Contract Source Code:
// SPDX-License-Identifier: BUSL-1.1
// For further clarification please see https://license.premia.legal
pragma solidity ^0.8.0;
import {OwnableStorage} from "@solidstate/contracts/access/OwnableStorage.sol";
import {ERC165Storage} from "@solidstate/contracts/introspection/ERC165Storage.sol";
import {Proxy} from "@solidstate/contracts/proxy/Proxy.sol";
import {IDiamondLoupe} from "@solidstate/contracts/proxy/diamond/IDiamondLoupe.sol";
import {IERC20Metadata} from "@solidstate/contracts/token/ERC20/metadata/IERC20Metadata.sol";
import {IERC1155} from "@solidstate/contracts/token/ERC1155/IERC1155.sol";
import {IERC165} from "@solidstate/contracts/introspection/IERC165.sol";
import {IProxyManager} from "../core/IProxyManager.sol";
import {PoolStorage} from "./PoolStorage.sol";
import {ABDKMath64x64Token} from "../libraries/ABDKMath64x64Token.sol";
/**
* @title Upgradeable proxy with centrally controlled Pool implementation
*/
contract PoolProxy is Proxy {
using PoolStorage for PoolStorage.Layout;
using ERC165Storage for ERC165Storage.Layout;
address private immutable DIAMOND;
constructor(
address diamond,
address base,
address underlying,
address baseOracle,
address underlyingOracle,
int128 baseMinimum64x64,
int128 underlyingMinimum64x64,
int128 basePoolCap64x64,
int128 underlyingPoolCap64x64,
int128 initialCLevel64x64,
int128 initialSteepness64x64
) {
DIAMOND = diamond;
OwnableStorage.layout().owner = msg.sender;
{
PoolStorage.Layout storage l = PoolStorage.layout();
l.base = base;
l.underlying = underlying;
l.setOracles(baseOracle, underlyingOracle);
uint8 baseDecimals = IERC20Metadata(base).decimals();
uint8 underlyingDecimals = IERC20Metadata(underlying).decimals();
l.baseDecimals = baseDecimals;
l.underlyingDecimals = underlyingDecimals;
l.baseMinimum = ABDKMath64x64Token.toDecimals(
baseMinimum64x64,
baseDecimals
);
l.underlyingMinimum = ABDKMath64x64Token.toDecimals(
underlyingMinimum64x64,
underlyingDecimals
);
l.basePoolCap = ABDKMath64x64Token.toDecimals(
basePoolCap64x64,
baseDecimals
);
l.underlyingPoolCap = ABDKMath64x64Token.toDecimals(
underlyingPoolCap64x64,
underlyingDecimals
);
l.steepness64x64 = initialSteepness64x64;
l.cLevelBase64x64 = initialCLevel64x64;
l.cLevelUnderlying64x64 = initialCLevel64x64;
int128 newPrice64x64 = l.fetchPriceUpdate();
l.setPriceUpdate(block.timestamp, newPrice64x64);
l.updatedAt = block.timestamp;
l.cLevelBaseUpdatedAt = block.timestamp;
l.cLevelUnderlyingUpdatedAt = block.timestamp;
}
{
ERC165Storage.Layout storage l = ERC165Storage.layout();
l.setSupportedInterface(type(IERC165).interfaceId, true);
l.setSupportedInterface(type(IERC1155).interfaceId, true);
}
}
function _getImplementation() internal view override returns (address) {
return IDiamondLoupe(DIAMOND).facetAddress(msg.sig);
}
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
library OwnableStorage {
struct Layout {
address owner;
}
bytes32 internal constant STORAGE_SLOT =
keccak256('solidstate.contracts.storage.Ownable');
function layout() internal pure returns (Layout storage l) {
bytes32 slot = STORAGE_SLOT;
assembly {
l.slot := slot
}
}
function setOwner(Layout storage l, address owner) internal {
l.owner = owner;
}
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
library ERC165Storage {
struct Layout {
mapping(bytes4 => bool) supportedInterfaces;
}
bytes32 internal constant STORAGE_SLOT =
keccak256('solidstate.contracts.storage.ERC165');
function layout() internal pure returns (Layout storage l) {
bytes32 slot = STORAGE_SLOT;
assembly {
l.slot := slot
}
}
function isSupportedInterface(Layout storage l, bytes4 interfaceId)
internal
view
returns (bool)
{
return l.supportedInterfaces[interfaceId];
}
function setSupportedInterface(
Layout storage l,
bytes4 interfaceId,
bool status
) internal {
require(interfaceId != 0xffffffff, 'ERC165: invalid interface id');
l.supportedInterfaces[interfaceId] = status;
}
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
import { AddressUtils } from '../utils/AddressUtils.sol';
/**
* @title Base proxy contract
*/
abstract contract Proxy {
using AddressUtils for address;
/**
* @notice delegate all calls to implementation contract
* @dev reverts if implementation address contains no code, for compatibility with metamorphic contracts
* @dev memory location in use by assembly may be unsafe in other contexts
*/
fallback() external payable virtual {
address implementation = _getImplementation();
require(
implementation.isContract(),
'Proxy: implementation must be contract'
);
assembly {
calldatacopy(0, 0, calldatasize())
let result := delegatecall(
gas(),
implementation,
0,
calldatasize(),
0,
0
)
returndatacopy(0, 0, returndatasize())
switch result
case 0 {
revert(0, returndatasize())
}
default {
return(0, returndatasize())
}
}
}
/**
* @notice get logic implementation address
* @return implementation address
*/
function _getImplementation() internal virtual returns (address);
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
/**
* @title Diamond proxy introspection interface
* @dev see https://eips.ethereum.org/EIPS/eip-2535
*/
interface IDiamondLoupe {
struct Facet {
address target;
bytes4[] selectors;
}
/**
* @notice get all facets and their selectors
* @return diamondFacets array of structured facet data
*/
function facets() external view returns (Facet[] memory diamondFacets);
/**
* @notice get all selectors for given facet address
* @param facet address of facet to query
* @return selectors array of function selectors
*/
function facetFunctionSelectors(address facet)
external
view
returns (bytes4[] memory selectors);
/**
* @notice get addresses of all facets used by diamond
* @return addresses array of facet addresses
*/
function facetAddresses()
external
view
returns (address[] memory addresses);
/**
* @notice get the address of the facet associated with given selector
* @param selector function selector to query
* @return facet facet address (zero address if not found)
*/
function facetAddress(bytes4 selector)
external
view
returns (address facet);
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
/**
* @title ERC20 metadata interface
*/
interface IERC20Metadata {
/**
* @notice return token name
* @return token name
*/
function name() external view returns (string memory);
/**
* @notice return token symbol
* @return token symbol
*/
function symbol() external view returns (string memory);
/**
* @notice return token decimals, generally used only for display purposes
* @return token decimals
*/
function decimals() external view returns (uint8);
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
import { IERC1155Internal } from './IERC1155Internal.sol';
import { IERC165 } from '../../introspection/IERC165.sol';
/**
* @notice ERC1155 interface
* @dev see https://github.com/ethereum/EIPs/issues/1155
*/
interface IERC1155 is IERC1155Internal, IERC165 {
/**
* @notice query the balance of given token held by given address
* @param account address to query
* @param id token to query
* @return token balance
*/
function balanceOf(address account, uint256 id)
external
view
returns (uint256);
/**
* @notice query the balances of given tokens held by given addresses
* @param accounts addresss to query
* @param ids tokens to query
* @return token balances
*/
function balanceOfBatch(address[] calldata accounts, uint256[] calldata ids)
external
view
returns (uint256[] memory);
/**
* @notice query approval status of given operator with respect to given address
* @param account address to query for approval granted
* @param operator address to query for approval received
* @return whether operator is approved to spend tokens held by account
*/
function isApprovedForAll(address account, address operator)
external
view
returns (bool);
/**
* @notice grant approval to or revoke approval from given operator to spend held tokens
* @param operator address whose approval status to update
* @param status whether operator should be considered approved
*/
function setApprovalForAll(address operator, bool status) external;
/**
* @notice transfer tokens between given addresses, checking for ERC1155Receiver implementation if applicable
* @param from sender of tokens
* @param to receiver of tokens
* @param id token ID
* @param amount quantity of tokens to transfer
* @param data data payload
*/
function safeTransferFrom(
address from,
address to,
uint256 id,
uint256 amount,
bytes calldata data
) external;
/**
* @notice transfer batch of tokens between given addresses, checking for ERC1155Receiver implementation if applicable
* @param from sender of tokens
* @param to receiver of tokens
* @param ids list of token IDs
* @param amounts list of quantities of tokens to transfer
* @param data data payload
*/
function safeBatchTransferFrom(
address from,
address to,
uint256[] calldata ids,
uint256[] calldata amounts,
bytes calldata data
) external;
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
/**
* @title ERC165 interface registration interface
* @dev see https://eips.ethereum.org/EIPS/eip-165
*/
interface IERC165 {
/**
* @notice query whether contract has registered support for given interface
* @param interfaceId interface id
* @return bool whether interface is supported
*/
function supportsInterface(bytes4 interfaceId) external view returns (bool);
}
// SPDX-License-Identifier: LGPL-3.0-or-later
pragma solidity ^0.8.0;
interface IProxyManager {
function getPoolList() external view returns (address[] memory);
}
// SPDX-License-Identifier: BUSL-1.1
// For further clarification please see https://license.premia.legal
pragma solidity ^0.8.0;
import {AggregatorInterface} from "@chainlink/contracts/src/v0.8/interfaces/AggregatorInterface.sol";
import {AggregatorV3Interface} from "@chainlink/contracts/src/v0.8/interfaces/AggregatorV3Interface.sol";
import {EnumerableSet, ERC1155EnumerableStorage} from "@solidstate/contracts/token/ERC1155/enumerable/ERC1155EnumerableStorage.sol";
import {ABDKMath64x64} from "abdk-libraries-solidity/ABDKMath64x64.sol";
import {ABDKMath64x64Token} from "../libraries/ABDKMath64x64Token.sol";
import {OptionMath} from "../libraries/OptionMath.sol";
library PoolStorage {
using ABDKMath64x64 for int128;
using PoolStorage for PoolStorage.Layout;
enum TokenType {
UNDERLYING_FREE_LIQ,
BASE_FREE_LIQ,
UNDERLYING_RESERVED_LIQ,
BASE_RESERVED_LIQ,
LONG_CALL,
SHORT_CALL,
LONG_PUT,
SHORT_PUT
}
struct PoolSettings {
address underlying;
address base;
address underlyingOracle;
address baseOracle;
}
struct QuoteArgsInternal {
address feePayer; // address of the fee payer
uint64 maturity; // timestamp of option maturity
int128 strike64x64; // 64x64 fixed point representation of strike price
int128 spot64x64; // 64x64 fixed point representation of spot price
uint256 contractSize; // size of option contract
bool isCall; // true for call, false for put
}
struct QuoteResultInternal {
int128 baseCost64x64; // 64x64 fixed point representation of option cost denominated in underlying currency (without fee)
int128 feeCost64x64; // 64x64 fixed point representation of option fee cost denominated in underlying currency for call, or base currency for put
int128 cLevel64x64; // 64x64 fixed point representation of C-Level of Pool after purchase
int128 slippageCoefficient64x64; // 64x64 fixed point representation of slippage coefficient for given order size
}
struct BatchData {
uint256 eta;
uint256 totalPendingDeposits;
}
bytes32 internal constant STORAGE_SLOT =
keccak256("premia.contracts.storage.Pool");
uint256 private constant C_DECAY_BUFFER = 12 hours;
uint256 private constant C_DECAY_INTERVAL = 4 hours;
struct Layout {
// ERC20 token addresses
address base;
address underlying;
// AggregatorV3Interface oracle addresses
address baseOracle;
address underlyingOracle;
// token metadata
uint8 underlyingDecimals;
uint8 baseDecimals;
// minimum amounts
uint256 baseMinimum;
uint256 underlyingMinimum;
// deposit caps
uint256 basePoolCap;
uint256 underlyingPoolCap;
// market state
int128 steepness64x64;
int128 cLevelBase64x64;
int128 cLevelUnderlying64x64;
uint256 cLevelBaseUpdatedAt;
uint256 cLevelUnderlyingUpdatedAt;
uint256 updatedAt;
// User -> isCall -> depositedAt
mapping(address => mapping(bool => uint256)) depositedAt;
mapping(address => mapping(bool => uint256)) divestmentTimestamps;
// doubly linked list of free liquidity intervals
// isCall -> User -> User
mapping(bool => mapping(address => address)) liquidityQueueAscending;
mapping(bool => mapping(address => address)) liquidityQueueDescending;
// minimum resolution price bucket => price
mapping(uint256 => int128) bucketPrices64x64;
// sequence id (minimum resolution price bucket / 256) => price update sequence
mapping(uint256 => uint256) priceUpdateSequences;
// isCall -> batch data
mapping(bool => BatchData) nextDeposits;
// user -> batch timestamp -> isCall -> pending amount
mapping(address => mapping(uint256 => mapping(bool => uint256))) pendingDeposits;
EnumerableSet.UintSet tokenIds;
// user -> isCallPool -> total value locked of user (Used for liquidity mining)
mapping(address => mapping(bool => uint256)) userTVL;
// isCallPool -> total value locked
mapping(bool => uint256) totalTVL;
}
function layout() internal pure returns (Layout storage l) {
bytes32 slot = STORAGE_SLOT;
assembly {
l.slot := slot
}
}
/**
* @notice calculate ERC1155 token id for given option parameters
* @param tokenType TokenType enum
* @param maturity timestamp of option maturity
* @param strike64x64 64x64 fixed point representation of strike price
* @return tokenId token id
*/
function formatTokenId(
TokenType tokenType,
uint64 maturity,
int128 strike64x64
) internal pure returns (uint256 tokenId) {
tokenId =
(uint256(tokenType) << 248) +
(uint256(maturity) << 128) +
uint256(int256(strike64x64));
}
/**
* @notice derive option maturity and strike price from ERC1155 token id
* @param tokenId token id
* @return tokenType TokenType enum
* @return maturity timestamp of option maturity
* @return strike64x64 option strike price
*/
function parseTokenId(uint256 tokenId)
internal
pure
returns (
TokenType tokenType,
uint64 maturity,
int128 strike64x64
)
{
assembly {
tokenType := shr(248, tokenId)
maturity := shr(128, tokenId)
strike64x64 := tokenId
}
}
function getTokenDecimals(Layout storage l, bool isCall)
internal
view
returns (uint8 decimals)
{
decimals = isCall ? l.underlyingDecimals : l.baseDecimals;
}
function totalFreeLiquiditySupply64x64(Layout storage l, bool isCall)
internal
view
returns (int128)
{
uint256 tokenId = formatTokenId(
isCall ? TokenType.UNDERLYING_FREE_LIQ : TokenType.BASE_FREE_LIQ,
0,
0
);
return
ABDKMath64x64Token.fromDecimals(
ERC1155EnumerableStorage.layout().totalSupply[tokenId] -
l.nextDeposits[isCall].totalPendingDeposits,
l.getTokenDecimals(isCall)
);
}
function getReinvestmentStatus(
Layout storage l,
address account,
bool isCallPool
) internal view returns (bool) {
uint256 timestamp = l.divestmentTimestamps[account][isCallPool];
return timestamp == 0 || timestamp > block.timestamp;
}
function addUnderwriter(
Layout storage l,
address account,
bool isCallPool
) internal {
require(account != address(0));
mapping(address => address) storage asc = l.liquidityQueueAscending[
isCallPool
];
mapping(address => address) storage desc = l.liquidityQueueDescending[
isCallPool
];
if (_isInQueue(account, asc, desc)) return;
address last = desc[address(0)];
asc[last] = account;
desc[account] = last;
desc[address(0)] = account;
}
function removeUnderwriter(
Layout storage l,
address account,
bool isCallPool
) internal {
require(account != address(0));
mapping(address => address) storage asc = l.liquidityQueueAscending[
isCallPool
];
mapping(address => address) storage desc = l.liquidityQueueDescending[
isCallPool
];
if (!_isInQueue(account, asc, desc)) return;
address prev = desc[account];
address next = asc[account];
asc[prev] = next;
desc[next] = prev;
delete asc[account];
delete desc[account];
}
function isInQueue(
Layout storage l,
address account,
bool isCallPool
) internal view returns (bool) {
mapping(address => address) storage asc = l.liquidityQueueAscending[
isCallPool
];
mapping(address => address) storage desc = l.liquidityQueueDescending[
isCallPool
];
return _isInQueue(account, asc, desc);
}
function _isInQueue(
address account,
mapping(address => address) storage asc,
mapping(address => address) storage desc
) private view returns (bool) {
return asc[account] != address(0) || desc[address(0)] == account;
}
function getCLevel(Layout storage l, bool isCall)
internal
view
returns (int128 cLevel64x64)
{
int128 oldCLevel64x64 = isCall
? l.cLevelUnderlying64x64
: l.cLevelBase64x64;
uint256 timeElapsed = block.timestamp -
(isCall ? l.cLevelUnderlyingUpdatedAt : l.cLevelBaseUpdatedAt);
// do not apply C decay if less than 24 hours have elapsed
if (timeElapsed > C_DECAY_BUFFER) {
timeElapsed -= C_DECAY_BUFFER;
} else {
return oldCLevel64x64;
}
int128 timeIntervalsElapsed64x64 = ABDKMath64x64.divu(
timeElapsed,
C_DECAY_INTERVAL
);
uint256 tokenId = formatTokenId(
isCall ? TokenType.UNDERLYING_FREE_LIQ : TokenType.BASE_FREE_LIQ,
0,
0
);
uint256 tvl = l.totalTVL[isCall];
int128 utilization = ABDKMath64x64.divu(
tvl -
(ERC1155EnumerableStorage.layout().totalSupply[tokenId] -
l.nextDeposits[isCall].totalPendingDeposits),
tvl
);
cLevel64x64 = OptionMath.calculateCLevelDecay(
OptionMath.CalculateCLevelDecayArgs(
timeIntervalsElapsed64x64,
oldCLevel64x64,
utilization,
0xb333333333333333, // 0.7
0xe666666666666666, // 0.9
0x10000000000000000, // 1.0
0x10000000000000000, // 1.0
0xe666666666666666, // 0.9
0x56fc2a2c515da32ea // 2e
)
);
}
function setCLevel(
Layout storage l,
int128 oldLiquidity64x64,
int128 newLiquidity64x64,
bool isCallPool
) internal returns (int128 cLevel64x64) {
cLevel64x64 = l.calculateCLevel(
oldLiquidity64x64,
newLiquidity64x64,
isCallPool
);
l.setCLevel(cLevel64x64, isCallPool);
}
function setCLevel(
Layout storage l,
int128 cLevel64x64,
bool isCallPool
) internal {
if (isCallPool) {
l.cLevelUnderlying64x64 = cLevel64x64;
l.cLevelUnderlyingUpdatedAt = block.timestamp;
} else {
l.cLevelBase64x64 = cLevel64x64;
l.cLevelBaseUpdatedAt = block.timestamp;
}
}
function calculateCLevel(
Layout storage l,
int128 oldLiquidity64x64,
int128 newLiquidity64x64,
bool isCallPool
) internal view returns (int128 cLevel64x64) {
cLevel64x64 = OptionMath.calculateCLevel(
l.getCLevel(isCallPool),
oldLiquidity64x64,
newLiquidity64x64,
l.steepness64x64
);
if (cLevel64x64 < 0xb333333333333333) {
cLevel64x64 = int128(0xb333333333333333); // 64x64 fixed point representation of 0.7
}
}
function setOracles(
Layout storage l,
address baseOracle,
address underlyingOracle
) internal {
require(
AggregatorV3Interface(baseOracle).decimals() ==
AggregatorV3Interface(underlyingOracle).decimals(),
"Pool: oracle decimals must match"
);
l.baseOracle = baseOracle;
l.underlyingOracle = underlyingOracle;
}
function fetchPriceUpdate(Layout storage l)
internal
view
returns (int128 price64x64)
{
int256 priceUnderlying = AggregatorInterface(l.underlyingOracle)
.latestAnswer();
int256 priceBase = AggregatorInterface(l.baseOracle).latestAnswer();
return ABDKMath64x64.divi(priceUnderlying, priceBase);
}
/**
* @notice set price update for current hourly bucket
* @param l storage layout struct
* @param timestamp timestamp to update
* @param price64x64 64x64 fixed point representation of price
*/
function setPriceUpdate(
Layout storage l,
uint256 timestamp,
int128 price64x64
) internal {
uint256 bucket = timestamp / (1 hours);
l.bucketPrices64x64[bucket] = price64x64;
l.priceUpdateSequences[bucket >> 8] += 1 << (255 - (bucket & 255));
}
/**
* @notice get price update for hourly bucket corresponding to given timestamp
* @param l storage layout struct
* @param timestamp timestamp to query
* @return 64x64 fixed point representation of price
*/
function getPriceUpdate(Layout storage l, uint256 timestamp)
internal
view
returns (int128)
{
return l.bucketPrices64x64[timestamp / (1 hours)];
}
/**
* @notice get first price update available following given timestamp
* @param l storage layout struct
* @param timestamp timestamp to query
* @return 64x64 fixed point representation of price
*/
function getPriceUpdateAfter(Layout storage l, uint256 timestamp)
internal
view
returns (int128)
{
// price updates are grouped into hourly buckets
uint256 bucket = timestamp / (1 hours);
// divide by 256 to get the index of the relevant price update sequence
uint256 sequenceId = bucket >> 8;
// get position within sequence relevant to current price update
uint256 offset = bucket & 255;
// shift to skip buckets from earlier in sequence
uint256 sequence = (l.priceUpdateSequences[sequenceId] << offset) >>
offset;
// iterate through future sequences until a price update is found
// sequence corresponding to current timestamp used as upper bound
uint256 currentPriceUpdateSequenceId = block.timestamp / (256 hours);
while (sequence == 0 && sequenceId <= currentPriceUpdateSequenceId) {
sequence = l.priceUpdateSequences[++sequenceId];
}
// if no price update is found (sequence == 0) function will return 0
// this should never occur, as each relevant external function triggers a price update
// the most significant bit of the sequence corresponds to the offset of the relevant bucket
uint256 msb;
for (uint256 i = 128; i > 0; i >>= 1) {
if (sequence >> i > 0) {
msb += i;
sequence >>= i;
}
}
return l.bucketPrices64x64[((sequenceId + 1) << 8) - msb - 1];
}
function fromBaseToUnderlyingDecimals(Layout storage l, uint256 value)
internal
view
returns (uint256)
{
int128 valueFixed64x64 = ABDKMath64x64Token.fromDecimals(
value,
l.baseDecimals
);
return
ABDKMath64x64Token.toDecimals(
valueFixed64x64,
l.underlyingDecimals
);
}
function fromUnderlyingToBaseDecimals(Layout storage l, uint256 value)
internal
view
returns (uint256)
{
int128 valueFixed64x64 = ABDKMath64x64Token.fromDecimals(
value,
l.underlyingDecimals
);
return ABDKMath64x64Token.toDecimals(valueFixed64x64, l.baseDecimals);
}
}
// SPDX-License-Identifier: BUSL-1.1
// For further clarification please see https://license.premia.legal
pragma solidity ^0.8.0;
import {ABDKMath64x64} from "abdk-libraries-solidity/ABDKMath64x64.sol";
library ABDKMath64x64Token {
using ABDKMath64x64 for int128;
/**
* @notice convert 64x64 fixed point representation of token amount to decimal
* @param value64x64 64x64 fixed point representation of token amount
* @param decimals token display decimals
* @return value decimal representation of token amount
*/
function toDecimals(int128 value64x64, uint8 decimals)
internal
pure
returns (uint256 value)
{
value = value64x64.mulu(10**decimals);
}
/**
* @notice convert decimal representation of token amount to 64x64 fixed point
* @param value decimal representation of token amount
* @param decimals token display decimals
* @return value64x64 64x64 fixed point representation of token amount
*/
function fromDecimals(uint256 value, uint8 decimals)
internal
pure
returns (int128 value64x64)
{
value64x64 = ABDKMath64x64.divu(value, 10**decimals);
}
/**
* @notice convert 64x64 fixed point representation of token amount to wei (18 decimals)
* @param value64x64 64x64 fixed point representation of token amount
* @return value wei representation of token amount
*/
function toWei(int128 value64x64) internal pure returns (uint256 value) {
value = toDecimals(value64x64, 18);
}
/**
* @notice convert wei representation (18 decimals) of token amount to 64x64 fixed point
* @param value wei representation of token amount
* @return value64x64 64x64 fixed point representation of token amount
*/
function fromWei(uint256 value) internal pure returns (int128 value64x64) {
value64x64 = fromDecimals(value, 18);
}
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
library AddressUtils {
function toString(address account) internal pure returns (string memory) {
bytes32 value = bytes32(uint256(uint160(account)));
bytes memory alphabet = '0123456789abcdef';
bytes memory chars = new bytes(42);
chars[0] = '0';
chars[1] = 'x';
for (uint256 i = 0; i < 20; i++) {
chars[2 + i * 2] = alphabet[uint8(value[i + 12] >> 4)];
chars[3 + i * 2] = alphabet[uint8(value[i + 12] & 0x0f)];
}
return string(chars);
}
function isContract(address account) internal view returns (bool) {
uint256 size;
assembly {
size := extcodesize(account)
}
return size > 0;
}
function sendValue(address payable account, uint256 amount) internal {
(bool success, ) = account.call{ value: amount }('');
require(success, 'AddressUtils: failed to send value');
}
function functionCall(address target, bytes memory data)
internal
returns (bytes memory)
{
return
functionCall(target, data, 'AddressUtils: failed low-level call');
}
function functionCall(
address target,
bytes memory data,
string memory error
) internal returns (bytes memory) {
return _functionCallWithValue(target, data, 0, error);
}
function functionCallWithValue(
address target,
bytes memory data,
uint256 value
) internal returns (bytes memory) {
return
functionCallWithValue(
target,
data,
value,
'AddressUtils: failed low-level call with value'
);
}
function functionCallWithValue(
address target,
bytes memory data,
uint256 value,
string memory error
) internal returns (bytes memory) {
require(
address(this).balance >= value,
'AddressUtils: insufficient balance for call'
);
return _functionCallWithValue(target, data, value, error);
}
function _functionCallWithValue(
address target,
bytes memory data,
uint256 value,
string memory error
) private returns (bytes memory) {
require(
isContract(target),
'AddressUtils: function call to non-contract'
);
(bool success, bytes memory returnData) = target.call{ value: value }(
data
);
if (success) {
return returnData;
} else if (returnData.length > 0) {
assembly {
let returnData_size := mload(returnData)
revert(add(32, returnData), returnData_size)
}
} else {
revert(error);
}
}
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
import { IERC165 } from '../../introspection/IERC165.sol';
/**
* @notice Partial ERC1155 interface needed by internal functions
*/
interface IERC1155Internal {
event TransferSingle(
address indexed operator,
address indexed from,
address indexed to,
uint256 id,
uint256 value
);
event TransferBatch(
address indexed operator,
address indexed from,
address indexed to,
uint256[] ids,
uint256[] values
);
event ApprovalForAll(
address indexed account,
address indexed operator,
bool approved
);
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
interface AggregatorInterface {
function latestAnswer()
external
view
returns (
int256
);
function latestTimestamp()
external
view
returns (
uint256
);
function latestRound()
external
view
returns (
uint256
);
function getAnswer(
uint256 roundId
)
external
view
returns (
int256
);
function getTimestamp(
uint256 roundId
)
external
view
returns (
uint256
);
event AnswerUpdated(
int256 indexed current,
uint256 indexed roundId,
uint256 updatedAt
);
event NewRound(
uint256 indexed roundId,
address indexed startedBy,
uint256 startedAt
);
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
interface AggregatorV3Interface {
function decimals()
external
view
returns (
uint8
);
function description()
external
view
returns (
string memory
);
function version()
external
view
returns (
uint256
);
// getRoundData and latestRoundData should both raise "No data present"
// if they do not have data to report, instead of returning unset values
// which could be misinterpreted as actual reported values.
function getRoundData(
uint80 _roundId
)
external
view
returns (
uint80 roundId,
int256 answer,
uint256 startedAt,
uint256 updatedAt,
uint80 answeredInRound
);
function latestRoundData()
external
view
returns (
uint80 roundId,
int256 answer,
uint256 startedAt,
uint256 updatedAt,
uint80 answeredInRound
);
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
import { EnumerableSet } from '../../../utils/EnumerableSet.sol';
library ERC1155EnumerableStorage {
struct Layout {
mapping(uint256 => uint256) totalSupply;
mapping(uint256 => EnumerableSet.AddressSet) accountsByToken;
mapping(address => EnumerableSet.UintSet) tokensByAccount;
}
bytes32 internal constant STORAGE_SLOT =
keccak256('solidstate.contracts.storage.ERC1155Enumerable');
function layout() internal pure returns (Layout storage l) {
bytes32 slot = STORAGE_SLOT;
assembly {
l.slot := slot
}
}
}
// SPDX-License-Identifier: BSD-4-Clause
/*
* ABDK Math 64.64 Smart Contract Library. Copyright © 2019 by ABDK Consulting.
* Author: Mikhail Vladimirov <[email protected]>
*/
pragma solidity ^0.8.0;
/**
* Smart contract library of mathematical functions operating with signed
* 64.64-bit fixed point numbers. Signed 64.64-bit fixed point number is
* basically a simple fraction whose numerator is signed 128-bit integer and
* denominator is 2^64. As long as denominator is always the same, there is no
* need to store it, thus in Solidity signed 64.64-bit fixed point numbers are
* represented by int128 type holding only the numerator.
*/
library ABDKMath64x64 {
/*
* Minimum value signed 64.64-bit fixed point number may have.
*/
int128 private constant MIN_64x64 = -0x80000000000000000000000000000000;
/*
* Maximum value signed 64.64-bit fixed point number may have.
*/
int128 private constant MAX_64x64 = 0x7FFFFFFFFFFFFFFFFFFFFFFFFFFFFFFF;
/**
* Convert signed 256-bit integer number into signed 64.64-bit fixed point
* number. Revert on overflow.
*
* @param x signed 256-bit integer number
* @return signed 64.64-bit fixed point number
*/
function fromInt (int256 x) internal pure returns (int128) {
unchecked {
require (x >= -0x8000000000000000 && x <= 0x7FFFFFFFFFFFFFFF);
return int128 (x << 64);
}
}
/**
* Convert signed 64.64 fixed point number into signed 64-bit integer number
* rounding down.
*
* @param x signed 64.64-bit fixed point number
* @return signed 64-bit integer number
*/
function toInt (int128 x) internal pure returns (int64) {
unchecked {
return int64 (x >> 64);
}
}
/**
* Convert unsigned 256-bit integer number into signed 64.64-bit fixed point
* number. Revert on overflow.
*
* @param x unsigned 256-bit integer number
* @return signed 64.64-bit fixed point number
*/
function fromUInt (uint256 x) internal pure returns (int128) {
unchecked {
require (x <= 0x7FFFFFFFFFFFFFFF);
return int128 (int256 (x << 64));
}
}
/**
* Convert signed 64.64 fixed point number into unsigned 64-bit integer
* number rounding down. Revert on underflow.
*
* @param x signed 64.64-bit fixed point number
* @return unsigned 64-bit integer number
*/
function toUInt (int128 x) internal pure returns (uint64) {
unchecked {
require (x >= 0);
return uint64 (uint128 (x >> 64));
}
}
/**
* Convert signed 128.128 fixed point number into signed 64.64-bit fixed point
* number rounding down. Revert on overflow.
*
* @param x signed 128.128-bin fixed point number
* @return signed 64.64-bit fixed point number
*/
function from128x128 (int256 x) internal pure returns (int128) {
unchecked {
int256 result = x >> 64;
require (result >= MIN_64x64 && result <= MAX_64x64);
return int128 (result);
}
}
/**
* Convert signed 64.64 fixed point number into signed 128.128 fixed point
* number.
*
* @param x signed 64.64-bit fixed point number
* @return signed 128.128 fixed point number
*/
function to128x128 (int128 x) internal pure returns (int256) {
unchecked {
return int256 (x) << 64;
}
}
/**
* Calculate x + y. Revert on overflow.
*
* @param x signed 64.64-bit fixed point number
* @param y signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function add (int128 x, int128 y) internal pure returns (int128) {
unchecked {
int256 result = int256(x) + y;
require (result >= MIN_64x64 && result <= MAX_64x64);
return int128 (result);
}
}
/**
* Calculate x - y. Revert on overflow.
*
* @param x signed 64.64-bit fixed point number
* @param y signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function sub (int128 x, int128 y) internal pure returns (int128) {
unchecked {
int256 result = int256(x) - y;
require (result >= MIN_64x64 && result <= MAX_64x64);
return int128 (result);
}
}
/**
* Calculate x * y rounding down. Revert on overflow.
*
* @param x signed 64.64-bit fixed point number
* @param y signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function mul (int128 x, int128 y) internal pure returns (int128) {
unchecked {
int256 result = int256(x) * y >> 64;
require (result >= MIN_64x64 && result <= MAX_64x64);
return int128 (result);
}
}
/**
* Calculate x * y rounding towards zero, where x is signed 64.64 fixed point
* number and y is signed 256-bit integer number. Revert on overflow.
*
* @param x signed 64.64 fixed point number
* @param y signed 256-bit integer number
* @return signed 256-bit integer number
*/
function muli (int128 x, int256 y) internal pure returns (int256) {
unchecked {
if (x == MIN_64x64) {
require (y >= -0xFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFF &&
y <= 0x1000000000000000000000000000000000000000000000000);
return -y << 63;
} else {
bool negativeResult = false;
if (x < 0) {
x = -x;
negativeResult = true;
}
if (y < 0) {
y = -y; // We rely on overflow behavior here
negativeResult = !negativeResult;
}
uint256 absoluteResult = mulu (x, uint256 (y));
if (negativeResult) {
require (absoluteResult <=
0x8000000000000000000000000000000000000000000000000000000000000000);
return -int256 (absoluteResult); // We rely on overflow behavior here
} else {
require (absoluteResult <=
0x7FFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFF);
return int256 (absoluteResult);
}
}
}
}
/**
* Calculate x * y rounding down, where x is signed 64.64 fixed point number
* and y is unsigned 256-bit integer number. Revert on overflow.
*
* @param x signed 64.64 fixed point number
* @param y unsigned 256-bit integer number
* @return unsigned 256-bit integer number
*/
function mulu (int128 x, uint256 y) internal pure returns (uint256) {
unchecked {
if (y == 0) return 0;
require (x >= 0);
uint256 lo = (uint256 (int256 (x)) * (y & 0xFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFF)) >> 64;
uint256 hi = uint256 (int256 (x)) * (y >> 128);
require (hi <= 0xFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFF);
hi <<= 64;
require (hi <=
0xFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFF - lo);
return hi + lo;
}
}
/**
* Calculate x / y rounding towards zero. Revert on overflow or when y is
* zero.
*
* @param x signed 64.64-bit fixed point number
* @param y signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function div (int128 x, int128 y) internal pure returns (int128) {
unchecked {
require (y != 0);
int256 result = (int256 (x) << 64) / y;
require (result >= MIN_64x64 && result <= MAX_64x64);
return int128 (result);
}
}
/**
* Calculate x / y rounding towards zero, where x and y are signed 256-bit
* integer numbers. Revert on overflow or when y is zero.
*
* @param x signed 256-bit integer number
* @param y signed 256-bit integer number
* @return signed 64.64-bit fixed point number
*/
function divi (int256 x, int256 y) internal pure returns (int128) {
unchecked {
require (y != 0);
bool negativeResult = false;
if (x < 0) {
x = -x; // We rely on overflow behavior here
negativeResult = true;
}
if (y < 0) {
y = -y; // We rely on overflow behavior here
negativeResult = !negativeResult;
}
uint128 absoluteResult = divuu (uint256 (x), uint256 (y));
if (negativeResult) {
require (absoluteResult <= 0x80000000000000000000000000000000);
return -int128 (absoluteResult); // We rely on overflow behavior here
} else {
require (absoluteResult <= 0x7FFFFFFFFFFFFFFFFFFFFFFFFFFFFFFF);
return int128 (absoluteResult); // We rely on overflow behavior here
}
}
}
/**
* Calculate x / y rounding towards zero, where x and y are unsigned 256-bit
* integer numbers. Revert on overflow or when y is zero.
*
* @param x unsigned 256-bit integer number
* @param y unsigned 256-bit integer number
* @return signed 64.64-bit fixed point number
*/
function divu (uint256 x, uint256 y) internal pure returns (int128) {
unchecked {
require (y != 0);
uint128 result = divuu (x, y);
require (result <= uint128 (MAX_64x64));
return int128 (result);
}
}
/**
* Calculate -x. Revert on overflow.
*
* @param x signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function neg (int128 x) internal pure returns (int128) {
unchecked {
require (x != MIN_64x64);
return -x;
}
}
/**
* Calculate |x|. Revert on overflow.
*
* @param x signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function abs (int128 x) internal pure returns (int128) {
unchecked {
require (x != MIN_64x64);
return x < 0 ? -x : x;
}
}
/**
* Calculate 1 / x rounding towards zero. Revert on overflow or when x is
* zero.
*
* @param x signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function inv (int128 x) internal pure returns (int128) {
unchecked {
require (x != 0);
int256 result = int256 (0x100000000000000000000000000000000) / x;
require (result >= MIN_64x64 && result <= MAX_64x64);
return int128 (result);
}
}
/**
* Calculate arithmetics average of x and y, i.e. (x + y) / 2 rounding down.
*
* @param x signed 64.64-bit fixed point number
* @param y signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function avg (int128 x, int128 y) internal pure returns (int128) {
unchecked {
return int128 ((int256 (x) + int256 (y)) >> 1);
}
}
/**
* Calculate geometric average of x and y, i.e. sqrt (x * y) rounding down.
* Revert on overflow or in case x * y is negative.
*
* @param x signed 64.64-bit fixed point number
* @param y signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function gavg (int128 x, int128 y) internal pure returns (int128) {
unchecked {
int256 m = int256 (x) * int256 (y);
require (m >= 0);
require (m <
0x4000000000000000000000000000000000000000000000000000000000000000);
return int128 (sqrtu (uint256 (m)));
}
}
/**
* Calculate x^y assuming 0^0 is 1, where x is signed 64.64 fixed point number
* and y is unsigned 256-bit integer number. Revert on overflow.
*
* @param x signed 64.64-bit fixed point number
* @param y uint256 value
* @return signed 64.64-bit fixed point number
*/
function pow (int128 x, uint256 y) internal pure returns (int128) {
unchecked {
bool negative = x < 0 && y & 1 == 1;
uint256 absX = uint128 (x < 0 ? -x : x);
uint256 absResult;
absResult = 0x100000000000000000000000000000000;
if (absX <= 0x10000000000000000) {
absX <<= 63;
while (y != 0) {
if (y & 0x1 != 0) {
absResult = absResult * absX >> 127;
}
absX = absX * absX >> 127;
if (y & 0x2 != 0) {
absResult = absResult * absX >> 127;
}
absX = absX * absX >> 127;
if (y & 0x4 != 0) {
absResult = absResult * absX >> 127;
}
absX = absX * absX >> 127;
if (y & 0x8 != 0) {
absResult = absResult * absX >> 127;
}
absX = absX * absX >> 127;
y >>= 4;
}
absResult >>= 64;
} else {
uint256 absXShift = 63;
if (absX < 0x1000000000000000000000000) { absX <<= 32; absXShift -= 32; }
if (absX < 0x10000000000000000000000000000) { absX <<= 16; absXShift -= 16; }
if (absX < 0x1000000000000000000000000000000) { absX <<= 8; absXShift -= 8; }
if (absX < 0x10000000000000000000000000000000) { absX <<= 4; absXShift -= 4; }
if (absX < 0x40000000000000000000000000000000) { absX <<= 2; absXShift -= 2; }
if (absX < 0x80000000000000000000000000000000) { absX <<= 1; absXShift -= 1; }
uint256 resultShift = 0;
while (y != 0) {
require (absXShift < 64);
if (y & 0x1 != 0) {
absResult = absResult * absX >> 127;
resultShift += absXShift;
if (absResult > 0x100000000000000000000000000000000) {
absResult >>= 1;
resultShift += 1;
}
}
absX = absX * absX >> 127;
absXShift <<= 1;
if (absX >= 0x100000000000000000000000000000000) {
absX >>= 1;
absXShift += 1;
}
y >>= 1;
}
require (resultShift < 64);
absResult >>= 64 - resultShift;
}
int256 result = negative ? -int256 (absResult) : int256 (absResult);
require (result >= MIN_64x64 && result <= MAX_64x64);
return int128 (result);
}
}
/**
* Calculate sqrt (x) rounding down. Revert if x < 0.
*
* @param x signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function sqrt (int128 x) internal pure returns (int128) {
unchecked {
require (x >= 0);
return int128 (sqrtu (uint256 (int256 (x)) << 64));
}
}
/**
* Calculate binary logarithm of x. Revert if x <= 0.
*
* @param x signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function log_2 (int128 x) internal pure returns (int128) {
unchecked {
require (x > 0);
int256 msb = 0;
int256 xc = x;
if (xc >= 0x10000000000000000) { xc >>= 64; msb += 64; }
if (xc >= 0x100000000) { xc >>= 32; msb += 32; }
if (xc >= 0x10000) { xc >>= 16; msb += 16; }
if (xc >= 0x100) { xc >>= 8; msb += 8; }
if (xc >= 0x10) { xc >>= 4; msb += 4; }
if (xc >= 0x4) { xc >>= 2; msb += 2; }
if (xc >= 0x2) msb += 1; // No need to shift xc anymore
int256 result = msb - 64 << 64;
uint256 ux = uint256 (int256 (x)) << uint256 (127 - msb);
for (int256 bit = 0x8000000000000000; bit > 0; bit >>= 1) {
ux *= ux;
uint256 b = ux >> 255;
ux >>= 127 + b;
result += bit * int256 (b);
}
return int128 (result);
}
}
/**
* Calculate natural logarithm of x. Revert if x <= 0.
*
* @param x signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function ln (int128 x) internal pure returns (int128) {
unchecked {
require (x > 0);
return int128 (int256 (
uint256 (int256 (log_2 (x))) * 0xB17217F7D1CF79ABC9E3B39803F2F6AF >> 128));
}
}
/**
* Calculate binary exponent of x. Revert on overflow.
*
* @param x signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function exp_2 (int128 x) internal pure returns (int128) {
unchecked {
require (x < 0x400000000000000000); // Overflow
if (x < -0x400000000000000000) return 0; // Underflow
uint256 result = 0x80000000000000000000000000000000;
if (x & 0x8000000000000000 > 0)
result = result * 0x16A09E667F3BCC908B2FB1366EA957D3E >> 128;
if (x & 0x4000000000000000 > 0)
result = result * 0x1306FE0A31B7152DE8D5A46305C85EDEC >> 128;
if (x & 0x2000000000000000 > 0)
result = result * 0x1172B83C7D517ADCDF7C8C50EB14A791F >> 128;
if (x & 0x1000000000000000 > 0)
result = result * 0x10B5586CF9890F6298B92B71842A98363 >> 128;
if (x & 0x800000000000000 > 0)
result = result * 0x1059B0D31585743AE7C548EB68CA417FD >> 128;
if (x & 0x400000000000000 > 0)
result = result * 0x102C9A3E778060EE6F7CACA4F7A29BDE8 >> 128;
if (x & 0x200000000000000 > 0)
result = result * 0x10163DA9FB33356D84A66AE336DCDFA3F >> 128;
if (x & 0x100000000000000 > 0)
result = result * 0x100B1AFA5ABCBED6129AB13EC11DC9543 >> 128;
if (x & 0x80000000000000 > 0)
result = result * 0x10058C86DA1C09EA1FF19D294CF2F679B >> 128;
if (x & 0x40000000000000 > 0)
result = result * 0x1002C605E2E8CEC506D21BFC89A23A00F >> 128;
if (x & 0x20000000000000 > 0)
result = result * 0x100162F3904051FA128BCA9C55C31E5DF >> 128;
if (x & 0x10000000000000 > 0)
result = result * 0x1000B175EFFDC76BA38E31671CA939725 >> 128;
if (x & 0x8000000000000 > 0)
result = result * 0x100058BA01FB9F96D6CACD4B180917C3D >> 128;
if (x & 0x4000000000000 > 0)
result = result * 0x10002C5CC37DA9491D0985C348C68E7B3 >> 128;
if (x & 0x2000000000000 > 0)
result = result * 0x1000162E525EE054754457D5995292026 >> 128;
if (x & 0x1000000000000 > 0)
result = result * 0x10000B17255775C040618BF4A4ADE83FC >> 128;
if (x & 0x800000000000 > 0)
result = result * 0x1000058B91B5BC9AE2EED81E9B7D4CFAB >> 128;
if (x & 0x400000000000 > 0)
result = result * 0x100002C5C89D5EC6CA4D7C8ACC017B7C9 >> 128;
if (x & 0x200000000000 > 0)
result = result * 0x10000162E43F4F831060E02D839A9D16D >> 128;
if (x & 0x100000000000 > 0)
result = result * 0x100000B1721BCFC99D9F890EA06911763 >> 128;
if (x & 0x80000000000 > 0)
result = result * 0x10000058B90CF1E6D97F9CA14DBCC1628 >> 128;
if (x & 0x40000000000 > 0)
result = result * 0x1000002C5C863B73F016468F6BAC5CA2B >> 128;
if (x & 0x20000000000 > 0)
result = result * 0x100000162E430E5A18F6119E3C02282A5 >> 128;
if (x & 0x10000000000 > 0)
result = result * 0x1000000B1721835514B86E6D96EFD1BFE >> 128;
if (x & 0x8000000000 > 0)
result = result * 0x100000058B90C0B48C6BE5DF846C5B2EF >> 128;
if (x & 0x4000000000 > 0)
result = result * 0x10000002C5C8601CC6B9E94213C72737A >> 128;
if (x & 0x2000000000 > 0)
result = result * 0x1000000162E42FFF037DF38AA2B219F06 >> 128;
if (x & 0x1000000000 > 0)
result = result * 0x10000000B17217FBA9C739AA5819F44F9 >> 128;
if (x & 0x800000000 > 0)
result = result * 0x1000000058B90BFCDEE5ACD3C1CEDC823 >> 128;
if (x & 0x400000000 > 0)
result = result * 0x100000002C5C85FE31F35A6A30DA1BE50 >> 128;
if (x & 0x200000000 > 0)
result = result * 0x10000000162E42FF0999CE3541B9FFFCF >> 128;
if (x & 0x100000000 > 0)
result = result * 0x100000000B17217F80F4EF5AADDA45554 >> 128;
if (x & 0x80000000 > 0)
result = result * 0x10000000058B90BFBF8479BD5A81B51AD >> 128;
if (x & 0x40000000 > 0)
result = result * 0x1000000002C5C85FDF84BD62AE30A74CC >> 128;
if (x & 0x20000000 > 0)
result = result * 0x100000000162E42FEFB2FED257559BDAA >> 128;
if (x & 0x10000000 > 0)
result = result * 0x1000000000B17217F7D5A7716BBA4A9AE >> 128;
if (x & 0x8000000 > 0)
result = result * 0x100000000058B90BFBE9DDBAC5E109CCE >> 128;
if (x & 0x4000000 > 0)
result = result * 0x10000000002C5C85FDF4B15DE6F17EB0D >> 128;
if (x & 0x2000000 > 0)
result = result * 0x1000000000162E42FEFA494F1478FDE05 >> 128;
if (x & 0x1000000 > 0)
result = result * 0x10000000000B17217F7D20CF927C8E94C >> 128;
if (x & 0x800000 > 0)
result = result * 0x1000000000058B90BFBE8F71CB4E4B33D >> 128;
if (x & 0x400000 > 0)
result = result * 0x100000000002C5C85FDF477B662B26945 >> 128;
if (x & 0x200000 > 0)
result = result * 0x10000000000162E42FEFA3AE53369388C >> 128;
if (x & 0x100000 > 0)
result = result * 0x100000000000B17217F7D1D351A389D40 >> 128;
if (x & 0x80000 > 0)
result = result * 0x10000000000058B90BFBE8E8B2D3D4EDE >> 128;
if (x & 0x40000 > 0)
result = result * 0x1000000000002C5C85FDF4741BEA6E77E >> 128;
if (x & 0x20000 > 0)
result = result * 0x100000000000162E42FEFA39FE95583C2 >> 128;
if (x & 0x10000 > 0)
result = result * 0x1000000000000B17217F7D1CFB72B45E1 >> 128;
if (x & 0x8000 > 0)
result = result * 0x100000000000058B90BFBE8E7CC35C3F0 >> 128;
if (x & 0x4000 > 0)
result = result * 0x10000000000002C5C85FDF473E242EA38 >> 128;
if (x & 0x2000 > 0)
result = result * 0x1000000000000162E42FEFA39F02B772C >> 128;
if (x & 0x1000 > 0)
result = result * 0x10000000000000B17217F7D1CF7D83C1A >> 128;
if (x & 0x800 > 0)
result = result * 0x1000000000000058B90BFBE8E7BDCBE2E >> 128;
if (x & 0x400 > 0)
result = result * 0x100000000000002C5C85FDF473DEA871F >> 128;
if (x & 0x200 > 0)
result = result * 0x10000000000000162E42FEFA39EF44D91 >> 128;
if (x & 0x100 > 0)
result = result * 0x100000000000000B17217F7D1CF79E949 >> 128;
if (x & 0x80 > 0)
result = result * 0x10000000000000058B90BFBE8E7BCE544 >> 128;
if (x & 0x40 > 0)
result = result * 0x1000000000000002C5C85FDF473DE6ECA >> 128;
if (x & 0x20 > 0)
result = result * 0x100000000000000162E42FEFA39EF366F >> 128;
if (x & 0x10 > 0)
result = result * 0x1000000000000000B17217F7D1CF79AFA >> 128;
if (x & 0x8 > 0)
result = result * 0x100000000000000058B90BFBE8E7BCD6D >> 128;
if (x & 0x4 > 0)
result = result * 0x10000000000000002C5C85FDF473DE6B2 >> 128;
if (x & 0x2 > 0)
result = result * 0x1000000000000000162E42FEFA39EF358 >> 128;
if (x & 0x1 > 0)
result = result * 0x10000000000000000B17217F7D1CF79AB >> 128;
result >>= uint256 (int256 (63 - (x >> 64)));
require (result <= uint256 (int256 (MAX_64x64)));
return int128 (int256 (result));
}
}
/**
* Calculate natural exponent of x. Revert on overflow.
*
* @param x signed 64.64-bit fixed point number
* @return signed 64.64-bit fixed point number
*/
function exp (int128 x) internal pure returns (int128) {
unchecked {
require (x < 0x400000000000000000); // Overflow
if (x < -0x400000000000000000) return 0; // Underflow
return exp_2 (
int128 (int256 (x) * 0x171547652B82FE1777D0FFDA0D23A7D12 >> 128));
}
}
/**
* Calculate x / y rounding towards zero, where x and y are unsigned 256-bit
* integer numbers. Revert on overflow or when y is zero.
*
* @param x unsigned 256-bit integer number
* @param y unsigned 256-bit integer number
* @return unsigned 64.64-bit fixed point number
*/
function divuu (uint256 x, uint256 y) private pure returns (uint128) {
unchecked {
require (y != 0);
uint256 result;
if (x <= 0xFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFF)
result = (x << 64) / y;
else {
uint256 msb = 192;
uint256 xc = x >> 192;
if (xc >= 0x100000000) { xc >>= 32; msb += 32; }
if (xc >= 0x10000) { xc >>= 16; msb += 16; }
if (xc >= 0x100) { xc >>= 8; msb += 8; }
if (xc >= 0x10) { xc >>= 4; msb += 4; }
if (xc >= 0x4) { xc >>= 2; msb += 2; }
if (xc >= 0x2) msb += 1; // No need to shift xc anymore
result = (x << 255 - msb) / ((y - 1 >> msb - 191) + 1);
require (result <= 0xFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFF);
uint256 hi = result * (y >> 128);
uint256 lo = result * (y & 0xFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFF);
uint256 xh = x >> 192;
uint256 xl = x << 64;
if (xl < lo) xh -= 1;
xl -= lo; // We rely on overflow behavior here
lo = hi << 128;
if (xl < lo) xh -= 1;
xl -= lo; // We rely on overflow behavior here
assert (xh == hi >> 128);
result += xl / y;
}
require (result <= 0xFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFFF);
return uint128 (result);
}
}
/**
* Calculate sqrt (x) rounding down, where x is unsigned 256-bit integer
* number.
*
* @param x unsigned 256-bit integer number
* @return unsigned 128-bit integer number
*/
function sqrtu (uint256 x) private pure returns (uint128) {
unchecked {
if (x == 0) return 0;
else {
uint256 xx = x;
uint256 r = 1;
if (xx >= 0x100000000000000000000000000000000) { xx >>= 128; r <<= 64; }
if (xx >= 0x10000000000000000) { xx >>= 64; r <<= 32; }
if (xx >= 0x100000000) { xx >>= 32; r <<= 16; }
if (xx >= 0x10000) { xx >>= 16; r <<= 8; }
if (xx >= 0x100) { xx >>= 8; r <<= 4; }
if (xx >= 0x10) { xx >>= 4; r <<= 2; }
if (xx >= 0x8) { r <<= 1; }
r = (r + x / r) >> 1;
r = (r + x / r) >> 1;
r = (r + x / r) >> 1;
r = (r + x / r) >> 1;
r = (r + x / r) >> 1;
r = (r + x / r) >> 1;
r = (r + x / r) >> 1; // Seven iterations should be enough
uint256 r1 = x / r;
return uint128 (r < r1 ? r : r1);
}
}
}
}
// SPDX-License-Identifier: BUSL-1.1
// For further clarification please see https://license.premia.legal
pragma solidity ^0.8.0;
import {ABDKMath64x64} from "abdk-libraries-solidity/ABDKMath64x64.sol";
library OptionMath {
using ABDKMath64x64 for int128;
struct QuoteArgs {
int128 varianceAnnualized64x64; // 64x64 fixed point representation of annualized variance
int128 strike64x64; // 64x64 fixed point representation of strike price
int128 spot64x64; // 64x64 fixed point representation of spot price
int128 timeToMaturity64x64; // 64x64 fixed point representation of duration of option contract (in years)
int128 oldCLevel64x64; // 64x64 fixed point representation of C-Level of Pool before purchase
int128 oldPoolState; // 64x64 fixed point representation of current state of the pool
int128 newPoolState; // 64x64 fixed point representation of state of the pool after trade
int128 steepness64x64; // 64x64 fixed point representation of Pool state delta multiplier
int128 minAPY64x64; // 64x64 fixed point representation of minimum APY for capital locked up to underwrite options
bool isCall; // whether to price "call" or "put" option
}
struct CalculateCLevelDecayArgs {
int128 timeIntervalsElapsed64x64; // 64x64 fixed point representation of quantity of discrete arbitrary intervals elapsed since last update
int128 oldCLevel64x64; // 64x64 fixed point representation of C-Level prior to accounting for decay
int128 utilization64x64; // 64x64 fixed point representation of pool capital utilization rate
int128 utilizationLowerBound64x64;
int128 utilizationUpperBound64x64;
int128 cLevelLowerBound64x64;
int128 cLevelUpperBound64x64;
int128 cConvergenceULowerBound64x64;
int128 cConvergenceUUpperBound64x64;
}
// 64x64 fixed point integer constants
int128 internal constant ONE_64x64 = 0x10000000000000000;
int128 internal constant THREE_64x64 = 0x30000000000000000;
// 64x64 fixed point constants used in Choudhury’s approximation of the Black-Scholes CDF
int128 private constant CDF_CONST_0 = 0x09109f285df452394; // 2260 / 3989
int128 private constant CDF_CONST_1 = 0x19abac0ea1da65036; // 6400 / 3989
int128 private constant CDF_CONST_2 = 0x0d3c84b78b749bd6b; // 3300 / 3989
/**
* @notice recalculate C-Level based on change in liquidity
* @param initialCLevel64x64 64x64 fixed point representation of C-Level of Pool before update
* @param oldPoolState64x64 64x64 fixed point representation of liquidity in pool before update
* @param newPoolState64x64 64x64 fixed point representation of liquidity in pool after update
* @param steepness64x64 64x64 fixed point representation of steepness coefficient
* @return 64x64 fixed point representation of new C-Level
*/
function calculateCLevel(
int128 initialCLevel64x64,
int128 oldPoolState64x64,
int128 newPoolState64x64,
int128 steepness64x64
) external pure returns (int128) {
return
newPoolState64x64
.sub(oldPoolState64x64)
.div(
oldPoolState64x64 > newPoolState64x64
? oldPoolState64x64
: newPoolState64x64
)
.mul(steepness64x64)
.neg()
.exp()
.mul(initialCLevel64x64);
}
/**
* @notice calculate the price of an option using the Premia Finance model
* @param args arguments of quotePrice
* @return premiaPrice64x64 64x64 fixed point representation of Premia option price
* @return cLevel64x64 64x64 fixed point representation of C-Level of Pool after purchase
*/
function quotePrice(QuoteArgs memory args)
external
pure
returns (
int128 premiaPrice64x64,
int128 cLevel64x64,
int128 slippageCoefficient64x64
)
{
int128 deltaPoolState64x64 = args
.newPoolState
.sub(args.oldPoolState)
.div(args.oldPoolState)
.mul(args.steepness64x64);
int128 tradingDelta64x64 = deltaPoolState64x64.neg().exp();
int128 blackScholesPrice64x64 = _blackScholesPrice(
args.varianceAnnualized64x64,
args.strike64x64,
args.spot64x64,
args.timeToMaturity64x64,
args.isCall
);
cLevel64x64 = tradingDelta64x64.mul(args.oldCLevel64x64);
slippageCoefficient64x64 = ONE_64x64.sub(tradingDelta64x64).div(
deltaPoolState64x64
);
premiaPrice64x64 = blackScholesPrice64x64.mul(cLevel64x64).mul(
slippageCoefficient64x64
);
int128 intrinsicValue64x64;
if (args.isCall && args.strike64x64 < args.spot64x64) {
intrinsicValue64x64 = args.spot64x64.sub(args.strike64x64);
} else if (!args.isCall && args.strike64x64 > args.spot64x64) {
intrinsicValue64x64 = args.strike64x64.sub(args.spot64x64);
}
int128 collateralValue64x64 = args.isCall
? args.spot64x64
: args.strike64x64;
int128 minPrice64x64 = intrinsicValue64x64.add(
collateralValue64x64.mul(args.minAPY64x64).mul(
args.timeToMaturity64x64
)
);
if (minPrice64x64 > premiaPrice64x64) {
premiaPrice64x64 = minPrice64x64;
}
}
/**
* @notice calculate the decay of C-Level based on heat diffusion function
* @param args structured CalculateCLevelDecayArgs
* @return cLevelDecayed64x64 C-Level after accounting for decay
*/
function calculateCLevelDecay(CalculateCLevelDecayArgs memory args)
external
pure
returns (int128 cLevelDecayed64x64)
{
int128 convFHighU64x64 = (args.utilization64x64 >=
args.utilizationUpperBound64x64 &&
args.oldCLevel64x64 <= args.cLevelLowerBound64x64)
? ONE_64x64
: int128(0);
int128 convFLowU64x64 = (args.utilization64x64 <=
args.utilizationLowerBound64x64 &&
args.oldCLevel64x64 >= args.cLevelUpperBound64x64)
? ONE_64x64
: int128(0);
cLevelDecayed64x64 = args
.oldCLevel64x64
.sub(args.cConvergenceULowerBound64x64.mul(convFLowU64x64))
.sub(args.cConvergenceUUpperBound64x64.mul(convFHighU64x64))
.mul(
convFLowU64x64
.mul(ONE_64x64.sub(args.utilization64x64))
.add(convFHighU64x64.mul(args.utilization64x64))
.mul(args.timeIntervalsElapsed64x64)
.neg()
.exp()
)
.add(
args.cConvergenceULowerBound64x64.mul(convFLowU64x64).add(
args.cConvergenceUUpperBound64x64.mul(convFHighU64x64)
)
);
}
/**
* @notice calculate the exponential decay coefficient for a given interval
* @param oldTimestamp timestamp of previous update
* @param newTimestamp current timestamp
* @return 64x64 fixed point representation of exponential decay coefficient
*/
function _decay(uint256 oldTimestamp, uint256 newTimestamp)
internal
pure
returns (int128)
{
return
ONE_64x64.sub(
(-ABDKMath64x64.divu(newTimestamp - oldTimestamp, 7 days)).exp()
);
}
/**
* @notice calculate Choudhury’s approximation of the Black-Scholes CDF
* @param input64x64 64x64 fixed point representation of random variable
* @return 64x64 fixed point representation of the approximated CDF of x
*/
function _N(int128 input64x64) internal pure returns (int128) {
// squaring via mul is cheaper than via pow
int128 inputSquared64x64 = input64x64.mul(input64x64);
int128 value64x64 = (-inputSquared64x64 >> 1).exp().div(
CDF_CONST_0.add(CDF_CONST_1.mul(input64x64.abs())).add(
CDF_CONST_2.mul(inputSquared64x64.add(THREE_64x64).sqrt())
)
);
return input64x64 > 0 ? ONE_64x64.sub(value64x64) : value64x64;
}
/**
* @notice calculate the price of an option using the Black-Scholes model
* @param varianceAnnualized64x64 64x64 fixed point representation of annualized variance
* @param strike64x64 64x64 fixed point representation of strike price
* @param spot64x64 64x64 fixed point representation of spot price
* @param timeToMaturity64x64 64x64 fixed point representation of duration of option contract (in years)
* @param isCall whether to price "call" or "put" option
* @return 64x64 fixed point representation of Black-Scholes option price
*/
function _blackScholesPrice(
int128 varianceAnnualized64x64,
int128 strike64x64,
int128 spot64x64,
int128 timeToMaturity64x64,
bool isCall
) internal pure returns (int128) {
int128 cumulativeVariance64x64 = timeToMaturity64x64.mul(
varianceAnnualized64x64
);
int128 cumulativeVarianceSqrt64x64 = cumulativeVariance64x64.sqrt();
int128 d1_64x64 = spot64x64
.div(strike64x64)
.ln()
.add(cumulativeVariance64x64 >> 1)
.div(cumulativeVarianceSqrt64x64);
int128 d2_64x64 = d1_64x64.sub(cumulativeVarianceSqrt64x64);
if (isCall) {
return
spot64x64.mul(_N(d1_64x64)).sub(strike64x64.mul(_N(d2_64x64)));
} else {
return
-spot64x64.mul(_N(-d1_64x64)).sub(
strike64x64.mul(_N(-d2_64x64))
);
}
}
}
// SPDX-License-Identifier: MIT
pragma solidity ^0.8.0;
/**
* @title Set implementation with enumeration functions
* @dev derived from https://github.com/OpenZeppelin/openzeppelin-contracts (MIT license)
*/
library EnumerableSet {
struct Set {
bytes32[] _values;
// 1-indexed to allow 0 to signify nonexistence
mapping(bytes32 => uint256) _indexes;
}
struct Bytes32Set {
Set _inner;
}
struct AddressSet {
Set _inner;
}
struct UintSet {
Set _inner;
}
function at(Bytes32Set storage set, uint256 index)
internal
view
returns (bytes32)
{
return _at(set._inner, index);
}
function at(AddressSet storage set, uint256 index)
internal
view
returns (address)
{
return address(uint160(uint256(_at(set._inner, index))));
}
function at(UintSet storage set, uint256 index)
internal
view
returns (uint256)
{
return uint256(_at(set._inner, index));
}
function contains(Bytes32Set storage set, bytes32 value)
internal
view
returns (bool)
{
return _contains(set._inner, value);
}
function contains(AddressSet storage set, address value)
internal
view
returns (bool)
{
return _contains(set._inner, bytes32(uint256(uint160(value))));
}
function contains(UintSet storage set, uint256 value)
internal
view
returns (bool)
{
return _contains(set._inner, bytes32(value));
}
function indexOf(Bytes32Set storage set, bytes32 value)
internal
view
returns (uint256)
{
return _indexOf(set._inner, value);
}
function indexOf(AddressSet storage set, address value)
internal
view
returns (uint256)
{
return _indexOf(set._inner, bytes32(uint256(uint160(value))));
}
function indexOf(UintSet storage set, uint256 value)
internal
view
returns (uint256)
{
return _indexOf(set._inner, bytes32(value));
}
function length(Bytes32Set storage set) internal view returns (uint256) {
return _length(set._inner);
}
function length(AddressSet storage set) internal view returns (uint256) {
return _length(set._inner);
}
function length(UintSet storage set) internal view returns (uint256) {
return _length(set._inner);
}
function add(Bytes32Set storage set, bytes32 value)
internal
returns (bool)
{
return _add(set._inner, value);
}
function add(AddressSet storage set, address value)
internal
returns (bool)
{
return _add(set._inner, bytes32(uint256(uint160(value))));
}
function add(UintSet storage set, uint256 value) internal returns (bool) {
return _add(set._inner, bytes32(value));
}
function remove(Bytes32Set storage set, bytes32 value)
internal
returns (bool)
{
return _remove(set._inner, value);
}
function remove(AddressSet storage set, address value)
internal
returns (bool)
{
return _remove(set._inner, bytes32(uint256(uint160(value))));
}
function remove(UintSet storage set, uint256 value)
internal
returns (bool)
{
return _remove(set._inner, bytes32(value));
}
function _at(Set storage set, uint256 index)
private
view
returns (bytes32)
{
require(
set._values.length > index,
'EnumerableSet: index out of bounds'
);
return set._values[index];
}
function _contains(Set storage set, bytes32 value)
private
view
returns (bool)
{
return set._indexes[value] != 0;
}
function _indexOf(Set storage set, bytes32 value)
private
view
returns (uint256)
{
unchecked {
return set._indexes[value] - 1;
}
}
function _length(Set storage set) private view returns (uint256) {
return set._values.length;
}
function _add(Set storage set, bytes32 value) private returns (bool) {
if (!_contains(set, value)) {
set._values.push(value);
set._indexes[value] = set._values.length;
return true;
} else {
return false;
}
}
function _remove(Set storage set, bytes32 value) private returns (bool) {
uint256 valueIndex = set._indexes[value];
if (valueIndex != 0) {
uint256 index = valueIndex - 1;
bytes32 last = set._values[set._values.length - 1];
// move last value to now-vacant index
set._values[index] = last;
set._indexes[last] = index + 1;
// clear last index
set._values.pop();
delete set._indexes[value];
return true;
} else {
return false;
}
}
}