336 lines
12 KiB
Rust
336 lines
12 KiB
Rust
use super::{TokenAccount, TokenIndex};
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use crate::util::checked_math as cm;
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use anchor_lang::prelude::*;
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use fixed::types::I80F48;
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use fixed_macro::types::I80F48;
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use static_assertions::const_assert_eq;
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use std::mem::size_of;
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pub const YEAR: I80F48 = I80F48!(31536000);
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#[account(zero_copy)]
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pub struct Bank {
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pub name: [u8; 16],
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pub group: Pubkey,
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pub mint: Pubkey,
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pub vault: Pubkey,
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pub oracle: Pubkey,
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/// the index used to scale the value of an IndexedPosition
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/// TODO: should always be >= 0, add checks?
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pub deposit_index: I80F48,
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pub borrow_index: I80F48,
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/// total deposits/borrows, for utilization
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pub indexed_total_deposits: I80F48,
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pub indexed_total_borrows: I80F48,
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pub last_updated: i64,
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pub util0: I80F48,
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pub rate0: I80F48,
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pub util1: I80F48,
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pub rate1: I80F48,
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pub max_rate: I80F48,
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// This is a _lot_ of bytes (64) - seems unnecessary
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// (could maybe store them in one byte each, as an informal U1F7?
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// that could store values between 0-2 and converting to I80F48 would be a cheap expand+shift)
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pub maint_asset_weight: I80F48,
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pub init_asset_weight: I80F48,
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pub maint_liab_weight: I80F48,
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pub init_liab_weight: I80F48,
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// a fraction of the price, like 0.05 for a 5% fee during liquidation
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//
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// Liquidation always involves two tokens, and the sum of the two configured fees is used.
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pub liquidation_fee: I80F48,
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// Collection of all fractions-of-native-tokens that got rounded away
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pub dust: I80F48,
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// Index into TokenInfo on the group
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pub token_index: TokenIndex,
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pub reserved: [u8; 6],
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}
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const_assert_eq!(size_of::<Bank>(), 16 + 32 * 4 + 8 + 16 * 15 + 2 + 6);
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const_assert_eq!(size_of::<Bank>() % 8, 0);
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impl Bank {
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pub fn native_total_borrows(&self) -> I80F48 {
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self.borrow_index * self.indexed_total_borrows
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}
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pub fn native_total_deposits(&self) -> I80F48 {
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self.deposit_index * self.indexed_total_deposits
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}
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/// Returns whether the position is active
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///
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/// native_amount must be >= 0
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/// fractional deposits can be relevant during liquidation, for example
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pub fn deposit(
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&mut self,
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position: &mut TokenAccount,
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mut native_amount: I80F48,
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) -> Result<bool> {
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let native_position = position.native(self);
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if native_position.is_negative() {
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let new_native_position = cm!(native_position + native_amount);
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if !new_native_position.is_positive() {
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// pay back borrows only, leaving a negative position
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let indexed_change = cm!(native_amount / self.borrow_index + I80F48::DELTA);
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self.indexed_total_borrows = cm!(self.indexed_total_borrows - indexed_change);
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position.indexed_value = cm!(position.indexed_value + indexed_change);
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return Ok(true);
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} else if new_native_position < I80F48::ONE && !position.is_in_use() {
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// if there's less than one token deposited, zero the position
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self.dust = cm!(self.dust + new_native_position);
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self.indexed_total_borrows =
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cm!(self.indexed_total_borrows + position.indexed_value);
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position.indexed_value = I80F48::ZERO;
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return Ok(false);
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}
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// pay back all borrows
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self.indexed_total_borrows = cm!(self.indexed_total_borrows + position.indexed_value); // position.value is negative
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position.indexed_value = I80F48::ZERO;
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// deposit the rest
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native_amount = cm!(native_amount + native_position);
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}
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// add to deposits
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// Adding DELTA to amount/index helps because (amount/index)*index <= amount, but
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// we want to ensure that users can withdraw the same amount they have deposited, so
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// (amount/index + delta)*index >= amount is a better guarantee.
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let indexed_change = cm!(native_amount / self.deposit_index + I80F48::DELTA);
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self.indexed_total_deposits = cm!(self.indexed_total_deposits + indexed_change);
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position.indexed_value = cm!(position.indexed_value + indexed_change);
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Ok(true)
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}
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/// Returns whether the position is active
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///
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/// native_amount must be >= 0
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/// fractional withdraws can be relevant during liquidation, for example
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pub fn withdraw(
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&mut self,
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position: &mut TokenAccount,
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mut native_amount: I80F48,
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) -> Result<bool> {
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let native_position = position.native(self);
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if native_position.is_positive() {
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let new_native_position = cm!(native_position - native_amount);
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if !new_native_position.is_negative() {
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// withdraw deposits only
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if new_native_position < I80F48::ONE && !position.is_in_use() {
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// zero the account collecting the leftovers in `dust`
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self.dust = cm!(self.dust + new_native_position);
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self.indexed_total_deposits =
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cm!(self.indexed_total_deposits - position.indexed_value);
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position.indexed_value = I80F48::ZERO;
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return Ok(false);
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} else {
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// withdraw some deposits leaving a positive balance
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let indexed_change = cm!(native_amount / self.deposit_index);
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self.indexed_total_deposits = cm!(self.indexed_total_deposits - indexed_change);
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position.indexed_value = cm!(position.indexed_value - indexed_change);
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return Ok(true);
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}
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}
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// withdraw all deposits
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self.indexed_total_deposits = cm!(self.indexed_total_deposits - position.indexed_value);
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position.indexed_value = I80F48::ZERO;
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// borrow the rest
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native_amount = -new_native_position;
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}
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// add to borrows
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let indexed_change = cm!(native_amount / self.borrow_index);
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self.indexed_total_borrows = cm!(self.indexed_total_borrows + indexed_change);
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position.indexed_value = cm!(position.indexed_value - indexed_change);
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Ok(true)
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}
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pub fn change(&mut self, position: &mut TokenAccount, native_amount: I80F48) -> Result<bool> {
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if native_amount >= 0 {
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self.deposit(position, native_amount)
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} else {
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self.withdraw(position, -native_amount)
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}
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}
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pub fn update_index(&mut self, now_ts: i64) -> Result<()> {
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let utilization = if self.native_total_deposits() == I80F48::ZERO {
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I80F48::ZERO
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} else {
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cm!(self.native_total_borrows() / self.native_total_deposits())
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};
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let interest_rate = self.compute_interest_rate(utilization);
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let diff_ts = I80F48::from_num(now_ts - self.last_updated);
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self.last_updated = now_ts;
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let borrow_interest: I80F48 = cm!(interest_rate * diff_ts);
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let deposit_interest = cm!(borrow_interest * utilization);
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if borrow_interest <= I80F48::ZERO || deposit_interest <= I80F48::ZERO {
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return Ok(());
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}
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self.borrow_index = cm!((self.borrow_index * borrow_interest) / YEAR + self.borrow_index);
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self.deposit_index =
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cm!((self.deposit_index * deposit_interest) / YEAR + self.deposit_index);
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Ok(())
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}
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/// returns the current interest rate in APR
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#[inline(always)]
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pub fn compute_interest_rate(&self, utilization: I80F48) -> I80F48 {
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Bank::interest_rate_curve_calculator(
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utilization,
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self.util0,
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self.rate0,
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self.util1,
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self.rate1,
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self.max_rate,
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)
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}
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/// calcualtor function that can be used to compute an interest
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/// rate based on the given parameters
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#[inline(always)]
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pub fn interest_rate_curve_calculator(
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utilization: I80F48,
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util0: I80F48,
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rate0: I80F48,
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util1: I80F48,
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rate1: I80F48,
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max_rate: I80F48,
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) -> I80F48 {
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if utilization <= util0 {
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let slope = cm!(rate0 / util0);
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cm!(slope * utilization)
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} else if utilization <= util1 {
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let extra_util = cm!(utilization - util0);
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let slope = cm!((rate1 - rate0) / (util1 - util0));
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cm!(rate0 + slope * extra_util)
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} else {
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let extra_util = cm!(utilization - util1);
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let slope = cm!((max_rate - rate1) / (I80F48::ONE - util1));
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cm!(rate1 + slope * extra_util)
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}
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}
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}
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#[cfg(test)]
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mod tests {
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use bytemuck::Zeroable;
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use super::*;
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#[test]
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pub fn change() -> Result<()> {
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let epsilon = I80F48::from_bits(1);
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let cases = [
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(-10.1, 1),
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(-10.1, 10),
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(-10.1, 11),
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(-10.1, 50),
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(-2.0, 2),
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(-2.0, 3),
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(-0.1, 1),
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(0.0, 1),
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(0.1, 1),
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(10.1, -1),
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(10.1, -9),
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(10.1, -10),
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(10.1, -11),
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(1.0, -1),
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(0.1, -1),
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(0.0, -1),
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(-0.1, -1),
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(-1.1, -10),
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];
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for is_in_use in [false, true] {
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for (start, change) in cases {
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println!(
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"testing: in use: {}, start: {}, change: {}",
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is_in_use, start, change
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);
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//
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// SETUP
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//
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let mut bank = Bank::zeroed();
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bank.deposit_index = I80F48::from_num(100.0);
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bank.borrow_index = I80F48::from_num(10.0);
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let indexed = |v: I80F48, b: &Bank| {
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if v > 0 {
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v / b.deposit_index
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} else {
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v / b.borrow_index
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}
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};
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let mut account = TokenAccount {
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indexed_value: I80F48::ZERO,
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token_index: 0,
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in_use_count: if is_in_use { 1 } else { 0 },
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reserved: Default::default(),
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};
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account.indexed_value = indexed(I80F48::from_num(start), &bank);
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if start >= 0.0 {
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bank.indexed_total_deposits = account.indexed_value;
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} else {
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bank.indexed_total_borrows = -account.indexed_value;
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}
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// get the rounded start value
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let start_native = account.native(&bank);
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//
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// TEST
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//
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let change = I80F48::from(change);
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let is_active = bank.change(&mut account, change)?;
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let mut expected_native = start_native + change;
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if expected_native >= 0.0 && expected_native < 1.0 && !is_in_use {
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assert!(!is_active);
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assert_eq!(bank.dust, expected_native);
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expected_native = I80F48::ZERO;
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} else {
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assert!(is_active);
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assert_eq!(bank.dust, I80F48::ZERO);
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}
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let expected_indexed = indexed(expected_native, &bank);
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// at most one epsilon error in the resulting indexed value
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assert!((account.indexed_value - expected_indexed).abs() <= epsilon);
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if account.indexed_value.is_positive() {
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assert_eq!(bank.indexed_total_deposits, account.indexed_value);
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assert_eq!(bank.indexed_total_borrows, I80F48::ZERO);
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} else {
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assert_eq!(bank.indexed_total_deposits, I80F48::ZERO);
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assert_eq!(bank.indexed_total_borrows, -account.indexed_value);
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}
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}
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}
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Ok(())
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}
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}
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