CfdMath

Title: CfdMath

Pure stateless math library for PnL, Price Impact, and Funding

Note: security-contact: contact@plether.com

Constants

WAD

uint256 internal constant WAD = 1e18

SECONDS_PER_YEAR

uint256 internal constant SECONDS_PER_YEAR = 31_536_000

USDC_TO_TOKEN_SCALE

uint256 internal constant USDC_TO_TOKEN_SCALE = 1e20

FUNDING_INDEX_SCALE

uint256 internal constant FUNDING_INDEX_SCALE = 1e30

Functions

calculatePnL

Calculates Unrealized PnL strictly bounded by the protocol CAP

function calculatePnL(
    CfdTypes.Position memory pos,
    uint256 currentOraclePrice,
    uint256 capPrice
) internal pure returns (bool isProfit, uint256 pnlUsdc);

Parameters

Name	Type	Description
`pos`	`CfdTypes.Position`	The position to evaluate
`currentOraclePrice`	`uint256`	Current oracle price (8 decimals)
`capPrice`	`uint256`	Protocol cap price (8 decimals)

Returns

Name	Type	Description
`isProfit`	`bool`	True if the position is in profit
`pnlUsdc`	`uint256`	Absolute PnL value in USDC (6 decimals)

calculateMaxProfit

Calculates the absolute maximum payout a trade can ever achieve

function calculateMaxProfit(
    uint256 size,
    uint256 entryPrice,
    CfdTypes.Side side,
    uint256 capPrice
) internal pure returns (uint256 maxProfitUsdc);

Parameters

Name	Type	Description
`size`	`uint256`	Notional size (18 decimals)
`entryPrice`	`uint256`	Entry oracle price (8 decimals)
`side`	`CfdTypes.Side`	BULL or BEAR
`capPrice`	`uint256`	Protocol cap price (8 decimals)

Returns

Name	Type	Description
`maxProfitUsdc`	`uint256`	Maximum possible profit in USDC (6 decimals)

_getSkewCost

Calculates the cost of a specific skew state. C(S) = 0.5 * k * (S^2 / D)

function _getSkewCost(
    uint256 skewUsdc,
    uint256 depthUsdc,
    uint256 vpiFactorWad
) private pure returns (uint256 costUsdc);

Parameters

Name	Type	Description
`skewUsdc`	`uint256`	The absolute directional imbalance in USDC (6 decimals)
`depthUsdc`	`uint256`	The total free USDC in the House Pool (6 decimals)
`vpiFactorWad`	`uint256`	The ‘k’ impact parameter (18 decimals)

Returns

Name	Type	Description
`costUsdc`	`uint256`	The theoretical cost to reach this skew (6 decimals)

calculateVPI

Calculates the VPI charge/rebate for a trade.

If postCost > preCost, result is positive (Charge Trader). If postCost < preCost, result is negative (Rebate Trader / MM Incentive).

function calculateVPI(
    uint256 preSkewUsdc,
    uint256 postSkewUsdc,
    uint256 depthUsdc,
    uint256 vpiFactorWad
) internal pure returns (int256 vpiUsdc);

getAnnualizedFundingRate

Returns the annualized funding rate based on the kinked curve. Linear ramp up to kinkSkewRatio, quadratic acceleration above it.

function getAnnualizedFundingRate(
    uint256 absSkewUsdc,
    uint256 depthUsdc,
    CfdTypes.RiskParams memory params
) internal pure returns (uint256 annualizedRateWad);

Parameters

Name	Type	Description
`absSkewUsdc`	`uint256`	Absolute directional imbalance in USDC (6 decimals)
`depthUsdc`	`uint256`	Total pool depth in USDC (6 decimals)
`params`	`CfdTypes.RiskParams`	Risk parameters defining the funding curve shape

Returns

Name	Type	Description
`annualizedRateWad`	`uint256`	Annualized rate (18 decimals WAD)

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