QuantAMMVarianceBasedRule

Git Source

Inherits:ScalarRuleQuantAMMStorage

Contains the logic for calculating the variance of the pool price and storing the variance

State Variables

ONE

int256 private constant ONE = 1 * 1e18;

TENPOWEIGHTEEN

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

_protectedAccess

bool private immutable _protectedAccess;

intermediateVarianceStates

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

Functions

getIntermediateVarianceState

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

function getIntermediateVarianceState(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 variance state as an array of int256

_calculateQuantAMMVariance

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

Calculates the new variances vector given the intermediate state, i.e. the diagonal entries of Σ(t) = (1 - λ)A(t)

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

Parameters

Name	Type	Description
_newData	int256[]	p(t)
_poolParameters	QuantAMMPoolParameters	_movingAverage p̅(t), _lambda λ, _numberOfAssets number of assets in the pool, _pool the target pool address

_setIntermediateVariance

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

Parameters

Name	Type	Description
_poolAddress	address	the target pool address
_initialValues	int256[]	the initial variance values
_numberOfAssets	uint256	the number of assets in the pool

Structs

QuantAMMVarianceLocals

Struct to store local variables for the variance calculation

struct to avoind stack to deep issues

struct QuantAMMVarianceLocals {
    uint256 storageIndex;
    uint256 secondIndex;
    int256 intermediateState;
    uint256 n;
    uint256 nMinusOne;
    bool notDivisibleByTwo;
    int256 convertedLambda;
    int256 oneMinusLambda;
    int256[] intermediateVarianceState;
    int256[] finalState;
}

Properties

Name	Type	Description
storageIndex	uint256	index of the storage array
secondIndex	uint256	index of the second intermediate value
intermediateState	int256	intermediate state during a variance calculation
n	uint256	number of assets in the pool
nMinusOne	uint256	n - 1
notDivisibleByTwo	bool	boolean to check if n is not divisible by 2
convertedLambda	int256	λ
oneMinusLambda	int256	1 - λ
intermediateVarianceState	int256[]	intermediate state of the variance
finalState	int256[]	final state of the variance