QuantAMMCovarianceBasedRule

Git Source

Inherits:VectorRuleQuantAMMStorage

This contract is abstract and needs to be inherited and implemented to be used. It also stores the intermediate values of all pools

State Variables

ONE

int256 private constant ONE = 1 * 1e18;

TENPOWEIGHTEEN

int256 private constant TENPOWEIGHTEEN = (10 ** 18);

intermediateCovarianceStates

mapping(address => int256[]) internal intermediateCovarianceStates;

Functions

getIntermediateCovarianceState

View function to get the intermediate covariance state for a given pool

function getIntermediateCovarianceState(address poolAddress, uint256 numberOfAssets)
    external
    view
    returns (int256[] memory);

Parameters

Name	Type	Description
poolAddress	address	The address of the pool
numberOfAssets	uint256	The number of assets in the pool

Returns

Name	Type	Description
<none>	int256[]	The unpacked intermediate covariance state as a 1D flattened array of int256

_calculateQuantAMMCovariance

Calculates the new intermediate state for the covariance update, i.e. A(t) = λA(t - 1) + (p(t) - p̅(t - 1))(p(t) - p̅(t))'

function _calculateQuantAMMCovariance(int256[] memory _newData, QuantAMMPoolParameters memory _poolParameters)
    internal
    returns (int256[][] memory);

Parameters

Name	Type	Description
_newData	int256[]	p(t)
_poolParameters	QuantAMMPoolParameters	pool parameters

Returns

Name	Type	Description
<none>	int256[][]	newState new state of the covariance matrix

_setIntermediateCovariance

function _setIntermediateCovariance(address _poolAddress, int256[][] memory _initialValues, uint256 _numberOfAssets)
    internal;

Parameters

Name	Type	Description
_poolAddress	address	the pool address being initialised
_initialValues	int256[][]	the values passed in during the creation of the pool
_numberOfAssets	uint256	the number of assets in the pool being initialised

Structs

QuantAMMCovariance

Struct to store local variables for the covariance calculation

struct to avoind stack to deep issues

struct QuantAMMCovariance {
    uint256 n;
    int256[][] intermediateCovarianceState;
    int256[][] newState;
    int256[] u;
    int256[] v;
    int256 convertedLambda;
    int256 oneMinusLambda;
    int256 intermediateState;
}

Properties

Name	Type	Description
n	uint256	Dimension of square matrix
intermediateCovarianceState	int256[][]	intermediate state of the covariance matrix
newState	int256[][]	new state of the covariance matrix
u	int256[]	(p(t) - p̅(t - 1))
v	int256[]	(p(t) - p̅(t))
convertedLambda	int256	λ
oneMinusLambda	int256	1 - λ
intermediateState	int256	intermediate state during a covariance matrix calculation