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Merged
merged 9 commits into from
Jan 23, 2024
Merged

Rounding Roundup #736

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7d3c155
Made the rounding more consistent in `LPMath`
jalextowle Jan 22, 2024
60b0aec
Updated the rounding behavior in `HyperdriveMath`
jalextowle Jan 23, 2024
0e3bf78
Did a rounding pass on `HyperdriveLong`
jalextowle Jan 23, 2024
5d4b087
Did a rounding pass on `HyperdriveShort`
jalextowle Jan 23, 2024
6413f48
Did a rounding pass on `HyperdriveLP`
jalextowle Jan 23, 2024
e275ede
Did a rounding pass on `HyperdriveBase`
jalextowle Jan 23, 2024
6f76c90
Did a rounding pass of `FixedPointMath`
jalextowle Jan 23, 2024
db0e07f
Did a rounding pass of `ERC4626Base` and `StETHBase`
jalextowle Jan 23, 2024
0fba78b
Fixed the Rust test and addressed review from @jrhea
jalextowle Jan 23, 2024
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2 changes: 2 additions & 0 deletions contracts/src/instances/erc4626/ERC4626Base.sol
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Expand Up @@ -93,6 +93,8 @@ abstract contract ERC4626Base is HyperdriveBase {
uint256 _sharePrice,
IHyperdrive.Options calldata _options
) internal override returns (uint256 amountWithdrawn) {
// NOTE: Round down to underestimate the base proceeds.
//
// Correct for any error that crept into the calculation of the share
// amount by converting the shares to base and then back to shares
// using the vault's share conversion logic.
Expand Down
2 changes: 2 additions & 0 deletions contracts/src/instances/steth/StETHBase.sol
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Expand Up @@ -115,6 +115,8 @@ abstract contract StETHBase is HyperdriveBase {
revert IHyperdrive.UnsupportedToken();
}

// NOTE: Round down to underestimate the base proceeds.
//
// Correct for any error that crept into the calculation of the share
// amount by converting the shares to base and then back to shares
// using the vault's share conversion logic.
Expand Down
48 changes: 41 additions & 7 deletions contracts/src/internal/HyperdriveBase.sol
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Expand Up @@ -193,7 +193,9 @@ abstract contract HyperdriveBase is HyperdriveStorage {
timeRemaining = _maturityTime > latestCheckpoint
? _maturityTime - latestCheckpoint
: 0;
timeRemaining = (timeRemaining).divDown(_positionDuration);

// NOTE: Round down to underestimate the time remaining.
timeRemaining = timeRemaining.divDown(_positionDuration);
}

/// @dev Calculates the normalized time remaining of a position when the
Expand All @@ -206,7 +208,9 @@ abstract contract HyperdriveBase is HyperdriveStorage {
timeRemaining = _maturityTime > latestCheckpoint
? _maturityTime - latestCheckpoint
: 0;
timeRemaining = (timeRemaining).divDown(_positionDuration * ONE);

// NOTE: Round down to underestimate the time remaining.
timeRemaining = timeRemaining.divDown(_positionDuration * ONE);
}

/// @dev Gets the most recent checkpoint time.
Expand Down Expand Up @@ -277,8 +281,10 @@ abstract contract HyperdriveBase is HyperdriveStorage {
uint256 startingPresentValue = LPMath.calculatePresentValue(
presentValueParams
);
// NOTE: For consistency with the present value calculation, we round
// up the long side and round down the short side.
int256 netCurveTrade = int256(
presentValueParams.longsOutstanding.mulDown(
presentValueParams.longsOutstanding.mulUp(
presentValueParams.longAverageTimeRemaining
)
) -
Expand Down Expand Up @@ -355,9 +361,11 @@ abstract contract HyperdriveBase is HyperdriveStorage {
/// @return True if the share reserves are greater than the exposure plus
/// the minimum share reserves.
function _isSolvent(uint256 _vaultSharePrice) internal view returns (bool) {
// NOTE: Round the lhs up and the rhs down to make the check more
// conservative.
return
int256(
(uint256(_marketState.shareReserves).mulDown(_vaultSharePrice))
(uint256(_marketState.shareReserves).mulUp(_vaultSharePrice))
) -
int128(_marketState.longExposure) >=
int256(_minimumShareReserves.mulDown(_vaultSharePrice));
Expand Down Expand Up @@ -397,6 +405,8 @@ abstract contract HyperdriveBase is HyperdriveStorage {
uint256 zombieBaseReserves
) = _collectZombieInterest(_vaultSharePrice);

// NOTE: Round down to underestimate the proceeds.
//
// If negative interest has accrued in the zombie reserves, we
// discount the share proceeds in proportion to the amount of
// negative interest that has accrued.
Expand Down Expand Up @@ -439,6 +449,8 @@ abstract contract HyperdriveBase is HyperdriveStorage {
internal
returns (uint256 zombieBaseProceeds, uint256 zombieBaseReserves)
{
// NOTE: Round down to underestimate the proceeds.
//
// Get the zombie base proceeds and reserves.
zombieBaseReserves = _vaultSharePrice.mulDown(
_marketState.zombieShareReserves
Expand All @@ -452,11 +464,17 @@ abstract contract HyperdriveBase is HyperdriveStorage {
// difference between the base reserves and the base proceeds.
uint256 zombieInterest = zombieBaseReserves - zombieBaseProceeds;

// NOTE: Round up to overestimate the impact that removing the
// interest had on the zombie share reserves.
//
// Remove the zombie interest from the zombie share reserves.
_marketState.zombieShareReserves -= zombieInterest
.divUp(_vaultSharePrice)
.toUint128();

// NOTE: Round down to underestimate the zombhie interest given to
// the LPs and governance.
//
// Calculate and collect the governance fee.
// The fee is calculated in terms of shares and paid to
// governance.
Expand Down Expand Up @@ -492,7 +510,8 @@ abstract contract HyperdriveBase is HyperdriveStorage {
function _calculateIdleShareReserves(
uint256 _vaultSharePrice
) internal view returns (uint256 idleShares) {
uint256 longExposure = uint256(_marketState.longExposure).divDown(
// NOTE: Round up to underestimate the pool's idle.
uint256 longExposure = uint256(_marketState.longExposure).divUp(
_vaultSharePrice
);
if (_marketState.shareReserves > longExposure + _minimumShareReserves) {
Expand All @@ -510,6 +529,7 @@ abstract contract HyperdriveBase is HyperdriveStorage {
function _calculateLPSharePrice(
uint256 _vaultSharePrice
) internal view returns (uint256 lpSharePrice) {
// NOTE: Round down to underestimate the LP share price.
uint256 presentValue = _vaultSharePrice > 0
? LPMath
.calculatePresentValue(_getPresentValueParams(_vaultSharePrice))
Expand All @@ -519,7 +539,7 @@ abstract contract HyperdriveBase is HyperdriveStorage {
_totalSupply[AssetId._WITHDRAWAL_SHARE_ASSET_ID] -
_withdrawPool.readyToWithdraw;
lpSharePrice = lpTotalSupply == 0
? 0
? 0 // NOTE: Round down to underestimate the LP share price.
: presentValue.divDown(lpTotalSupply);
return lpSharePrice;
}
Expand All @@ -537,6 +557,8 @@ abstract contract HyperdriveBase is HyperdriveStorage {
uint256 _spotPrice,
uint256 _vaultSharePrice
) internal view returns (uint256 curveFee, uint256 governanceCurveFee) {
// NOTE: Round down to underestimate the curve fee.
//
// Fixed Rate (r) = (value at maturity - purchase price)/(purchase price)
// = (1-p)/p
// = ((1 / p) - 1)
Expand All @@ -561,6 +583,8 @@ abstract contract HyperdriveBase is HyperdriveStorage {
.mulDown(_vaultSharePrice)
.mulDown(_shareAmount);

// NOTE: Round down to underestimate the governance curve fee.
//
// We leave the governance fee in terms of bonds:
// governanceCurveFee = curve_fee * p * phi_gov
// = bonds * phi_gov
Expand Down Expand Up @@ -593,10 +617,12 @@ abstract contract HyperdriveBase is HyperdriveStorage {
uint256 totalGovernanceFee
)
{
// NOTE: Round down to underestimate the curve fee.
//
// p (spot price) tells us how many base a bond is worth -> p = base/bonds
// 1 - p tells us how many additional base a bond is worth at
// maturity -> (1 - p) = additional base/bonds

//
// The curve fee is taken from the additional base the user gets for
// each bond at maturity:
//
Expand All @@ -610,12 +636,16 @@ abstract contract HyperdriveBase is HyperdriveStorage {
.mulDown(_bondAmount)
.mulDivDown(_normalizedTimeRemaining, _vaultSharePrice);

// NOTE: Round down to underestimate the governance curve fee.
//
// Calculate the curve portion of the governance fee:
//
// governanceCurveFee = curve_fee * phi_gov
// = shares * phi_gov
governanceCurveFee = curveFee.mulDown(_governanceLPFee);

// NOTE: Round down to underestimate the flat fee.
//
// The flat portion of the fee is taken from the matured bonds.
// Since a matured bond is worth 1 base, it is appropriate to consider
// d_y in units of base:
Expand All @@ -630,6 +660,8 @@ abstract contract HyperdriveBase is HyperdriveStorage {
);
flatFee = flat.mulDown(_flatFee);

// NOTE: Round down to underestimate the total governance fee.
//
// We calculate the flat portion of the governance fee as:
//
// governance_flat_fee = flat_fee * phi_gov
Expand All @@ -655,6 +687,7 @@ abstract contract HyperdriveBase is HyperdriveStorage {
if (_options.asBase) {
return _amount;
} else {
// NOTE: Round down to underestimate the base amount.
return _amount.mulDown(_vaultSharePrice);
}
}
Expand All @@ -672,6 +705,7 @@ abstract contract HyperdriveBase is HyperdriveStorage {
if (_options.asBase) {
return _amount;
} else {
// NOTE: Round down to underestimate the shares amount.
return _amount.divDown(_vaultSharePrice);
}
}
Expand Down
14 changes: 12 additions & 2 deletions contracts/src/internal/HyperdriveCheckpoint.sol
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Expand Up @@ -126,17 +126,20 @@ abstract contract HyperdriveCheckpoint is
int256(shareProceeds), // keep the effective share reserves constant
_checkpointTime
);
uint256 shareReservesDelta = maturedShortsAmount.divDown(
// NOTE: Round up to underestimate the short proceeds.
uint256 shareReservesDelta = maturedShortsAmount.divUp(
_vaultSharePrice
);
shareProceeds = HyperdriveMath.calculateShortProceeds(
// NOTE: Round down to underestimate the short proceeds.
shareProceeds = HyperdriveMath.calculateShortProceedsDown(
maturedShortsAmount,
shareReservesDelta,
openVaultSharePrice,
_vaultSharePrice,
_vaultSharePrice,
_flatFee
);
// NOTE: Round down to underestimate the short proceeds.
_marketState.zombieBaseProceeds += shareProceeds
.mulDown(_vaultSharePrice)
.toUint112();
Expand Down Expand Up @@ -170,6 +173,7 @@ abstract contract HyperdriveCheckpoint is
int256(shareProceeds), // keep the effective share reserves constant
checkpointTime
);
// NOTE: Round down to underestimate the long proceeds.
_marketState.zombieBaseProceeds += shareProceeds
.mulDown(_vaultSharePrice)
.toUint112();
Expand Down Expand Up @@ -223,6 +227,9 @@ abstract contract HyperdriveCheckpoint is
// Calculate the share proceeds, flat fee, and governance fee. Since the
// position is closed at maturity, the share proceeds are equal to the
// bond amount divided by the vault share price.
//
// NOTE: Round down to underestimate the share proceeds, flat fee, and
// governance fee.
shareProceeds = _bondAmount.divDown(_vaultSharePrice);
uint256 flatFee = shareProceeds.mulDown(_flatFee);
governanceFee = flatFee.mulDown(_governanceLPFee);
Expand All @@ -249,10 +256,13 @@ abstract contract HyperdriveCheckpoint is
// governance fee are given a "haircut" proportional to the negative
// interest that accrued.
if (_vaultSharePrice < _openVaultSharePrice) {
// NOTE: Round down to underestimate the proceeds.
shareProceeds = shareProceeds.mulDivDown(
_vaultSharePrice,
_openVaultSharePrice
);

// NOTE: Round down to underestimate the governance fee.
governanceFee = governanceFee.mulDivDown(
_vaultSharePrice,
_openVaultSharePrice
Expand Down
12 changes: 10 additions & 2 deletions contracts/src/internal/HyperdriveLP.sol
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Expand Up @@ -184,6 +184,8 @@ abstract contract HyperdriveLP is HyperdriveBase, HyperdriveMultiToken {
params.bondReserves = _marketState.bondReserves;
endingPresentValue = LPMath.calculatePresentValue(params);

// NOTE: Round down to underestimate the amount of LP shares minted.
//
// The LP shares minted to the LP is derived by solving for the
// change in LP shares that preserves the ratio of present value to
// total LP shares. This ensures that LPs are fairly rewarded for
Expand All @@ -201,6 +203,8 @@ abstract contract HyperdriveLP is HyperdriveBase, HyperdriveMultiToken {
}
}

// NOTE: Round down to make the check more conservative.
//
// Enforce the minimum LP share price slippage guard.
if (_contribution.divDown(lpShares) < _minLpSharePrice) {
revert IHyperdrive.InvalidLpSharePrice();
Expand All @@ -214,7 +218,7 @@ abstract contract HyperdriveLP is HyperdriveBase, HyperdriveMultiToken {

// Emit an AddLiquidity event.
uint256 lpSharePrice = lpTotalSupply == 0
? 0
? 0 // NOTE: We always round the LP share price down for consistency.
: startingPresentValue.divDown(lpTotalSupply);
uint256 baseContribution = _convertToBaseFromOption(
_contribution,
Expand Down Expand Up @@ -387,6 +391,8 @@ abstract contract HyperdriveLP is HyperdriveBase, HyperdriveMultiToken {
withdrawalSharesRedeemed
);

// NOTE: Round down to underestimate the share proceeds.
//
// The LP gets the pro-rata amount of the collected proceeds.
uint128 proceeds_ = _withdrawPool.proceeds;
uint256 shareProceeds = withdrawalSharesRedeemed.mulDivDown(
Expand All @@ -403,8 +409,10 @@ abstract contract HyperdriveLP is HyperdriveBase, HyperdriveMultiToken {
// Withdraw the share proceeds to the user.
proceeds = _withdraw(shareProceeds, _sharePrice, _options);

// NOTE: Round up to make the check more conservative.
//
// Enforce the minimum user output per share.
if (_minOutputPerShare.mulDown(withdrawalSharesRedeemed) > proceeds) {
if (_minOutputPerShare.mulUp(withdrawalSharesRedeemed) > proceeds) {
revert IHyperdrive.OutputLimit();
}

Expand Down
5 changes: 5 additions & 0 deletions contracts/src/internal/HyperdriveLong.sol
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Expand Up @@ -56,6 +56,9 @@ abstract contract HyperdriveLong is HyperdriveLP {
// against the minimum transaction amount because in the event of
// slippage on the deposit, we want the inputs to the state updates to
// respect the minimum transaction amount requirements.
//
// NOTE: Round down to underestimate the base deposit. This makes the
// minimum transaction amount check more conservative.
uint256 baseDeposited = sharesDeposited.mulDown(vaultSharePrice);
if (baseDeposited < _minimumTransactionAmount) {
revert IHyperdrive.MinimumTransactionAmount();
Expand Down Expand Up @@ -425,6 +428,8 @@ abstract contract HyperdriveLong is HyperdriveLP {
// bonds = bonds + bonds
bondReservesDelta = bondProceeds + governanceCurveFee;

// NOTE: Round down to underestimate the governance fee.
//
// Calculate the fees owed to governance in shares. Open longs are
// calculated entirely on the curve so the curve fee is the total
// governance fee. In order to convert it to shares we need to multiply
Expand Down
14 changes: 10 additions & 4 deletions contracts/src/internal/HyperdriveShort.sol
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Expand Up @@ -369,10 +369,12 @@ abstract contract HyperdriveShort is HyperdriveLP {
_initialVaultSharePrice
);

// NOTE: Round up to make the check stricter.
//
// If the base proceeds of selling the bonds is greater than the bond
// amount, then the trade occurred in the negative interest domain. We
// revert in these pathological cases.
if (shareReservesDelta.mulDown(_vaultSharePrice) > _bondAmount) {
if (shareReservesDelta.mulUp(_vaultSharePrice) > _bondAmount) {
revert IHyperdrive.NegativeInterest();
}

Expand Down Expand Up @@ -410,6 +412,8 @@ abstract contract HyperdriveShort is HyperdriveLP {
// shares -= shares - shares
shareReservesDelta -= curveFee - governanceCurveFee;

// NOTE: Round up to overestimate the base deposit.
//
// The trader will need to deposit capital to pay for the fixed rate,
// the curve fee, the flat fee, and any back-paid interest that will be
// received back upon closing the trade. If negative interest has
Expand All @@ -418,7 +422,7 @@ abstract contract HyperdriveShort is HyperdriveLP {
// don't benefit from negative interest that accrued during the current
// checkpoint.
baseDeposit = HyperdriveMath
.calculateShortProceeds(
.calculateShortProceedsUp(
_bondAmount,
// NOTE: We add the governance fee back to the share reserves
// delta here because the trader will need to provide this in
Expand All @@ -429,7 +433,7 @@ abstract contract HyperdriveShort is HyperdriveLP {
_vaultSharePrice,
_flatFee
)
.mulDown(_vaultSharePrice);
.mulUp(_vaultSharePrice);

return (baseDeposit, shareReservesDelta, governanceCurveFee);
}
Expand Down Expand Up @@ -556,14 +560,16 @@ abstract contract HyperdriveShort is HyperdriveLP {
? _vaultSharePrice
: _checkpoints[_maturityTime].vaultSharePrice;

// NOTE: Round down to underestimate the short proceeds.
//
// Calculate the share proceeds owed to the short. We calculate this
// before scaling the share payment for negative interest. Shorts
// are responsible for paying for 100% of the negative interest, so
// they aren't benefited when the payment to LPs is decreased due to
// negative interest. Similarly, the governance fee is included in
// the share payment. The LPs don't receive the governance fee, but
// the short is responsible for paying it.
shareProceeds = HyperdriveMath.calculateShortProceeds(
shareProceeds = HyperdriveMath.calculateShortProceedsDown(
_bondAmount,
shareReservesDelta,
openVaultSharePrice,
Expand Down
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