All files / lib/dlc/finance OptionInfo.ts

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import {
  ContractDescriptorV1,
  ContractInfo,
  ContractInfoV0,
  DigitDecompositionEventDescriptorV0,
  HyperbolaPayoutCurvePiece,
  MessageType,
  PayoutFunctionV0,
} from '@node-dlc/messaging';
import BN from 'bignumber.js';
 
import { HyperbolaPayoutCurve } from '../HyperbolaPayoutCurve';
import { CoveredCall } from './CoveredCall';
import { ShortPut } from './ShortPut';
 
export interface OptionInfo {
  contractSize: bigint;
  strikePrice: bigint;
  premium?: bigint;
  type?: OptionType;
  expiry: Date;
}
 
export type HasOfferCollateralSatoshis = {
  offerCollateralSatoshis: bigint;
};
 
export type HasContractInfo = {
  contractInfo: ContractInfo;
};
 
export type HasType = {
  type: MessageType;
};
 
export type OptionType = 'put' | 'call';
 
export function getOptionInfoFromContractInfo(
  _contractInfo: ContractInfo,
): OptionInfo {
  Iif (_contractInfo.type !== MessageType.ContractInfoV0)
    throw Error('Only ContractInfoV0 currently supported');
 
  const contractInfo = _contractInfo as ContractInfoV0;
  Iif (contractInfo.contractDescriptor.type !== MessageType.ContractDescriptorV1)
    throw Error('Only ContractDescriptorV1 currently supported');
 
  const oracleInfo = contractInfo.oracleInfo;
  const { eventMaturityEpoch } = oracleInfo.announcement.oracleEvent;
 
  const eventDescriptor = oracleInfo.announcement.oracleEvent
    .eventDescriptor as DigitDecompositionEventDescriptorV0;
  const { base: oracleBase, nbDigits: oracleDigits } = eventDescriptor;
  Iif (
    oracleInfo.announcement.oracleEvent.eventDescriptor.type !==
    MessageType.DigitDecompositionEventDescriptorV0
  )
    throw Error('Only DigitDecompositionEventDescriptorV0 currently supported');
 
  const contractDescriptor = contractInfo.contractDescriptor as ContractDescriptorV1;
  Iif (contractDescriptor.payoutFunction.type !== MessageType.PayoutFunctionV0)
    throw Error('Only PayoutFunctionV0 currently supported');
 
  const payoutFunction = contractDescriptor.payoutFunction as PayoutFunctionV0;
  Iif (payoutFunction.pieces.length === 0)
    throw Error('PayoutFunction must have at least once PayoutCurvePiece');
  Iif (payoutFunction.pieces.length > 1)
    throw Error('More than one PayoutCurvePiece not supported');
 
  const payoutCurvePiece = payoutFunction.pieces[0]
    .payoutCurvePiece as HyperbolaPayoutCurvePiece;
  Iif (
    payoutCurvePiece.type !== MessageType.HyperbolaPayoutCurvePiece &&
    payoutCurvePiece.type !== MessageType.OldHyperbolaPayoutCurvePiece
  )
    throw Error('Must be HyperbolaPayoutCurvePiece');
  Iif (payoutCurvePiece.b !== BigInt(0) || payoutCurvePiece.c !== BigInt(0))
    throw Error('b and c HyperbolaPayoutCurvePiece values must be 0');
 
  const curve = HyperbolaPayoutCurve.fromPayoutCurvePiece(payoutCurvePiece);
  const maxOutcome = BigInt(
    new BN(oracleBase).pow(oracleDigits).minus(1).toString(10),
  );
  const isAscending = curve
    .getPayout(maxOutcome)
    .gt(Number(payoutFunction.endpointPayout0));
 
  const expiry = new Date(eventMaturityEpoch * 1000);
  const totalCollateral = contractInfo.totalCollateral;
 
  // if curve is ascending, assume it is a put.
  const contractSize = isAscending
    ? payoutCurvePiece.translatePayout - totalCollateral
    : totalCollateral + payoutCurvePiece.translatePayout;
 
  const strikePrice = payoutCurvePiece.d / contractSize;
 
  // rebuild payout curve from option info and perform a sanity check
  const { payoutCurve: sanityCurve } = isAscending
    ? ShortPut.buildCurve(
        strikePrice,
        contractSize,
        totalCollateral,
        oracleBase,
        oracleDigits,
      )
    : CoveredCall.buildCurve(
        strikePrice,
        contractSize,
        oracleBase,
        oracleDigits,
      );
  const type = isAscending ? 'put' : 'call';
 
  if (!curve.equals(sanityCurve))
    throw new Error(
      'Payout curve built from extracted OptionInfo does not match original payout curve',
    );
 
  return { contractSize, strikePrice, expiry, type };
}
 
export function getOptionInfoFromOffer(
  offer: HasOfferCollateralSatoshis & HasContractInfo & HasType,
): OptionInfo {
  Iif (
    offer.type !== MessageType.DlcOfferV0 &&
    offer.type !== MessageType.OrderOfferV0
  )
    throw Error('Only DlcOfferV0 and OrderOfferV0 currently supported');
 
  const premium =
    offer.contractInfo.totalCollateral - offer.offerCollateralSatoshis;
 
  return {
    ...getOptionInfoFromContractInfo(offer.contractInfo),
    premium,
  };
}