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kasperpawlowskikasperpawlowski
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Merge pull request #336 from euler-xyz/irm-cyclical-binary
add fixed cyclical binary irm
2 parents 8bd7c28 + d91ef58 commit 31fe8eb

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‎src/IRM/IRMFixedCyclicalBinary.sol

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// SPDX-License-Identifier: GPL-2.0-or-later
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pragma solidity ^0.8.0;
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import {IIRM} from "evk/InterestRateModels/IIRM.sol";
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/// @title IRMFixedCyclicalBinary
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/// @custom:security-contact [email protected]
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/// @author Euler Labs (https://www.eulerlabs.com/)
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/// @notice Implementation of an interest rate model, where interest rate cycles between two fixed values,
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contract IRMFixedCyclicalBinary is IIRM {
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/// @notice Interest rate applied during the first part of the cycle
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uint256 public immutable primaryRate;
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/// @notice Interest rate applied during the second part of the cycle
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uint256 public immutable secondaryRate;
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/// @notice Duration of the primary part of the cycle in seconds
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uint256 public immutable primaryDuration;
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/// @notice Duration of the secondary part of the cycle in seconds
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uint256 public immutable secondaryDuration;
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/// @notice Timestamp of the start of the first cycle
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uint256 public immutable startTimestamp;
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/// @notice Error thrown when start timestamp is in the future
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error BadStartTimestamp();
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/// @notice Error thrown when duration of either primary or secondary part of the cycle is zero
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/// or when the whole cycle duration overflows uint
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error BadDuration();
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/// @notice Creates a fixed cyclical binary interest rate model
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/// @param primaryRate_ Interest rate applied during the first part of the cycle
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/// @param secondaryRate_ Interest rate applied during the second part of the cycle
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/// @param primaryDuration_ Duration of the primary part of the cycle in seconds
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/// @param secondaryDuration_ Duration of the secondary part of the cycle in seconds
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/// @param startTimestamp_ Timestamp of the start of the first cycle
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constructor(
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uint256 primaryRate_,
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uint256 secondaryRate_,
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uint256 primaryDuration_,
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uint256 secondaryDuration_,
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uint256 startTimestamp_
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) {
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if (startTimestamp_ > block.timestamp) revert BadStartTimestamp();
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if (
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primaryDuration_ == 0 || secondaryDuration_ == 0
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|| (type(uint256).max - primaryDuration_ < secondaryDuration_)
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) revert BadDuration();
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primaryRate = primaryRate_;
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secondaryRate = secondaryRate_;
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primaryDuration = primaryDuration_;
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secondaryDuration = secondaryDuration_;
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startTimestamp = startTimestamp_;
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}
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/// @inheritdoc IIRM
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function computeInterestRate(address vault, uint256, uint256) external view override returns (uint256) {
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if (msg.sender != vault) revert E_IRMUpdateUnauthorized();
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return computeInterestRateInternal();
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}
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/// @inheritdoc IIRM
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function computeInterestRateView(address, uint256, uint256) external view override returns (uint256) {
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return computeInterestRateInternal();
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}
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function computeInterestRateInternal() internal view returns (uint256) {
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uint256 timeSinceStart = block.timestamp - startTimestamp;
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return timeSinceStart % (primaryDuration + secondaryDuration) <= primaryDuration ? primaryRate : secondaryRate;
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}
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}

‎src/IRMFactory/EulerFixedCyclicalBinaryIRMFactory.sol

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// SPDX-License-Identifier: GPL-2.0-or-later
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pragma solidity ^0.8.0;
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import {BaseFactory} from "../BaseFactory/BaseFactory.sol";
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import {IRMFixedCyclicalBinary} from "../IRM/IRMFixedCyclicalBinary.sol";
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import {IEulerFixedCyclicalBinaryIRMFactory} from "./interfaces/IEulerFixedCyclicalBinaryIRMFactory.sol";
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/// @title EulerFixedCyclicalBinaryIRMFactory
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/// @custom:security-contact [email protected]
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/// @author Euler Labs (https://www.eulerlabs.com/)
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/// @notice A minimal factory for Fixed Cyclical Binary IRMs.
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contract EulerFixedCyclicalBinaryIRMFactory is BaseFactory, IEulerFixedCyclicalBinaryIRMFactory {
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// corresponds to 1000% APY
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uint256 internal constant MAX_ALLOWED_INTEREST_RATE = 75986279153383989049;
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/// @notice Error thrown when the computed interest rate exceeds the maximum allowed limit.
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error IRMFactory_ExcessiveInterestRate();
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/// @notice Deploys a new IRMFixedCyclicalBinary.
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/// @param primaryRate Interest rate applied during the first part of the cycle
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/// @param secondaryRate Interest rate applied during the second part of the cycle
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/// @param primaryDuration Duration of the primary part of the cycle in seconds
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/// @param secondaryDuration Duration of the secondary part of the cycle in seconds
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/// @param startTimestamp Timestamp of the start of the first cycle
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/// @return The deployment address.
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function deploy(
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uint256 primaryRate,
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uint256 secondaryRate,
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uint256 primaryDuration,
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uint256 secondaryDuration,
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uint256 startTimestamp
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) external override returns (address) {
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if (primaryRate > MAX_ALLOWED_INTEREST_RATE || secondaryRate > MAX_ALLOWED_INTEREST_RATE) {
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revert IRMFactory_ExcessiveInterestRate();
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}
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IRMFixedCyclicalBinary irm =
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new IRMFixedCyclicalBinary(primaryRate, secondaryRate, primaryDuration, secondaryDuration, startTimestamp);
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deploymentInfo[address(irm)] = DeploymentInfo(msg.sender, uint96(block.timestamp));
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deployments.push(address(irm));
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emit ContractDeployed(address(irm), msg.sender, block.timestamp);
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return address(irm);
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}
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}

‎src/IRMFactory/interfaces/IEulerFixedCyclicalBinaryIRMFactory.sol

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// SPDX-License-Identifier: GPL-2.0-or-later
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pragma solidity >=0.8.0;
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import {IFactory} from "../../BaseFactory/interfaces/IFactory.sol";
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/// @title IEulerFixedCyclicalBinaryRMFactory
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/// @custom:security-contact [email protected]
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/// @author Euler Labs (https://www.eulerlabs.com/)
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/// @notice A minimal factory for EulerFixedCyclicalBinaryIRM.
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interface IEulerFixedCyclicalBinaryIRMFactory is IFactory {
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/// @notice Deploys a new IRMFixedCyclicalBinary.
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/// @param primaryRate Interest rate applied during the first part of the cycle
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/// @param secondaryRate Interest rate applied during the second part of the cycle
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/// @param primaryDuration Duration of the primary part of the cycle in seconds
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/// @param secondaryDuration Duration of the secondary part of the cycle in seconds
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/// @param startTimestamp Timestamp of the start of the first cycle
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/// @return The deployment address.
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function deploy(
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uint256 primaryRate,
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uint256 secondaryRate,
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uint256 primaryDuration,
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uint256 secondaryDuration,
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uint256 startTimestamp
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) external returns (address);
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}

‎test/IRM/IRMFixedCyclicalBinary.t.sol

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// SPDX-License-Identifier: GPL-2.0-or-later
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pragma solidity ^0.8.13;
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import {Test} from "forge-std/Test.sol";
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import {IIRM} from "evk/InterestRateModels/IIRM.sol";
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import {IRMFixedCyclicalBinary} from "../../src/IRM/IRMFixedCyclicalBinary.sol";
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import {EulerFixedCyclicalBinaryIRMFactory} from "../../src/IRMFactory/EulerFixedCyclicalBinaryIRMFactory.sol";
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import {MathTesting} from "../utils/MathTesting.sol";
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import {console} from "forge-std/console.sol";
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contract IRMFixedCyclicalBinaryTest is Test, MathTesting {
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IRMFixedCyclicalBinary irm;
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EulerFixedCyclicalBinaryIRMFactory factory;
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uint256 constant PRIMARY_RATE = 1;
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uint256 constant SECONDARY_RATE = 2;
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uint256 constant PRIMARY_DURATION = 28 days;
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uint256 constant SECONDARY_DURATION = 2 days;
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// corresponds to 1000% APY
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uint256 internal constant MAX_ALLOWED_INTEREST_RATE = 75986279153383989049;
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function setUp() public {
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irm = new IRMFixedCyclicalBinary(
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PRIMARY_RATE, SECONDARY_RATE, PRIMARY_DURATION, SECONDARY_DURATION, block.timestamp
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);
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factory = new EulerFixedCyclicalBinaryIRMFactory();
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}
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function test_OnlyVaultCanMutateIRMState() public {
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vm.expectRevert(IIRM.E_IRMUpdateUnauthorized.selector);
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irm.computeInterestRate(address(1234), 5, 6);
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vm.prank(address(1234));
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irm.computeInterestRate(address(1234), 5, 6);
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}
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function test_ExpectRevertStartTimeInFuture() public {
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vm.expectRevert(IRMFixedCyclicalBinary.BadStartTimestamp.selector);
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new IRMFixedCyclicalBinary(
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PRIMARY_RATE, SECONDARY_RATE, PRIMARY_DURATION, SECONDARY_DURATION, block.timestamp + 1
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);
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}
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function test_ExpectRevertPrimaryDurationZero() public {
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vm.expectRevert(IRMFixedCyclicalBinary.BadDuration.selector);
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new IRMFixedCyclicalBinary(PRIMARY_RATE, SECONDARY_RATE, 0, SECONDARY_DURATION, block.timestamp);
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}
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function test_ExpectRevertSecondaryDurationZero() public {
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vm.expectRevert(IRMFixedCyclicalBinary.BadDuration.selector);
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new IRMFixedCyclicalBinary(PRIMARY_RATE, SECONDARY_RATE, PRIMARY_DURATION, 0, block.timestamp);
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}
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function test_ExpectRevertCycleDurationOverflows() public {
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vm.expectRevert(IRMFixedCyclicalBinary.BadDuration.selector);
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new IRMFixedCyclicalBinary(PRIMARY_RATE, SECONDARY_RATE, type(uint256).max - 1, 2, block.timestamp);
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}
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function test_RateAtDeployment() public view {
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assertEq(getIr(), PRIMARY_RATE);
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}
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function test_RateAtEndOfPrimaryPeriod() public {
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vm.warp(block.timestamp + PRIMARY_DURATION - 1);
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assertEq(getIr(), PRIMARY_RATE);
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vm.warp(block.timestamp + 1);
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assertEq(getIr(), PRIMARY_RATE);
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vm.warp(block.timestamp + 1);
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assertEq(getIr(), SECONDARY_RATE);
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}
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function test_RateAtEndOfCycle() public {
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vm.warp(block.timestamp + PRIMARY_DURATION + SECONDARY_DURATION - 1);
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assertEq(getIr(), SECONDARY_RATE);
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vm.warp(block.timestamp + 1);
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assertEq(getIr(), PRIMARY_RATE);
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}
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function test_CycleRates(uint256 timeElapsed, uint256 primaryDuration, uint256 secondaryDuration) public {
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timeElapsed = bound(timeElapsed, 0, 1000 days);
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primaryDuration = bound(primaryDuration, 1, 100 days);
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secondaryDuration = bound(secondaryDuration, 1, 100 days);
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irm =
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IRMFixedCyclicalBinary(factory.deploy(PRIMARY_RATE, SECONDARY_RATE, primaryDuration, secondaryDuration, 0));
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vm.warp(timeElapsed);
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uint cyclesElapsed = timeElapsed / (primaryDuration + secondaryDuration);
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if (timeElapsed - cyclesElapsed * (primaryDuration + secondaryDuration) <= primaryDuration) {
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assertEq(getIr(), PRIMARY_RATE);
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} else {
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assertEq(getIr(), SECONDARY_RATE);
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}
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}
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function test_ExpectRevertFactoryRateTooHigh() public {
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vm.expectRevert(EulerFixedCyclicalBinaryIRMFactory.IRMFactory_ExcessiveInterestRate.selector);
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factory.deploy(MAX_ALLOWED_INTEREST_RATE + 1, SECONDARY_RATE, PRIMARY_DURATION, SECONDARY_DURATION, 0);
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vm.expectRevert(EulerFixedCyclicalBinaryIRMFactory.IRMFactory_ExcessiveInterestRate.selector);
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factory.deploy(PRIMARY_RATE, MAX_ALLOWED_INTEREST_RATE + 1, PRIMARY_DURATION, SECONDARY_DURATION, 0);
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}
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function getIr() private view returns (uint256) {
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return irm.computeInterestRateView(address(1), 0, 0);
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}
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}

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