the zero address"); _allowances[owner][spender] = amount; emit Approval(owner, spender, amount); } /** * @dev Hook that is called before any transfer of tokens. This includes * minting and burning. * * Calling conditions: * * - when `from` and `to` are both non-zero, `amount` of ``from``'s tokens * will be transferred to `to`. * - when `from` is zero, `amount` tokens will be minted for `to`. * - when `to` is zero, `amount` of ``from``'s tokens will be burned. * - `from` and `to` are never both zero. * * To learn more about hooks, head to xref:ROOT:extending-contracts.adoc#using-hooks[Using Hooks]. */ function _beforeTokenTransfer( address from, address to, uint256 amount ) internal virtual {} /** * @dev Hook that is called after any transfer of tokens. This includes * minting and burning. * * Calling conditions: * * - when `from` and `to` are both non-zero, `amount` of ``from``'s tokens * has been transferred to `to`. * - when `from` is zero, `amount` tokens have been minted for `to`. * - when `to` is zero, `amount` of ``from``'s tokens have been burned. * - `from` and `to` are never both zero. * * To learn more about hooks, head to xref:ROOT:extending-contracts.adoc#using-hooks[Using Hooks]. */ function _afterTokenTransfer( address from, address to, uint256 amount ) internal virtual {} }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (token/ERC20/extensions/IERC20Metadata.sol) pragma solidity ^0.8.0; import "../IERC20.sol"; /** * @dev Interface for the optional metadata functions from the ERC20 standard. * * _Available since v4.1._ */ interface IERC20Metadata is IERC20 { /** * @dev Returns the name of the token. */ function name() external view returns (string memory); /** * @dev Returns the symbol of the token. */ function symbol() external view returns (string memory); /** * @dev Returns the decimals places of the token. */ function decimals() external view returns (uint8); }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (token/ERC20/IERC20.sol) pragma solidity ^0.8.0; /** * @dev Interface of the ERC20 standard as defined in the EIP. */ interface IERC20 { /** * @dev Returns the amount of tokens in existence. */ function totalSupply() external view returns (uint256); /** * @dev Returns the amount of tokens owned by `account`. */ function balanceOf(address account) external view returns (uint256); /** * @dev Moves `amount` tokens from the caller's account to `recipient`. * * Returns a boolean value indicating whether the operation succeeded. * * Emits a {Transfer} event. */ function transfer(address recipient, uint256 amount) external returns (bool); /** * @dev Returns the remaining number of tokens that `spender` will be * allowed to spend on behalf of `owner` through {transferFrom}. This is * zero by default. * * This value changes when {approve} or {transferFrom} are called. */ function allowance(address owner, address spender) external view returns (uint256); /** * @dev Sets `amount` as the allowance of `spender` over the caller's tokens. * * Returns a boolean value indicating whether the operation succeeded. * * IMPORTANT: Beware that changing an allowance with this method brings the risk * that someone may use both the old and the new allowance by unfortunate * transaction ordering. One possible solution to mitigate this race * condition is to first reduce the spender's allowance to 0 and set the * desired value afterwards: * https://github.com/ethereum/EIPs/issues/20#issuecomment-263524729 * * Emits an {Approval} event. */ function approve(address spender, uint256 amount) external returns (bool); /** * @dev Moves `amount` tokens from `sender` to `recipient` using the * allowance mechanism. `amount` is then deducted from the caller's * allowance. * * Returns a boolean value indicating whether the operation succeeded. * * Emits a {Transfer} event. */ function transferFrom( address sender, address recipient, uint256 amount ) external returns (bool); /** * @dev Emitted when `value` tokens are moved from one account (`from`) to * another (`to`). * * Note that `value` may be zero. */ event Transfer(address indexed from, address indexed to, uint256 value); /** * @dev Emitted when the allowance of a `spender` for an `owner` is set by * a call to {approve}. `value` is the new allowance. */ event Approval(address indexed owner, address indexed spender, uint256 value); }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (token/ERC721/ERC721.sol) pragma solidity ^0.8.0; import "./IERC721.sol"; import "./IERC721Receiver.sol"; import "./extensions/IERC721Metadata.sol"; import "../../utils/Address.sol"; import "../../utils/Context.sol"; import "../../utils/Strings.sol"; import "../../utils/introspection/ERC165.sol"; /** * @dev Implementation of https://eips.ethereum.org/EIPS/eip-721[ERC721] Non-Fungible Token Standard, including * the Metadata extension, but not including the Enumerable extension, which is available separately as * {ERC721Enumerable}. */ contract ERC721 is Context, ERC165, IERC721, IERC721Metadata { using Address for address; using Strings for uint256; // Token name string private _name; // Token symbol string private _symbol; // Mapping from token ID to owner address mapping(uint256 => address) private _owners; // Mapping owner address to token count mapping(address => uint256) private _balances; // Mapping from token ID to approved address mapping(uint256 => address) private _tokenApprovals; // Mapping from owner to operator approvals mapping(address => mapping(address => bool)) private _operatorApprovals; /** * @dev Initializes the contract by setting a `name` and a `symbol` to the token collection. */ constructor(string memory name_, string memory symbol_) { _name = name_; _symbol = symbol_; } /** * @dev See {IERC165-supportsInterface}. */ function supportsInterface(bytes4 interfaceId) public view virtual override(ERC165, IERC165) returns (bool) { return interfaceId == type(IERC721).interfaceId || interfaceId == type(IERC721Metadata).interfaceId || super.supportsInterface(interfaceId); } /** * @dev See {IERC721-balanceOf}. */ function balanceOf(address owner) public view virtual override returns (uint256) { require(owner != address(0), "ERC721: balance query for the zero address"); return _balances[owner]; } /** * @dev See {IERC721-ownerOf}. */ function ownerOf(uint256 tokenId) public view virtual override returns (address) { address owner = _owners[tokenId]; require(owner != address(0), "ERC721: owner query for nonexistent token"); return owner; } /** * @dev See {IERC721Metadata-name}. */ function name() public view virtual override returns (string memory) { return _name; } /** * @dev See {IERC721Metadata-symbol}. */ function symbol() public view virtual override returns (string memory) { return _symbol; } /** * @dev See {IERC721Metadata-tokenURI}. */ function tokenURI(uint256 tokenId) public view virtual override returns (string memory) { require(_exists(tokenId), "ERC721Metadata: URI query for nonexistent token"); string memory baseURI = _baseURI(); return bytes(baseURI).length > 0 ? string(abi.encodePacked(baseURI, tokenId.toString())) : ""; } /** * @dev Base URI for computing {tokenURI}. If set, the resulting URI for each * token will be the concatenation of the `baseURI` and the `tokenId`. Empty * by default, can be overriden in child contracts. */ function _baseURI() internal view virtual returns (string memory) { return ""; } /** * @dev See {IERC721-approve}. */ function approve(address to, uint256 tokenId) public virtual override { address owner = ERC721.ownerOf(tokenId); require(to != owner, "ERC721: approval to current owner"); require( _msgSender() == owner || isApprovedForAll(owner, _msgSender()), "ERC721: approve caller is not owner nor approved for all" ); _approve(to, tokenId); } /** * @dev See {IERC721-getApproved}. */ function getApproved(uint256 tokenId) public view virtual override returns (address) { require(_exists(tokenId), "ERC721: approved query for nonexistent token"); return _tokenApprovals[tokenId]; } /** * @dev See {IERC721-setApprovalForAll}. */ function setApprovalForAll(address operator, bool approved) public virtual override { _setApprovalForAll(_msgSender(), operator, approved); } /** * @dev See {IERC721-isApprovedForAll}. */ function isApprovedForAll(address owner, address operator) public view virtual override returns (bool) { return _operatorApprovals[owner][operator]; } /** * @dev See {IERC721-transferFrom}. */ function transferFrom( address from, address to, uint256 tokenId ) public virtual override { //solhint-disable-next-line max-line-length require(_isApprovedOrOwner(_msgSender(), tokenId), "ERC721: transfer caller is not owner nor approved"); _transfer(from, to, tokenId); } /** * @dev See {IERC721-safeTransferFrom}. */ function safeTransferFrom( address from, address to, uint256 tokenId ) public virtual override { safeTransferFrom(from, to, tokenId, ""); } /** * @dev See {IERC721-safeTransferFrom}. */ function safeTransferFrom( address from, address to, uint256 tokenId, bytes memory _data ) public virtual override { require(_isApprovedOrOwner(_msgSender(), tokenId), "ERC721: transfer caller is not owner nor approved"); _safeTransfer(from, to, tokenId, _data); } /** * @dev Safely transfers `tokenId` token from `from` to `to`, checking first that contract recipients * are aware of the ERC721 protocol to prevent tokens from being forever locked. * * `_data` is additional data, it has no specified format and it is sent in call to `to`. * * This internal function is equivalent to {safeTransferFrom}, and can be used to e.g. * implement alternative mechanisms to perform token transfer, such as signature-based. * * Requirements: * * - `from` cannot be the zero address. * - `to` cannot be the zero address. * - `tokenId` token must exist and be owned by `from`. * - If `to` refers to a smart contract, it must implement {IERC721Receiver-onERC721Received}, which is called upon a safe transfer. * * Emits a {Transfer} event. */ function _safeTransfer( address from, address to, uint256 tokenId, bytes memory _data ) internal virtual { _transfer(from, to, tokenId); require(_checkOnERC721Received(from, to, tokenId, _data), "ERC721: transfer to non ERC721Receiver implementer"); } /** * @dev Returns whether `tokenId` exists. * * Tokens can be managed by their owner or approved accounts via {approve} or {setApprovalForAll}. * * Tokens start existing when they are minted (`_mint`), * and stop existing when they are burned (`_burn`). */ function _exists(uint256 tokenId) internal view virtual returns (bool) { return _owners[tokenId] != address(0); } /** * @dev Returns whether `spender` is allowed to manage `tokenId`. * * Requirements: * * - `tokenId` must exist. */ function _isApprovedOrOwner(address spender, uint256 tokenId) internal view virtual returns (bool) { require(_exists(tokenId), "ERC721: operator query for nonexistent token"); address owner = ERC721.ownerOf(tokenId); return (spender == owner || getApproved(tokenId) == spender || isApprovedForAll(owner, spender)); } /** * @dev Safely mints `tokenId` and transfers it to `to`. * * Requirements: * * - `tokenId` must not exist. * - If `to` refers to a smart contract, it must implement {IERC721Receiver-onERC721Received}, which is called upon a safe transfer. * * Emits a {Transfer} event. */ function _safeMint(address to, uint256 tokenId) internal virtual { _safeMint(to, tokenId, ""); } /** * @dev Same as {xref-ERC721-_safeMint-address-uint256-}[`_safeMint`], with an additional `data` parameter which is * forwarded in {IERC721Receiver-onERC721Received} to contract recipients. */ function _safeMint( address to, uint256 tokenId, bytes memory _data ) internal virtual { _mint(to, tokenId); require( _checkOnERC721Received(address(0), to, tokenId, _data), "ERC721: transfer to non ERC721Receiver implementer" ); } /** * @dev Mints `tokenId` and transfers it to `to`. * * WARNING: Usage of this method is discouraged, use {_safeMint} whenever possible * * Requirements: * * - `tokenId` must not exist. * - `to` cannot be the zero address. * * Emits a {Transfer} event. */ function _mint(address to, uint256 tokenId) internal virtual { require(to != address(0), "ERC721: mint to the zero address"); require(!_exists(tokenId), "ERC721: token already minted"); _beforeTokenTransfer(address(0), to, tokenId); _balances[to] += 1; _owners[tokenId] = to; emit Transfer(address(0), to, tokenId); } /** * @dev Destroys `tokenId`. * The approval is cleared when the token is burned. * * Requirements: * * - `tokenId` must exist. * * Emits a {Transfer} event. */ function _burn(uint256 tokenId) internal virtual { address owner = ERC721.ownerOf(tokenId); _beforeTokenTransfer(owner, address(0), tokenId); // Clear approvals _approve(address(0), tokenId); _balances[owner] -= 1; delete _owners[tokenId]; emit Transfer(owner, address(0), tokenId); } /** * @dev Transfers `tokenId` from `from` to `to`. * As opposed to {transferFrom}, this imposes no restrictions on msg.sender. * * Requirements: * * - `to` cannot be the zero address. * - `tokenId` token must be owned by `from`. * * Emits a {Transfer} event. */ function _transfer( address from, address to, uint256 tokenId ) internal virtual { require(ERC721.ownerOf(tokenId) == from, "ERC721: transfer of token that is not own"); require(to != address(0), "ERC721: transfer to the zero address"); _beforeTokenTransfer(from, to, tokenId); // Clear approvals from the previous owner _approve(address(0), tokenId); _balances[from] -= 1; _balances[to] += 1; _owners[tokenId] = to; emit Transfer(from, to, tokenId); } /** * @dev Approve `to` to operate on `tokenId` * * Emits a {Approval} event. */ function _approve(address to, uint256 tokenId) internal virtual { _tokenApprovals[tokenId] = to; emit Approval(ERC721.ownerOf(tokenId), to, tokenId); } /** * @dev Approve `operator` to operate on all of `owner` tokens * * Emits a {ApprovalForAll} event. */ function _setApprovalForAll( address owner, address operator, bool approved ) internal virtual { require(owner != operator, "ERC721: approve to caller"); _operatorApprovals[owner][operator] = approved; emit ApprovalForAll(owner, operator, approved); } /** * @dev Internal function to invoke {IERC721Receiver-onERC721Received} on a target address. * The call is not executed if the target address is not a contract. * * @param from address representing the previous owner of the given token ID * @param to target address that will receive the tokens * @param tokenId uint256 ID of the token to be transferred * @param _data bytes optional data to send along with the call * @return bool whether the call correctly returned the expected magic value */ function _checkOnERC721Received( address from, address to, uint256 tokenId, bytes memory _data ) private returns (bool) { if (to.isContract()) { try IERC721Receiver(to).onERC721Received(_msgSender(), from, tokenId, _data) returns (bytes4 retval) { return retval == IERC721Receiver.onERC721Received.selector; } catch (bytes memory reason) { if (reason.length == 0) { revert("ERC721: transfer to non ERC721Receiver implementer"); } else { assembly { revert(add(32, reason), mload(reason)) } } } } else { return true; } } /** * @dev Hook that is called before any token transfer. This includes minting * and burning. * * Calling conditions: * * - When `from` and `to` are both non-zero, ``from``'s `tokenId` will be * transferred to `to`. * - When `from` is zero, `tokenId` will be minted for `to`. * - When `to` is zero, ``from``'s `tokenId` will be burned. * - `from` and `to` are never both zero. * * To learn more about hooks, head to xref:ROOT:extending-contracts.adoc#using-hooks[Using Hooks]. */ function _beforeTokenTransfer( address from, address to, uint256 tokenId ) internal virtual {} }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (token/ERC721/extensions/ERC721Enumerable.sol) pragma solidity ^0.8.0; import "../ERC721.sol"; import "./IERC721Enumerable.sol"; /** * @dev This implements an optional extension of {ERC721} defined in the EIP that adds * enumerability of all the token ids in the contract as well as all token ids owned by each * account. */ abstract contract ERC721Enumerable is ERC721, IERC721Enumerable { // Mapping from owner to list of owned token IDs mapping(address => mapping(uint256 => uint256)) private _ownedTokens; // Mapping from token ID to index of the owner tokens list mapping(uint256 => uint256) private _ownedTokensIndex; // Array with all token ids, used for enumeration uint256[] private _allTokens; // Mapping from token id to position in the allTokens array mapping(uint256 => uint256) private _allTokensIndex; /** * @dev See {IERC165-supportsInterface}. */ function supportsInterface(bytes4 interfaceId) public view virtual override(IERC165, ERC721) returns (bool) { return interfaceId == type(IERC721Enumerable).interfaceId || super.supportsInterface(interfaceId); } /** * @dev See {IERC721Enumerable-tokenOfOwnerByIndex}. */ function tokenOfOwnerByIndex(address owner, uint256 index) public view virtual override returns (uint256) { require(index < ERC721.balanceOf(owner), "ERC721Enumerable: owner index out of bounds"); return _ownedTokens[owner][index]; } /** * @dev See {IERC721Enumerable-totalSupply}. */ function totalSupply() public view virtual override returns (uint256) { return _allTokens.length; } /** * @dev See {IERC721Enumerable-tokenByIndex}. */ function tokenByIndex(uint256 index) public view virtual override returns (uint256) { require(index < ERC721Enumerable.totalSupply(), "ERC721Enumerable: global index out of bounds"); return _allTokens[index]; } /** * @dev Hook that is called before any token transfer. This includes minting * and burning. * * Calling conditions: * * - When `from` and `to` are both non-zero, ``from``'s `tokenId` will be * transferred to `to`. * - When `from` is zero, `tokenId` will be minted for `to`. * - When `to` is zero, ``from``'s `tokenId` will be burned. * - `from` cannot be the zero address. * - `to` cannot be the zero address. * * To learn more about hooks, head to xref:ROOT:extending-contracts.adoc#using-hooks[Using Hooks]. */ function _beforeTokenTransfer( address from, address to, uint256 tokenId ) internal virtual override { super._beforeTokenTransfer(from, to, tokenId); if (from == address(0)) { _addTokenToAllTokensEnumeration(tokenId); } else if (from != to) { _removeTokenFromOwnerEnumeration(from, tokenId); } if (to == address(0)) { _removeTokenFromAllTokensEnumeration(tokenId); } else if (to != from) { _addTokenToOwnerEnumeration(to, tokenId); } } /** * @dev Private function to add a token to this extension's ownership-tracking data structures. * @param to address representing the new owner of the given token ID * @param tokenId uint256 ID of the token to be added to the tokens list of the given address */ function _addTokenToOwnerEnumeration(address to, uint256 tokenId) private { uint256 length = ERC721.balanceOf(to); _ownedTokens[to][length] = tokenId; _ownedTokensIndex[tokenId] = length; } /** * @dev Private function to add a token to this extension's token tracking data structures. * @param tokenId uint256 ID of the token to be added to the tokens list */ function _addTokenToAllTokensEnumeration(uint256 tokenId) private { _allTokensIndex[tokenId] = _allTokens.length; _allTokens.push(tokenId); } /** * @dev Private function to remove a token from this extension's ownership-tracking data structures. Note that * while the token is not assigned a new owner, the `_ownedTokensIndex` mapping is _not_ updated: this allows for * gas optimizations e.g. when performing a transfer operation (avoiding double writes). * This has O(1) time complexity, but alters the order of the _ownedTokens array. * @param from address representing the previous owner of the given token ID * @param tokenId uint256 ID of the token to be removed from the tokens list of the given address */ function _removeTokenFromOwnerEnumeration(address from, uint256 tokenId) private { // To prevent a gap in from's tokens array, we store the last token in the index of the token to delete, and // then delete the last slot (swap and pop). uint256 lastTokenIndex = ERC721.balanceOf(from) - 1; uint256 tokenIndex = _ownedTokensIndex[tokenId]; // When the token to delete is the last token, the swap operation is unnecessary if (tokenIndex != lastTokenIndex) { uint256 lastTokenId = _ownedTokens[from][lastTokenIndex]; _ownedTokens[from][tokenIndex] = lastTokenId; // Move the last token to the slot of the to-delete token _ownedTokensIndex[lastTokenId] = tokenIndex; // Update the moved token's index } // This also deletes the contents at the last position of the array delete _ownedTokensIndex[tokenId]; delete _ownedTokens[from][lastTokenIndex]; } /** * @dev Private function to remove a token from this extension's token tracking data structures. * This has O(1) time complexity, but alters the order of the _allTokens array. * @param tokenId uint256 ID of the token to be removed from the tokens list */ function _removeTokenFromAllTokensEnumeration(uint256 tokenId) private { // To prevent a gap in the tokens array, we store the last token in the index of the token to delete, and // then delete the last slot (swap and pop). uint256 lastTokenIndex = _allTokens.length - 1; uint256 tokenIndex = _allTokensIndex[tokenId]; // When the token to delete is the last token, the swap operation is unnecessary. However, since this occurs so // rarely (when the last minted token is burnt) that we still do the swap here to avoid the gas cost of adding // an 'if' statement (like in _removeTokenFromOwnerEnumeration) uint256 lastTokenId = _allTokens[lastTokenIndex]; _allTokens[tokenIndex] = lastTokenId; // Move the last token to the slot of the to-delete token _allTokensIndex[lastTokenId] = tokenIndex; // Update the moved token's index // This also deletes the contents at the last position of the array delete _allTokensIndex[tokenId]; _allTokens.pop(); } }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (token/ERC721/extensions/IERC721Enumerable.sol) pragma solidity ^0.8.0; import "../IERC721.sol"; /** * @title ERC-721 Non-Fungible Token Standard, optional enumeration extension * @dev See https://eips.ethereum.org/EIPS/eip-721 */ interface IERC721Enumerable is IERC721 { /** * @dev Returns the total amount of tokens stored by the contract. */ function totalSupply() external view returns (uint256); /** * @dev Returns a token ID owned by `owner` at a given `index` of its token list. * Use along with {balanceOf} to enumerate all of ``owner``'s tokens. */ function tokenOfOwnerByIndex(address owner, uint256 index) external view returns (uint256 tokenId); /** * @dev Returns a token ID at a given `index` of all the tokens stored by the contract. * Use along with {totalSupply} to enumerate all tokens. */ function tokenByIndex(uint256 index) external view returns (uint256); }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (token/ERC721/extensions/IERC721Metadata.sol) pragma solidity ^0.8.0; import "../IERC721.sol"; /** * @title ERC-721 Non-Fungible Token Standard, optional metadata extension * @dev See https://eips.ethereum.org/EIPS/eip-721 */ interface IERC721Metadata is IERC721 { /** * @dev Returns the token collection name. */ function name() external view returns (string memory); /** * @dev Returns the token collection symbol. */ function symbol() external view returns (string memory); /** * @dev Returns the Uniform Resource Identifier (URI) for `tokenId` token. */ function tokenURI(uint256 tokenId) external view returns (string memory); }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (token/ERC721/IERC721.sol) pragma solidity ^0.8.0; import "../../utils/introspection/IERC165.sol"; /** * @dev Required interface of an ERC721 compliant contract. */ interface IERC721 is IERC165 { /** * @dev Emitted when `tokenId` token is transferred from `from` to `to`. */ event Transfer(address indexed from, address indexed to, uint256 indexed tokenId); /** * @dev Emitted when `owner` enables `approved` to manage the `tokenId` token. */ event Approval(address indexed owner, address indexed approved, uint256 indexed tokenId); /** * @dev Emitted when `owner` enables or disables (`approved`) `operator` to manage all of its assets. */ event ApprovalForAll(address indexed owner, address indexed operator, bool approved); /** * @dev Returns the number of tokens in ``owner``'s account. */ function balanceOf(address owner) external view returns (uint256 balance); /** * @dev Returns the owner of the `tokenId` token. * * Requirements: * * - `tokenId` must exist. */ function ownerOf(uint256 tokenId) external view returns (address owner); /** * @dev Safely transfers `tokenId` token from `from` to `to`, checking first that contract recipients * are aware of the ERC721 protocol to prevent tokens from being forever locked. * * Requirements: * * - `from` cannot be the zero address. * - `to` cannot be the zero address. * - `tokenId` token must exist and be owned by `from`. * - If the caller is not `from`, it must be have been allowed to move this token by either {approve} or {setApprovalForAll}. * - If `to` refers to a smart contract, it must implement {IERC721Receiver-onERC721Received}, which is called upon a safe transfer. * * Emits a {Transfer} event. */ function safeTransferFrom( address from, address to, uint256 tokenId ) external; /** * @dev Transfers `tokenId` token from `from` to `to`. * * WARNING: Usage of this method is discouraged, use {safeTransferFrom} whenever possible. * * Requirements: * * - `from` cannot be the zero address. * - `to` cannot be the zero address. * - `tokenId` token must be owned by `from`. * - If the caller is not `from`, it must be approved to move this token by either {approve} or {setApprovalForAll}. * * Emits a {Transfer} event. */ function transferFrom( address from, address to, uint256 tokenId ) external; /** * @dev Gives permission to `to` to transfer `tokenId` token to another account. * The approval is cleared when the token is transferred. * * Only a single account can be approved at a time, so approving the zero address clears previous approvals. * * Requirements: * * - The caller must own the token or be an approved operator. * - `tokenId` must exist. * * Emits an {Approval} event. */ function approve(address to, uint256 tokenId) external; /** * @dev Returns the account approved for `tokenId` token. * * Requirements: * * - `tokenId` must exist. */ function getApproved(uint256 tokenId) external view returns (address operator); /** * @dev Approve or remove `operator` as an operator for the caller. * Operators can call {transferFrom} or {safeTransferFrom} for any token owned by the caller. * * Requirements: * * - The `operator` cannot be the caller. * * Emits an {ApprovalForAll} event. */ function setApprovalForAll(address operator, bool _approved) external; /** * @dev Returns if the `operator` is allowed to manage all of the assets of `owner`. * * See {setApprovalForAll} */ function isApprovedForAll(address owner, address operator) external view returns (bool); /** * @dev Safely transfers `tokenId` token from `from` to `to`. * * Requirements: * * - `from` cannot be the zero address. * - `to` cannot be the zero address. * - `tokenId` token must exist and be owned by `from`. * - If the caller is not `from`, it must be approved to move this token by either {approve} or {setApprovalForAll}. * - If `to` refers to a smart contract, it must implement {IERC721Receiver-onERC721Received}, which is called upon a safe transfer. * * Emits a {Transfer} event. */ function safeTransferFrom( address from, address to, uint256 tokenId, bytes calldata data ) external; }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (token/ERC721/IERC721Receiver.sol) pragma solidity ^0.8.0; /** * @title ERC721 token receiver interface * @dev Interface for any contract that wants to support safeTransfers * from ERC721 asset contracts. */ interface IERC721Receiver { /** * @dev Whenever an {IERC721} `tokenId` token is transferred to this contract via {IERC721-safeTransferFrom} * by `operator` from `from`, this function is called. * * It must return its Solidity selector to confirm the token transfer. * If any other value is returned or the interface is not implemented by the recipient, the transfer will be reverted. * * The selector can be obtained in Solidity with `IERC721.onERC721Received.selector`. */ function onERC721Received( address operator, address from, uint256 tokenId, bytes calldata data ) external returns (bytes4); }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (utils/Address.sol) pragma solidity ^0.8.0; /** * @dev Collection of functions related to the address type */ library Address { /** * @dev Returns true if `account` is a contract. * * [IMPORTANT] * ==== * It is unsafe to assume that an address for which this function returns * false is an externally-owned account (EOA) and not a contract. * * Among others, `isContract` will return false for the following * types of addresses: * * - an externally-owned account * - a contract in construction * - an address where a contract will be created * - an address where a contract lived, but was destroyed * ==== */ function isContract(address account) internal view returns (bool) { // This method relies on extcodesize, which returns 0 for contracts in // construction, since the code is only stored at the end of the // constructor execution. uint256 size; assembly { size := extcodesize(account) } return size > 0; } /** * @dev Replacement for Solidity's `transfer`: sends `amount` wei to * `recipient`, forwarding all available gas and reverting on errors. * * https://eips.ethereum.org/EIPS/eip-1884[EIP1884] increases the gas cost * of certain opcodes, possibly making contracts go over the 2300 gas limit * imposed by `transfer`, making them unable to receive funds via * `transfer`. {sendValue} removes this limitation. * * https://diligence.consensys.net/posts/2019/09/stop-using-soliditys-transfer-now/[Learn more]. * * IMPORTANT: because control is transferred to `recipient`, care must be * taken to not create reentrancy vulnerabilities. Consider using * {ReentrancyGuard} or the * https://solidity.readthedocs.io/en/v0.5.11/security-considerations.html#use-the-checks-effects-interactions-pattern[checks-effects-interactions pattern]. */ function sendValue(address payable recipient, uint256 amount) internal { require(address(this).balance >= amount, "Address: insufficient balance"); (bool success, ) = recipient.call{value: amount}(""); require(success, "Address: unable to send value, recipient may have reverted"); } /** * @dev Performs a Solidity function call using a low level `call`. A * plain `call` is an unsafe replacement for a function call: use this * function instead. * * If `target` reverts with a revert reason, it is bubbled up by this * function (like regular Solidity function calls). * * Returns the raw returned data. To convert to the expected return value, * use https://solidity.readthedocs.io/en/latest/units-and-global-variables.html?highlight=abi.decode#abi-encoding-and-decoding-functions[`abi.decode`]. * * Requirements: * * - `target` must be a contract. * - calling `target` with `data` must not revert. * * _Available since v3.1._ */ function functionCall(address target, bytes memory data) internal returns (bytes memory) { return functionCall(target, data, "Address: low-level call failed"); } /** * @dev Same as {xref-Address-functionCall-address-bytes-}[`functionCall`], but with * `errorMessage` as a fallback revert reason when `target` reverts. * * _Available since v3.1._ */ function functionCall( address target, bytes memory data, string memory errorMessage ) internal returns (bytes memory) { return functionCallWithValue(target, data, 0, errorMessage); } /** * @dev Same as {xref-Address-functionCall-address-bytes-}[`functionCall`], * but also transferring `value` wei to `target`. * * Requirements: * * - the calling contract must have an ETH balance of at least `value`. * - the called Solidity function must be `payable`. * * _Available since v3.1._ */ function functionCallWithValue( address target, bytes memory data, uint256 value ) internal returns (bytes memory) { return functionCallWithValue(target, data, value, "Address: low-level call with value failed"); } /** * @dev Same as {xref-Address-functionCallWithValue-address-bytes-uint256-}[`functionCallWithValue`], but * with `errorMessage` as a fallback revert reason when `target` reverts. * * _Available since v3.1._ */ function functionCallWithValue( address target, bytes memory data, uint256 value, string memory errorMessage ) internal returns (bytes memory) { require(address(this).balance >= value, "Address: insufficient balance for call"); require(isContract(target), "Address: call to non-contract"); (bool success, bytes memory returndata) = target.call{value: value}(data); return verifyCallResult(success, returndata, errorMessage); } /** * @dev Same as {xref-Address-functionCall-address-bytes-}[`functionCall`], * but performing a static call. * * _Available since v3.3._ */ function functionStaticCall(address target, bytes memory data) internal view returns (bytes memory) { return functionStaticCall(target, data, "Address: low-level static call failed"); } /** * @dev Same as {xref-Address-functionCall-address-bytes-string-}[`functionCall`], * but performing a static call. * * _Available since v3.3._ */ function functionStaticCall( address target, bytes memory data, string memory errorMessage ) internal view returns (bytes memory) { require(isContract(target), "Address: static call to non-contract"); (bool success, bytes memory returndata) = target.staticcall(data); return verifyCallResult(success, returndata, errorMessage); } /** * @dev Same as {xref-Address-functionCall-address-bytes-}[`functionCall`], * but performing a delegate call. * * _Available since v3.4._ */ function functionDelegateCall(address target, bytes memory data) internal returns (bytes memory) { return functionDelegateCall(target, data, "Address: low-level delegate call failed"); } /** * @dev Same as {xref-Address-functionCall-address-bytes-string-}[`functionCall`], * but performing a delegate call. * * _Available since v3.4._ */ function functionDelegateCall( address target, bytes memory data, string memory errorMessage ) internal returns (bytes memory) { require(isContract(target), "Address: delegate call to non-contract"); (bool success, bytes memory returndata) = target.delegatecall(data); return verifyCallResult(success, returndata, errorMessage); } /** * @dev Tool to verifies that a low level call was successful, and revert if it wasn't, either by bubbling the * revert reason using the provided one. * * _Available since v4.3._ */ function verifyCallResult( bool success, bytes memory returndata, string memory errorMessage ) internal pure returns (bytes memory) { if (success) { return returndata; } else { // Look for revert reason and bubble it up if present if (returndata.length > 0) { // The easiest way to bubble the revert reason is using memory via assembly assembly { let returndata_size := mload(returndata) revert(add(32, returndata), returndata_size) } } else { revert(errorMessage); } } } }
// 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; } }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (utils/introspection/ERC165.sol) pragma solidity ^0.8.0; import "./IERC165.sol"; /** * @dev Implementation of the {IERC165} interface. * * Contracts that want to implement ERC165 should inherit from this contract and override {supportsInterface} to check * for the additional interface id that will be supported. For example: * * ```solidity * function supportsInterface(bytes4 interfaceId) public view virtual override returns (bool) { * return interfaceId == type(MyInterface).interfaceId || super.supportsInterface(interfaceId); * } * ``` * * Alternatively, {ERC165Storage} provides an easier to use but more expensive implementation. */ abstract contract ERC165 is IERC165 { /** * @dev See {IERC165-supportsInterface}. */ function supportsInterface(bytes4 interfaceId) public view virtual override returns (bool) { return interfaceId == type(IERC165).interfaceId; } }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (utils/introspection/IERC165.sol) pragma solidity ^0.8.0; /** * @dev Interface of the ERC165 standard, as defined in the * https://eips.ethereum.org/EIPS/eip-165[EIP]. * * Implementers can declare support of contract interfaces, which can then be * queried by others ({ERC165Checker}). * * For an implementation, see {ERC165}. */ interface IERC165 { /** * @dev Returns true if this contract implements the interface defined by * `interfaceId`. See the corresponding * https://eips.ethereum.org/EIPS/eip-165#how-interfaces-are-identified[EIP section] * to learn more about how these ids are created. * * This function call must use less than 30 000 gas. */ function supportsInterface(bytes4 interfaceId) external view returns (bool); }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (utils/math/SafeCast.sol) pragma solidity ^0.8.0; /** * @dev Wrappers over Solidity's uintXX/intXX casting operators with added overflow * checks. * * Downcasting from uint256/int256 in Solidity does not revert on overflow. This can * easily result in undesired exploitation or bugs, since developers usually * assume that overflows raise errors. `SafeCast` restores this intuition by * reverting the transaction when such an operation overflows. * * Using this library instead of the unchecked operations eliminates an entire * class of bugs, so it's recommended to use it always. * * Can be combined with {SafeMath} and {SignedSafeMath} to extend it to smaller types, by performing * all math on `uint256` and `int256` and then downcasting. */ library SafeCast { /** * @dev Returns the downcasted uint224 from uint256, reverting on * overflow (when the input is greater than largest uint224). * * Counterpart to Solidity's `uint224` operator. * * Requirements: * * - input must fit into 224 bits */ function toUint224(uint256 value) internal pure returns (uint224) { require(value <= type(uint224).max, "SafeCast: value doesn't fit in 224 bits"); return uint224(value); } /** * @dev Returns the downcasted uint128 from uint256, reverting on * overflow (when the input is greater than largest uint128). * * Counterpart to Solidity's `uint128` operator. * * Requirements: * * - input must fit into 128 bits */ function toUint128(uint256 value) internal pure returns (uint128) { require(value <= type(uint128).max, "SafeCast: value doesn't fit in 128 bits"); return uint128(value); } /** * @dev Returns the downcasted uint96 from uint256, reverting on * overflow (when the input is greater than largest uint96). * * Counterpart to Solidity's `uint96` operator. * * Requirements: * * - input must fit into 96 bits */ function toUint96(uint256 value) internal pure returns (uint96) { require(value <= type(uint96).max, "SafeCast: value doesn't fit in 96 bits"); return uint96(value); } /** * @dev Returns the downcasted uint64 from uint256, reverting on * overflow (when the input is greater than largest uint64). * * Counterpart to Solidity's `uint64` operator. * * Requirements: * * - input must fit into 64 bits */ function toUint64(uint256 value) internal pure returns (uint64) { require(value <= type(uint64).max, "SafeCast: value doesn't fit in 64 bits"); return uint64(value); } /** * @dev Returns the downcasted uint32 from uint256, reverting on * overflow (when the input is greater than largest uint32). * * Counterpart to Solidity's `uint32` operator. * * Requirements: * * - input must fit into 32 bits */ function toUint32(uint256 value) internal pure returns (uint32) { require(value <= type(uint32).max, "SafeCast: value doesn't fit in 32 bits"); return uint32(value); } /** * @dev Returns the downcasted uint16 from uint256, reverting on * overflow (when the input is greater than largest uint16). * * Counterpart to Solidity's `uint16` operator. * * Requirements: * * - input must fit into 16 bits */ function toUint16(uint256 value) internal pure returns (uint16) { require(value <= type(uint16).max, "SafeCast: value doesn't fit in 16 bits"); return uint16(value); } /** * @dev Returns the downcasted uint8 from uint256, reverting on * overflow (when the input is greater than largest uint8). * * Counterpart to Solidity's `uint8` operator. * * Requirements: * * - input must fit into 8 bits. */ function toUint8(uint256 value) internal pure returns (uint8) { require(value <= type(uint8).max, "SafeCast: value doesn't fit in 8 bits"); return uint8(value); } /** * @dev Converts a signed int256 into an unsigned uint256. * * Requirements: * * - input must be greater than or equal to 0. */ function toUint256(int256 value) internal pure returns (uint256) { require(value >= 0, "SafeCast: value must be positive"); return uint256(value); } /** * @dev Returns the downcasted int128 from int256, reverting on * overflow (when the input is less than smallest int128 or * greater than largest int128). * * Counterpart to Solidity's `int128` operator. * * Requirements: * * - input must fit into 128 bits * * _Available since v3.1._ */ function toInt128(int256 value) internal pure returns (int128) { require(value >= type(int128).min && value <= type(int128).max, "SafeCast: value doesn't fit in 128 bits"); return int128(value); } /** * @dev Returns the downcasted int64 from int256, reverting on * overflow (when the input is less than smallest int64 or * greater than largest int64). * * Counterpart to Solidity's `int64` operator. * * Requirements: * * - input must fit into 64 bits * * _Available since v3.1._ */ function toInt64(int256 value) internal pure returns (int64) { require(value >= type(int64).min && value <= type(int64).max, "SafeCast: value doesn't fit in 64 bits"); return int64(value); } /** * @dev Returns the downcasted int32 from int256, reverting on * overflow (when the input is less than smallest int32 or * greater than largest int32). * * Counterpart to Solidity's `int32` operator. * * Requirements: * * - input must fit into 32 bits * * _Available since v3.1._ */ function toInt32(int256 value) internal pure returns (int32) { require(value >= type(int32).min && value <= type(int32).max, "SafeCast: value doesn't fit in 32 bits"); return int32(value); } /** * @dev Returns the downcasted int16 from int256, reverting on * overflow (when the input is less than smallest int16 or * greater than largest int16). * * Counterpart to Solidity's `int16` operator. * * Requirements: * * - input must fit into 16 bits * * _Available since v3.1._ */ function toInt16(int256 value) internal pure returns (int16) { require(value >= type(int16).min && value <= type(int16).max, "SafeCast: value doesn't fit in 16 bits"); return int16(value); } /** * @dev Returns the downcasted int8 from int256, reverting on * overflow (when the input is less than smallest int8 or * greater than largest int8). * * Counterpart to Solidity's `int8` operator. * * Requirements: * * - input must fit into 8 bits. * * _Available since v3.1._ */ function toInt8(int256 value) internal pure returns (int8) { require(value >= type(int8).min && value <= type(int8).max, "SafeCast: value doesn't fit in 8 bits"); return int8(value); } /** * @dev Converts an unsigned uint256 into a signed int256. * * Requirements: * * - input must be less than or equal to maxInt256. */ function toInt256(uint256 value) internal pure returns (int256) { // Note: Unsafe cast below is okay because `type(int256).max` is guaranteed to be positive require(value <= uint256(type(int256).max), "SafeCast: value doesn't fit in an int256"); return int256(value); } }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts v4.4.1 (utils/Strings.sol) pragma solidity ^0.8.0; /** * @dev String operations. */ library Strings { bytes16 private constant _HEX_SYMBOLS = "0123456789abcdef"; /** * @dev Converts a `uint256` to its ASCII `string` decimal representation. */ function toString(uint256 value) internal pure returns (string memory) { // Inspired by OraclizeAPI's implementation - MIT licence // https://github.com/oraclize/ethereum-api/blob/b42146b063c7d6ee1358846c198246239e9360e8/oraclizeAPI_0.4.25.sol if (value == 0) { return "0"; } uint256 temp = value; uint256 digits; while (temp != 0) { digits++; temp /= 10; } bytes memory buffer = new bytes(digits); while (value != 0) { digits -= 1; buffer[digits] = bytes1(uint8(48 + uint256(value % 10))); value /= 10; } return string(buffer); } /** * @dev Converts a `uint256` to its ASCII `string` hexadecimal representation. */ function toHexString(uint256 value) internal pure returns (string memory) { if (value == 0) { return "0x00"; } uint256 temp = value; uint256 length = 0; while (temp != 0) { length++; temp >>= 8; } return toHexString(value, length); } /** * @dev Converts a `uint256` to its ASCII `string` hexadecimal representation with fixed length. */ function toHexString(uint256 value, uint256 length) internal pure returns (string memory) { bytes memory buffer = new bytes(2 * length + 2); buffer[0] = "0"; buffer[1] = "x"; for (uint256 i = 2 * length + 1; i > 1; --i) { buffer[i] = _HEX_SYMBOLS[value & 0xf]; value >>= 4; } require(value == 0, "Strings: hex length insufficient"); return string(buffer); } }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts (last updated v4.5.0) (proxy/utils/Initializable.sol) pragma solidity ^0.8.0; import "../../utils/AddressUpgradeable.sol"; /** * @dev This is a base contract to aid in writing upgradeable contracts, or any kind of contract that will be deployed * behind a proxy. Since proxied contracts do not make use of a constructor, it's common to move constructor logic to an * external initializer function, usually called `initialize`. It then becomes necessary to protect this initializer * function so it can only be called once. The {initializer} modifier provided by this contract will have this effect. * * TIP: To avoid leaving the proxy in an uninitialized state, the initializer function should be called as early as * possible by providing the encoded function call as the `_data` argument to {ERC1967Proxy-constructor}. * * CAUTION: When used with inheritance, manual care must be taken to not invoke a parent initializer twice, or to ensure * that all initializers are idempotent. This is not verified automatically as constructors are by Solidity. * * [CAUTION] * ==== * Avoid leaving a contract uninitialized. * * An uninitialized contract can be taken over by an attacker. This applies to both a proxy and its implementation * contract, which may impact the proxy. To initialize the implementation contract, you can either invoke the * initializer manually, or you can include a constructor to automatically mark it as initialized when it is deployed: * * [.hljs-theme-light.nopadding] * ``` * /// @custom:oz-upgrades-unsafe-allow constructor * constructor() initializer {} * ``` * ==== */ abstract contract Initializable { /** * @dev Indicates that the contract has been initialized. */ bool private _initialized; /** * @dev Indicates that the contract is in the process of being initialized. */ bool private _initializing; /** * @dev Modifier to protect an initializer function from being invoked twice. */ modifier initializer() { // If the contract is initializing we ignore whether _initialized is set in order to support multiple // inheritance patterns, but we only do this in the context of a constructor, because in other contexts the // contract may have been reentered. require(_initializing ? _isConstructor() : !_initialized, "Initializable: contract is already initialized"); bool isTopLevelCall = !_initializing; if (isTopLevelCall) { _initializing = true; _initialized = true; } _; if (isTopLevelCall) { _initializing = false; } } /** * @dev Modifier to protect an initialization function so that it can only be invoked by functions with the * {initializer} modifier, directly or indirectly. */ modifier onlyInitializing() { require(_initializing, "Initializable: contract is not initializing"); _; } function _isConstructor() private view returns (bool) { return !AddressUpgradeable.isContract(address(this)); } }
// SPDX-License-Identifier: MIT // OpenZeppelin Contracts (last updated v4.5.0) (utils/Address.sol) pragma solidity ^0.8.1; /** * @dev Collection of functions related to the address type */ library AddressUpgradeable { /** * @dev Returns true if `account` is a contract. * * [IMPORTANT] * ==== * It is unsafe to assume that an address for which this function returns * false is an externally-owned account (EOA) and not a contract. * * Among others, `isContract` will return false for the following * types of addresses: * * - an externally-owned account * - a contract in construction * - an address where a contract will be created * - an address where a contract lived, but was destroyed * ==== * * [IMPORTANT] * ==== * You shouldn't rely on `isContract` to protect against flash loan attacks! * * Preventing calls from contracts is highly discouraged. It breaks composability, breaks support for smart wallets * like Gnosis Safe, and does not provide security since it can be circumvented by calling from a contract * constructor. * ==== */ function isContract(address account) internal view returns (bool) { // This method relies on extcodesize/address.code.length, which returns 0 // for contracts in construction, since the code is only stored at the end // of the constructor execution. return account.code.length > 0; } /** * @dev Replacement for Solidity's `transfer`: sends `amount` wei to * `recipient`, forwarding all available gas and reverting on errors. * * https://eips.ethereum.org/EIPS/eip-1884[EIP1884] increases the gas cost * of certain opcodes, possibly making contracts go over the 2300 gas limit * imposed by `transfer`, making them unable to receive funds via * `transfer`. {sendValue} removes this limitation. * * https://diligence.consensys.net/posts/2019/09/stop-using-soliditys-transfer-now/[Learn more]. * * IMPORTANT: because control is transferred to `recipient`, care must be * taken to not create reentrancy vulnerabilities. Consider using * {ReentrancyGuard} or the * https://solidity.readthedocs.io/en/v0.5.11/security-considerations.html#use-the-checks-effects-interactions-pattern[checks-effects-interactions pattern]. */ function sendValue(address payable recipient, uint256 amount) internal { require(address(this).balance >= amount, "Address: insufficient balance"); (bool success, ) = recipient.call{value: amount}(""); require(success, "Address: unable to send value, recipient may have reverted"); } /** * @dev Performs a Solidity function call using a low level `call`. A * plain `call` is an unsafe replacement for a function call: use this * function instead. * * If `target` reverts with a revert reason, it is bubbled up by this * function (like regular Solidity function calls). * * Returns the raw returned data. To convert to the expected return value, * use https://solidity.readthedocs.io/en/latest/units-and-global-variables.html?highlight=abi.decode#abi-encoding-and-decoding-functions[`abi.decode`]. * * Requirements: * * - `target` must be a contract. * - calling `target` with `data` must not revert. * * _Available since v3.1._ */ function functionCall(address target, bytes memory data) internal returns (bytes memory) { return functionCall(target, data, "Address: low-level call failed"); } /** * @dev Same as {xref-Address-functionCall-address-bytes-}[`functionCall`], but with * `errorMessage` as a fallback revert reason when `target` reverts. * * _Available since v3.1._ */ function functionCall( address target, bytes memory data, string memory errorMessage ) internal returns (bytes memory) { return functionCallWithValue(target, data, 0, errorMessage); } /** * @dev Same as {xref-Address-functionCall-address-bytes-}[`functionCall`], * but also transferring `value` wei to `target`. * * Requirements: * * - the calling contract must have an ETH balance of at least `value`. * - the called Solidity function must be `payable`. * * _Available since v3.1._ */ function functionCallWithValue( address target, bytes memory data, uint256 value ) internal returns (bytes memory) { return functionCallWithValue(target, data, value, "Address: low-level call with value failed"); } /** * @dev Same as {xref-Address-functionCallWithValue-address-bytes-uint256-}[`functionCallWithValue`], but * with `errorMessage` as a fallback revert reason when `target` reverts. * * _Available since v3.1._ */ function functionCallWithValue( address target, bytes memory data, uint256 value, string memory errorMessage ) internal returns (bytes memory) { require(address(this).balance >= value, "Address: insufficient balance for call"); require(isContract(target), "Address: call to non-contract"); (bool success, bytes memory returndata) = target.call{value: value}(data); return verifyCallResult(success, returndata, errorMessage); } /** * @dev Same as {xref-Address-functionCall-address-bytes-}[`functionCall`], * but performing a static call. * * _Available since v3.3._ */ function functionStaticCall(address target, bytes memory data) internal view returns (bytes memory) { return functionStaticCall(target, data, "Address: low-level static call failed"); } /** * @dev Same as {xref-Address-functionCall-address-bytes-string-}[`functionCall`], * but performing a static call. * * _Available since v3.3._ */ function functionStaticCall( address target, bytes memory data, string memory errorMessage ) internal view returns (bytes memory) { require(isContract(target), "Address: static call to non-contract"); (bool success, bytes memory returndata) = target.staticcall(data); return verifyCallResult(success, returndata, errorMessage); } /** * @dev Tool to verifies that a low level call was successful, and revert if it wasn't, either by bubbling the * revert reason using the provided one. * * _Available since v4.3._ */ function verifyCallResult( bool success, bytes memory returndata, string memory errorMessage ) internal pure returns (bytes memory) { if (success) { return returndata; } else { // Look for revert reason and bubble it up if present if (returndata.length > 0) { // The easiest way to bubble the revert reason is using memory via assembly assembly { let returndata_size := mload(returndata) revert(add(32, returndata), returndata_size) } } else { revert(errorMessage); } } } }
{ "outputSelection": { "*": { "*": [ "evm.bytecode", "evm.deployedBytecode", "devdoc", "userdoc", "metadata", "abi" ] } }, "optimizer": { "enabled": true, "runs": 1000 }, "libraries": {} }
Contract Security Audit
- No Contract Security Audit Submitted- Submit Audit Here
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OptionToken.PositionWithOwner","name":"","type":"tuple"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"uint256[]","name":"positionIds","type":"uint256[]"}],"name":"getPositionsWithOwner","outputs":[{"components":[{"internalType":"uint256","name":"positionId","type":"uint256"},{"internalType":"uint256","name":"strikeId","type":"uint256"},{"internalType":"enum OptionMarket.OptionType","name":"optionType","type":"uint8"},{"internalType":"uint256","name":"amount","type":"uint256"},{"internalType":"uint256","name":"collateral","type":"uint256"},{"internalType":"enum OptionToken.PositionState","name":"state","type":"uint8"},{"internalType":"address","name":"owner","type":"address"}],"internalType":"struct OptionToken.PositionWithOwner[]","name":"","type":"tuple[]"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"contract OptionMarket","name":"_optionMarket","type":"address"},{"internalType":"contract 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OptionToken.LiquidationFees","name":"liquidationFees","type":"tuple"}],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"uint256[]","name":"positionIds","type":"uint256[]"}],"name":"merge","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[],"name":"name","outputs":[{"internalType":"string","name":"","type":"string"}],"stateMutability":"view","type":"function"},{"inputs":[],"name":"nextId","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"address","name":"_owner","type":"address"}],"name":"nominateNewOwner","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[],"name":"nominatedOwner","outputs":[{"internalType":"address","name":"","type":"address"}],"stateMutability":"view","type":"function"},{"inputs":[],"name":"owner","outputs":[{"internalType":"address","name":"","type":"address"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"uint256","name":"tokenId","type":"uint256"}],"name":"ownerOf","outputs":[{"internalType":"address","name":"","type":"address"}],"stateMutability":"view","type":"function"},{"inputs":[],"name":"partialCollatParams","outputs":[{"internalType":"uint256","name":"penaltyRatio","type":"uint256"},{"internalType":"uint256","name":"liquidatorFeeRatio","type":"uint256"},{"internalType":"uint256","name":"smFeeRatio","type":"uint256"},{"internalType":"uint256","name":"minLiquidationFee","type":"uint256"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"uint256","name":"","type":"uint256"}],"name":"positions","outputs":[{"internalType":"uint256","name":"positionId","type":"uint256"},{"internalType":"uint256","name":"strikeId","type":"uint256"},{"internalType":"enum OptionMarket.OptionType","name":"optionType","type":"uint8"},{"internalType":"uint256","name":"amount","type":"uint256"},{"internalType":"uint256","name":"collateral","type":"uint256"},{"internalType":"enum OptionToken.PositionState","name":"state","type":"uint8"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"address","name":"from","type":"address"},{"internalType":"address","name":"to","type":"address"},{"internalType":"uint256","name":"tokenId","type":"uint256"}],"name":"safeTransferFrom","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"address","name":"from","type":"address"},{"internalType":"address","name":"to","type":"address"},{"internalType":"uint256","name":"tokenId","type":"uint256"},{"internalType":"bytes","name":"_data","type":"bytes"}],"name":"safeTransferFrom","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"address","name":"operator","type":"address"},{"internalType":"bool","name":"approved","type":"bool"}],"name":"setApprovalForAll","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"components":[{"internalType":"uint256","name":"penaltyRatio","type":"uint256"},{"internalType":"uint256","name":"liquidatorFeeRatio","type":"uint256"},{"internalType":"uint256","name":"smFeeRatio","type":"uint256"},{"internalType":"uint256","name":"minLiquidationFee","type":"uint256"}],"internalType":"struct OptionToken.PartialCollateralParameters","name":"_partialCollatParams","type":"tuple"}],"name":"setPartialCollateralParams","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"string","name":"newURI","type":"string"}],"name":"setURI","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"uint256[]","name":"positionIds","type":"uint256[]"}],"name":"settlePositions","outputs":[],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"uint256","name":"positionId","type":"uint256"},{"internalType":"uint256","name":"newAmount","type":"uint256"},{"internalType":"uint256","name":"newCollateral","type":"uint256"},{"internalType":"address","name":"recipient","type":"address"}],"name":"split","outputs":[{"internalType":"uint256","name":"newPositionId","type":"uint256"}],"stateMutability":"nonpayable","type":"function"},{"inputs":[{"internalType":"bytes4","name":"interfaceId","type":"bytes4"}],"name":"supportsInterface","outputs":[{"internalType":"bool","name":"","type":"bool"}],"stateMutability":"view","type":"function"},{"inputs":[],"name":"symbol","outputs":[{"internalType":"string","name":"","type":"string"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"uint256","name":"index","type":"uint256"}],"name":"tokenByIndex","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"address","name":"owner","type":"address"},{"internalType":"uint256","name":"index","type":"uint256"}],"name":"tokenOfOwnerByIndex","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"uint256","name":"tokenId","type":"uint256"}],"name":"tokenURI","outputs":[{"internalType":"string","name":"","type":"string"}],"stateMutability":"view","type":"function"},{"inputs":[],"name":"totalSupply","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"stateMutability":"view","type":"function"},{"inputs":[{"internalType":"address","name":"from","type":"address"},{"internalType":"address","name":"to","type":"address"},{"internalType":"uint256","name":"tokenId","type":"uint256"}],"name":"transferFrom","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)
00000000000000000000000000000000000000000000000000000000000000400000000000000000000000000000000000000000000000000000000000000080000000000000000000000000000000000000000000000000000000000000001d4c7972612077455448206d61726b6574204f7074696f6e20546f6b656e000000000000000000000000000000000000000000000000000000000000000000000a4c792d774554482d6f7400000000000000000000000000000000000000000000
-----Decoded View---------------
Arg [0] : name_ (string): Lyra wETH market Option Token
Arg [1] : symbol_ (string): Ly-wETH-ot
-----Encoded View---------------
6 Constructor Arguments found :
Arg [0] : 0000000000000000000000000000000000000000000000000000000000000040
Arg [1] : 0000000000000000000000000000000000000000000000000000000000000080
Arg [2] : 000000000000000000000000000000000000000000000000000000000000001d
Arg [3] : 4c7972612077455448206d61726b6574204f7074696f6e20546f6b656e000000
Arg [4] : 000000000000000000000000000000000000000000000000000000000000000a
Arg [5] : 4c792d774554482d6f7400000000000000000000000000000000000000000000
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