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Merge pull request #30 from term-finance/runtime-fv
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Runtime fv
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@aazhou1
aazhou1 authored Sep 12, 2024
2 parents 47bb445 + 960a02e commit 58d88c2
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Showing 14 changed files with 208 additions and 274 deletions.
48 changes: 14 additions & 34 deletions src/RepoTokenList.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -113,6 +113,7 @@ library RepoTokenList {
/**
* @notice This function calculates the cumulative weighted time to maturity and cumulative amount of all repoTokens in the list.
* @param listData The list data
* @param discountRateAdapter The discount rate adapter
* @param repoToken The address of the repoToken (optional)
* @param repoTokenAmount The amount of the repoToken (optional)
* @param purchaseTokenPrecision The precision of the purchase token
Expand All @@ -127,6 +128,7 @@ library RepoTokenList {
*/
function getCumulativeRepoTokenData(
RepoTokenListData storage listData,
ITermDiscountRateAdapter discountRateAdapter,
address repoToken,
uint256 repoTokenAmount,
uint256 purchaseTokenPrecision
Expand All @@ -148,12 +150,10 @@ library RepoTokenList {
}

// Convert the repo token balance to base asset precision
uint256 redemptionValue = ITermRepoToken(current).redemptionValue();
uint256 repoTokenPrecision = 10**ERC20(current).decimals();

uint256 repoTokenBalanceInBaseAssetPrecision =
(redemptionValue * repoTokenBalance * purchaseTokenPrecision) /
(repoTokenPrecision * RepoTokenUtils.RATE_PRECISION);
RepoTokenUtils.getNormalizedRepoTokenAmount(
current, repoTokenBalance, purchaseTokenPrecision, discountRateAdapter.repoRedemptionHaircut(current)
);

// Calculate the weighted time to maturity
uint256 weightedTimeToMaturity = getRepoTokenWeightedTimeToMaturity(
Expand All @@ -173,45 +173,31 @@ library RepoTokenList {
/**
* @notice Get the present value of repoTokens
* @param listData The list data
* @param discountRateAdapter The discount rate adapter
* @param purchaseTokenPrecision The precision of the purchase token
* @param repoTokenToMatch The address of the repoToken to match (optional)
* @return totalPresentValue The total present value of the repoTokens
* @dev If the `repoTokenToMatch` parameter is provided (non-zero address), the function will filter
* the calculations to include only the specified repoToken. If `repoTokenToMatch` is not provided
* (zero address), it will aggregate the present value of all repoTokens in the list.
*
* Example usage:
* - To get the present value of all repoTokens: call with `repoTokenToMatch` set to `address(0)`.
* - To get the present value of a specific repoToken: call with `repoTokenToMatch` set to the address of the desired repoToken.
* @dev Aggregates the present value of all repoTokens in the list.
*/
function getPresentValue(
RepoTokenListData storage listData,
uint256 purchaseTokenPrecision,
address repoTokenToMatch
ITermDiscountRateAdapter discountRateAdapter,
uint256 purchaseTokenPrecision
) internal view returns (uint256 totalPresentValue) {
// If the list is empty, return 0
if (listData.head == NULL_NODE) return 0;

address current = listData.head;
while (current != NULL_NODE) {
// Filter by a specific repoToken, address(0) bypasses this filter
if (repoTokenToMatch != address(0) && current != repoTokenToMatch) {
// Not a match, do not add to totalPresentValue
// Move to the next token in the list
current = _getNext(listData, current);
continue;
}

uint256 currentMaturity = getRepoTokenMaturity(current);
uint256 repoTokenBalance = ITermRepoToken(current).balanceOf(address(this));
uint256 repoTokenPrecision = 10**ERC20(current).decimals();
uint256 discountRate = listData.discountRates[current];
uint256 discountRate = discountRateAdapter.getDiscountRate(current);

// Convert repo token balance to base asset precision
// (ratePrecision * repoPrecision * purchasePrecision) / (repoPrecision * ratePrecision) = purchasePrecision
uint256 repoTokenBalanceInBaseAssetPrecision =
(ITermRepoToken(current).redemptionValue() * repoTokenBalance * purchaseTokenPrecision) /
(repoTokenPrecision * RepoTokenUtils.RATE_PRECISION);
RepoTokenUtils.getNormalizedRepoTokenAmount(
current, repoTokenBalance, purchaseTokenPrecision, discountRateAdapter.repoRedemptionHaircut(current)
);

// Calculate present value based on maturity
if (currentMaturity > block.timestamp) {
Expand All @@ -222,12 +208,6 @@ library RepoTokenList {
totalPresentValue += repoTokenBalanceInBaseAssetPrecision;
}

// Filter by a specific repo token, address(0) bypasses this condition
if (repoTokenToMatch != address(0) && current == repoTokenToMatch) {
// Found a match, terminate early
break;
}

// Move to the next token in the list
current = _getNext(listData, current);
}
Expand Down Expand Up @@ -324,7 +304,7 @@ library RepoTokenList {
(redemptionTimestamp, purchaseToken, , collateralManager) = repoToken.config();

// Validate purchase token
if (purchaseToken != address(asset)) {
if (purchaseToken != asset) {
revert InvalidRepoToken(address(repoToken));
}

Expand Down
44 changes: 7 additions & 37 deletions src/RepoTokenUtils.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -12,40 +12,6 @@ library RepoTokenUtils {
uint256 public constant THREESIXTY_DAYCOUNT_SECONDS = 360 days;
uint256 public constant RATE_PRECISION = 1e18;

/*//////////////////////////////////////////////////////////////
PURE FUNCTIONS
//////////////////////////////////////////////////////////////*/

/**
* @notice Convert repoToken amount to purchase token precision
* @param repoTokenPrecision The precision of the repoToken
* @param purchaseTokenPrecision The precision of the purchase token
* @param purchaseTokenAmountInRepoPrecision The amount of purchase token in repoToken precision
* @return The amount in purchase token precision
*/
function repoToPurchasePrecision(
uint256 repoTokenPrecision,
uint256 purchaseTokenPrecision,
uint256 purchaseTokenAmountInRepoPrecision
) internal pure returns (uint256) {
return (purchaseTokenAmountInRepoPrecision * purchaseTokenPrecision) / repoTokenPrecision;
}

/**
* @notice Convert purchase token amount to repoToken precision
* @param repoTokenPrecision The precision of the repoToken
* @param purchaseTokenPrecision The precision of the purchase token
* @param repoTokenAmount The amount of repoToken
* @return The amount in repoToken precision
*/
function purchaseToRepoPrecision(
uint256 repoTokenPrecision,
uint256 purchaseTokenPrecision,
uint256 repoTokenAmount
) internal pure returns (uint256) {
return (repoTokenAmount * repoTokenPrecision) / purchaseTokenPrecision;
}

/*//////////////////////////////////////////////////////////////
VIEW FUNCTIONS
//////////////////////////////////////////////////////////////*/
Expand Down Expand Up @@ -78,17 +44,21 @@ library RepoTokenUtils {
* @param repoToken The address of the repoToken
* @param repoTokenAmount The amount of the repoToken
* @param purchaseTokenPrecision The precision of the purchase token
* @param repoRedemptionHaircut The haircut to be applied to the repoToken for bad debt
* @return repoTokenAmountInBaseAssetPrecision The normalized amount of the repoToken in base asset precision
*/
function getNormalizedRepoTokenAmount(
address repoToken,
uint256 repoTokenAmount,
uint256 purchaseTokenPrecision
uint256 purchaseTokenPrecision,
uint256 repoRedemptionHaircut
) internal view returns (uint256 repoTokenAmountInBaseAssetPrecision) {
uint256 repoTokenPrecision = 10**ERC20(repoToken).decimals();
uint256 redemptionValue = ITermRepoToken(repoToken).redemptionValue();
repoTokenAmountInBaseAssetPrecision =
(redemptionValue * repoTokenAmount * purchaseTokenPrecision) /
(repoTokenPrecision * RepoTokenUtils.RATE_PRECISION);
repoRedemptionHaircut != 0 ?
(redemptionValue * repoRedemptionHaircut * repoTokenAmount * purchaseTokenPrecision) /
(repoTokenPrecision * RATE_PRECISION * 1e18)
: (redemptionValue * repoTokenAmount * purchaseTokenPrecision) / (repoTokenPrecision * RATE_PRECISION);
}
}
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