Add long option payout curve support

packages/core/__tests__/dlc/finance/Builder.spec.ts

@@ -12,6 +12,8 @@ import sinon from 'sinon';
 import {
   buildCoveredCallOrderOffer,
   buildCustomStrategyOrderOffer,
+  buildLongCallOrderOffer,
+  buildLongPutOrderOffer,
   buildRoundingIntervalsFromIntervals,
   buildShortPutOrderOffer,
   computeRoundingModulus,
@@ -64,6 +66,36 @@ describe('OrderOffer Builder', () => {
       expect(() => orderOffer.validate()).to.not.throw(Error);
     });
 
+    it('should build a long call OrderOffer correctly', () => {
+      const orderOffer = buildLongCallOrderOffer(
+        oracleAnnouncement,
+        contractSize,
+        strikePrice,
+        premium * 3,
+        premium,
+        12,
+        10000,
+        'bitcoin',
+      );
+
+      expect(() => orderOffer.validate()).to.not.throw(Error);
+    });
+
+    it('should build a long put OrderOffer correctly', () => {
+      const orderOffer = buildLongPutOrderOffer(
+        oracleAnnouncement,
+        contractSize,
+        strikePrice,
+        premium * 3,
+        premium,
+        12,
+        10000,
+        'bitcoin',
+      );
+
+      expect(() => orderOffer.validate()).to.not.throw(Error);
+    });
+
     it('should fail to build an OrderOffer with an invalid oracleAnnouncement', () => {
       oracleAnnouncement.announcementSig = Buffer.from('deadbeef', 'hex');
 

packages/core/__tests__/dlc/finance/LongCall.spec.ts

@@ -0,0 +1,55 @@
+import { HyperbolaPayoutCurvePiece } from '@node-dlc/messaging';
+import { expect } from 'chai';
+
+import { LongCall } from '../../../lib/dlc/finance/LongCall';
+import { HyperbolaPayoutCurve } from '../../../lib/dlc/HyperbolaPayoutCurve';
+
+describe('LongCall', () => {
+  describe('1BTC-50k-base2-18digit curve', () => {
+    const strikePrice = BigInt(50000);
+    const contractSize = BigInt(10) ** BigInt(8);
+    const oracleBase = 2;
+    const oracleDigits = 18;
+
+    const { payoutCurve } = LongCall.buildCurve(
+      strikePrice,
+      contractSize,
+      oracleBase,
+      oracleDigits,
+    );
+
+    describe('payout', () => {
+      const priceIncrease = BigInt(1000);
+
+      it('should be positive as the position goes ITM', () => {
+        expect(
+          payoutCurve
+            .getPayout(strikePrice + priceIncrease)
+            .integerValue()
+            .toNumber(),
+        ).to.equal(
+          Number(
+            (contractSize * priceIncrease) / (strikePrice + priceIncrease),
+          ),
+        );
+      });
+
+      it('should be zero at strike price', () => {
+        expect(payoutCurve.getPayout(strikePrice).toNumber()).to.equal(0);
+      });
+    });
+
+    it('should serialize and deserialize properly', () => {
+      const payout = payoutCurve.getPayout(strikePrice);
+
+      const _tlv = payoutCurve.toPayoutCurvePiece().serialize();
+      const pf = HyperbolaPayoutCurvePiece.deserialize(_tlv);
+
+      const deserializedCurve = HyperbolaPayoutCurve.fromPayoutCurvePiece(pf);
+
+      expect(payout.toNumber()).to.be.eq(
+        deserializedCurve.getPayout(strikePrice).toNumber(),
+      );
+    });
+  });
+});

packages/core/__tests__/dlc/finance/LongPut.spec.ts

@@ -0,0 +1,55 @@
+import { HyperbolaPayoutCurvePiece } from '@node-dlc/messaging';
+import { expect } from 'chai';
+
+import { LongPut } from '../../../lib';
+import { HyperbolaPayoutCurve } from '../../../lib/dlc/HyperbolaPayoutCurve';
+
+describe('LongPut', () => {
+  describe('1BTC-50k-base2-18digit curve', () => {
+    const strikePrice = BigInt(50000);
+    const contractSize = BigInt(10) ** BigInt(8);
+    const oracleBase = 2;
+    const oracleDigits = 18;
+
+    const { payoutCurve } = LongPut.buildCurve(
+      strikePrice,
+      contractSize,
+      oracleBase,
+      oracleDigits,
+    );
+
+    describe('payout', () => {
+      const priceDecrease = BigInt(1000);
+
+      it('should be positive as the position goes ITM', () => {
+        expect(
+          payoutCurve
+            .getPayout(strikePrice - priceDecrease)
+            .integerValue()
+            .toNumber(),
+        ).to.equal(
+          Number(
+            (contractSize * priceDecrease) / (strikePrice - priceDecrease),
+          ),
+        );
+      });
+
+      it('should be zero at strike price', () => {
+        expect(payoutCurve.getPayout(strikePrice).toNumber()).to.equal(0);
+      });
+    });
+
+    it('should serialize and deserialize properly', () => {
+      const payout = payoutCurve.getPayout(strikePrice);
+
+      const _tlv = payoutCurve.toPayoutCurvePiece().serialize();
+      const pf = HyperbolaPayoutCurvePiece.deserialize(_tlv);
+
+      const deserializedCurve = HyperbolaPayoutCurve.fromPayoutCurvePiece(pf);
+
+      expect(payout.toNumber()).to.be.eq(
+        deserializedCurve.getPayout(strikePrice).toNumber(),
+      );
+    });
+  });
+});