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Adding back concentration ratio #12

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merged 3 commits into from
Aug 22, 2024
Merged

Adding back concentration ratio #12

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c33bb4a
adding back concentration ratio to simulateTransaction
0xddong Aug 22, 2024
b8cd56d
Merge branch 'master' into adding-back-concentration-ratio
0xddong Aug 22, 2024
677a08d
adding comment
0xddong Aug 22, 2024
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11 changes: 11 additions & 0 deletions src/Strategy.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -332,6 +332,7 @@ contract Strategy is BaseStrategy, Pausable, ReentrancyGuard {
* @param repoToken The address of the repoToken to be simulated
* @param amount The amount of the repoToken to be simulated
* @return simulatedWeightedMaturity The simulated weighted time to maturity for the entire strategy
* @return simulatedRepoTokenConcentrationRatio The concentration ratio of the repoToken in the strategy (in 1e18 precision)
* @return simulatedLiquidityRatio The simulated liquidity ratio after the transaction
*
* @dev This function simulates the effects of a potential transaction on the strategy's key metrics.
Expand All @@ -348,6 +349,7 @@ contract Strategy is BaseStrategy, Pausable, ReentrancyGuard {
uint256 amount
) external view returns (
uint256 simulatedWeightedMaturity,
uint256 simulatedRepoTokenConcentrationRatio,
uint256 simulatedLiquidityRatio
) {
// do not validate if we are simulating with existing repoTokens
Expand Down Expand Up @@ -383,6 +385,15 @@ contract Strategy is BaseStrategy, Pausable, ReentrancyGuard {
simulatedWeightedMaturity = _calculateWeightedMaturity(
repoToken, amount, liquidBalance - proceeds);

if (repoToken != address(0)) {
simulatedRepoTokenConcentrationRatio = _getRepoTokenConcentrationRatio(
repoToken,
repoTokenAmountInBaseAssetPrecision,
_totalAssetValue(liquidBalance),
proceeds
);
}

simulatedLiquidityRatio = _liquidReserveRatio(liquidBalance - proceeds);
}

Expand Down
18 changes: 9 additions & 9 deletions src/test/TestUSDCSellRepoToken.t.sol
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Expand Up @@ -91,7 +91,7 @@ contract TestUSDCSellRepoToken is Setup {
assertEq(termStrategy.totalLiquidBalance(), initialState.totalLiquidBalance - expectedProceeds);
assertEq(termStrategy.totalAssetValue(), initialState.totalAssetValue);

(uint256 weightedTimeToMaturity, ) = termStrategy.simulateTransaction(address(0), 0);
(uint256 weightedTimeToMaturity, ,) = termStrategy.simulateTransaction(address(0), 0);

(uint256 redemptionTimestamp, , ,) = ITermRepoToken(repoToken1Week).config();

Expand Down Expand Up @@ -253,47 +253,47 @@ contract TestUSDCSellRepoToken is Setup {
function testSellMultipleRepoTokens_7_14_28_3_9_3() public {
_sell3RepoTokens(repoToken1Week, 3e18, repoToken2Week, 9e18, repoToken4Week, 3e18);
_sell3RepoTokensCheckHoldings();
(uint256 weightedTimeToMaturity, ) = termStrategy.simulateTransaction(address(0), 0);
(uint256 weightedTimeToMaturity, ,) = termStrategy.simulateTransaction(address(0), 0);
assertEq(weightedTimeToMaturity, 1330560);
}

// 14 days (9), 7 days (3), 28 days (3)
function testSellMultipleRepoTokens_14_7_28_9_3_3() public {
_sell3RepoTokens(repoToken2Week, 9e18, repoToken1Week, 3e18, repoToken4Week, 3e18);
_sell3RepoTokensCheckHoldings();
(uint256 weightedTimeToMaturity, ) = termStrategy.simulateTransaction(address(0), 0);
(uint256 weightedTimeToMaturity, ,) = termStrategy.simulateTransaction(address(0), 0);
assertEq(weightedTimeToMaturity, 1330560);
}

// 28 days (3), 14 days (9), 7 days (3)
function testSellMultipleRepoTokens_28_14_7_3_9_3() public {
_sell3RepoTokens(repoToken4Week, 3e18, repoToken2Week, 9e18, repoToken1Week, 3e18);
_sell3RepoTokensCheckHoldings();
(uint256 weightedTimeToMaturity, ) = termStrategy.simulateTransaction(address(0), 0);
(uint256 weightedTimeToMaturity, ,) = termStrategy.simulateTransaction(address(0), 0);
assertEq(weightedTimeToMaturity, 1330560);
}

// 28 days (3), 7 days (3), 14 days (9)
function testSellMultipleRepoTokens_28_7_14_3_3_9() public {
_sell3RepoTokens(repoToken4Week, 3e18, repoToken1Week, 3e18, repoToken2Week, 9e18);
_sell3RepoTokensCheckHoldings();
(uint256 weightedTimeToMaturity, ) = termStrategy.simulateTransaction(address(0), 0);
(uint256 weightedTimeToMaturity, ,) = termStrategy.simulateTransaction(address(0), 0);
assertEq(weightedTimeToMaturity, 1330560);
}

// 7 days (6), 14 days (2), 28 days (8)
function testSellMultipleRepoTokens_7_14_28_6_2_8() public {
_sell3RepoTokens(repoToken1Week, 6e18, repoToken2Week, 2e18, repoToken4Week, 8e18);
_sell3RepoTokensCheckHoldings();
(uint256 weightedTimeToMaturity, ) = termStrategy.simulateTransaction(address(0), 0);
(uint256 weightedTimeToMaturity, ,) = termStrategy.simulateTransaction(address(0), 0);
assertEq(weightedTimeToMaturity, 1587600);
}

// 7 days (8), 14 days (1), 28 days (3)
function testSellMultipleRepoTokens_7_14_28_8_1_3() public {
_sell3RepoTokens(repoToken1Week, 8e18, repoToken2Week, 1e18, repoToken4Week, 3e18);
_sell3RepoTokensCheckHoldings();
(uint256 weightedTimeToMaturity, ) = termStrategy.simulateTransaction(address(0), 0);
(uint256 weightedTimeToMaturity, ,) = termStrategy.simulateTransaction(address(0), 0);
assertEq(weightedTimeToMaturity, 1108800);
}

Expand All @@ -312,7 +312,7 @@ contract TestUSDCSellRepoToken is Setup {
repoToken4WeekAuction, address(repoToken4Week), idHash, bytes32("test price"), 3e6
);

(uint256 weightedTimeToMaturity, ) = termStrategy.simulateTransaction(address(0), 0);
(uint256 weightedTimeToMaturity, ,) = termStrategy.simulateTransaction(address(0), 0);

assertEq(weightedTimeToMaturity, 1108800);
}
Expand Down Expand Up @@ -402,7 +402,7 @@ contract TestUSDCSellRepoToken is Setup {
function testAboveMaturityThresholdFailure() public {
_sell1RepoToken(repoToken2Week, 2e18);

(uint256 timeToMat, ) = termStrategy.simulateTransaction(address(0), 0);
(uint256 timeToMat, ,) = termStrategy.simulateTransaction(address(0), 0);

vm.prank(management);
termStrategy.setTimeToMaturityThreshold(timeToMat);
Expand Down
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