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Repo redemption haircut #14

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Repo redemption haircut #14

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778df14
repo redemption haircut mapping and setter
aazhou1 Sep 4, 2024
aa9067e
docstring spec for 18 decimals repo redemption
aazhou1 Sep 4, 2024
c041557
repo redemption haircut mantissa applied to getPresentValue() of Repo…
aazhou1 Sep 4, 2024
160545f
reduce looping in getPresentValue
aazhou1 Sep 4, 2024
19bb70d
repo redemption haircut moved to discount rate adapter oracle
aazhou1 Sep 5, 2024
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25 changes: 19 additions & 6 deletions src/Strategy.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -65,6 +65,7 @@ contract Strategy is BaseStrategy, Pausable, ReentrancyGuard {
uint256 public discountRateMarkup; // 1e18 (TODO: check this)
uint256 public repoTokenConcentrationLimit; // 1e18
mapping(address => bool) public repoTokenBlacklist;
mapping(address => uint256) public repoRedemptionHaircut;
bool public depositLock;

modifier notBlacklisted(address repoToken) {
Expand Down Expand Up @@ -129,6 +130,15 @@ contract Strategy is BaseStrategy, Pausable, ReentrancyGuard {
currTermController = ITermController(newTermController);
}

/**
* @notice Set the repo redemption haircut
* @param repoToken The address of the repo token
* @param haircut The repo redemption haircut in 18 decimals
*/
function setRepoRedemptionHaircut(address repoToken, uint256 haircut) external onlyManagement {
repoRedemptionHaircut[repoToken] = haircut;
}

/**
* @notice Set the discount rate adapter used to price repoTokens
* @param newAdapter The address of the new discount rate adapter
Expand Down Expand Up @@ -353,13 +363,14 @@ contract Strategy is BaseStrategy, Pausable, ReentrancyGuard {
);

uint256 discountRate = discountRateAdapter.getDiscountRate(repoToken);
uint256 repoRedemptionHaircutMantissa = repoRedemptionHaircut[repoToken] == 0 ? 1e18 : repoRedemptionHaircut[repoToken];
uint256 repoTokenPrecision = 10 ** ERC20(repoToken).decimals();
repoTokenAmountInBaseAssetPrecision = (ITermRepoToken(
repoToken
).redemptionValue() *
).redemptionValue() * repoRedemptionHaircutMantissa *
amount *
PURCHASE_TOKEN_PRECISION) /
(repoTokenPrecision * RepoTokenUtils.RATE_PRECISION);
(repoTokenPrecision * RepoTokenUtils.RATE_PRECISION * 1e18);
proceeds = RepoTokenUtils.calculatePresentValue(
repoTokenAmountInBaseAssetPrecision,
PURCHASE_TOKEN_PRECISION,
Expand Down Expand Up @@ -402,11 +413,12 @@ contract Strategy is BaseStrategy, Pausable, ReentrancyGuard {
(uint256 redemptionTimestamp, , , ) = ITermRepoToken(repoToken)
.config();
uint256 repoTokenPrecision = 10 ** ERC20(repoToken).decimals();
uint256 repoRedemptionHaircutMantissa = repoRedemptionHaircut[repoToken] == 0 ? 1e18 : repoRedemptionHaircut[repoToken];
uint256 repoTokenAmountInBaseAssetPrecision = (ITermRepoToken(repoToken)
.redemptionValue() *
.redemptionValue() * repoRedemptionHaircutMantissa *
amount *
PURCHASE_TOKEN_PRECISION) /
(repoTokenPrecision * RepoTokenUtils.RATE_PRECISION);
(repoTokenPrecision * RepoTokenUtils.RATE_PRECISION * 1e18);
return
RepoTokenUtils.calculatePresentValue(
repoTokenAmountInBaseAssetPrecision,
Expand Down Expand Up @@ -1026,11 +1038,12 @@ contract Strategy is BaseStrategy, Pausable, ReentrancyGuard {

// Calculate the repoToken amount in base asset precision
uint256 repoTokenPrecision = 10 ** ERC20(repoToken).decimals();
uint256 repoRedemptionHaircutMantissa = repoRedemptionHaircut[repoToken] == 0 ? 1e18 : repoRedemptionHaircut[repoToken];
uint256 repoTokenAmountInBaseAssetPrecision = (ITermRepoToken(repoToken)
.redemptionValue() *
.redemptionValue() * repoRedemptionHaircutMantissa *
repoTokenAmount *
PURCHASE_TOKEN_PRECISION) /
(repoTokenPrecision * RepoTokenUtils.RATE_PRECISION);
(repoTokenPrecision * RepoTokenUtils.RATE_PRECISION * 1e18);

// Calculate the proceeds from selling the repoToken
uint256 proceeds = RepoTokenUtils.calculatePresentValue(
Expand Down
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