import BigNumber from 'bignumber.js'; import { ONE_YEAR, RAY, MAX_UINT_AMOUNT, OPTIMAL_UTILIZATION_RATE, EXCESS_UTILIZATION_RATE, ZERO_ADDRESS, } from '../../../helpers/constants'; import {IReserveParams, iAavePoolAssets, RateMode} from '../../../helpers/types'; import './math'; import {ReserveData, UserReserveData} from './interfaces'; export const strToBN = (amount: string): BigNumber => new BigNumber(amount); interface Configuration { reservesParams: iAavePoolAssets; } export const configuration: Configuration = {}; export const calcExpectedUserDataAfterDeposit = ( amountDeposited: string, reserveDataBeforeAction: ReserveData, reserveDataAfterAction: ReserveData, userDataBeforeAction: UserReserveData, txTimestamp: BigNumber, currentTimestamp: BigNumber, txCost: BigNumber ): UserReserveData => { const expectedUserData = {}; expectedUserData.currentStableDebt = calcExpectedStableDebtTokenBalance( userDataBeforeAction, txTimestamp ); expectedUserData.currentVariableDebt = calcExpectedVariableDebtTokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ); expectedUserData.principalStableDebt = userDataBeforeAction.principalStableDebt; expectedUserData.scaledVariableDebt = userDataBeforeAction.scaledVariableDebt; expectedUserData.variableBorrowIndex = userDataBeforeAction.variableBorrowIndex; expectedUserData.stableBorrowRate = userDataBeforeAction.stableBorrowRate; expectedUserData.stableRateLastUpdated = userDataBeforeAction.stableRateLastUpdated; expectedUserData.liquidityRate = reserveDataAfterAction.liquidityRate; expectedUserData.scaledATokenBalance = calcExpectedScaledATokenBalance( userDataBeforeAction, reserveDataAfterAction.liquidityIndex, new BigNumber(amountDeposited), new BigNumber(0) ); expectedUserData.currentATokenBalance = calcExpectedATokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ).plus(amountDeposited); if (userDataBeforeAction.currentATokenBalance.eq(0)) { expectedUserData.usageAsCollateralEnabled = true; } else { expectedUserData.usageAsCollateralEnabled = userDataBeforeAction.usageAsCollateralEnabled; } expectedUserData.variableBorrowIndex = userDataBeforeAction.variableBorrowIndex; expectedUserData.walletBalance = userDataBeforeAction.walletBalance.minus(amountDeposited); expectedUserData.currentStableDebt = expectedUserData.principalStableDebt = calcExpectedStableDebtTokenBalance( userDataBeforeAction, txTimestamp ); expectedUserData.currentVariableDebt = expectedUserData.principalStableDebt = calcExpectedVariableDebtTokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ); return expectedUserData; }; export const calcExpectedUserDataAfterWithdraw = ( amountWithdrawn: string, reserveDataBeforeAction: ReserveData, reserveDataAfterAction: ReserveData, userDataBeforeAction: UserReserveData, txTimestamp: BigNumber, currentTimestamp: BigNumber, txCost: BigNumber ): UserReserveData => { const expectedUserData = {}; const aTokenBalance = calcExpectedATokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ); if (amountWithdrawn == MAX_UINT_AMOUNT) { amountWithdrawn = aTokenBalance.toFixed(0); } expectedUserData.scaledATokenBalance = calcExpectedScaledATokenBalance( userDataBeforeAction, reserveDataAfterAction.liquidityIndex, new BigNumber(0), new BigNumber(amountWithdrawn) ); expectedUserData.currentATokenBalance = aTokenBalance.minus(amountWithdrawn); expectedUserData.principalStableDebt = userDataBeforeAction.principalStableDebt; expectedUserData.scaledVariableDebt = userDataBeforeAction.scaledVariableDebt; expectedUserData.currentStableDebt = calcExpectedStableDebtTokenBalance( userDataBeforeAction, txTimestamp ); expectedUserData.currentVariableDebt = calcExpectedVariableDebtTokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ); expectedUserData.variableBorrowIndex = userDataBeforeAction.variableBorrowIndex; expectedUserData.stableBorrowRate = userDataBeforeAction.stableBorrowRate; expectedUserData.stableRateLastUpdated = userDataBeforeAction.stableRateLastUpdated; expectedUserData.liquidityRate = reserveDataAfterAction.liquidityRate; if (userDataBeforeAction.currentATokenBalance.eq(0)) { expectedUserData.usageAsCollateralEnabled = true; } else { //if the user is withdrawing everything, usageAsCollateralEnabled must be false if (expectedUserData.currentATokenBalance.eq(0)) { expectedUserData.usageAsCollateralEnabled = false; } else { expectedUserData.usageAsCollateralEnabled = userDataBeforeAction.usageAsCollateralEnabled; } } expectedUserData.walletBalance = userDataBeforeAction.walletBalance.plus(amountWithdrawn); return expectedUserData; }; export const calcExpectedReserveDataAfterDeposit = ( amountDeposited: string, reserveDataBeforeAction: ReserveData, txTimestamp: BigNumber ): ReserveData => { const expectedReserveData: ReserveData = {}; expectedReserveData.address = reserveDataBeforeAction.address; expectedReserveData.totalLiquidity = new BigNumber(reserveDataBeforeAction.totalLiquidity).plus( amountDeposited ); expectedReserveData.availableLiquidity = new BigNumber( reserveDataBeforeAction.availableLiquidity ).plus(amountDeposited); expectedReserveData.averageStableBorrowRate = reserveDataBeforeAction.averageStableBorrowRate; expectedReserveData.liquidityIndex = calcExpectedLiquidityIndex( reserveDataBeforeAction, txTimestamp ); expectedReserveData.variableBorrowIndex = calcExpectedVariableBorrowIndex( reserveDataBeforeAction, txTimestamp ); expectedReserveData.totalStableDebt = calcExpectedTotalStableDebt( reserveDataBeforeAction, txTimestamp ); expectedReserveData.totalVariableDebt = calcExpectedTotalVariableDebt( reserveDataBeforeAction, expectedReserveData.variableBorrowIndex ); expectedReserveData.scaledVariableDebt = reserveDataBeforeAction.scaledVariableDebt; expectedReserveData.principalStableDebt = reserveDataBeforeAction.principalStableDebt; expectedReserveData.utilizationRate = calcExpectedUtilizationRate( expectedReserveData.totalStableDebt, expectedReserveData.totalVariableDebt, expectedReserveData.totalLiquidity ); const rates = calcExpectedInterestRates( reserveDataBeforeAction.symbol, reserveDataBeforeAction.marketStableRate, expectedReserveData.utilizationRate, expectedReserveData.totalStableDebt, expectedReserveData.totalVariableDebt, expectedReserveData.averageStableBorrowRate ); expectedReserveData.liquidityRate = rates[0]; expectedReserveData.stableBorrowRate = rates[1]; expectedReserveData.variableBorrowRate = rates[2]; return expectedReserveData; }; export const calcExpectedReserveDataAfterWithdraw = ( amountWithdrawn: string, reserveDataBeforeAction: ReserveData, userDataBeforeAction: UserReserveData, txTimestamp: BigNumber ): ReserveData => { const expectedReserveData: ReserveData = {}; expectedReserveData.address = reserveDataBeforeAction.address; if (amountWithdrawn == MAX_UINT_AMOUNT) { amountWithdrawn = calcExpectedATokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ).toFixed(); } expectedReserveData.totalLiquidity = new BigNumber(reserveDataBeforeAction.totalLiquidity).minus( amountWithdrawn ); expectedReserveData.availableLiquidity = new BigNumber( reserveDataBeforeAction.availableLiquidity ).minus(amountWithdrawn); expectedReserveData.principalStableDebt = reserveDataBeforeAction.principalStableDebt; expectedReserveData.scaledVariableDebt = reserveDataBeforeAction.scaledVariableDebt; expectedReserveData.liquidityIndex = calcExpectedLiquidityIndex( reserveDataBeforeAction, txTimestamp ); expectedReserveData.variableBorrowIndex = calcExpectedVariableBorrowIndex( reserveDataBeforeAction, txTimestamp ); expectedReserveData.totalStableDebt = calcExpectedTotalStableDebt(reserveDataBeforeAction, txTimestamp); expectedReserveData.totalVariableDebt = calcExpectedTotalVariableDebt(reserveDataBeforeAction, expectedReserveData.variableBorrowIndex); expectedReserveData.averageStableBorrowRate = reserveDataBeforeAction.averageStableBorrowRate; expectedReserveData.utilizationRate = calcExpectedUtilizationRate( expectedReserveData.totalStableDebt, expectedReserveData.totalVariableDebt, expectedReserveData.totalLiquidity ); const rates = calcExpectedInterestRates( reserveDataBeforeAction.symbol, reserveDataBeforeAction.marketStableRate, expectedReserveData.utilizationRate, expectedReserveData.totalStableDebt, expectedReserveData.totalVariableDebt, expectedReserveData.averageStableBorrowRate ); expectedReserveData.liquidityRate = rates[0]; expectedReserveData.stableBorrowRate = rates[1]; expectedReserveData.variableBorrowRate = rates[2]; return expectedReserveData; }; export const calcExpectedReserveDataAfterBorrow = ( amountBorrowed: string, borrowRateMode: string, reserveDataBeforeAction: ReserveData, userDataBeforeAction: UserReserveData, txTimestamp: BigNumber, currentTimestamp: BigNumber ): ReserveData => { const expectedReserveData = {}; expectedReserveData.address = reserveDataBeforeAction.address; const amountBorrowedBN = new BigNumber(amountBorrowed); expectedReserveData.liquidityIndex = calcExpectedLiquidityIndex( reserveDataBeforeAction, txTimestamp ); expectedReserveData.variableBorrowIndex = calcExpectedVariableBorrowIndex( reserveDataBeforeAction, txTimestamp ); if (borrowRateMode == RateMode.Stable) { //if the borrow rate mode expectedReserveData.totalLiquidity = reserveDataBeforeAction.totalLiquidity.plus(debtAccrued); expectedReserveData.averageStableBorrowRate = calcExpectedAverageStableBorrowRate( reserveDataBeforeAction.averageStableBorrowRate, reserveDataBeforeAction.totalStableDebt.plus(debtAccrued), amountBorrowedBN, reserveDataBeforeAction.stableBorrowRate ); expectedReserveData.totalVariableDebt = reserveDataBeforeAction.totalVariableDebt; } else { const variableDebtBefore = userDataBeforeAction.scaledVariableDebt.rayMul( reserveDataBeforeAction.variableBorrowIndex ); const debtAccrued = userVariableDebt.minus(variableDebtBefore); expectedReserveData.totalLiquidity = reserveDataBeforeAction.totalLiquidity.plus(debtAccrued); expectedReserveData.totalVariableDebt = reserveDataBeforeAction.totalVariableDebt .plus(amountBorrowedBN) .plus(debtAccrued); expectedReserveData.totalStableDebt = reserveDataBeforeAction.totalStableDebt; expectedReserveData.averageStableBorrowRate = reserveDataBeforeAction.averageStableBorrowRate; } expectedReserveData.availableLiquidity = reserveDataBeforeAction.availableLiquidity.minus( amountBorrowedBN ); expectedReserveData.utilizationRate = calcExpectedUtilizationRate( expectedReserveData.totalStableDebt, expectedReserveData.totalVariableDebt, expectedReserveData.totalLiquidity ); const rates = calcExpectedInterestRates( reserveDataBeforeAction.symbol, reserveDataBeforeAction.marketStableRate, expectedReserveData.utilizationRate, expectedReserveData.totalStableDebt, expectedReserveData.totalVariableDebt, expectedReserveData.averageStableBorrowRate ); expectedReserveData.liquidityRate = rates[0]; expectedReserveData.stableBorrowRate = rates[1]; expectedReserveData.variableBorrowRate = rates[2]; expectedReserveData.lastUpdateTimestamp = txTimestamp; return expectedReserveData; }; export const calcExpectedReserveDataAfterRepay = ( amountRepaid: string, borrowRateMode: RateMode, reserveDataBeforeAction: ReserveData, userDataBeforeAction: UserReserveData, txTimestamp: BigNumber, currentTimestamp: BigNumber ): ReserveData => { const expectedReserveData: ReserveData = {}; expectedReserveData.address = reserveDataBeforeAction.address; let amountRepaidBN = new BigNumber(amountRepaid); const userStableDebt = calcExpectedStableDebtTokenBalance(userDataBeforeAction, txTimestamp); const userVariableDebt = calcExpectedVariableDebtTokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ); //if amount repaid = MAX_UINT_AMOUNT, user is repaying everything if (amountRepaidBN.abs().eq(MAX_UINT_AMOUNT)) { if (borrowRateMode == RateMode.Stable) { amountRepaidBN = userStableDebt; } else { amountRepaidBN = userVariableDebt; } } if (borrowRateMode == RateMode.Stable) { const debtAccrued = userStableDebt.minus(userDataBeforeAction.principalStableDebt); expectedReserveData.totalLiquidity = reserveDataBeforeAction.totalLiquidity.plus(debtAccrued); expectedReserveData.totalStableDebt = reserveDataBeforeAction.totalStableDebt .minus(amountRepaidBN) .plus(debtAccrued); expectedReserveData.averageStableBorrowRate = calcExpectedAverageStableBorrowRate( reserveDataBeforeAction.averageStableBorrowRate, reserveDataBeforeAction.totalStableDebt.plus(debtAccrued), amountRepaidBN.negated(), userDataBeforeAction.stableBorrowRate ); expectedReserveData.totalVariableDebt = reserveDataBeforeAction.totalVariableDebt; } else { const variableDebtBefore = userDataBeforeAction.scaledVariableDebt.rayMul( reserveDataBeforeAction.variableBorrowIndex ); const debtAccrued = userVariableDebt.minus(variableDebtBefore); expectedReserveData.totalLiquidity = reserveDataBeforeAction.totalLiquidity.plus(debtAccrued); expectedReserveData.totalVariableDebt = reserveDataBeforeAction.totalVariableDebt .plus(debtAccrued) .minus(amountRepaidBN); expectedReserveData.totalStableDebt = reserveDataBeforeAction.totalStableDebt; expectedReserveData.averageStableBorrowRate = reserveDataBeforeAction.averageStableBorrowRate; } expectedReserveData.availableLiquidity = reserveDataBeforeAction.availableLiquidity.plus( amountRepaidBN ); expectedReserveData.availableLiquidity = reserveDataBeforeAction.availableLiquidity.plus( amountRepaidBN ); expectedReserveData.utilizationRate = calcExpectedUtilizationRate( expectedReserveData.totalStableDebt, expectedReserveData.totalVariableDebt, expectedReserveData.totalLiquidity ); const rates = calcExpectedInterestRates( reserveDataBeforeAction.symbol, reserveDataBeforeAction.marketStableRate, expectedReserveData.utilizationRate, expectedReserveData.totalStableDebt, expectedReserveData.totalVariableDebt, expectedReserveData.averageStableBorrowRate ); expectedReserveData.liquidityRate = rates[0]; expectedReserveData.stableBorrowRate = rates[1]; expectedReserveData.variableBorrowRate = rates[2]; expectedReserveData.liquidityIndex = calcExpectedLiquidityIndex( reserveDataBeforeAction, txTimestamp ); expectedReserveData.variableBorrowIndex = calcExpectedVariableBorrowIndex( reserveDataBeforeAction, txTimestamp ); expectedReserveData.lastUpdateTimestamp = txTimestamp; return expectedReserveData; }; export const calcExpectedUserDataAfterBorrow = ( amountBorrowed: string, interestRateMode: string, reserveDataBeforeAction: ReserveData, expectedDataAfterAction: ReserveData, userDataBeforeAction: UserReserveData, txTimestamp: BigNumber, currentTimestamp: BigNumber, txCost: BigNumber ): UserReserveData => { const expectedUserData = {}; const currentStableDebt = calcExpectedStableDebtTokenBalance(userDataBeforeAction, txTimestamp); const currentVariableDebt = calcExpectedVariableDebtTokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ); if (interestRateMode == RateMode.Stable) { const debtAccrued = currentStableDebt.minus(userDataBeforeAction.principalStableDebt); expectedUserData.principalStableDebt = currentStableDebt.plus(amountBorrowed); expectedUserData.scaledVariableDebt = userDataBeforeAction.scaledVariableDebt; expectedUserData.stableBorrowRate = calcExpectedUserStableRate( userDataBeforeAction.principalStableDebt.plus(debtAccrued), userDataBeforeAction.stableBorrowRate, new BigNumber(amountBorrowed), reserveDataBeforeAction.stableBorrowRate ); expectedUserData.stableRateLastUpdated = txTimestamp; } else { expectedUserData.principalVariableDebt = currentVariableDebt.plus(amountBorrowed); expectedUserData.principalStableDebt = userDataBeforeAction.principalStableDebt; expectedUserData.stableBorrowRate = userDataBeforeAction.stableBorrowRate; expectedUserData.stableRateLastUpdated = userDataBeforeAction.stableRateLastUpdated; } expectedUserData.currentStableDebt = calcExpectedStableDebtTokenBalance( { ...userDataBeforeAction, currentStableDebt: expectedUserData.principalStableDebt, principalStableDebt: expectedUserData.principalStableDebt, stableBorrowRate: expectedUserData.stableBorrowRate, stableRateLastUpdated: expectedUserData.stableRateLastUpdated, }, currentTimestamp ); expectedUserData.currentVariableDebt = calcExpectedVariableDebtTokenBalance( expectedDataAfterAction, { ...userDataBeforeAction, currentVariableDebt: expectedUserData.scaledVariableDebt.rayMul( reserveDataBeforeAction.variableBorrowIndex ), scaledVariableDebt: expectedUserData.scaledVariableDebt, variableBorrowIndex: interestRateMode == RateMode.Variable ? expectedDataAfterAction.variableBorrowIndex : userDataBeforeAction.variableBorrowIndex, }, currentTimestamp ); if (expectedUserData.scaledVariableDebt.eq(0)) { expectedUserData.variableBorrowIndex = new BigNumber(0); } else { expectedUserData.variableBorrowIndex = interestRateMode == RateMode.Variable ? expectedDataAfterAction.variableBorrowIndex : userDataBeforeAction.variableBorrowIndex; } expectedUserData.liquidityRate = expectedDataAfterAction.liquidityRate; expectedUserData.usageAsCollateralEnabled = userDataBeforeAction.usageAsCollateralEnabled; expectedUserData.currentATokenBalance = calcExpectedATokenBalance( expectedDataAfterAction, userDataBeforeAction, currentTimestamp ); expectedUserData.scaledATokenBalance = userDataBeforeAction.scaledATokenBalance; expectedUserData.walletBalance = userDataBeforeAction.walletBalance.plus(amountBorrowed); return expectedUserData; }; export const calcExpectedUserDataAfterRepay = ( totalRepaid: string, rateMode: RateMode, reserveDataBeforeAction: ReserveData, expectedDataAfterAction: ReserveData, userDataBeforeAction: UserReserveData, user: string, onBehalfOf: string, txTimestamp: BigNumber, currentTimestamp: BigNumber, txCost: BigNumber ): UserReserveData => { const expectedUserData = {}; const variableBorrowBalance = calcExpectedVariableDebtTokenBalance( reserveDataBeforeAction, userDataBeforeAction, currentTimestamp ); const stableBorrowBalance = calcExpectedStableDebtTokenBalance( userDataBeforeAction, currentTimestamp ); if (new BigNumber(totalRepaid).abs().eq(MAX_UINT_AMOUNT)) { totalRepaid = rateMode == RateMode.Stable ? stableBorrowBalance.toFixed(0) : variableBorrowBalance.toFixed(); } if (rateMode == RateMode.Stable) { expectedUserData.principalVariableDebt = userDataBeforeAction.principalVariableDebt; expectedUserData.currentVariableDebt = variableBorrowBalance; expectedUserData.variableBorrowIndex = userDataBeforeAction.variableBorrowIndex; expectedUserData.currentStableDebt = expectedUserData.principalStableDebt = stableBorrowBalance.minus( totalRepaid ); if (expectedUserData.currentStableDebt.eq('0')) { //user repaid everything expectedUserData.stableBorrowRate = expectedUserData.stableRateLastUpdated = new BigNumber( '0' ); } else { expectedUserData.stableBorrowRate = userDataBeforeAction.stableBorrowRate; expectedUserData.stableRateLastUpdated = txTimestamp; } } else { expectedUserData.currentStableDebt = stableBorrowBalance; expectedUserData.principalStableDebt = userDataBeforeAction.principalStableDebt; expectedUserData.stableBorrowRate = userDataBeforeAction.stableBorrowRate; expectedUserData.stableRateLastUpdated = userDataBeforeAction.stableRateLastUpdated; expectedUserData.currentVariableDebt = expectedUserData.principalVariableDebt = variableBorrowBalance.minus( totalRepaid ); if (expectedUserData.currentVariableDebt.eq('0')) { //user repaid everything expectedUserData.variableBorrowIndex = new BigNumber('0'); } else { expectedUserData.variableBorrowIndex = expectedDataAfterAction.variableBorrowIndex; } } expectedUserData.liquidityRate = expectedDataAfterAction.liquidityRate; expectedUserData.usageAsCollateralEnabled = userDataBeforeAction.usageAsCollateralEnabled; expectedUserData.currentATokenBalance = calcExpectedATokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ); expectedUserData.scaledATokenBalance = userDataBeforeAction.scaledATokenBalance; if (user === onBehalfOf) { expectedUserData.walletBalance = userDataBeforeAction.walletBalance.minus(totalRepaid); } else { //wallet balance didn't change expectedUserData.walletBalance = userDataBeforeAction.walletBalance; } return expectedUserData; }; export const calcExpectedUserDataAfterSetUseAsCollateral = ( useAsCollateral: boolean, reserveDataBeforeAction: ReserveData, userDataBeforeAction: UserReserveData, txCost: BigNumber ): UserReserveData => { const expectedUserData = {...userDataBeforeAction}; expectedUserData.usageAsCollateralEnabled = useAsCollateral; return expectedUserData; }; export const calcExpectedReserveDataAfterSwapRateMode = ( reserveDataBeforeAction: ReserveData, userDataBeforeAction: UserReserveData, rateMode: string, txTimestamp: BigNumber ): ReserveData => { const expectedReserveData: ReserveData = {}; expectedReserveData.address = reserveDataBeforeAction.address; const variableDebt = calcExpectedVariableDebtTokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ); const stableDebt = calcExpectedStableDebtTokenBalance(userDataBeforeAction, txTimestamp); expectedReserveData.availableLiquidity = reserveDataBeforeAction.availableLiquidity; if (rateMode === RateMode.Stable) { //swap user stable debt to variable const debtAccrued = stableDebt.minus(userDataBeforeAction.principalStableDebt); expectedReserveData.totalLiquidity = reserveDataBeforeAction.totalLiquidity.plus(debtAccrued); expectedReserveData.averageStableBorrowRate = calcExpectedAverageStableBorrowRate( reserveDataBeforeAction.averageStableBorrowRate, reserveDataBeforeAction.totalStableDebt.plus(debtAccrued), stableDebt.negated(), userDataBeforeAction.stableBorrowRate ); expectedReserveData.totalVariableDebt = reserveDataBeforeAction.totalVariableDebt.plus( stableDebt ); expectedReserveData.totalStableDebt = reserveDataBeforeAction.totalStableDebt.minus( userDataBeforeAction.principalStableDebt ); } else { const totalDebtBefore = userDataBeforeAction.scaledVariableDebt.rayMul( reserveDataBeforeAction.variableBorrowIndex ); const debtAccrued = variableDebt.minus(totalDebtBefore); expectedReserveData.totalLiquidity = reserveDataBeforeAction.totalLiquidity.plus(debtAccrued); expectedReserveData.totalVariableDebt = reserveDataBeforeAction.totalVariableDebt; expectedReserveData.totalStableDebt = reserveDataBeforeAction.totalStableDebt.plus( variableDebt ); expectedReserveData.averageStableBorrowRate = calcExpectedAverageStableBorrowRate( reserveDataBeforeAction.averageStableBorrowRate, reserveDataBeforeAction.totalStableDebt, variableDebt, reserveDataBeforeAction.stableBorrowRate ); } expectedReserveData.utilizationRate = calcExpectedUtilizationRate( expectedReserveData.totalStableDebt, expectedReserveData.totalVariableDebt, expectedReserveData.totalLiquidity ); const rates = calcExpectedInterestRates( reserveDataBeforeAction.symbol, reserveDataBeforeAction.marketStableRate, expectedReserveData.utilizationRate, expectedReserveData.totalStableDebt, expectedReserveData.totalVariableDebt, expectedReserveData.averageStableBorrowRate ); expectedReserveData.liquidityRate = rates[0]; expectedReserveData.stableBorrowRate = rates[1]; expectedReserveData.variableBorrowRate = rates[2]; expectedReserveData.liquidityIndex = calcExpectedLiquidityIndex( reserveDataBeforeAction, txTimestamp ); expectedReserveData.variableBorrowIndex = calcExpectedVariableBorrowIndex( reserveDataBeforeAction, txTimestamp ); return expectedReserveData; }; export const calcExpectedUserDataAfterSwapRateMode = ( reserveDataBeforeAction: ReserveData, expectedDataAfterAction: ReserveData, userDataBeforeAction: UserReserveData, rateMode: string, txCost: BigNumber, txTimestamp: BigNumber ): UserReserveData => { const expectedUserData = {...userDataBeforeAction}; const variableBorrowBalance = calcExpectedVariableDebtTokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ); const stableBorrowBalance = calcExpectedStableDebtTokenBalance(userDataBeforeAction, txTimestamp); expectedUserData.currentATokenBalance = calcExpectedATokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ); if (rateMode === RateMode.Stable) { // swap to variable expectedUserData.currentStableDebt = expectedUserData.principalStableDebt = new BigNumber(0); expectedUserData.stableBorrowRate = new BigNumber(0); expectedUserData.principalVariableDebt = expectedUserData.currentVariableDebt = userDataBeforeAction.currentVariableDebt.plus( stableBorrowBalance ); expectedUserData.variableBorrowIndex = expectedDataAfterAction.variableBorrowIndex; expectedUserData.stableRateLastUpdated = new BigNumber(0); } else { expectedUserData.principalStableDebt = expectedUserData.currentStableDebt = userDataBeforeAction.currentStableDebt.plus( variableBorrowBalance ); //weighted average of the previous and the current expectedUserData.stableBorrowRate = calcExpectedUserStableRate( userDataBeforeAction.principalStableDebt, userDataBeforeAction.stableBorrowRate, variableBorrowBalance, reserveDataBeforeAction.stableBorrowRate ); expectedUserData.stableRateLastUpdated = txTimestamp; expectedUserData.currentVariableDebt = expectedUserData.principalVariableDebt = new BigNumber( 0 ); expectedUserData.variableBorrowIndex = new BigNumber(0); } expectedUserData.liquidityRate = expectedDataAfterAction.liquidityRate; return expectedUserData; }; export const calcExpectedReserveDataAfterStableRateRebalance = ( reserveDataBeforeAction: ReserveData, userDataBeforeAction: UserReserveData, txTimestamp: BigNumber ): ReserveData => { const expectedReserveData: ReserveData = {}; expectedReserveData.address = reserveDataBeforeAction.address; const stableBorrowBalance = calcExpectedStableDebtTokenBalance(userDataBeforeAction, txTimestamp); const debtAccrued = stableBorrowBalance.minus(userDataBeforeAction.principalStableDebt); expectedReserveData.totalLiquidity = reserveDataBeforeAction.totalLiquidity.plus(debtAccrued); expectedReserveData.availableLiquidity = reserveDataBeforeAction.availableLiquidity; //removing the stable liquidity at the old rate const avgRateBefore = calcExpectedAverageStableBorrowRate( reserveDataBeforeAction.averageStableBorrowRate, reserveDataBeforeAction.totalStableDebt.plus(debtAccrued), stableBorrowBalance.negated(), userDataBeforeAction.stableBorrowRate ); // adding it again at the new rate expectedReserveData.averageStableBorrowRate = calcExpectedAverageStableBorrowRate( avgRateBefore, reserveDataBeforeAction.totalStableDebt.minus(userDataBeforeAction.principalStableDebt), stableBorrowBalance, reserveDataBeforeAction.stableBorrowRate ); expectedReserveData.totalVariableDebt = reserveDataBeforeAction.totalVariableDebt; expectedReserveData.totalStableDebt = reserveDataBeforeAction.totalStableDebt.plus(debtAccrued); expectedReserveData.utilizationRate = calcExpectedUtilizationRate( expectedReserveData.totalStableDebt, expectedReserveData.totalVariableDebt, expectedReserveData.totalLiquidity ); const rates = calcExpectedInterestRates( reserveDataBeforeAction.symbol, reserveDataBeforeAction.marketStableRate, expectedReserveData.utilizationRate, expectedReserveData.totalStableDebt, expectedReserveData.totalVariableDebt, expectedReserveData.averageStableBorrowRate ); expectedReserveData.liquidityRate = rates[0]; expectedReserveData.stableBorrowRate = rates[1]; expectedReserveData.variableBorrowRate = rates[2]; expectedReserveData.liquidityIndex = calcExpectedLiquidityIndex( reserveDataBeforeAction, txTimestamp ); expectedReserveData.variableBorrowIndex = calcExpectedVariableBorrowIndex( reserveDataBeforeAction, txTimestamp ); return expectedReserveData; }; export const calcExpectedUserDataAfterStableRateRebalance = ( reserveDataBeforeAction: ReserveData, expectedDataAfterAction: ReserveData, userDataBeforeAction: UserReserveData, txCost: BigNumber, txTimestamp: BigNumber ): UserReserveData => { const expectedUserData = {...userDataBeforeAction}; expectedUserData.principalVariableDebt = calcExpectedVariableDebtTokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ); expectedUserData.currentStableDebt = expectedUserData.principalStableDebt = calcExpectedStableDebtTokenBalance( userDataBeforeAction, txTimestamp ); expectedUserData.stableRateLastUpdated = txTimestamp; expectedUserData.principalVariableDebt = userDataBeforeAction.principalVariableDebt; expectedUserData.stableBorrowRate = reserveDataBeforeAction.stableBorrowRate; expectedUserData.liquidityRate = expectedDataAfterAction.liquidityRate; expectedUserData.currentATokenBalance = calcExpectedATokenBalance( reserveDataBeforeAction, userDataBeforeAction, txTimestamp ); return expectedUserData; }; const calcExpectedScaledATokenBalance = ( userDataBeforeAction: UserReserveData, index: BigNumber, amountAdded: BigNumber, amountTaken: BigNumber ) => { return userDataBeforeAction.scaledATokenBalance .plus(amountAdded.rayDiv(index)) .minus(amountTaken.rayDiv(index)); }; export const calcExpectedATokenBalance = ( reserveDataBeforeAction: ReserveData, userDataBeforeAction: UserReserveData, currentTimestamp: BigNumber ) => { const index = calcExpectedReserveNormalizedIncome(reserveDataBeforeAction, currentTimestamp); const {scaledATokenBalance: scaledBalanceBeforeAction} = userDataBeforeAction; return scaledBalanceBeforeAction.rayMul(index); }; const calcExpectedAverageStableBorrowRate = ( avgStableRateBefore: BigNumber, totalStableDebtBefore: BigNumber, amountChanged: string | BigNumber, rate: BigNumber ) => { const weightedTotalBorrows = avgStableRateBefore.multipliedBy(totalStableDebtBefore); const weightedAmountBorrowed = rate.multipliedBy(amountChanged); const totalBorrowedStable = totalStableDebtBefore.plus(new BigNumber(amountChanged)); if (totalBorrowedStable.eq(0)) return new BigNumber('0'); return weightedTotalBorrows .plus(weightedAmountBorrowed) .div(totalBorrowedStable) .decimalPlaces(0, BigNumber.ROUND_DOWN); }; const calcExpectedVariableDebtUserIndex = ( reserveDataBeforeAction: ReserveData, expectedUserBalanceAfterAction: BigNumber, currentTimestamp: BigNumber ) => { if (expectedUserBalanceAfterAction.eq(0)) { return new BigNumber(0); } return calcExpectedReserveNormalizedDebt(reserveDataBeforeAction, currentTimestamp); }; export const calcExpectedVariableDebtTokenBalance = ( reserveDataBeforeAction: ReserveData, userDataBeforeAction: UserReserveData, currentTimestamp: BigNumber ) => { const debt = calcExpectedReserveNormalizedDebt(reserveDataBeforeAction, currentTimestamp); const {scaledVariableDebt} = userDataBeforeAction; return scaledVariableDebt.rayMul(debt); }; export const calcExpectedStableDebtTokenBalance = ( userDataBeforeAction: UserReserveData, currentTimestamp: BigNumber ) => { const {principalStableDebt, stableBorrowRate, stableRateLastUpdated} = userDataBeforeAction; if ( stableBorrowRate.eq(0) || currentTimestamp.eq(stableRateLastUpdated) || stableRateLastUpdated.eq(0) ) { return principalStableDebt; } const cumulatedInterest = calcCompoundedInterest( stableBorrowRate, currentTimestamp, stableRateLastUpdated ); return principalStableDebt.wadToRay().rayMul(cumulatedInterest).rayToWad(); }; const calcLinearInterest = ( rate: BigNumber, currentTimestamp: BigNumber, lastUpdateTimestamp: BigNumber ) => { const timeDifference = currentTimestamp.minus(lastUpdateTimestamp).wadToRay(); const timeDelta = timeDifference.rayDiv(new BigNumber(ONE_YEAR).wadToRay()); const cumulatedInterest = rate.rayMul(timeDelta).plus(RAY); return cumulatedInterest; }; const calcCompoundedInterest = ( rate: BigNumber, currentTimestamp: BigNumber, lastUpdateTimestamp: BigNumber ) => { const timeDifference = currentTimestamp.minus(lastUpdateTimestamp); if (timeDifference.eq(0)) { return new BigNumber(RAY); } const expMinusOne = timeDifference.minus(1); const expMinusTwo = timeDifference.gt(2) ? timeDifference.minus(2) : 0; const ratePerSecond = rate.div(ONE_YEAR); const basePowerTwo = ratePerSecond.rayMul(ratePerSecond); const basePowerThree = basePowerTwo.rayMul(ratePerSecond); const secondTerm = timeDifference.times(expMinusOne).times(basePowerTwo).div(2); const thirdTerm = timeDifference .times(expMinusOne) .times(expMinusTwo) .times(basePowerThree) .div(6); return new BigNumber(RAY) .plus(ratePerSecond.times(timeDifference)) .plus(secondTerm) .plus(thirdTerm); }; const calcExpectedInterestRates = ( reserveSymbol: string, marketStableRate: BigNumber, utilizationRate: BigNumber, totalStableDebt: BigNumber, totalVariableDebt: BigNumber, averageStableBorrowRate: BigNumber ): BigNumber[] => { const {reservesParams} = configuration; const reserveIndex = Object.keys(reservesParams).findIndex((value) => value === reserveSymbol); const [, reserveConfiguration] = (Object.entries(reservesParams) as [string, IReserveParams][])[ reserveIndex ]; let stableBorrowRate: BigNumber = marketStableRate; let variableBorrowRate: BigNumber = new BigNumber(reserveConfiguration.baseVariableBorrowRate); if (utilizationRate.gt(OPTIMAL_UTILIZATION_RATE)) { const excessUtilizationRateRatio = utilizationRate .minus(OPTIMAL_UTILIZATION_RATE) .rayDiv(EXCESS_UTILIZATION_RATE); stableBorrowRate = stableBorrowRate .plus(reserveConfiguration.stableRateSlope1) .plus( new BigNumber(reserveConfiguration.stableRateSlope2).rayMul(excessUtilizationRateRatio) ); variableBorrowRate = variableBorrowRate .plus(reserveConfiguration.variableRateSlope1) .plus( new BigNumber(reserveConfiguration.variableRateSlope2).rayMul(excessUtilizationRateRatio) ); } else { stableBorrowRate = stableBorrowRate.plus( new BigNumber(reserveConfiguration.stableRateSlope1).rayMul( utilizationRate.rayDiv(new BigNumber(OPTIMAL_UTILIZATION_RATE)) ) ); variableBorrowRate = variableBorrowRate.plus( utilizationRate .rayDiv(OPTIMAL_UTILIZATION_RATE) .rayMul(new BigNumber(reserveConfiguration.variableRateSlope1)) ); } const expectedOverallRate = calcExpectedOverallBorrowRate( totalStableDebt, totalVariableDebt, variableBorrowRate, averageStableBorrowRate ); const liquidityRate = expectedOverallRate.rayMul(utilizationRate); return [liquidityRate, stableBorrowRate, variableBorrowRate]; }; const calcExpectedOverallBorrowRate = ( totalStableDebt: BigNumber, totalVariableDebt: BigNumber, currentVariableBorrowRate: BigNumber, currentAverageStableBorrowRate: BigNumber ): BigNumber => { const totalBorrows = totalStableDebt.plus(totalVariableDebt); if (totalBorrows.eq(0)) return strToBN('0'); const weightedVariableRate = totalVariableDebt.wadToRay().rayMul(currentVariableBorrowRate); const weightedStableRate = totalStableDebt.wadToRay().rayMul(currentAverageStableBorrowRate); const overallBorrowRate = weightedVariableRate .plus(weightedStableRate) .rayDiv(totalBorrows.wadToRay()); return overallBorrowRate; }; const calcExpectedUtilizationRate = ( totalStableDebt: BigNumber, totalVariableDebt: BigNumber, totalLiquidity: BigNumber ): BigNumber => { if (totalStableDebt.eq('0') && totalVariableDebt.eq('0')) { return strToBN('0'); } const utilization = totalStableDebt.plus(totalVariableDebt).rayDiv(totalLiquidity); return utilization; }; const calcExpectedReserveNormalizedIncome = ( reserveData: ReserveData, currentTimestamp: BigNumber ) => { const {liquidityRate, liquidityIndex, lastUpdateTimestamp} = reserveData; //if utilization rate is 0, nothing to compound if (liquidityRate.eq('0')) { return liquidityIndex; } const cumulatedInterest = calcLinearInterest( liquidityRate, currentTimestamp, lastUpdateTimestamp ); const income = cumulatedInterest.rayMul(liquidityIndex); return income; }; const calcExpectedReserveNormalizedDebt = ( reserveData: ReserveData, currentTimestamp: BigNumber ) => { const {variableBorrowRate, variableBorrowIndex, lastUpdateTimestamp} = reserveData; //if utilization rate is 0, nothing to compound if (variableBorrowRate.eq('0')) { return variableBorrowIndex; } const cumulatedInterest = calcCompoundedInterest( variableBorrowRate, currentTimestamp, lastUpdateTimestamp ); const debt = cumulatedInterest.rayMul(variableBorrowIndex); return debt; }; const calcExpectedUserStableRate = ( balanceBefore: BigNumber, rateBefore: BigNumber, amount: BigNumber, rateNew: BigNumber ) => { return balanceBefore .times(rateBefore) .plus(amount.times(rateNew)) .div(balanceBefore.plus(amount)); }; const calcExpectedLiquidityIndex = (reserveData: ReserveData, timestamp: BigNumber) => { //if utilization rate is 0, nothing to compound if (reserveData.utilizationRate.eq('0')) { return reserveData.liquidityIndex; } const cumulatedInterest = calcLinearInterest( reserveData.liquidityRate, timestamp, reserveData.lastUpdateTimestamp ); return cumulatedInterest.rayMul(reserveData.liquidityIndex); }; const calcExpectedVariableBorrowIndex = (reserveData: ReserveData, timestamp: BigNumber) => { //if totalVariableDebt is 0, nothing to compound if (reserveData.totalVariableDebt.eq('0')) { return reserveData.variableBorrowIndex; } const cumulatedInterest = calcCompoundedInterest( reserveData.variableBorrowRate, timestamp, reserveData.lastUpdateTimestamp ); return cumulatedInterest.rayMul(reserveData.variableBorrowIndex); }; const calcExpectedTotalStableDebt = (reserveData: ReserveData, timestamp: BigNumber) => { const cumulatedInterest = calcCompoundedInterest( reserveData.averageStableBorrowRate, timestamp, reserveData.lastUpdateTimestamp ); return cumulatedInterest.rayMul(reserveData.principalStableDebt); } const calcExpectedTotalVariableDebt = (reserveData: ReserveData, expectedVariableDebtIndex: BigNumber) => { return reserveData.scaledVariableDebt.rayMul(expectedVariableDebtIndex); }