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pendleTracker.py
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import math
from web3 import Web3
import abi as abi_import
import time
from datetime import datetime
import fxns as f
import pprint
trackingDict = {}
sy_addr = '0xE05082B184a34668CD8A904D85FA815802BBb04c'
sy_abi = abi_import.sy_token_abi
silo_addr = '0x32a4Bcd8DEa5E18a12a50584682f8E4B77fFF2DF'
siloYield = '0x96eFdF95Cc47fe90e8f63D2f5Ef9FB8B180dAeB9'
# crv
yieldToken = '0xD533a949740bb3306d119CC777fa900bA034cd52'
# crvUSD
crvUSD = '0xf939E0A03FB07F59A73314E73794Be0E57ac1b4E'
unixYear = 31556926
t_start = datetime(2023, 10, 11, 3, 19, 11).timestamp()
mkt_abi = abi_import.mkt
mkt_addr = '0xC9beCdbC62efb867cB52222b34c187fB170379C6'
w3 = Web3(Web3.HTTPProvider('https://eth-mainnet.g.alchemy.com/v2/HsRAh-rTKhWRIzJAVCfUU3VXFqilsfLf'))
w3.is_connected()
mkt_contract = w3.eth.contract(address=mkt_addr, abi=mkt_abi)
mkt_data_dict = {'scalar_root': '',
'initAnchor': '',
'expiry': '',
'total_pt': '',
'total_sy': '',
'ln_impliedRate': '',
'lastImpliedRate': '',
'pt_ratio': '',
'px_ratio': '',
'rtScalar': '',
'rtAnchor': '',
'exchange_rt_px': '',
'pt_price': '',
'sy_price': ''
}
def getMktData():
mkt_data = mkt_contract.functions._storage().call()
scalar_root = f.eth_convert(mkt_contract.functions.scalarRoot().call())
initAnchor = f.eth_convert(mkt_contract.functions.initialAnchor().call())
expiry = mkt_contract.functions.expiry().call()
total_pt = f.eth_convert(mkt_data[0])
total_sy = f.eth_convert(mkt_data[1])
ln_ImpliedRate = f.eth_convert(mkt_data[2])
lastImpliedRate = math.exp(ln_ImpliedRate)
pt_ratio = total_pt / (total_pt + total_sy)
px_ratio = pt_ratio / (1-pt_ratio)
rtScalar = f.rateScalar(f.update_now(), scalar_root)
rtAnchor = f.rateAnchor(f.update_now(), lastImpliedRate, pt_ratio, expiry, scalar_root)
exchange_rt_px = ((math.log(pt_ratio / (1-pt_ratio))) / rtScalar) + rtAnchor
pt_price = 1 / exchange_rt_px
sy_price = pt_price * ((lastImpliedRate)**(f.yrsLeft(f.update_now(), expiry)) - 1)
mkt_data_dict['scalar_root'] = scalar_root
mkt_data_dict['initAnchor'] = initAnchor
mkt_data_dict['expiry'] = expiry
mkt_data_dict['total_pt'] = total_pt
mkt_data_dict['total_sy'] = total_sy
mkt_data_dict['ln_impliedRate'] = ln_ImpliedRate
mkt_data_dict['lastImpliedRate'] = lastImpliedRate
mkt_data_dict['pt_ratio'] = pt_ratio
mkt_data_dict['px_ratio'] = px_ratio
mkt_data_dict['rtScalar'] = rtScalar
mkt_data_dict['rtAnchor'] = rtAnchor
mkt_data_dict['exchange_rt_px'] = exchange_rt_px
mkt_data_dict['pt_price'] = pt_price
mkt_data_dict['sy_price'] = sy_price
silo_abi = abi_import.silo
silo_contract = w3.eth.contract(address=silo_addr, abi=silo_abi)
crvData = {
'borrowAPY_crv': '',
'depositAPY_crv': '',
'util_crv': '',
'liq_crv': '',
'borrow_crv': '',
'deposits_crv': ''
}
crvUSDData = {
'borrowAPY_crvUSD': '',
'depositAPY_crvUSD': '',
'util_crvUSD': '',
'liq_crvUSD': '',
'borrow_crvUSD': '',
'deposits_crvUSD': ''
}
def getCrvData():
borrowAPY_crv = silo_contract.functions.borrowAPY(siloYield, yieldToken).call()
depositAPY_crv = silo_contract.functions.depositAPY(siloYield, yieldToken).call()
util_crv = silo_contract.functions.getUtilization(siloYield, yieldToken).call()
liq_crv = silo_contract.functions.liquidity(siloYield, yieldToken).call()
borrow_crv = silo_contract.functions.totalBorrowAmount(siloYield, yieldToken).call()
deposits_crv = silo_contract.functions.totalDeposits(siloYield, yieldToken).call()
crvData['borrowAPY_crv'] = f.eth_convert(borrowAPY_crv)
crvData['depositAPY_crv'] = f.eth_convert(depositAPY_crv)
crvData['util_crv'] = f.eth_convert(util_crv)
crvData['liq_crv'] = f.eth_convert(liq_crv)
crvData['borrow_crv'] = f.eth_convert(borrow_crv)
crvData['deposits_crv'] = f.eth_convert(deposits_crv)
def getCrvUSDData():
borrowAPY_crvUSD = silo_contract.functions.borrowAPY(siloYield, crvUSD).call()
depositAPY_crvUSD = silo_contract.functions.depositAPY(siloYield, crvUSD).call()
util_crvUSD = silo_contract.functions.getUtilization(siloYield, crvUSD).call()
liq_crvUSD = silo_contract.functions.liquidity(siloYield, crvUSD).call()
borrow_crvUSD = silo_contract.functions.totalBorrowAmount(siloYield, crvUSD).call()
deposits_crvUSD = silo_contract.functions.totalDeposits(siloYield, crvUSD).call()
crvUSDData['borrowAPY_crvUSD'] = f.eth_convert(borrowAPY_crvUSD)
crvUSDData['depositAPY_crvUSD'] = f.eth_convert(depositAPY_crvUSD)
crvUSDData['util_crvUSD'] = f.eth_convert(util_crvUSD)
crvUSDData['liq_crvUSD'] = f.eth_convert(liq_crvUSD)
crvUSDData['borrow_crvUSD'] = f.eth_convert(borrow_crvUSD)
crvUSDData['deposits_crvUSD'] = f.eth_convert(deposits_crvUSD)
interestRateModel = silo_contract.functions.getModel(siloYield, crvUSD).call()
interestRateModelCRV = silo_contract.functions.getModel(siloYield, yieldToken).call()
model_abi = abi_import.model_abi
model_contract = w3.eth.contract(address=interestRateModel, abi=model_abi)
model_contract_CRV = w3.eth.contract(address=interestRateModelCRV, abi=model_abi)
iRateModel = {
'dp': '',
'rcomp_max': '',
'x_max': '',
'uopt': '',
'ucrit': '',
'ulow': '',
'ki': '',
'kcrit': '',
'klow': '',
'klin': '',
'beta': '',
'ri': '',
'Tcrit': '',
'config_tuple': '',
'cb': '',
'clin': '',
'clow': '',
'ccrit': '',
'ci': ''
}
iRateModelCRV = {'dp': '','rcomp_max': '','x_max': '','uopt': '','ucrit': '','ulow': '','ki': '','kcrit': '','klow': '','klin': '','beta': '','ri': '','Tcrit': '',
'config_tuple': '','cb': '','clin': '','clow': '','ccrit': '','ci': ''
}
def getInterestRateModelData():
dp = model_contract.functions.DP().call()
rcomp_max = model_contract.functions.RCOMP_MAX().call()
x_max = model_contract.functions.X_MAX().call()
# upot, ucrit, ulow, ki, kcrit, klow, klin, beta, ri, Tcrit
config = model_contract.functions.getConfig(siloYield, crvUSD).call()
uopt = config[0]
ucrit = config[1]
ulow = config[2]
ki = config[3]
kcrit = config[4]
klow = config[5]
klin = config[6]
beta = config[7]
ri = config[8]
Tcrit = config[9]
config_tuple = (uopt, ucrit, ulow, ki, kcrit, klow, klin, beta, ri, Tcrit)
cb = beta * 3600
clin = klin * 365 * 24 * 3600 * uopt
clow = klow * 365 * 24 * 3600 * ulow
ccrit = kcrit * 365 * 24 * 3600 * (1.0 - f.eth_convert(ulow))
ci = ki * 365 * (24 ** 2) * (3600 ** 2) * (1.0 - f.eth_convert(uopt))
iRateModel['dp'] = dp
iRateModel['rcomp_max'] = rcomp_max
iRateModel['x_max'] = x_max
iRateModel['uopt'] = f.eth_convert(uopt)
iRateModel['ucrit'] = f.eth_convert(ucrit)
iRateModel['ulow'] = f.eth_convert(ulow)
iRateModel['ki'] = ki
iRateModel['kcrit'] = kcrit
iRateModel['klow'] = klow
iRateModel['klin'] = klin
iRateModel['beta'] = beta
iRateModel['ri'] = ri
iRateModel[ 'Tcrit'] = Tcrit
iRateModel['config_tuple'] = config_tuple
iRateModel['cb'] = f.eth_convert(cb)
iRateModel['clin'] = f.eth_convert(clin)
iRateModel['clow'] = f.eth_convert(clow)
iRateModel['ccrit'] = f.eth_convert(ccrit)
iRateModel['ci'] = ci
def getInterestRateModelDataCRV():
dp = model_contract_CRV.functions.DP().call()
rcomp_max = model_contract_CRV.functions.RCOMP_MAX().call()
x_max = model_contract_CRV.functions.X_MAX().call()
# upot, ucrit, ulow, ki, kcrit, klow, klin, beta, ri, Tcrit
config = model_contract_CRV.functions.getConfig(siloYield, yieldToken).call()
uopt = config[0]
ucrit = config[1]
ulow = config[2]
ki = config[3]
kcrit = config[4]
klow = config[5]
klin = config[6]
beta = config[7]
ri = config[8]
Tcrit = config[9]
config_tuple = (uopt, ucrit, ulow, ki, kcrit, klow, klin, beta, ri, Tcrit)
cb = beta * 3600
clin = klin * 365 * 24 * 3600 * uopt
clow = klow * 365 * 24 * 3600 * ulow
ccrit = kcrit * 365 * 24 * 3600 * (1.0 - f.eth_convert(ulow))
ci = ki * 365 * (24 ** 2) * (3600 ** 2) * (1.0 - f.eth_convert(uopt))
iRateModelCRV['dp'] = dp
iRateModelCRV['rcomp_max'] = rcomp_max
iRateModelCRV['x_max'] = x_max
iRateModelCRV['uopt'] = f.eth_convert(uopt)
iRateModelCRV['ucrit'] = f.eth_convert(ucrit)
iRateModelCRV['ulow'] = f.eth_convert(ulow)
iRateModelCRV['ki'] = ki
iRateModelCRV['kcrit'] = kcrit
iRateModelCRV['klow'] = klow
iRateModelCRV['klin'] = klin
iRateModelCRV['beta'] = beta
iRateModelCRV['ri'] = ri
iRateModelCRV[ 'Tcrit'] = Tcrit
iRateModelCRV['config_tuple'] = config_tuple
iRateModelCRV['cb'] = f.eth_convert(cb)
iRateModelCRV['clin'] = f.eth_convert(clin)
iRateModelCRV['clow'] = f.eth_convert(clow)
iRateModelCRV['ccrit'] = f.eth_convert(ccrit)
iRateModelCRV['ci'] = ci
def latestBlockTS():
return w3.eth.get_block('latest')['timestamp']
# print(currInterestRate(latestBlockTS(), update_now(), ri, util_crvUSD, Tcrit))
def calcCurrInterestRate(t0, t1, _ri, u, Tcrit):
T = t1 - t0
rp = 0.0
if u > iRateModel['ucrit']:
rp = iRateModel['kcrit'] * (iRateModel['dp'] + Tcrit + iRateModel['beta'] * T) / iRateModel['dp'] * (u - iRateModel['ucrit']) / iRateModel['dp']
else:
rp = min(0, iRateModel['klow'] * (u - iRateModel['ulow']) / iRateModel['dp'])
rlin = iRateModel['klin'] * u / iRateModel['dp']
r_i = max(_ri, rlin)
r_i = max(r_i + iRateModel['ki'] * (u - iRateModel['uopt']) * T / iRateModel['dp'], rlin)
rcur = max(r_i + rp, rlin) * 365 * 24 * 3600
return rcur
getMktData()
getCrvData()
getCrvUSDData()
getInterestRateModelData()
def getCurrInterestRate(token):
return model_contract.functions.getCurrentInterestRate(siloYield, token, int(mkt_data_dict['expiry'])).call()
crvUSDRate = getCurrInterestRate(crvUSD)
crvRate = getCurrInterestRate(yieldToken)
longYieldRate = f.eth_convert(crvRate) - 1.0
sy_contract = w3.eth.contract(address=sy_addr, abi=sy_abi)
sy_data = {
'rewardIndexes': '',
'impliedUnderlyingSpread': '',
'underlyingRate': ''
}
def getSyData():
rewardIndexes = sy_contract.functions.rewardIndexesStored().call()[0]
impliedUnderlyingSpread = f.eth_convert(rewardIndexes) * 10
underlyingRate = (mkt_data_dict['lastImpliedRate'] - 1) + impliedUnderlyingSpread
sy_data['rewardIndexes'] = rewardIndexes
sy_data['impliedUnderlyingSpread'] = impliedUnderlyingSpread
sy_data['underlyingRate'] = underlyingRate
def main_run():
getMktData()
getCrvData()
getCrvUSDData()
getInterestRateModelData()
getInterestRateModelDataCRV()
getSyData()
# print("MKT DATA: ")
# pprint.pprint(mkt_data_dict)
# print("CRV DATA: ")
# pprint.pprint(crvData)
# print("CRV USD DATA: ")
# pprint.pprint(crvUSDData)
#
# print("I-RATE MODEL crvUSD: ")
# pprint.pprint(iRateModel)
#
# print("I-RATE MODEL CRV: ")
# pprint.pprint(iRateModelCRV)
#
#
# print("SY DATA: ")
# pprint.pprint(sy_data)
#
#
# print("CRV USD RATE: ", f.eth_convert(crvUSDRate))
#
# print("CRV RATE: ", f.eth_convert(crvRate))
#
# print("LONG YIELD RATE: ", longYieldRate)
main_run()