MinimumVarianceUpdateRule

Git Source

Inherits:QuantAMMVarianceBasedRule, UpdateRule

Contains the logic for calculating the new weights of a QuantAMM pool using the minimum variance update rule and updating the weights of the QuantAMM pool

State Variables

ONE

int256 private constant ONE = 1 * 1e18;

REQUIRES_PREV_MAVG

uint16 private constant REQUIRES_PREV_MAVG = 1;

Functions

constructor

constructor(address _updateWeightRunner) UpdateRule(_updateWeightRunner);

_getWeights

w(t) = (Λ * w(t − 1)) + ((1 − Λ)*Σ^−1(t)) / N,j=1∑ Σ^−1 j(t) - see whitepaper

function _getWeights(
    int256[] calldata _prevWeights,
    int256[] memory _data,
    int256[][] calldata _parameters,
    QuantAMMPoolParameters memory _poolParameters
) internal override returns (int256[] memory newWeightsConverted);

Parameters

Name	Type	Description
_prevWeights	int256[]	the previous weights retrieved from the vault
_data	int256[]	the latest data from the signal, usually price
_parameters	int256[][]	the parameters of the rule that are not lambda
_poolParameters	QuantAMMPoolParameters	pool parameters [0]=Λ

_setInitialIntermediateValues

Set the initial intermediate values for the rule

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

Parameters

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

_requiresPrevMovingAverage

Wether the rule requires the previous moving average

function _requiresPrevMovingAverage() internal pure override returns (uint16);

Returns

Name	Type	Description
<none>	uint16	1 if the rule requires the previous moving average, 0 otherwise

validParameters

Check if the given parameters are valid for the rule

If parameters are not valid, either reverts or returns false

function validParameters(int256[][] calldata _parameters) external pure override returns (bool);

Parameters

Name	Type	Description
_parameters	int256[][]	the parameters of the rule, in this case the mixing variance