@exponent-labs/exponent-sdk 0.1.7 → 0.1.8

package/src/marketThree.test.ts

@@ -0,0 +1,208 @@
+import { web3 } from "@coral-xyz/anchor"
+import { afterAll, beforeAll, describe, expect, it } from "@jest/globals"
+import Decimal from "decimal.js"
+
+import { MarketThree } from "./marketThree"
+
+type TickNode = {
+  apy: number
+  feeGrowthOutsidePt: bigint
+  feeGrowthOutsideSy: bigint
+  liquidityNet: bigint
+  liquidityGross: bigint
+  lnImpliedRate: number
+  principalPt: bigint
+  principalSy: bigint
+  principalShareSupply: bigint
+}
+
+type TicksFixture = {
+  ticksTree: TickNode[]
+  market: web3.PublicKey
+  feeGrowthIndexGlobalPt: bigint
+  feeGrowthIndexGlobalSy: bigint
+  currentPrefixSum: bigint
+  currentSpotPrice: number
+  currentTick: number
+}
+
+const rawTicks = {
+  ticksTree: [
+    {
+      apy: 10_000,
+      feeGrowthOutsidePt: "0",
+      feeGrowthOutsideSy: "0",
+      liquidityNet: "212216886",
+      liquidityGross: "212216886",
+      lnImpliedRate: 1.01,
+      principalPt: "8489056",
+      principalSy: "10000563",
+      principalShareSupply: "9213872",
+    },
+    {
+      apy: 100_000,
+      feeGrowthOutsidePt: "0",
+      feeGrowthOutsideSy: "0",
+      liquidityNet: "-212216886",
+      liquidityGross: "212216886",
+      lnImpliedRate: 1.1,
+      principalPt: "0",
+      principalSy: "3935",
+      principalShareSupply: "0",
+    },
+    {
+      apy: 65_536,
+      feeGrowthOutsidePt: "276675485368327",
+      feeGrowthOutsideSy: "0",
+      liquidityNet: "637259347272925184",
+      liquidityGross: "637259347272925184",
+      lnImpliedRate: 0,
+      principalPt: "70334384439296",
+      principalSy: "32088147345014784",
+      principalShareSupply: "0",
+    },
+    {
+      apy: 65_536,
+      feeGrowthOutsidePt: "276675485368327",
+      feeGrowthOutsideSy: "0",
+      liquidityNet: "6510516211317473280",
+      liquidityGross: "6510516211317473280",
+      lnImpliedRate: 9.085484053695086e135,
+      principalPt: "70335071634063",
+      principalSy: "4226346775310499840",
+      principalShareSupply: "0",
+    },
+  ],
+  market: "11111111111111111111111111111111",
+  feeGrowthIndexGlobalPt: "0",
+  feeGrowthIndexGlobalSy: "0",
+  currentPrefixSum: "0",
+  currentSpotPrice: 0,
+  currentTick: 0,
+}
+
+const ticksFixture: TicksFixture = {
+  ticksTree: rawTicks.ticksTree.map((tick) => ({
+    apy: tick.apy,
+    feeGrowthOutsidePt: BigInt(tick.feeGrowthOutsidePt),
+    feeGrowthOutsideSy: BigInt(tick.feeGrowthOutsideSy),
+    liquidityNet: BigInt(tick.liquidityNet),
+    liquidityGross: BigInt(tick.liquidityGross),
+    lnImpliedRate: tick.lnImpliedRate,
+    principalPt: BigInt(tick.principalPt),
+    principalSy: BigInt(tick.principalSy),
+    principalShareSupply: BigInt(tick.principalShareSupply),
+  })),
+  market: new web3.PublicKey(rawTicks.market),
+  feeGrowthIndexGlobalPt: BigInt(rawTicks.feeGrowthIndexGlobalPt),
+  feeGrowthIndexGlobalSy: BigInt(rawTicks.feeGrowthIndexGlobalSy),
+  currentPrefixSum: BigInt(rawTicks.currentPrefixSum),
+  currentSpotPrice: rawTicks.currentSpotPrice,
+  currentTick: rawTicks.currentTick,
+}
+
+const SECONDS_PER_YEAR = 365 * 24 * 60 * 60
+
+function buildTestMarket(ticks: TicksFixture, expirationTs: number) {
+  const market = Object.create(MarketThree.prototype) as MarketThree
+
+  ;(market as any).state = {
+    ticks,
+    financials: {
+      expirationTs,
+      ptBalance: 0n,
+      syBalance: 0n,
+      liquidityBalance: 0n,
+    },
+    configurationOptions: {
+      treasuryFeeBps: 0,
+      lnFeeRateRoot: 0,
+      minLpTickAmount: 0n,
+      epsilonClamp: 0,
+      maxLpSupply: 0n,
+      tickSpace: 1,
+    },
+  } as any
+  ;(market as any).flavor = {
+    flavor: "generic",
+    currentSyExchangeRate: 1,
+  }
+
+  return market
+}
+
+function ticksWithSpotPrice(spotPrice: number): TicksFixture {
+  return {
+    ...ticksFixture,
+    currentSpotPrice: spotPrice,
+  }
+}
+
+describe("MarketThree.liquidityUnitPriceInAsset", () => {
+  let dateNowSpy: jest.SpyInstance<number, []>
+
+  beforeAll(() => {
+    dateNowSpy = jest.spyOn(Date, "now").mockReturnValue(0)
+  })
+
+  afterAll(() => {
+    dateNowSpy.mockRestore()
+  })
+
+  it("computes principal-only LP price for a populated tick range", () => {
+    const syExchangeRate = 1.2
+    const spotPrice = 0.2
+    const ticks = ticksWithSpotPrice(spotPrice)
+    const market = buildTestMarket(ticks, SECONDS_PER_YEAR)
+
+    const lowerTickKey = 10_000
+    const upperTickKey = 200_000
+
+    const result = market.liquidityUnitPriceInAsset({
+      lowerTickKey,
+      upperTickKey,
+      syExchangeRateOverride: syExchangeRate,
+    })
+
+    const relevantIntervals = ticks.ticksTree.filter((tick) => tick.apy >= lowerTickKey && tick.apy < upperTickKey)
+
+    const totalPrincipalPt = relevantIntervals.reduce((acc, tick) => acc + tick.principalPt, 0n)
+    const totalPrincipalSy = relevantIntervals.reduce((acc, tick) => acc + tick.principalSy, 0n)
+    const totalShareSupply = relevantIntervals.reduce((acc, tick) => acc + tick.principalShareSupply, 0n)
+
+    const timeFactor = SECONDS_PER_YEAR / SECONDS_PER_YEAR
+    const ptAssetValuePerToken = Math.exp(-timeFactor * spotPrice)
+
+    const principalPtValue = new Decimal(totalPrincipalPt.toString()).mul(ptAssetValuePerToken)
+    const principalSyValue = new Decimal(totalPrincipalSy.toString()).mul(syExchangeRate)
+    const expected = principalPtValue.plus(principalSyValue).div(new Decimal(totalShareSupply.toString()))
+
+    expect(result).toBeCloseTo(expected.toNumber(), 9)
+  })
+
+  it("returns zero when the selected range has no share supply", () => {
+    const ticks = ticksWithSpotPrice(0.5)
+    const market = buildTestMarket(ticks, SECONDS_PER_YEAR)
+
+    const price = market.liquidityUnitPriceInAsset({
+      lowerTickKey: 65_536,
+      upperTickKey: 65_537,
+      syExchangeRateOverride: 1.05,
+    })
+
+    expect(price).toBe(0)
+  })
+
+  it("throws when lower tick boundary is not less than upper", () => {
+    const ticks = ticksWithSpotPrice(0.5)
+    const market = buildTestMarket(ticks, SECONDS_PER_YEAR)
+
+    expect(() =>
+      market.liquidityUnitPriceInAsset({
+        lowerTickKey: 42,
+        upperTickKey: 42,
+        syExchangeRateOverride: 1,
+      }),
+    ).toThrow("lowerTickKey must be less than upperTickKey")
+  })
+})