@pendle/core-v2 1.0.0-mainnet → 1.0.2-mainnet

package/contracts/offchain-helpers/MarketMathStatic.sol

@@ -14,6 +14,17 @@ library MarketMathStatic {
     using PYIndexLib for PYIndex;
     using PYIndexLib for IPYieldToken;
 
+    function getDefaultApproxParams() public pure returns (ApproxParams memory) {
+        return
+            ApproxParams({
+                guessMin: 0,
+                guessMax: type(uint256).max,
+                guessOffchain: 0,
+                maxIteration: 256,
+                eps: 1e14
+            });
+    }
+
     function addLiquidityDualSyAndPtStatic(
         address market,
         uint256 netSyDesired,
@@ -36,17 +47,14 @@ library MarketMathStatic {
     }
 
     /// @dev netPtToSwap is the parameter to approx
-    function addLiquiditySinglePtStatic(
-        address market,
-        uint256 netPtIn,
-        ApproxParams memory approxParams
-    )
+    function addLiquiditySinglePtStatic(address market, uint256 netPtIn)
         external
         returns (
             uint256 netLpOut,
             uint256 netPtToSwap,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
         MarketState memory state = IPMarket(market).readState(address(this));
@@ -55,7 +63,7 @@ library MarketMathStatic {
             pyIndex(market),
             netPtIn,
             block.timestamp,
-            approxParams
+            getDefaultApproxParams()
         );
 
         state = IPMarket(market).readState(address(this)); // re-read
@@ -72,21 +80,19 @@ library MarketMathStatic {
             block.timestamp
         );
 
-        priceImpact = calcPriceImpact(market, netPtToSwap.neg());
+        priceImpact = calcPriceImpactPt(market, netPtToSwap.neg());
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     /// @dev netPtFromSwap is the parameter to approx
-    function addLiquiditySingleSyStatic(
-        address market,
-        uint256 netSyIn,
-        ApproxParams memory approxParams
-    )
+    function addLiquiditySingleSyStatic(address market, uint256 netSyIn)
         public
         returns (
             uint256 netLpOut,
             uint256 netPtFromSwap,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
         MarketState memory state = IPMarket(market).readState(address(this));
@@ -95,7 +101,7 @@ library MarketMathStatic {
             pyIndex(market),
             netSyIn,
             block.timestamp,
-            approxParams
+            getDefaultApproxParams()
         );
 
         state = IPMarket(market).readState(address(this)); // re-read
@@ -108,7 +114,8 @@ library MarketMathStatic {
         );
         (, netLpOut, , ) = state.addLiquidity(netSyIn - netSySwap, netPtFromSwap, block.timestamp);
 
-        priceImpact = calcPriceImpact(market, netPtFromSwap.Int());
+        priceImpact = calcPriceImpactPt(market, netPtFromSwap.Int());
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     function removeLiquidityDualSyAndPtStatic(address market, uint256 netLpToRemove)
@@ -121,17 +128,14 @@ library MarketMathStatic {
     }
 
     /// @dev netPtFromSwap is the parameter to approx
-    function removeLiquiditySinglePtStatic(
-        address market,
-        uint256 netLpToRemove,
-        ApproxParams memory approxParams
-    )
+    function removeLiquiditySinglePtStatic(address market, uint256 netLpToRemove)
         external
         returns (
             uint256 netPtOut,
             uint256 netPtFromSwap,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
         MarketState memory state = IPMarket(market).readState(address(this));
@@ -141,11 +145,15 @@ library MarketMathStatic {
             pyIndex(market),
             syFromBurn,
             block.timestamp,
-            approxParams
+            getDefaultApproxParams()
         );
 
         netPtOut = ptFromBurn + netPtFromSwap;
-        priceImpact = calcPriceImpact(market, netPtFromSwap.Int());
+        priceImpact = calcPriceImpactPt(market, netPtFromSwap.Int());
+
+        // Execute swap to calculate exchangeRateAfter
+        state.swapSyForExactPt(pyIndex(market), netPtFromSwap, block.timestamp);
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     function removeLiquiditySingleSyStatic(address market, uint256 netLpToRemove)
@@ -153,7 +161,8 @@ library MarketMathStatic {
         returns (
             uint256 netSyOut,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
         MarketState memory state = IPMarket(market).readState(address(this));
@@ -171,7 +180,8 @@ library MarketMathStatic {
             );
 
             netSyOut = syFromBurn + syFromSwap;
-            priceImpact = calcPriceImpact(market, ptFromBurn.neg());
+            priceImpact = calcPriceImpactPt(market, ptFromBurn.neg());
+            exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
         }
     }
 
@@ -180,7 +190,8 @@ library MarketMathStatic {
         returns (
             uint256 netSyOut,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
         MarketState memory state = IPMarket(market).readState(address(this));
@@ -189,7 +200,8 @@ library MarketMathStatic {
             exactPtIn,
             block.timestamp
         );
-        priceImpact = calcPriceImpact(market, exactPtIn.neg());
+        priceImpact = calcPriceImpactPt(market, exactPtIn.neg());
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     function swapSyForExactPtStatic(address market, uint256 exactPtOut)
@@ -197,7 +209,8 @@ library MarketMathStatic {
         returns (
             uint256 netSyIn,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
         MarketState memory state = IPMarket(market).readState(address(this));
@@ -206,20 +219,18 @@ library MarketMathStatic {
             exactPtOut,
             block.timestamp
         );
-        priceImpact = calcPriceImpact(market, exactPtOut.Int());
+        priceImpact = calcPriceImpactPt(market, exactPtOut.Int());
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     /// @dev netPtOut is the parameter to approx
-    function swapExactSyForPtStatic(
-        address market,
-        uint256 exactSyIn,
-        ApproxParams memory approxParams
-    )
+    function swapExactSyForPtStatic(address market, uint256 exactSyIn)
         public
         returns (
             uint256 netPtOut,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
         MarketState memory state = IPMarket(market).readState(address(this));
@@ -227,22 +238,23 @@ library MarketMathStatic {
             pyIndex(market),
             exactSyIn,
             block.timestamp,
-            approxParams
+            getDefaultApproxParams()
         );
-        priceImpact = calcPriceImpact(market, netPtOut.Int());
+        priceImpact = calcPriceImpactPt(market, netPtOut.Int());
+
+        // Execute swap to calculate exchangeRateAfter
+        state.swapSyForExactPt(pyIndex(market), netPtOut, block.timestamp);
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     /// @dev netPtIn is the parameter to approx
-    function swapPtForExactSyStatic(
-        address market,
-        uint256 exactSyOut,
-        ApproxParams memory approxParams
-    )
+    function swapPtForExactSyStatic(address market, uint256 exactSyOut)
         public
         returns (
             uint256 netPtIn,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
         MarketState memory state = IPMarket(market).readState(address(this));
@@ -251,9 +263,13 @@ library MarketMathStatic {
             pyIndex(market),
             exactSyOut,
             block.timestamp,
-            approxParams
+            getDefaultApproxParams()
         );
-        priceImpact = calcPriceImpact(market, netPtIn.neg());
+        priceImpact = calcPriceImpactPt(market, netPtIn.neg());
+
+        // Execute swap to calculate exchangeRateAfter
+        state.swapExactPtForSy(pyIndex(market), netPtIn, block.timestamp);
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     function swapSyForExactYtStatic(address market, uint256 exactYtOut)
@@ -261,11 +277,13 @@ library MarketMathStatic {
         returns (
             uint256 netSyIn,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
-        MarketState memory state = IPMarket(market).readState(address(this));
+        priceImpact = calcPriceImpactYt(market, exactYtOut.neg());
 
+        MarketState memory state = IPMarket(market).readState(address(this));
         PYIndex index = pyIndex(market);
 
         uint256 syReceived;
@@ -278,20 +296,17 @@ library MarketMathStatic {
         uint256 totalSyNeed = index.assetToSyUp(exactYtOut);
         netSyIn = totalSyNeed.subMax0(syReceived);
 
-        priceImpact = calcPriceImpact(market, exactYtOut.neg());
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     /// @dev netYtOut is the parameter to approx
-    function swapExactSyForYtStatic(
-        address market,
-        uint256 exactSyIn,
-        ApproxParams memory approxParams
-    )
+    function swapExactSyForYtStatic(address market, uint256 exactSyIn)
         public
         returns (
             uint256 netYtOut,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
         MarketState memory state = IPMarket(market).readState(address(this));
@@ -301,10 +316,14 @@ library MarketMathStatic {
             index,
             exactSyIn,
             block.timestamp,
-            approxParams
+            getDefaultApproxParams()
         );
 
-        priceImpact = calcPriceImpact(market, netYtOut.neg());
+        priceImpact = calcPriceImpactYt(market, netYtOut.neg());
+
+        // Execute swap to calculate exchangeRateAfter
+        state.swapSyForExactPt(index, netYtOut, block.timestamp);
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     function swapExactYtForSyStatic(address market, uint256 exactYtIn)
@@ -312,9 +331,12 @@ library MarketMathStatic {
         returns (
             uint256 netSyOut,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
+        priceImpact = calcPriceImpactYt(market, exactYtIn.Int());
+
         MarketState memory state = IPMarket(market).readState(address(this));
 
         PYIndex index = pyIndex(market);
@@ -326,20 +348,17 @@ library MarketMathStatic {
         uint256 amountPYToRedeemSyOut = exactYtIn - amountPYToRepaySyOwed;
 
         netSyOut = index.assetToSy(amountPYToRedeemSyOut);
-        priceImpact = calcPriceImpact(market, exactYtIn.Int());
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     /// @dev netYtIn is the parameter to approx
-    function swapYtForExactSyStatic(
-        address market,
-        uint256 exactSyOut,
-        ApproxParams memory approxParams
-    )
+    function swapYtForExactSyStatic(address market, uint256 exactSyOut)
         external
         returns (
             uint256 netYtIn,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
         MarketState memory state = IPMarket(market).readState(address(this));
@@ -350,23 +369,24 @@ library MarketMathStatic {
             index,
             exactSyOut,
             block.timestamp,
-            approxParams
+            getDefaultApproxParams()
         );
-        priceImpact = calcPriceImpact(market, netYtIn.Int());
+        priceImpact = calcPriceImpactYt(market, netYtIn.Int());
+
+        // Execute swap to calculate exchangeRateAfter
+        state.swapSyForExactPt(index, netYtIn, block.timestamp);
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     // totalPtToSwap is the param to approx
-    function swapExactPtForYt(
-        address market,
-        uint256 exactPtIn,
-        ApproxParams memory approxParams
-    )
+    function swapExactPtForYt(address market, uint256 exactPtIn)
         external
         returns (
             uint256 netYtOut,
             uint256 totalPtToSwap,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
         MarketState memory state = IPMarket(market).readState(address(this));
@@ -376,23 +396,24 @@ library MarketMathStatic {
             index,
             exactPtIn,
             block.timestamp,
-            approxParams
+            getDefaultApproxParams()
         );
-        priceImpact = calcPriceImpact(market, totalPtToSwap.neg());
+        priceImpact = calcPriceImpactPY(market, totalPtToSwap.neg());
+
+        // Execute swap to calculate exchangeRateAfter
+        state.swapExactPtForSy(index, totalPtToSwap, block.timestamp);
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     // totalPtSwapped is the param to approx
-    function swapExactYtForPt(
-        address market,
-        uint256 exactYtIn,
-        ApproxParams memory approxParams
-    )
+    function swapExactYtForPt(address market, uint256 exactYtIn)
         external
         returns (
             uint256 netPtOut,
             uint256 totalPtSwapped,
             uint256 netSyFee,
-            uint256 priceImpact
+            uint256 priceImpact,
+            uint256 exchangeRateAfter
         )
     {
         MarketState memory state = IPMarket(market).readState(address(this));
@@ -402,10 +423,14 @@ library MarketMathStatic {
             index,
             exactYtIn,
             block.timestamp,
-            approxParams
+            getDefaultApproxParams()
         );
 
-        priceImpact = calcPriceImpact(market, totalPtSwapped.Int());
+        priceImpact = calcPriceImpactPY(market, totalPtSwapped.Int());
+
+        // Execute swap to calculate exchangeRateAfter
+        state.swapSyForExactPt(index, totalPtSwapped, block.timestamp);
+        exchangeRateAfter = _getTradeExchangeRateExcludeFee(market, state);
     }
 
     function pyIndex(address market) public returns (PYIndex index) {
@@ -414,8 +439,25 @@ library MarketMathStatic {
         return YT.newIndex();
     }
 
-    function getExchangeRate(address market) public returns (uint256) {
-        return getTradeExchangeRateIncludeFee(market, 0);
+    function getTradeExchangeRateExcludeFee(address market) public returns (uint256) {
+        if (IPMarket(market).isExpired()) return Math.ONE;
+        MarketState memory state = IPMarket(market).readState(address(this));
+        return _getTradeExchangeRateExcludeFee(market, state);
+    }
+
+    function _getTradeExchangeRateExcludeFee(address market, MarketState memory state)
+        public
+        returns (uint256)
+    {
+        MarketPreCompute memory comp = state.getMarketPreCompute(pyIndex(market), block.timestamp);
+        int256 preFeeExchangeRate = MarketMathCore._getExchangeRate(
+            state.totalPt,
+            comp.totalAsset,
+            comp.rateScalar,
+            comp.rateAnchor,
+            0
+        );
+        return preFeeExchangeRate.Uint();
     }
 
     function getTradeExchangeRateIncludeFee(address market, int256 netPtOut)
@@ -445,14 +487,40 @@ library MarketMathStatic {
         }
     }
 
-    function calcPriceImpact(address market, int256 netPtOut)
+    function calcPriceImpactPt(address market, int256 netPtOut)
         public
         returns (uint256 priceImpact)
     {
-        uint256 preTradeRate = getExchangeRate(market);
+        uint256 preTradeRate = getTradeExchangeRateIncludeFee(market, _getSign(netPtOut));
         uint256 tradedRate = getTradeExchangeRateIncludeFee(market, netPtOut);
+        priceImpact = _calculateImpact(preTradeRate, tradedRate);
+    }
 
-        priceImpact = (tradedRate.Int() - preTradeRate.Int()).abs().divDown(preTradeRate);
+    function calcPriceImpactYt(address market, int256 netPtOut)
+        public
+        returns (uint256 priceImpact)
+    {
+        uint256 ytPreTradeRate = _calcVirtualYTPrice(
+            getTradeExchangeRateIncludeFee(market, _getSign(netPtOut))
+        );
+        uint256 ytTradedRate = _calcVirtualYTPrice(
+            getTradeExchangeRateIncludeFee(market, netPtOut)
+        );
+        priceImpact = _calculateImpact(ytPreTradeRate, ytTradedRate);
+    }
+
+    function calcPriceImpactPY(address market, int256 netPtOut)
+        public
+        returns (uint256 priceImpact)
+    {
+        uint256 ptPreTradeRate = getTradeExchangeRateIncludeFee(market, _getSign(netPtOut));
+        uint256 ytPreTradeRate = _calcVirtualYTPrice(ptPreTradeRate);
+        uint256 ptTradeRate = getTradeExchangeRateIncludeFee(market, netPtOut);
+        uint256 ytTradeRate = _calcVirtualYTPrice(ptTradeRate);
+
+        uint256 pyPreTradeRate = ytPreTradeRate.divDown(ptPreTradeRate);
+        uint256 pyTradeRate = ytTradeRate.divDown(ptTradeRate);
+        priceImpact = _calculateImpact(pyPreTradeRate, pyTradeRate);
     }
 
     function getPtImpliedYield(address market) public view returns (int256) {
@@ -461,4 +529,29 @@ library MarketMathStatic {
         int256 lnImpliedRate = (state.lastLnImpliedRate).Int();
         return lnImpliedRate.exp();
     }
+
+    function _calcVirtualYTPrice(uint256 ptAssetExchangeRate)
+        private
+        pure
+        returns (uint256 ytAssetExchangeRate)
+    {
+        // 1 asset = EX pt
+        // 1 pt = 1/EX Asset
+        // 1 yt + 1/EX Asset = 1 Asset
+        // 1 yt = 1 Asset - 1/EX Asset
+        // 1 yt = (EX - 1) / EX Asset
+        return (ptAssetExchangeRate - Math.ONE).divDown(ptAssetExchangeRate);
+    }
+
+    function _getSign(int256 netPtOut) private pure returns (int256) {
+        return netPtOut > 0 ? int256(1) : int256(-1);
+    }
+
+    function _calculateImpact(uint256 rateBefore, uint256 rateTraded)
+        private
+        pure
+        returns (uint256 impact)
+    {
+        impact = (rateBefore.Int() - rateTraded.Int()).abs().divDown(rateBefore);
+    }
 }