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Fix APR
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@prevostc
prevostc committed Mar 24, 2024
1 parent 5c336d5 commit d7fe087
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Showing 2 changed files with 80 additions and 13 deletions.
16 changes: 10 additions & 6 deletions src/utils/apr.ts
View file
Original file line number Diff line number Diff line change
Expand Up @@ -85,30 +85,34 @@ export class AprCalc {
}

// for each time slice, get the time weighted tvl and time weighted collected amount
let agg = ZERO_BD
let timeWeightedTvlAgg = ZERO_BD
let totalYield = ZERO_BD
//let agg = ZERO_BD
for (let idx = 1; idx < state.collects.length; idx++) {
const prev = state.collects[idx - 1]
const curr = state.collects[idx]

const sliceStart = bigIntMax(periodStart, prev.collectTimestamp)
const sliceEnd = curr.collectTimestamp
// account for slices beginning before the period start
const slicePercentSpan = sliceEnd
.minus(sliceStart)
.toBigDecimal()
.div(curr.collectTimestamp.minus(prev.collectTimestamp).toBigDecimal())
const sliceCollectedUSD = curr.collectedAmount.times(slicePercentSpan)

// consider the previous TVL as it's updated on the same block as the collected amount
const sliceTvl = prev.totalValueLocked
const sliceSize = curr.collectTimestamp.minus(sliceStart).toBigDecimal()

if (!sliceTvl.equals(ZERO_BD)) {
// compute how much each $ is contributing to the yield for this slice
const sliceAgg = sliceCollectedUSD.div(sliceTvl).times(sliceSize)
agg = agg.plus(sliceAgg)
timeWeightedTvlAgg = timeWeightedTvlAgg.plus(sliceTvl.times(sliceSize))
}
totalYield = totalYield.plus(sliceCollectedUSD)
}

const elapsedPeriod = bigIntMin(now.minus(state.collects[0].collectTimestamp), period)
const yieldRate = agg.div(elapsedPeriod.toBigDecimal())
const timeWeightedTvl = timeWeightedTvlAgg.div(elapsedPeriod.toBigDecimal())
const yieldRate = totalYield.div(timeWeightedTvl)
const periodsInYear = YEAR.div(elapsedPeriod)
const annualized = yieldRate.times(periodsInYear.toBigDecimal())
return annualized
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77 changes: 70 additions & 7 deletions tests/utils/apr.test.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -79,7 +79,7 @@ describe("AprCalc", () => {
const res = AprCalc.calculateLastApr(DAY, aprState, now)
log.debug("res: {}", [res.toString()])

assertIsCloseTo(res, BigDecimal.fromString("56.862268518"), BigDecimal.fromString("0.0001"))
assertIsCloseTo(res, BigDecimal.fromString("96.85503685503685"), BigDecimal.fromString("0.0001"))
})

test("should evict old entries", () => {
Expand Down Expand Up @@ -141,7 +141,7 @@ describe("AprCalc", () => {
const res = AprCalc.calculateLastApr(DAY, aprState, now)
log.debug("res: {}", [res.toString()])

assertIsCloseTo(res, BigDecimal.fromString("10.527546"), BigDecimal.fromString("0.0001"))
assertIsCloseTo(res, BigDecimal.fromString("18.25"), BigDecimal.fromString("0.0001"))
})

test("should compute apr when total value locked changes", () => {
Expand All @@ -154,7 +154,7 @@ describe("AprCalc", () => {
const res = AprCalc.calculateLastApr(DAY, aprState, now)
log.debug("res: {}", [res.toString()])

assertIsCloseTo(res, BigDecimal.fromString("20.362268518"), BigDecimal.fromString("0.0001"))
assertIsCloseTo(res, BigDecimal.fromString("38.74201474201474"), BigDecimal.fromString("0.0001"))
})

test("should compute apr when yield and total value locked changes", () => {
Expand All @@ -167,7 +167,7 @@ describe("AprCalc", () => {
const res = AprCalc.calculateLastApr(DAY, aprState, now)
log.debug("res: {}", [res.toString()])

assertIsCloseTo(res, BigDecimal.fromString("56.86226"), BigDecimal.fromString("0.0001"))
assertIsCloseTo(res, BigDecimal.fromString("96.8550368"), BigDecimal.fromString("0.0001"))
})

test("should compute apr when the day is not over yet", () => {
Expand Down Expand Up @@ -196,16 +196,79 @@ describe("AprCalc", () => {
assertIsCloseTo(res, BigDecimal.fromString("87.60"), BigDecimal.fromString("0.0001"))

// 3: deposit of $100 at 12:00, claiming 10$ => +10% for 11h (because tvl was $100 for the whole period)
// => Avg % per hour is (10% * 11 + 1% * 1) / 12 => +9.25% on average over for 12h
// => APR_24h is 9.25% * 2 * 365 : 6752.5%
// => +$11 over 12h for a tvl of $100 => +11% over 12h
// => APR_24h is 11% * 2 * 365 : 8030%
now = BigInt.fromI32(12 * 60 * 60)
log.debug("\n\n======= now: {}\n", [now.toString()])
aprState.addTransaction(one.times(BigDecimal.fromString("10")), now, one.times(BigDecimal.fromString("200")))
assert.assertTrue(AprCalc.evictOldEntries(DAY, aprState, now).collects.length === 3)
res = AprCalc.calculateLastApr(DAY, aprState, now)
log.debug("res: {}", [res.toString()])

assertIsCloseTo(res, BigDecimal.fromString("67.525"), BigDecimal.fromString("0.0001"))
assertIsCloseTo(res, BigDecimal.fromString("80.30"), BigDecimal.fromString("0.0001"))
})

test("Should properly compute mooBeefy APR", () => {
let aprState = AprState.deserialize(new Array<BigDecimal>())

// these ones should be ignored
aprState.addTransaction(
BigDecimal.fromString("0"),
BigInt.fromString("1711201231"),
BigDecimal.fromString("507.5882781815525135710848872656791"),
)
aprState.addTransaction(
BigDecimal.fromString("0.004065784550081421262762731034373881"),
BigInt.fromString("1711204513"),
BigDecimal.fromString("516.1787253846584915657179517695577"),
)

// these ones should be used
aprState.addTransaction(
BigDecimal.fromString("0.02430711381950250190531710544653613"),
BigInt.fromString("1711226113"),
BigDecimal.fromString("513.4946880572305829489501989140695"),
)
aprState.addTransaction(
BigDecimal.fromString("0.006869940091541016837589566381232779"),
BigInt.fromString("1711247715"),
BigDecimal.fromString("506.0724423742907934604618462166345"),
)
aprState.addTransaction(
BigDecimal.fromString("0.01310706635829128889638"),
BigInt.fromString("1711269313"),
BigDecimal.fromString("508.1091471133737574196901844200933"),
)
aprState.addTransaction(
BigDecimal.fromString("0.001774573046281402321668824352704134"),
BigInt.fromString("1711290913"),
BigDecimal.fromString("516.3820906223624723194813255682192"),
)
aprState.addTransaction(
BigDecimal.fromString("0.00012315380232791303052005"),
BigInt.fromString("1711312513"),
BigDecimal.fromString("518.5576704920643326430271310797996"),
)

// 0.006869940091 + 0.013107066358 + 0.001774573046 + 0.000123153802
// => 0.021874733297
//
// 1711312513 - 1711226113
// => 86400
//
// TVL = 518.557670492
//
// 0.021874733297 / 518.557670492
// => 0.0000421838004560 / day
//
// (0.021874733297 / 518.557670492) * 365
// => 0.015397087166466233
// => 1.5397087166466233% APR
const now = BigInt.fromString("1711312513")
const res = AprCalc.calculateLastApr(DAY, aprState, now)
log.debug("res: {}", [res.toString()])

assertIsCloseTo(res, BigDecimal.fromString("0.015624358078677"), BigDecimal.fromString("0.0001"))
})
})

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