feat: FixedRebalanceExtension

ckoopmann · Christian Koopmann · FlattestWhite · web-flow · commit a607e7afeda9 · 2022-12-15T18:00:25.000+08:00
* Skeleton contract and integration test stub

* Adjust getShortfall method

* Add codes to handle exchange rate between asset and underlying token

* Fix rebalance method

* Clean up tests

* Comment out rebalance test

* Change shortfall function to be based on current value

* Fix tests

* Break apart selling of surplus positions and buying shortfall positions

* Clean up tests

* Rename to FixedRebalanceExtension

* Rename shorfall/surplus to underweight/overweight and other refactoring

* More refactoring and documentation

* Add methods to adjust allocations and valid maturities

* Add additional test when changing allocation

* Add todo comment regarding trading via underlying token

* Fix wrong year in license

* Allow configuration wether to trade via underlying or asset token

* Parameterize tests to run both for trading via asset or underlying token

* Reenable optimizer

* Add slippage protection

* Add test that simulates reaching maturity

* Fix maturity expiration test

* Fix typos etc in test titles

Co-authored-by: Richard Guan &lt;guan.richard1@gmail.com&gt;

* Fix typo on docstring

Co-authored-by: Richard Guan &lt;guan.richard1@gmail.com&gt;

* Remove unneeded CallArguments struct

* Improve test names and add test for getting total fcash position when trading via underlying

* Remove unused internal methods

* Make some state variables public

Co-authored-by: SnakePoison &lt;ElmoArmy@users.noreply.github.com&gt;

* Add integration test step in coverage workflow

* Add test for wrong minPositions length

* Add test for trading only partial share

* Fix coverage integration tests

* Add test checking operator transfer

* Remove validMaturities

* Remove validMaturities state variable

* Additional tests

* Remove coverage step for integration tests since it overwrote the report from unit tests

* Remove unused event.

Co-authored-by: SnakePoison &lt;ElmoArmy@users.noreply.github.com&gt;

* Make setToken immutable variable public

Co-authored-by: Christian Koopmann &lt;christian@MTMAC0057.local&gt;
Co-authored-by: Richard Guan &lt;guan.richard1@gmail.com&gt;
Co-authored-by: SnakePoison &lt;ElmoArmy@users.noreply.github.com&gt;
diff --git a/contracts/adapters/FixedRebalanceExtension.sol b/contracts/adapters/FixedRebalanceExtension.sol
diff --git a/contracts/interfaces/INotionalProxy.sol b/contracts/interfaces/INotionalProxy.sol
@@ -64,4 +64,62 @@ interface INotionalProxy {
 
     function settleAccount(address account) external;
 
+   function getfCashLendFromDeposit(
+        uint16 currencyId,
+        uint256 depositAmountExternal,
+        uint256 maturity,
+        uint32 minLendRate,
+        uint256 blockTime,
+        bool useUnderlying
+    ) external view returns (
+        uint88 fCashAmount,
+        uint8 marketIndex,
+        bytes32 encodedTrade
+    );
+
+    function getDepositFromfCashLend(
+        uint16 currencyId,
+        uint256 fCashAmount,
+        uint256 maturity,
+        uint32 minLendRate,
+        uint256 blockTime
+    ) external view returns (
+        uint256 depositAmountUnderlying,
+        uint256 depositAmountAsset,
+        uint8 marketIndex,
+        bytes32 encodedTrade
+    );
+
+    function getPrincipalFromfCashBorrow(
+        uint16 currencyId,
+        uint256 fCashBorrow,
+        uint256 maturity,
+        uint32 maxBorrowRate,
+        uint256 blockTime
+    ) external view returns (
+        uint256 borrowAmountUnderlying,
+        uint256 borrowAmountAsset,
+        uint8 marketIndex,
+        bytes32 encodedTrade
+    );    
+
+    function getfCashBorrowFromPrincipal(
+        uint16 currencyId,
+        uint256 borrowedAmountExternal,
+        uint256 maturity,
+        uint32 maxBorrowRate,
+        uint256 blockTime,
+        bool useUnderlying
+    ) external view returns (
+        uint88 fCashDebt,
+        uint8 marketIndex,
+        bytes32 encodedTrade
+    );
+
+    function initializeMarkets(
+        uint16 currencyId,
+        bool flag
+    ) external;
+
+
 }
diff --git a/contracts/interfaces/INotionalTradeModule.sol b/contracts/interfaces/INotionalTradeModule.sol
@@ -9,6 +9,43 @@ interface INotionalTradeModule {
     function owner() external view returns(address);
     function settleAccount(address) external;
     function setRedeemToUnderlying(ISetToken, bool) external;
+    function getFCashComponents(ISetToken _setToken) external view returns(address[] memory fCashComponents);
+    function mintFixedFCashForToken(
+        ISetToken _setToken,
+        uint16 _currencyId,
+        uint40 _maturity,
+        uint256 _mintAmount,
+        address _sendToken,
+        uint256 _maxSendAmount
+    ) external returns(uint256);
+    function redeemFixedFCashForToken(
+        ISetToken _setToken,
+        uint16 _currencyId,
+        uint40 _maturity,
+        uint256 _redeemAmount,
+        address _receiveToken,
+        uint256 _minReceiveAmount
+    ) external returns(uint256);
+
+    function mintFCashForFixedToken(
+        ISetToken _setToken,
+        uint16 _currencyId,
+        uint40 _maturity,
+        uint256 _minMintAmount,
+        address _sendToken,
+        uint256 _sendAmount
+    ) external returns(uint256);
+
+    function redeemFCashForFixedToken(
+        ISetToken _setToken,
+        uint16 _currencyId,
+        uint40 _maturity,
+        uint256 _maxRedeemAmount,
+        address _receiveToken,
+        uint256 _receiveAmount,
+        uint256 _maxReceiveAmountDeviation
+    ) external returns(uint256);
+
 
 }
 
diff --git a/contracts/interfaces/IWrappedfCash.sol b/contracts/interfaces/IWrappedfCash.sol
@@ -69,5 +69,7 @@ interface IWrappedfCash {
 }
 
 
-interface IWrappedfCashComplete is IWrappedfCash, IERC20 {} 
+interface IWrappedfCashComplete is IWrappedfCash, IERC20 {
+    function getMaturity() external view returns (uint40);
+} 
 
diff --git a/contracts/lib/PreciseUnitMath.sol b/contracts/lib/PreciseUnitMath.sol
@@ -187,4 +187,4 @@ library PreciseUnitMath {
 
         return result;
     }
-}
+}
diff --git a/contracts/mocks/NotionalTradeModuleMock.sol b/contracts/mocks/NotionalTradeModuleMock.sol
@@ -41,4 +41,46 @@ contract NotionalTradeModuleMock is INotionalTradeModule{
     function settleAccount(address) external override {
     }
 
+    function getFCashComponents(ISetToken _setToken) external view override returns(address[] memory fCashComponents) {
+    }
+
+    function mintFixedFCashForToken(
+        ISetToken _setToken,
+        uint16 _currencyId,
+        uint40 _maturity,
+        uint256 _mintAmount,
+        address _sendToken,
+        uint256 _maxSendAmount
+    ) external override returns(uint256 spentAmount) {
+    }
+    function redeemFixedFCashForToken(
+        ISetToken _setToken,
+        uint16 _currencyId,
+        uint40 _maturity,
+        uint256 _redeemAmount,
+        address _receiveToken,
+        uint256 _minReceiveAmount
+    ) external override returns(uint256 receivedAmount) {
+    }
+
+    function mintFCashForFixedToken(
+        ISetToken _setToken,
+        uint16 _currencyId,
+        uint40 _maturity,
+        uint256 _minMintAmount,
+        address _sendToken,
+        uint256 _sendAmount
+    ) external override returns(uint256) {}
+
+    function redeemFCashForFixedToken(
+        ISetToken _setToken,
+        uint16 _currencyId,
+        uint40 _maturity,
+        uint256 _maxRedeemAmount,
+        address _receiveToken,
+        uint256 _receiveAmount,
+        uint256 _maxReceiveAmountDeviation
+    ) external override returns(uint256) {}
+
+
 }
diff --git a/hardhat.config.ts b/hardhat.config.ts
@@ -24,7 +24,7 @@ const optimismForkingConfig = {
 
 const mainnetForkingConfig = {
   url: "https://eth-mainnet.alchemyapi.io/v2/" + process.env.ALCHEMY_TOKEN,
-  blockNumber: process.env.LATESTBLOCK ? undefined : 15754500,
+  blockNumber: process.env.LATESTBLOCK ? undefined : 15981100,
 };
 
 const forkingConfig =
@@ -57,7 +57,7 @@ const config: HardhatUserConfig = {
     compilers: [
       {
         version: "0.6.10",
-        settings: { optimizer: { enabled: true, runs: 200 } },
+        settings: { optimizer: { enabled: true, runs: 200 } }
       },
     ],
   },
diff --git a/test/adapters/airdropExtension.spec.ts b/test/adapters/airdropExtension.spec.ts
@@ -374,4 +374,4 @@ describe("AirdropExtension", () => {
       });
     });
   });
-});
+});
diff --git a/test/integration/ethereum/addresses.ts b/test/integration/ethereum/addresses.ts
@@ -12,6 +12,7 @@ export const PRODUCTION_ADDRESSES = {
     USDC: "0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48",
     cUSDC: "0x39aa39c021dfbae8fac545936693ac917d5e7563",
     cDAI: "0x5d3a536E4D6DbD6114cc1Ead35777bAB948E3643",
+    fixedDai: "0x015558c3aB97c9e5a9c8c437C71Bb498B2e5afB3",
   },
   whales: {
     stEth: "0xdc24316b9ae028f1497c275eb9192a3ea0f67022",
diff --git a/test/integration/ethereum/fixedRebalanceExtension.spec.ts b/test/integration/ethereum/fixedRebalanceExtension.spec.ts
diff --git a/utils/constants.ts b/utils/constants.ts
diff --git a/utils/deploys/deployExtensions.ts b/utils/deploys/deployExtensions.ts

Original file line number	Diff line number	Diff line change
`@@ -69,5 +69,7 @@ interface IWrappedfCash {`
`69`	`69`	`}`
`70`	`70`
`71`	`71`
`72`		`-interface IWrappedfCashComplete is IWrappedfCash, IERC20 {}`
	`72`	`+interface IWrappedfCashComplete is IWrappedfCash, IERC20 {`
	`73`	`+ function getMaturity() external view returns (uint40);`
	`74`	`+}`
`73`	`75`
Original file line number	Diff line number	Diff line change
`@@ -187,4 +187,4 @@ library PreciseUnitMath {`
`187`	`187`
`188`	`188`	`return result;`
`189`	`189`	`}`
`190`		`-}`
	`190`	`+}`
-Original file line number
+Diff line change
       });
     });
   });
 -});
 +});