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Fixed rounding issue with recovery #170

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Aug 11, 2023
Merged

Fixed rounding issue with recovery #170

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25 changes: 18 additions & 7 deletions spot-contracts/contracts/_utils/BondHelpers.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -210,24 +210,35 @@ library BondHelpers {
BondTranches memory bt = getTranches(b);
uint256[] memory redeemableAmts = new uint256[](bt.tranches.length);

// Calculate how many underlying assets could be redeemed from each tranche balance,
// We Calculate how many underlying assets could be redeemed from each tranche balance,
// assuming other tranches are not an issue, and record the smallest amount.
uint256 minUnderlyingOut = type(uint256).max;
//
// Usually one tranche balance is the limiting factor, we first loop through to identify
// it by figuring out the one which has the least `trancheBalance/trancheRatio`.
//
uint256 minBalanceToTrancheRatio = type(uint256).max;
uint8 i;
for (i = 0; i < bt.tranches.length; i++) {
uint256 d = bt.tranches[i].balanceOf(u).mulDiv(TRANCHE_RATIO_GRANULARITY, bt.trancheRatios[i]);
if (d < minUnderlyingOut) {
minUnderlyingOut = d;
// NOTE: We round the avaiable balance down to the nearest multiple of the
// tranche ratio. This ensures that `minBalanceToTrancheRatio`
// can be represented without loss as a fixedPt number.
uint256 bal = bt.tranches[i].balanceOf(u);
bal = bal - (bal % bt.trancheRatios[i]);

uint256 d = bal.mulDiv(TRANCHE_RATIO_GRANULARITY, bt.trancheRatios[i]);
if (d < minBalanceToTrancheRatio) {
minBalanceToTrancheRatio = d;
}

// if one of the balances is zero, we return
if (minUnderlyingOut == 0) {
if (minBalanceToTrancheRatio == 0) {
return (bt, redeemableAmts);
}
}

// Now that we have `minBalanceToTrancheRatio`, we compute the redeemable amounts.
for (i = 0; i < bt.tranches.length; i++) {
redeemableAmts[i] = bt.trancheRatios[i].mulDiv(minUnderlyingOut, TRANCHE_RATIO_GRANULARITY);
redeemableAmts[i] = bt.trancheRatios[i].mulDiv(minBalanceToTrancheRatio, TRANCHE_RATIO_GRANULARITY);
}

return (bt, redeemableAmts);
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116 changes: 90 additions & 26 deletions spot-contracts/test/_utils/BondHelpers.ts
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Expand Up @@ -427,14 +427,14 @@ describe("BondHelpers", function () {
});

describe("#computeRedeemableTrancheAmounts", function () {
let bond: Contract, bondLength: number;
beforeEach(async function () {
bondLength = 86400;
bond = await createBondWithFactory(bondFactory, collateralToken, [200, 300, 500], bondLength);
await depositIntoBond(bond, toFixedPtAmt("1000"), deployer);
});

describe("when the user has all the tranches in the right proportions", function () {
let bond: Contract, bondLength: number;
beforeEach(async function () {
bondLength = 86400;
bond = await createBondWithFactory(bondFactory, collateralToken, [200, 300, 500], bondLength);
await depositIntoBond(bond, toFixedPtAmt("1000"), deployer);
});

describe("when the user has the entire supply", function () {
it("should calculate the amounts", async function () {
const b = await bondHelpers.computeRedeemableTrancheAmounts(bond.address, deployerAddress);
Expand Down Expand Up @@ -467,66 +467,130 @@ describe("BondHelpers", function () {

describe("when the user does not have tranches right proportions", function () {
async function checkRedeemableAmts(
bond: Contract,
userAddress: string,
trancheRatios: number[] = [],
amounts: string[] = [],
redemptionAmts: string[] = [],
) {
const bond = await createBondWithFactory(bondFactory, collateralToken, trancheRatios, 86400);
const amt = amounts
.map((a, i) => toFixedPtAmt(a).mul("1000").div(trancheRatios[i]))
.reduce((m, a) => (m.gt(a) ? m : a), toFixedPtAmt("0"));
await depositIntoBond(bond, amt.add(toFixedPtAmt("1")), deployer);

const tranches = await getTranches(bond);
for (const a in amounts) {
await tranches[a].transfer(userAddress, toFixedPtAmt(amounts[a]));
}
const b = await bondHelpers.computeRedeemableTrancheAmounts(bond.address, userAddress);
if (b[1][0].gt("0")) {
await bond.connect(user).redeem(b[1]);
}
for (const a in redemptionAmts) {
expect(b[1][a]).to.eq(toFixedPtAmt(redemptionAmts[a]));
}
}

describe("[9, 15, 25]", async function () {
describe("[200,300,500]:[9, 15, 25]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts(bond, userAddress, ["9", "15", "25"], ["9", "13.5", "22.5"]);
await checkRedeemableAmts([200, 300, 500], ["9", "15", "25"], ["9", "13.5", "22.5"]);
});
});

describe("[10, 15, 250]", async function () {
describe("[200,300,500]:[10, 15, 250]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts(bond, userAddress, ["10", "15", "250"], ["10", "15", "25"]);
await checkRedeemableAmts([200, 300, 500], ["10", "15", "250"], ["10", "15", "25"]);
});
});

describe("[10, 12, 250]", async function () {
describe("[200,300,500]:[10, 12, 250]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts(bond, userAddress, ["10", "12", "250"], ["8", "12", "20"]);
await checkRedeemableAmts([200, 300, 500], ["10", "12", "250"], ["8", "12", "20"]);
});
});

describe("[10, 12, 5]", async function () {
describe("[200,300,500]:[10, 12, 5]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts(bond, userAddress, ["10", "12", "5"], ["2", "3", "5"]);
await checkRedeemableAmts([200, 300, 500], ["10", "12", "5"], ["2", "3", "5"]);
});
});

describe("[10, 12, 0.5]", async function () {
describe("[200,300,500]:[10, 12, 0.5]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts(bond, userAddress, ["10", "12", "0.5"], ["0.2", "0.3", "0.5"]);
await checkRedeemableAmts([200, 300, 500], ["10", "12", "0.5"], ["0.2", "0.3", "0.5"]);
});
});

describe("[10, 0, 25]", async function () {
describe("[200,300,500]:[10, 0, 25]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts(bond, userAddress, ["10", "0", "25"], ["0", "0", "0"]);
await checkRedeemableAmts([200, 300, 500], ["10", "0", "25"], ["0", "0", "0"]);
});
});

describe("[0, 15, 25]", async function () {
describe("[200,300,500]:[0, 15, 25]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts(bond, userAddress, ["0", "15", "25"], ["0", "0", "0"]);
await checkRedeemableAmts([200, 300, 500], ["0", "15", "25"], ["0", "0", "0"]);
});
});

describe("[10, 15, 0]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts(bond, userAddress, ["10", "15", "0"], ["0", "0", "0"]);
describe("imperfect rounding", function () {
describe("[200,300,500]:[10, 15, 7.461048491123254231]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts(
[200, 300, 500],
["10", "15", "7.461048491123254230"],
["2.984419396449301600", "4.476629094673952400", "7.461048491123254000"],
);
});
});

describe("[200,300,500]:[1000e-18,5001e-18,503e-18]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts(
[200, 300, 500],
["1000e-18", "5001e-18", "503e-18"],
["200e-18", "300e-18", "500e-18"],
);
});
});

describe("[200,300,500]:[1000e-18,5001e-18,506e-18]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts(
[200, 300, 500],
["1000e-18", "5001e-18", "506e-18"],
["200e-18", "300e-18", "500e-18"],
);
});
});

describe("[1,999]:[1000e-18,2001e-18]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts([1, 999], ["1000e-18", "2001e-18"], ["2e-18", "1998e-18"]);
});
});

describe("[1,999]:[5e-18,1]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts([1, 999], ["5e-18", "1"], ["5e-18", "4995e-18"]);
});
});

describe("[499,501]:[1232e-18,1]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts([499, 501], ["1232e-18", "1"], ["998e-18", "1002e-18"]);
});
});

describe("[499,501]:[1,499e-18]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts([499, 501], ["1", "499e-18"], ["0", "0"]);
});
});

describe("[499,501]:[13224e-18]", async function () {
it("should calculate the amounts", async function () {
await checkRedeemableAmts([499, 501], ["1", "1322e-18"], ["998e-18", "1002e-18"]);
});
});
});
});
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7 changes: 4 additions & 3 deletions spot-contracts/test/helpers.ts
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Expand Up @@ -10,9 +10,10 @@ const TOKEN_DECIMALS = 18;
const PRICE_DECIMALS = 8;
const DISCOUNT_DECIMALS = 18;

export const toFixedPtAmt = (a: string): BigNumber => utils.parseUnits(a, TOKEN_DECIMALS);
export const toPriceFixedPtAmt = (a: string): BigNumber => utils.parseUnits(a, PRICE_DECIMALS);
export const toDiscountFixedPtAmt = (a: string): BigNumber => utils.parseUnits(a, DISCOUNT_DECIMALS);
const sciParseFloat = (a: string): BigNumber => (a.includes("e") ? parseFloat(a).toFixed(18) : a);
export const toFixedPtAmt = (a: string): BigNumber => utils.parseUnits(sciParseFloat(a), TOKEN_DECIMALS);
export const toPriceFixedPtAmt = (a: string): BigNumber => utils.parseUnits(sciParseFloat(a), PRICE_DECIMALS);
export const toDiscountFixedPtAmt = (a: string): BigNumber => utils.parseUnits(sciParseFloat(a), DISCOUNT_DECIMALS);

const ORACLE_BASE_PRICE = toPriceFixedPtAmt("1");

Expand Down