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Cleaned up some logic. Moved RBSet valuation to SetUSDValuation lib.
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@bweick
bweick committed Feb 6, 2020
1 parent e3561a7 commit ca0a4b0
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Showing 6 changed files with 360 additions and 61 deletions.
106 changes: 50 additions & 56 deletions contracts/core/fee-calculators/PerformanceFeeCalculator.sol
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Original file line number Diff line number Diff line change
@@ -1,5 +1,5 @@
/*
Copyright 2019 Set Labs Inc.
Copyright 2020 Set Labs Inc.
Licensed under the Apache License, Version 2.0 (the "License");
you may not use this file except in compliance with the License.
Expand Down Expand Up @@ -43,9 +43,8 @@ contract PerformanceFeeCalculator is IFeeCalculator {

/* ============ Events ============ */

event FeeAcutalized(
event FeeActualized(
address indexed rebalancingSetToken,
uint256 oldHighWatermark,
uint256 newHighWatermark,
uint256 inflationFee
);
Expand Down Expand Up @@ -131,27 +130,28 @@ contract PerformanceFeeCalculator is IFeeCalculator {
feeState[msg.sender].streamingFeePercentage = parameters.streamingFeePercentage;
feeState[msg.sender].lastProfitFeeTimestamp = block.timestamp;
feeState[msg.sender].lastStreamingFeeTimestamp = block.timestamp;
feeState[msg.sender].highWatermark = calculateRebalancingSetValue(msg.sender);
feeState[msg.sender].highWatermark = SetUSDValuation.calculateRebalancingSetValue(msg.sender, oracleWhiteList);
}

/*
* Calculates total inflation percentage in order to accrue fees to manager. Profit fee calculations
* are net of streaming fees, so streaming fees are applied first then profit fees are calculated.
*
* @param uint256 Percent inflation of supply
* @return uint256 Percent inflation of supply
*/
function getFee()
external
view
returns (uint256)
{
require(
core.validSets(msg.sender),
"PerformanceFeeCalculator.getFee: Caller must be valid RebalancingSetToken."
);

uint256 streamingFee = calculateStreamingFee();

// If time since last profit fee exceeds profitFeeFrequency then calculate profit fee else 0.
uint256 profitFee = 0;
if (exceedsProfitFeeFrequency()) {
profitFee = calculateProfitFee(streamingFee);
}
uint256 profitFee = calculateProfitFee(streamingFee);

return streamingFee.add(profitFee);
}
Expand All @@ -162,22 +162,30 @@ contract PerformanceFeeCalculator is IFeeCalculator {
* Additionally, fee state is set timestamps are updated for each fee type and the high watermark is
* reset if time since last profit fee exceeds the highWatermarkResetFrequency.
*
* @param uint256 Percent inflation of supply
* @preturn uint256 Percent inflation of supply
*/
function updateAndGetFee()
external
returns (uint256)
{
require(
core.validSets(msg.sender),
"PerformanceFeeCalculator.getFee: Caller must be valid RebalancingSetToken."
);

uint256 streamingFee = calculateStreamingFee();

uint256 profitFee = 0;
if (exceedsProfitFeeFrequency()) {
profitFee = calculateProfitFee(streamingFee);
}
uint256 profitFee = calculateProfitFee(streamingFee);

// Update fee state based off fees collected
updateFeeState(streamingFee, profitFee);

emit FeeActualized(
msg.sender,
highWatermark(msg.sender),
streamingFee.add(profitFee)
);

return streamingFee.add(profitFee);
}

Expand All @@ -197,20 +205,18 @@ contract PerformanceFeeCalculator is IFeeCalculator {
// Set streaming fee timestamp
feeState[msg.sender].lastStreamingFeeTimestamp = block.timestamp;

uint256 rebalancingSetValue = calculateRebalancingSetValue(msg.sender);
uint256 rebalancingSetValue = SetUSDValuation.calculateRebalancingSetValue(msg.sender, oracleWhiteList);
uint256 postStreamingValue = rebalancingSetValue.mul(ONE_HUNDRED_PERCENT.sub(_streamingFee)).deScale();

// If profit fee then set new high watermark and profit fee timestamp
if (_profitFee > 0) {
feeState[msg.sender].lastProfitFeeTimestamp = block.timestamp;
feeState[msg.sender].highWatermark = postStreamingValue;
return;
}

// If no profit fee and last profit fee was more than highWatermarkResetFrequency seconds ago then reset
// high watermark
if (block.timestamp.sub(lastProfitFeeTimestamp(msg.sender)) >= highWatermarkResetFrequency(msg.sender)) {
} else if (timeSinceLastProfitFee(msg.sender) >= highWatermarkResetFrequency(msg.sender)) {
// If no profit fee and last profit fee was more than highWatermarkResetFrequency seconds ago then reset
// high watermark
feeState[msg.sender].highWatermark = postStreamingValue;
feeState[msg.sender].lastProfitFeeTimestamp = block.timestamp;
feeState[msg.sender].lastProfitFeeTimestamp = block.timestamp;
}
}

Expand Down Expand Up @@ -306,51 +312,39 @@ contract PerformanceFeeCalculator is IFeeCalculator {
view
returns(uint256)
{
// Calculate post streaming value and get high watermark
uint256 rebalancingSetValue = calculateRebalancingSetValue(msg.sender);
uint256 postStreamingValue = rebalancingSetValue.mul(ONE_HUNDRED_PERCENT.sub(_streamingFee)).deScale();
uint256 highWatermark = highWatermark(msg.sender);
// If time since last profit fee exceeds profitFeeFrequency then calculate profit fee else 0.
if (exceedsProfitFeeFrequency(msg.sender)) {
// Calculate post streaming value and get high watermark
uint256 rebalancingSetValue = SetUSDValuation.calculateRebalancingSetValue(msg.sender, oracleWhiteList);
uint256 postStreamingValue = rebalancingSetValue.mul(ONE_HUNDRED_PERCENT.sub(_streamingFee)).deScale();
uint256 highWatermark = highWatermark(msg.sender);

// Subtract high watermark from post streaming fee value, unless less than 0 set to 0
uint256 gainedValue = postStreamingValue > highWatermark ? postStreamingValue.sub(highWatermark) : 0;

// Subtract high watermark from post streaming fee value, unless less than 0 set to 0
uint256 gainedValue = postStreamingValue > highWatermark ? postStreamingValue.sub(highWatermark) : 0;
// Determine percent fee in terms of current rebalancing Set value
return gainedValue.mul(profitFeePercentage(msg.sender)).div(rebalancingSetValue);
}

// Determine percent fee in terms of current rebalancing Set value
return gainedValue.mul(profitFeePercentage(msg.sender)).div(rebalancingSetValue);
return 0;
}

/**
* Calculates value of RebalancingSetToken.
* Checks if time since last profit fee exceeds profitFeeFrequency
*
* @return uint256 Streaming fee
* @return bool
*/
function calculateRebalancingSetValue(
address _rebalancingSetTokenAddress
)
internal
view
returns (uint256)
{
IRebalancingSetTokenV2 rebalancingSetToken = IRebalancingSetTokenV2(_rebalancingSetTokenAddress);

uint256 unitShares = rebalancingSetToken.unitShares();
uint256 naturalUnit = rebalancingSetToken.naturalUnit();
ISetToken currentSet = rebalancingSetToken.currentSet();

// Calculate collateral value
uint256 collateralValue = SetUSDValuation.calculateSetTokenDollarValue(
currentSet,
oracleWhiteList
);

// Value of rebalancing set is collateralValue times unitShares divided by naturalUnit
return collateralValue.mul(unitShares).div(naturalUnit);
function exceedsProfitFeeFrequency(address _set) internal view returns (bool) {
return timeSinceLastProfitFee(_set) > profitFeeFrequency(_set);
}

/**
* Checks if time since last profit fee exceeds profitFeeFrequency
*
* @return uint256 Time since last profit fee accrued
*/
function exceedsProfitFeeFrequency() internal view returns (bool) {
return block.timestamp.sub(lastProfitFeeTimestamp(msg.sender)) > profitFeeFrequency(msg.sender);
function timeSinceLastProfitFee(address _set) internal view returns (uint256) {
return block.timestamp.sub(lastProfitFeeTimestamp(_set));
}

function lastStreamingFeeTimestamp(address _set) internal view returns (uint256) {
Expand Down
31 changes: 31 additions & 0 deletions contracts/core/liquidators/impl/SetUSDValuation.sol
View file
Original file line number Diff line number Diff line change
Expand Up @@ -25,6 +25,7 @@ import { IOracle } from "set-protocol-strategies/contracts/meta-oracles/interfac
import { AddressArrayUtils } from "../../../lib/AddressArrayUtils.sol";
import { ICore } from "../../interfaces/ICore.sol";
import { IOracleWhiteList } from "../../interfaces/IOracleWhiteList.sol";
import { IRebalancingSetTokenV2 } from "../../interfaces/IRebalancingSetTokenV2.sol";
import { ISetToken } from "../../interfaces/ISetToken.sol";
import { SetMath } from "../../lib/SetMath.sol";

Expand All @@ -43,6 +44,36 @@ library SetUSDValuation {

/* ============ SetToken Valuation Helpers ============ */


/**
* Calculates value of RebalancingSetToken.
*
* @return uint256 Streaming fee
*/
function calculateRebalancingSetValue(
address _rebalancingSetTokenAddress,
IOracleWhiteList _oracleWhitelist
)
internal
view
returns (uint256)
{
IRebalancingSetTokenV2 rebalancingSetToken = IRebalancingSetTokenV2(_rebalancingSetTokenAddress);

uint256 unitShares = rebalancingSetToken.unitShares();
uint256 naturalUnit = rebalancingSetToken.naturalUnit();
ISetToken currentSet = rebalancingSetToken.currentSet();

// Calculate collateral value
uint256 collateralValue = calculateSetTokenDollarValue(
currentSet,
_oracleWhitelist
);

// Value of rebalancing set is collateralValue times unitShares divided by naturalUnit
return collateralValue.mul(unitShares).div(naturalUnit);
}

/*
* Calculates the USD Value of a full unit Set Token
*
Expand Down
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