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Rollover fee curve update #240

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Merged
aalavandhan merged 3 commits into from
Mar 6, 2025
Merged

Rollover fee curve update #240

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3a7cfe8
rollover fee handles undersubscribed vault
aalavandhan Feb 28, 2025
fc474bb
bumped up hardhat
aalavandhan Feb 28, 2025
aa81a5e
code review comments
aalavandhan Mar 6, 2025
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60 changes: 34 additions & 26 deletions spot-contracts/contracts/FeePolicy.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -6,6 +6,7 @@ import { SubscriptionParams } from "./_interfaces/CommonTypes.sol";
import { InvalidPerc, InvalidTargetSRBounds, InvalidDRBounds } from "./_interfaces/ProtocolErrors.sol";

import { MathUpgradeable } from "@openzeppelin/contracts-upgradeable/utils/math/MathUpgradeable.sol";
import { SignedMathUpgradeable } from "@openzeppelin/contracts-upgradeable/utils/math/SignedMathUpgradeable.sol";
import { SafeCastUpgradeable } from "@openzeppelin/contracts-upgradeable/utils/math/SafeCastUpgradeable.sol";
import { OwnableUpgradeable } from "@openzeppelin/contracts-upgradeable/access/OwnableUpgradeable.sol";
/**
Expand Down Expand Up @@ -96,21 +97,22 @@ contract FeePolicy is IFeePolicy, OwnableUpgradeable {

/// @dev NOTE: We updated the type of the parameters from int256 to uint256, which is an upgrade safe operation.
struct RolloverFeeParams {
/// @notice The maximum debasement rate for perp,
/// i.e) the maximum rate perp pays the vault for rollovers.
/// @notice The minimum rollover fee percentage enforced by the contract.
/// @dev This is represented as signed fixed point number with {DECIMALS} places.
/// The rollover fee percentage returned by the fee policy will be no lower than
/// this specified value.
/// The parameter effectively controls perp's maximum debasement amount.
int256 minRolloverFeePerc;
/// @notice The slope of the linear rollover fee curve when (dr <= 1).
/// @dev This is represented as fixed point number with {DECIMALS} places.
/// For example, setting this to (0.1 / 13), would mean that the yearly perp debasement rate is capped at ~10%.
uint256 maxPerpDebasementPerc;
/// @notice The slope of the linear fee curve when (dr <= 1).
/// @dev This is represented as fixed point number with {DECIMALS} places.
/// Setting it to (1.0 / 13), would mean that it would take 1 year for dr to increase to 1.0.
/// Setting it to say (28 / 365), given a 28 day bond cycle it would take 1 year for dr to increase to 1.0.
/// (assuming no other changes to the system)
uint256 m1;
/// @notice The slope of the linear fee curve when (dr > 1).
uint256 perpDebasementSlope;
/// @notice The slope of the linear rollover fee curve when (dr > 1).
/// @dev This is represented as fixed point number with {DECIMALS} places.
/// Setting it to (1.0 / 13), would mean that it would take 1 year for dr to decrease to 1.0.
/// Setting it to say (28 / 365), given a 28 day bond cycle it would take 1 year for dr to decrease to 1.0.
/// (assuming no other changes to the system)
uint256 m2;
uint256 perpEnrichmentSlope;
}

/// @notice Parameters which control the perp rollover fee,
Expand Down Expand Up @@ -155,14 +157,15 @@ contract FeePolicy is IFeePolicy, OwnableUpgradeable {
vaultUnderlyingToPerpSwapFeePerc = ONE;
vaultPerpToUnderlyingSwapFeePerc = ONE;

// NOTE: With the current bond length of 28 days, rollover rate is annualized by dividing by: 365/28 ~= 13
perpRolloverFee.maxPerpDebasementPerc = ONE / (10 * 13); // 0.1/13 = 0.0077 (10% annualized)
perpRolloverFee.m1 = ONE / (3 * 13); // 0.025
perpRolloverFee.m2 = ONE / (3 * 13); // 0.025
// NOTE: With the current bond length of 28 days,
// rollover fee percentages are annualized by dividing by: 365/28 ~= 13
perpRolloverFee.minRolloverFeePerc = -int256(ONE) / 13; // 0.077 (-100% annualized)
perpRolloverFee.perpDebasementSlope = ONE / 13; // 0.077
perpRolloverFee.perpEnrichmentSlope = ONE / 13; // 0.077

targetSubscriptionRatio = (ONE * 133) / 100; // 1.33
deviationRatioBoundLower = (ONE * 75) / 100; // 0.75
deviationRatioBoundUpper = 2 * ONE; // 2.0
targetSubscriptionRatio = (ONE * 150) / 100; // 1.5
deviationRatioBoundLower = (ONE * 90) / 100; // 0.9
deviationRatioBoundUpper = 4 * ONE; // 4.0
}

//-----------------------------------------------------------------------------
Expand Down Expand Up @@ -272,17 +275,22 @@ contract FeePolicy is IFeePolicy, OwnableUpgradeable {
}

/// @inheritdoc IFeePolicy
function computePerpRolloverFeePerc(uint256 dr) external view override returns (int256) {
function computePerpRolloverFeePerc(uint256 dr) external view override returns (int256 rolloverFeePerc) {
RolloverFeeParams memory c = perpRolloverFee;
if (dr <= ONE) {
uint256 negPerpRate = MathUpgradeable.min(
perpRolloverFee.m1.mulDiv(ONE - dr, ONE),
perpRolloverFee.maxPerpDebasementPerc
);
return -1 * negPerpRate.toInt256();
// The cappedSr is the essentially the percentage of perp's collateral which can be rolled over
// given the vault's current liquidity level.
// Said simply, if cappedSr is 0.5 only 50% of the perp's collateral can be rolled over.
// If cappedSr is 1.0, all of perp's collateral can be rolled over.
uint256 cappedSr = MathUpgradeable.min(dr * targetSubscriptionRatio, ONE);
uint256 negRolloverFeePerc = cappedSr > 0
? (ONE - dr).mulDiv(c.perpDebasementSlope, cappedSr, MathUpgradeable.Rounding.Up)
: c.perpDebasementSlope;
rolloverFeePerc = -negRolloverFeePerc.toInt256();
} else {
uint256 perpRate = perpRolloverFee.m2.mulDiv(dr - ONE, ONE);
return perpRate.toInt256();
rolloverFeePerc = (dr - ONE).mulDiv(c.perpEnrichmentSlope, ONE).toInt256();
}
rolloverFeePerc = SignedMathUpgradeable.max(rolloverFeePerc, c.minRolloverFeePerc);
}

/// @inheritdoc IFeePolicy
Expand Down
2 changes: 1 addition & 1 deletion spot-contracts/package.json
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Original file line number Diff line number Diff line change
Expand Up @@ -54,7 +54,7 @@
"ethereum-waffle": "^3.4.4",
"ethers": "^5.6.9",
"ganache-cli": "^6.12.2",
"hardhat": "^2.19.4",
"hardhat": "^2.22.19",
"hardhat-gas-reporter": "^1.0.9",
"lodash": "^4.17.21",
"prettier": "^2.7.1",
Expand Down
76 changes: 40 additions & 36 deletions spot-contracts/test/FeePolicy.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -24,9 +24,13 @@ describe("FeePolicy", function () {

describe("#init", function () {
it("should return the initial parameters", async function () {
expect(await feePolicy.targetSubscriptionRatio()).to.eq(toPerc("1.33"));
expect(await feePolicy.deviationRatioBoundLower()).to.eq(toPerc("0.75"));
expect(await feePolicy.deviationRatioBoundUpper()).to.eq(toPerc("2"));
expect(await feePolicy.targetSubscriptionRatio()).to.eq(toPerc("1.5"));
expect(await feePolicy.deviationRatioBoundLower()).to.eq(toPerc("0.9"));
expect(await feePolicy.deviationRatioBoundUpper()).to.eq(toPerc("4"));
const r = await feePolicy.perpRolloverFee();
expect(await r.minRolloverFeePerc).to.eq(toPerc("-0.07692307"));
expect(await r.perpDebasementSlope).to.eq(toPerc("0.07692307"));
expect(await r.perpEnrichmentSlope).to.eq(toPerc("0.07692307"));
});
it("should return owner", async function () {
expect(await feePolicy.owner()).to.eq(await deployer.getAddress());
Expand Down Expand Up @@ -63,7 +67,7 @@ describe("FeePolicy", function () {

describe("when triggered by owner", function () {
it("should update the target sr", async function () {
expect(await feePolicy.targetSubscriptionRatio()).to.eq(toPerc("1.33"));
expect(await feePolicy.targetSubscriptionRatio()).to.eq(toPerc("1.5"));
await feePolicy.connect(deployer).updateTargetSubscriptionRatio(toPerc("1.25"));
expect(await feePolicy.targetSubscriptionRatio()).to.eq(toPerc("1.25"));
});
Expand Down Expand Up @@ -97,8 +101,8 @@ describe("FeePolicy", function () {

describe("when triggered by owner", function () {
it("should update the target sr", async function () {
expect(await feePolicy.deviationRatioBoundLower()).to.eq(toPerc("0.75"));
expect(await feePolicy.deviationRatioBoundUpper()).to.eq(toPerc("2"));
expect(await feePolicy.deviationRatioBoundLower()).to.eq(toPerc("0.9"));
expect(await feePolicy.deviationRatioBoundUpper()).to.eq(toPerc("4"));
await feePolicy.connect(deployer).updateDeviationRatioBounds(toPerc("0.5"), toPerc("1.5"));
expect(await feePolicy.deviationRatioBoundLower()).to.eq(toPerc("0.5"));
expect(await feePolicy.deviationRatioBoundUpper()).to.eq(toPerc("1.5"));
Expand Down Expand Up @@ -165,9 +169,9 @@ describe("FeePolicy", function () {
it("should revert", async function () {
await expect(
feePolicy.connect(otherUser).updatePerpRolloverFees({
maxPerpDebasementPerc: toPerc("0.01"),
m1: toPerc("0.01"),
m2: toPerc("0.01"),
minRolloverFeePerc: toPerc("-0.01"),
perpDebasementSlope: toPerc("0.01"),
perpEnrichmentSlope: toPerc("0.01"),
}),
).to.be.revertedWith("Ownable: caller is not the owner");
});
Expand All @@ -176,14 +180,14 @@ describe("FeePolicy", function () {
describe("when triggered by owner", function () {
it("should update parameters", async function () {
await feePolicy.connect(deployer).updatePerpRolloverFees({
maxPerpDebasementPerc: toPerc("0.01"),
m1: toPerc("0.02"),
m2: toPerc("0.03"),
minRolloverFeePerc: toPerc("-0.01"),
perpDebasementSlope: toPerc("0.02"),
perpEnrichmentSlope: toPerc("0.03"),
});
const p = await feePolicy.perpRolloverFee();
expect(p.maxPerpDebasementPerc).to.eq(toPerc("0.01"));
expect(p.m1).to.eq(toPerc("0.02"));
expect(p.m2).to.eq(toPerc("0.03"));
expect(p.minRolloverFeePerc).to.eq(toPerc("-0.01"));
expect(p.perpDebasementSlope).to.eq(toPerc("0.02"));
expect(p.perpEnrichmentSlope).to.eq(toPerc("0.03"));
});
});
});
Expand Down Expand Up @@ -304,9 +308,9 @@ describe("FeePolicy", function () {
await feePolicy.updatePerpMintFees(toPerc("0.025"));
await feePolicy.updatePerpBurnFees(toPerc("0.035"));
await feePolicy.updatePerpRolloverFees({
maxPerpDebasementPerc: toPerc("0.1"),
m1: toPerc("0.3"),
m2: toPerc("0.6"),
minRolloverFeePerc: toPerc("-0.8"),
perpDebasementSlope: toPerc("1"),
perpEnrichmentSlope: toPerc("2"),
});
await feePolicy.updateVaultUnderlyingToPerpSwapFeePerc(toPerc("0.1"));
await feePolicy.updateVaultPerpToUnderlyingSwapFeePerc(toPerc("0.15"));
Expand Down Expand Up @@ -447,25 +451,25 @@ describe("FeePolicy", function () {

describe("rollover fee", function () {
it("should compute fees as expected", async function () {
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0"))).to.eq(toPerc("-0.1"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.01"))).to.eq(toPerc("-0.1"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.25"))).to.eq(toPerc("-0.1"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.5"))).to.eq(toPerc("-0.1"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.66"))).to.eq(toPerc("-0.1"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.7"))).to.eq(toPerc("-0.09"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.8"))).to.eq(toPerc("-0.06"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.9"))).to.eq(toPerc("-0.03"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.99"))).to.eq(toPerc("-0.003"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0"))).to.eq(toPerc("-0.8"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.01"))).to.eq(toPerc("-0.8"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.25"))).to.eq(toPerc("-0.75"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.5"))).to.eq(toPerc("-0.5"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.66"))).to.eq(toPerc("-0.34"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.7"))).to.eq(toPerc("-0.3"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.8"))).to.eq(toPerc("-0.2"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.9"))).to.eq(toPerc("-0.1"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("0.99"))).to.eq(toPerc("-0.01"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1"))).to.eq("0");
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1.01"))).to.eq(toPerc("0.006"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1.05"))).to.eq(toPerc("0.03"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1.1"))).to.eq(toPerc("0.06"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1.25"))).to.eq(toPerc("0.15"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1.5"))).to.eq(toPerc("0.3"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1.75"))).to.eq(toPerc("0.45"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("2"))).to.eq(toPerc("0.6"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("5"))).to.eq(toPerc("2.4"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("10"))).to.eq(toPerc("5.4"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1.01"))).to.eq(toPerc("0.02"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1.05"))).to.eq(toPerc("0.1"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1.1"))).to.eq(toPerc("0.2"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1.25"))).to.eq(toPerc("0.5"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1.5"))).to.eq(toPerc("1"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("1.75"))).to.eq(toPerc("1.5"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("2"))).to.eq(toPerc("2"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("5"))).to.eq(toPerc("8"));
expect(await feePolicy.computePerpRolloverFeePerc(toPerc("10"))).to.eq(toPerc("18"));
});
});
});
Expand Down
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