Negative Interest: Round Trip#600
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lgtm - just a couple of nits.
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I need to fix the rust implementation in this PR. |
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* Made some progress on the negative interest issues * Simplified the mature negative interest flow and fixed the flow for shorts * Fixed a discrepancy in the negative interest logic in `closeLong` * Cleanup * Fixed issue after merge * Refactored out `sharePaymentWithoutFees` * Refactored out `shareProceedsWithFees` * Addressed review feedback from @jrhea * "Fixed" an intermittent failure in `test_lp_withdrawal_long_and_short_maturity * Commit intermmediate progress * Made the share adjustment fixes * Added a `minSharePrice` * Fixed some tests * Fixed the Rust codebase * Name changes in `HyperdriveLong` 1. `shareReservesDelta` and `bondReservesDelta` always refer to the amount of shares or bonds that are being added or subtracted from the share reserves. 2. `shareCurvePayment` refers to the amount of shares priced by the curve. We think of this as a payment because the LPs are paying shares in return for a proceed in bonds, `bondCurveProceeds`. * Removed the long share price and did some renaming in `HyperdriveShort` * De-duplicated the negative interest logic between `closeLong` and `closeShort` * Renamed `shareCurvePayment` and `shareCurveProceeds` to `shareCurveDelta` * Negative Interest: Round Trip (#600) * Added a `minSharePrice` * Fixed some tests * Fixed the Rust codebase * Renamed `bondCurvePayment` and `bondCurveProceeds` to `bondCurveDelta` * Fixed issues after merge * Addressed review feedback
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* Made some progress on the negative interest issues * Simplified the mature negative interest flow and fixed the flow for shorts * Fixed a discrepancy in the negative interest logic in `closeLong` * Cleanup * Fixed issue after merge * Refactored out `sharePaymentWithoutFees` * Refactored out `shareProceedsWithFees` * Addressed review feedback from @jrhea * "Fixed" an intermittent failure in `test_lp_withdrawal_long_and_short_maturity * Commit intermmediate progress * Made the share adjustment fixes * Added a `minSharePrice` * Fixed some tests * Fixed the Rust codebase * Name changes in `HyperdriveLong` 1. `shareReservesDelta` and `bondReservesDelta` always refer to the amount of shares or bonds that are being added or subtracted from the share reserves. 2. `shareCurvePayment` refers to the amount of shares priced by the curve. We think of this as a payment because the LPs are paying shares in return for a proceed in bonds, `bondCurveProceeds`. * Removed the long share price and did some renaming in `HyperdriveShort` * De-duplicated the negative interest logic between `closeLong` and `closeShort` * Renamed `shareCurvePayment` and `shareCurveProceeds` to `shareCurveDelta` * Negative Interest: Round Trip (#600) * Added a `minSharePrice` * Fixed some tests * Fixed the Rust codebase * Renamed `bondCurvePayment` and `bondCurveProceeds` to `bondCurveDelta` * Fixed issues after merge * Fixed the path independence test and added a test for k invariance * Addressed review feedback * Cleaned up the comments * Fixed a bug in `openShort` caused by negative interest * Added negative interest to `test_path_independence`
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The current accounting system uses the share price at the beginning of the checkpoint to assess whether or not negative interest accrued in the checkpoint. With this in mind, the system doesn't distinguish between traders that opened their positions before or after the negative interest accrued. This has the consequence that opening a long after negative interest accrues in a checkpoint locks in an immediate loss (aside from slippage and fees) since the trader's proceeds will be discounted by the negative interest if they immediately close their long. There is a separate issue with shorts that needs to be addressed in a follow-up.
A solution to this problem is to add a parameter to
openLongandopenShortthat allows trader's to specify a minimum share price at which to open their position. If the share price is lower than this threshold, the transaction will revert. This prevents traders from getting into a bad situation in the event that negative interest accrues atomically. It's good to allow the trader to pick their own tolerance because there may be yield sources in the future that accrue dust negative interest occasionally.