Code

Feat/bring back tau#121

Code

Merged

kinrezC merged 17 commits intofeat/v0.3.0primitivefinance/DFMM:feat/v0.3.0from feat/bring-back-tauprimitivefinance/DFMM:feat/bring-back-tauCopy head branch name to clipboardApr 10, 2024

+4,429-19

Commits

Commits on Apr 10, 2024

• add CoveredCall strategy which is a LogNormal with tau reintroduced and parameterization tailored to covered call use case

  kinrezC

  committed
  a53715e

• fix covered call swap logic

  kinrezC

  committed
  806de61

• add same test coverage as lognormal

  kinrezC

  committed
  6674f0c

• handle case where timestamp > maturity in swap

  kinrezC

  committed
  e338869

• fix compute price functions to use sigmaSqrtTau instead of just sigma

  kinrezC

  committed
  bdb5ef5

• wip

  kinrezC

  committed
  db3bfa3

• add getInvariant function for testing

  kinrezC

  committed
  d753101

• fmt

  kinrezC

  committed
  094eaf3

• capital efficiency test

  kinrezC

  committed
  db3ba55

• add option to compute init data for covered call given amountY

  kinrezC

  committed
  4cfcd1f

• use initGivenY for cap efficiency tests

  kinrezC

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  d68249c

• test with 0.5 sigma and fix init test

  kinrezC

  committed
  fb9e98f

• fmt

  kinrezC

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  c3f4535

• fmt

  kinrezC

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  155e8da

• fix broken coveredcall tests, rm init_log_state test (was redundant)

  kinrezC

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  30dca49

• rm unused sqrt implementation, increase the percentage we increase and decrease approximated bounds in simulated swap logic

  kinrezC

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  8ae05b2

• fix swap invocations to pass empty bytes as last argument

  kinrezC

  committed
  93c049d