@atomicfinance/bitcoin-dlc-provider 4.2.8 → 4.3.0

package/.yalc/@node-dlc/core/__tests__/dlc/finance/LongCall.spec.ts

@@ -0,0 +1,55 @@
+import { HyperbolaPayoutCurvePiece } from '@node-dlc/messaging';
+import { expect } from 'chai';
+
+import { LongCall } from '../../../lib/dlc/finance/LongCall';
+import { HyperbolaPayoutCurve } from '../../../lib/dlc/HyperbolaPayoutCurve';
+
+describe('LongCall', () => {
+  describe('1BTC-50k-base2-18digit curve', () => {
+    const strikePrice = BigInt(50000);
+    const contractSize = BigInt(10) ** BigInt(8);
+    const oracleBase = 2;
+    const oracleDigits = 18;
+
+    const { payoutCurve } = LongCall.buildCurve(
+      strikePrice,
+      contractSize,
+      oracleBase,
+      oracleDigits,
+    );
+
+    describe('payout', () => {
+      const priceIncrease = BigInt(1000);
+
+      it('should be positive as the position goes ITM', () => {
+        expect(
+          payoutCurve
+            .getPayout(strikePrice + priceIncrease)
+            .integerValue()
+            .toNumber(),
+        ).to.equal(
+          Number(
+            (contractSize * priceIncrease) / (strikePrice + priceIncrease),
+          ),
+        );
+      });
+
+      it('should be zero at strike price', () => {
+        expect(payoutCurve.getPayout(strikePrice).toNumber()).to.equal(0);
+      });
+    });
+
+    it('should serialize and deserialize properly', () => {
+      const payout = payoutCurve.getPayout(strikePrice);
+
+      const _tlv = payoutCurve.toPayoutCurvePiece().serialize();
+      const pf = HyperbolaPayoutCurvePiece.deserialize(_tlv);
+
+      const deserializedCurve = HyperbolaPayoutCurve.fromPayoutCurvePiece(pf);
+
+      expect(payout.toNumber()).to.be.eq(
+        deserializedCurve.getPayout(strikePrice).toNumber(),
+      );
+    });
+  });
+});

package/.yalc/@node-dlc/core/__tests__/dlc/finance/LongPut.spec.ts

@@ -0,0 +1,55 @@
+import { HyperbolaPayoutCurvePiece } from '@node-dlc/messaging';
+import { expect } from 'chai';
+
+import { LongPut } from '../../../lib';
+import { HyperbolaPayoutCurve } from '../../../lib/dlc/HyperbolaPayoutCurve';
+
+describe('LongPut', () => {
+  describe('1BTC-50k-base2-18digit curve', () => {
+    const strikePrice = BigInt(50000);
+    const contractSize = BigInt(10) ** BigInt(8);
+    const oracleBase = 2;
+    const oracleDigits = 18;
+
+    const { payoutCurve } = LongPut.buildCurve(
+      strikePrice,
+      contractSize,
+      oracleBase,
+      oracleDigits,
+    );
+
+    describe('payout', () => {
+      const priceDecrease = BigInt(1000);
+
+      it('should be positive as the position goes ITM', () => {
+        expect(
+          payoutCurve
+            .getPayout(strikePrice - priceDecrease)
+            .integerValue()
+            .toNumber(),
+        ).to.equal(
+          Number(
+            (contractSize * priceDecrease) / (strikePrice - priceDecrease),
+          ),
+        );
+      });
+
+      it('should be zero at strike price', () => {
+        expect(payoutCurve.getPayout(strikePrice).toNumber()).to.equal(0);
+      });
+    });
+
+    it('should serialize and deserialize properly', () => {
+      const payout = payoutCurve.getPayout(strikePrice);
+
+      const _tlv = payoutCurve.toPayoutCurvePiece().serialize();
+      const pf = HyperbolaPayoutCurvePiece.deserialize(_tlv);
+
+      const deserializedCurve = HyperbolaPayoutCurve.fromPayoutCurvePiece(pf);
+
+      expect(payout.toNumber()).to.be.eq(
+        deserializedCurve.getPayout(strikePrice).toNumber(),
+      );
+    });
+  });
+});

package/.yalc/@node-dlc/core/__tests__/dlc/finance/OptionInfo.spec.ts

@@ -0,0 +1,226 @@
+import { F64 } from '@node-dlc/messaging';
+import {
+  DigitDecompositionEventDescriptorV0,
+  DlcOffer,
+  HyperbolaPayoutCurvePiece,
+  NumericalDescriptor,
+  OracleAnnouncement,
+  OracleEvent,
+  PayoutFunction,
+  SingleContractInfo,
+  SingleOracleInfo,
+} from '@node-dlc/messaging';
+import { expect } from 'chai';
+
+import { CoveredCall } from '../../../lib/dlc/finance/CoveredCall';
+import {
+  getOptionInfoFromContractInfo,
+  getOptionInfoFromOffer,
+} from '../../../lib/dlc/finance/OptionInfo';
+import { ShortPut } from '../../../lib/dlc/finance/ShortPut';
+
+describe('OptionInfo', () => {
+  describe('OptionInfo from covered call messages', () => {
+    const strikePrice = BigInt(50000);
+    const contractSize = BigInt(10) ** BigInt(8);
+    const premium = BigInt(50000);
+    const expiry = new Date(1620014750000);
+
+    const oracleBase = 2;
+    const oracleDigits = 17;
+
+    const { totalCollateral, payoutFunction } = CoveredCall.buildPayoutFunction(
+      strikePrice,
+      contractSize,
+      oracleBase,
+      oracleDigits,
+    );
+
+    const dlcOffer = buildDlcOfferFixture(
+      oracleDigits,
+      expiry,
+      payoutFunction,
+      totalCollateral,
+      premium,
+    );
+
+    const contractInfo = dlcOffer.contractInfo;
+
+    it('should get correct OptionInfo from ContractInfo', () => {
+      const optionInfo = getOptionInfoFromContractInfo(contractInfo);
+
+      expect(optionInfo).to.deep.equal({
+        contractSize,
+        strikePrice,
+        expiry,
+        type: 'call',
+      });
+    });
+
+    it('should get correct OptionInfoWithPremium from DlcOffer', () => {
+      const optionInfo = getOptionInfoFromOffer(dlcOffer);
+
+      expect(optionInfo).to.deep.equal({
+        contractSize,
+        strikePrice,
+        expiry,
+        premium,
+        type: 'call',
+      });
+    });
+
+    it('should throw on an invalid curve', () => {
+      const {
+        totalCollateral,
+        payoutFunction,
+      } = CoveredCall.buildPayoutFunction(
+        strikePrice,
+        contractSize,
+        oracleBase,
+        oracleDigits,
+      );
+
+      const invalidDlcOffer = buildDlcOfferFixture(
+        oracleDigits,
+        expiry,
+        payoutFunction,
+        totalCollateral,
+        premium,
+      );
+
+      const contractInfo = invalidDlcOffer.contractInfo as SingleContractInfo;
+      const contractDescriptor = contractInfo.contractDescriptor as NumericalDescriptor;
+      const payoutFunc = contractDescriptor.payoutFunction as PayoutFunction;
+      const hyperbolaPiece = payoutFunc.payoutFunctionPieces[0]
+        .payoutCurvePiece as HyperbolaPayoutCurvePiece;
+
+      hyperbolaPiece.translateOutcome = F64.fromNumber(4);
+
+      expect(() => {
+        getOptionInfoFromOffer(invalidDlcOffer);
+      }).to.throw();
+    });
+  });
+
+  describe('OptionInfo from short call messages', () => {
+    const strikePrice = BigInt(50000);
+    const contractSize = BigInt(10) ** BigInt(8);
+    const totalCollateral = BigInt(9) ** BigInt(8);
+
+    const premium = BigInt(50000);
+    const expiry = new Date(1620014750000);
+
+    const oracleBase = 2;
+    const oracleDigits = 17;
+
+    const { payoutFunction } = ShortPut.buildPayoutFunction(
+      strikePrice,
+      contractSize,
+      totalCollateral,
+      oracleBase,
+      oracleDigits,
+    );
+
+    const dlcOffer = buildDlcOfferFixture(
+      oracleDigits,
+      expiry,
+      payoutFunction,
+      totalCollateral,
+      premium,
+    );
+
+    const contractInfo = dlcOffer.contractInfo;
+
+    it('should get correct OptionInfo from ContractInfo', () => {
+      const optionInfo = getOptionInfoFromContractInfo(contractInfo);
+
+      expect(optionInfo).to.deep.equal({
+        contractSize,
+        strikePrice,
+        expiry,
+        type: 'put',
+      });
+    });
+
+    it('should get correct OptionInfoWithPremium from DlcOffer', () => {
+      const optionInfo = getOptionInfoFromOffer(dlcOffer);
+
+      expect(optionInfo).to.deep.equal({
+        contractSize,
+        strikePrice,
+        expiry,
+        premium,
+        type: 'put',
+      });
+    });
+
+    it('should throw on an invalid curve', () => {
+      const { payoutFunction } = ShortPut.buildPayoutFunction(
+        strikePrice,
+        contractSize,
+        totalCollateral,
+        oracleBase,
+        oracleDigits,
+      );
+
+      const invalidDlcOffer = buildDlcOfferFixture(
+        oracleDigits,
+        expiry,
+        payoutFunction,
+        totalCollateral,
+        premium,
+      );
+
+      const contractInfo = invalidDlcOffer.contractInfo as SingleContractInfo;
+      const contractDescriptor = contractInfo.contractDescriptor as NumericalDescriptor;
+      const payoutFunc = contractDescriptor.payoutFunction as PayoutFunction;
+      const hyperbolaPiece = payoutFunc.payoutFunctionPieces[0]
+        .payoutCurvePiece as HyperbolaPayoutCurvePiece;
+
+      hyperbolaPiece.translateOutcome = F64.fromNumber(4);
+
+      expect(() => {
+        getOptionInfoFromOffer(invalidDlcOffer);
+      }).to.throw();
+    });
+  });
+});
+
+function buildDlcOfferFixture(
+  oracleDigits: number,
+  expiry: Date,
+  payoutFunction: PayoutFunction,
+  totalCollateral: bigint,
+  premium: bigint,
+) {
+  const eventDescriptor = new DigitDecompositionEventDescriptorV0();
+  eventDescriptor.base = 2;
+  eventDescriptor.isSigned = false;
+  eventDescriptor.unit = 'BTC-USD';
+  eventDescriptor.precision = 0;
+  eventDescriptor.nbDigits = oracleDigits;
+
+  const oracleEvent = new OracleEvent();
+  oracleEvent.eventMaturityEpoch = Math.floor(expiry.getTime() / 1000);
+  oracleEvent.eventDescriptor = eventDescriptor;
+
+  const oracleAnnouncement = new OracleAnnouncement();
+  oracleAnnouncement.oracleEvent = oracleEvent;
+
+  const oracleInfo = new SingleOracleInfo();
+  oracleInfo.announcement = oracleAnnouncement;
+
+  const contractDescriptor = new NumericalDescriptor();
+  contractDescriptor.numDigits = oracleDigits;
+  contractDescriptor.payoutFunction = payoutFunction;
+
+  const contractInfo = new SingleContractInfo();
+  contractInfo.totalCollateral = totalCollateral;
+  contractInfo.contractDescriptor = contractDescriptor;
+  contractInfo.oracleInfo = oracleInfo;
+
+  const dlcOffer = new DlcOffer();
+  dlcOffer.contractInfo = contractInfo;
+  dlcOffer.offerCollateral = totalCollateral - premium;
+  return dlcOffer;
+}

package/.yalc/@node-dlc/core/__tests__/dlc/finance/ShortPut.spec.ts

@@ -0,0 +1,62 @@
+import { HyperbolaPayoutCurvePiece } from '@node-dlc/messaging';
+import { expect } from 'chai';
+
+import { ShortPut } from '../../../lib/dlc/finance/ShortPut';
+import { HyperbolaPayoutCurve } from '../../../lib/dlc/HyperbolaPayoutCurve';
+
+describe('ShortPut', () => {
+  describe('1BTC-50k-base2-20digit curve', () => {
+    const strikePrice = BigInt(50000);
+    const contractSize = BigInt(10) ** BigInt(8);
+    const totalCollateral = contractSize;
+    const oracleBase = 2;
+    const oracleDigits = 20;
+
+    const { payoutCurve } = ShortPut.buildCurve(
+      strikePrice,
+      contractSize,
+      totalCollateral,
+      oracleBase,
+      oracleDigits,
+    );
+
+    describe('payout', () => {
+      it('should be zero at half of strike price', () => {
+        expect(
+          payoutCurve.getPayout(strikePrice / BigInt(2)).toNumber(),
+        ).to.be.equal(0);
+      });
+
+      it('should be correct at $30,000 settlement price', () => {
+        const settlementPrice = BigInt(30000);
+
+        expect(payoutCurve.getPayout(settlementPrice).toFixed(3)).to.be.eq(
+          (
+            2 * Number(contractSize) -
+            (Number(contractSize) * Number(strikePrice)) /
+              Number(settlementPrice)
+          ).toFixed(3),
+        );
+      });
+
+      it('should be equal to totalCollateral at strike price', () => {
+        expect(payoutCurve.getPayout(strikePrice).toNumber()).to.equal(
+          Number(totalCollateral),
+        );
+      });
+    });
+
+    it('should serialize and deserialize properly', () => {
+      const payout = payoutCurve.getPayout(strikePrice);
+
+      const _tlv = payoutCurve.toPayoutCurvePiece().serialize();
+      const pf = HyperbolaPayoutCurvePiece.deserialize(_tlv);
+
+      const deserializedCurve = HyperbolaPayoutCurve.fromPayoutCurvePiece(pf);
+
+      expect(payout.toNumber()).to.be.eq(
+        deserializedCurve.getPayout(strikePrice).toNumber(),
+      );
+    });
+  });
+});

package/.yalc/@node-dlc/core/__tests__/tsconfig.json

@@ -0,0 +1,8 @@
+{
+  "extends": "../tsconfig.json",
+  "compilerOptions": {
+    "noEmit": true
+  },
+  "include": ["**/*.spec.ts"],
+  "exclude": []
+}

package/.yalc/@node-dlc/core/__tests__/utils/precision.spec.ts

@@ -0,0 +1,40 @@
+// write tests for getPrecision and fromPrecision
+
+import BigNumber from 'bignumber.js';
+import { expect } from 'chai';
+
+import { fromPrecision, getPrecision } from '../../lib/utils/Precision';
+
+describe('getPrecision', () => {
+  it('should get correct precision for integers', () => {
+    const num = new BigNumber(1);
+    expect(getPrecision(num)).eq(0);
+  });
+
+  it('should get correct precision for multiple decimal points', () => {
+    const num = new BigNumber(1.123456789);
+    expect(getPrecision(num)).eq(1234567890000000);
+  });
+
+  it('should get correct precision for max decimal points', () => {
+    const num = new BigNumber('1.112233445566778899');
+    expect(getPrecision(num)).eq(1122334455667789);
+  });
+});
+
+describe('fromPrecision', () => {
+  it('should create correct number from precision', () => {
+    const num = 12345;
+    expect(fromPrecision(num).toFormat()).eq('0.0000000000012345');
+  });
+
+  it('should create correct number from precision for max precision', () => {
+    const num = 1122334455667788;
+    expect(fromPrecision(num).toFormat()).eq('0.1122334455667788');
+  });
+
+  it('should throw error if precision is too large', () => {
+    const num = Number('11223344556677889');
+    expect(() => fromPrecision(num)).to.throw(Error);
+  });
+});

package/.yalc/@node-dlc/core/coverage/lcov-report/base.css

@@ -0,0 +1,224 @@
+body, html {
+  margin:0; padding: 0;
+  height: 100%;
+}
+body {
+    font-family: Helvetica Neue, Helvetica, Arial;
+    font-size: 14px;
+    color:#333;
+}
+.small { font-size: 12px; }
+*, *:after, *:before {
+  -webkit-box-sizing:border-box;
+     -moz-box-sizing:border-box;
+          box-sizing:border-box;
+  }
+h1 { font-size: 20px; margin: 0;}
+h2 { font-size: 14px; }
+pre {
+    font: 12px/1.4 Consolas, "Liberation Mono", Menlo, Courier, monospace;
+    margin: 0;
+    padding: 0;
+    -moz-tab-size: 2;
+    -o-tab-size:  2;
+    tab-size: 2;
+}
+a { color:#0074D9; text-decoration:none; }
+a:hover { text-decoration:underline; }
+.strong { font-weight: bold; }
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+.pad1y { padding: 10px 0; }
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+.pad2 { padding: 20px; }
+.pad1 { padding: 10px; }
+.space-left2 { padding-left:55px; }
+.space-right2 { padding-right:20px; }
+.center { text-align:center; }
+.clearfix { display:block; }
+.clearfix:after {
+  content:'';
+  display:block;
+  height:0;
+  clear:both;
+  visibility:hidden;
+  }
+.fl { float: left; }
+@media only screen and (max-width:640px) {
+  .col3 { width:100%; max-width:100%; }
+  .hide-mobile { display:none!important; }
+}
+
+.quiet {
+  color: #7f7f7f;
+  color: rgba(0,0,0,0.5);
+}
+.quiet a { opacity: 0.7; }
+
+.fraction {
+  font-family: Consolas, 'Liberation Mono', Menlo, Courier, monospace;
+  font-size: 10px;
+  color: #555;
+  background: #E8E8E8;
+  padding: 4px 5px;
+  border-radius: 3px;
+  vertical-align: middle;
+}
+
+div.path a:link, div.path a:visited { color: #333; }
+table.coverage {
+  border-collapse: collapse;
+  margin: 10px 0 0 0;
+  padding: 0;
+}
+
+table.coverage td {
+  margin: 0;
+  padding: 0;
+  vertical-align: top;
+}
+table.coverage td.line-count {
+    text-align: right;
+    padding: 0 5px 0 20px;
+}
+table.coverage td.line-coverage {
+    text-align: right;
+    padding-right: 10px;
+    min-width:20px;
+}
+
+table.coverage td span.cline-any {
+    display: inline-block;
+    padding: 0 5px;
+    width: 100%;
+}
+.missing-if-branch {
+    display: inline-block;
+    margin-right: 5px;
+    border-radius: 3px;
+    position: relative;
+    padding: 0 4px;
+    background: #333;
+    color: yellow;
+}
+
+.skip-if-branch {
+    display: none;
+    margin-right: 10px;
+    position: relative;
+    padding: 0 4px;
+    background: #ccc;
+    color: white;
+}
+.missing-if-branch .typ, .skip-if-branch .typ {
+    color: inherit !important;
+}
+.coverage-summary {
+  border-collapse: collapse;
+  width: 100%;
+}
+.coverage-summary tr { border-bottom: 1px solid #bbb; }
+.keyline-all { border: 1px solid #ddd; }
+.coverage-summary td, .coverage-summary th { padding: 10px; }
+.coverage-summary tbody { border: 1px solid #bbb; }
+.coverage-summary td { border-right: 1px solid #bbb; }
+.coverage-summary td:last-child { border-right: none; }
+.coverage-summary th {
+  text-align: left;
+  font-weight: normal;
+  white-space: nowrap;
+}
+.coverage-summary th.file { border-right: none !important; }
+.coverage-summary th.pct { }
+.coverage-summary th.pic,
+.coverage-summary th.abs,
+.coverage-summary td.pct,
+.coverage-summary td.abs { text-align: right; }
+.coverage-summary td.file { white-space: nowrap;  }
+.coverage-summary td.pic { min-width: 120px !important;  }
+.coverage-summary tfoot td { }
+
+.coverage-summary .sorter {
+    height: 10px;
+    width: 7px;
+    display: inline-block;
+    margin-left: 0.5em;
+    background: url(sort-arrow-sprite.png) no-repeat scroll 0 0 transparent;
+}
+.coverage-summary .sorted .sorter {
+    background-position: 0 -20px;
+}
+.coverage-summary .sorted-desc .sorter {
+    background-position: 0 -10px;
+}
+.status-line {  height: 10px; }
+/* yellow */
+.cbranch-no { background: yellow !important; color: #111; }
+/* dark red */
+.red.solid, .status-line.low, .low .cover-fill { background:#C21F39 }
+.low .chart { border:1px solid #C21F39 }
+.highlighted,
+.highlighted .cstat-no, .highlighted .fstat-no, .highlighted .cbranch-no{
+  background: #C21F39 !important;
+}
+/* medium red */
+.cstat-no, .fstat-no, .cbranch-no, .cbranch-no { background:#F6C6CE }
+/* light red */
+.low, .cline-no { background:#FCE1E5 }
+/* light green */
+.high, .cline-yes { background:rgb(230,245,208) }
+/* medium green */
+.cstat-yes { background:rgb(161,215,106) }
+/* dark green */
+.status-line.high, .high .cover-fill { background:rgb(77,146,33) }
+.high .chart { border:1px solid rgb(77,146,33) }
+/* dark yellow (gold) */
+.status-line.medium, .medium .cover-fill { background: #f9cd0b; }
+.medium .chart { border:1px solid #f9cd0b; }
+/* light yellow */
+.medium { background: #fff4c2; }
+
+.cstat-skip { background: #ddd; color: #111; }
+.fstat-skip { background: #ddd; color: #111 !important; }
+.cbranch-skip { background: #ddd !important; color: #111; }
+
+span.cline-neutral { background: #eaeaea; }
+
+.coverage-summary td.empty {
+    opacity: .5;
+    padding-top: 4px;
+    padding-bottom: 4px;
+    line-height: 1;
+    color: #888;
+}
+
+.cover-fill, .cover-empty {
+  display:inline-block;
+  height: 12px;
+}
+.chart {
+  line-height: 0;
+}
+.cover-empty {
+    background: white;
+}
+.cover-full {
+    border-right: none !important;
+}
+pre.prettyprint {
+    border: none !important;
+    padding: 0 !important;
+    margin: 0 !important;
+}
+.com { color: #999 !important; }
+.ignore-none { color: #999; font-weight: normal; }
+
+.wrapper {
+  min-height: 100%;
+  height: auto !important;
+  height: 100%;
+  margin: 0 auto -48px;
+}
+.footer, .push {
+  height: 48px;
+}