lever_lp.py

import matplotlib.pyplot as plt
import numpy as np
from option_pricing import vanilla_option


if __name__ == '__main__':
    plt.figure(figsize=(16, 8))

    # plt.rcParams['font.sans-serif'] = ['SimHei']
    # plt.rcParams['axes.unicode_minus'] = False
    # # plt.title("杠杆挖矿收益曲线", fontsize=16)
    # # plt.xlabel("现价相对开仓价", fontsize=14)
    # plt.title("Profit and loss of leveraged yield farming", fontsize=16)
    plt.title("Impermanent loss", fontsize=16)
    plt.xlabel("Price relative to entry", fontsize=14)
    plt.ylabel("Relative PnL in stablecoin", fontsize=14)
    x = np.arange(0, 4, 0.01)
    lp = np.sqrt(x)
    hold = (1 + x) / 2
    plt.plot(x, lp, label='LP')
    plt.plot(x, hold, label='Hodl')
    plt.plot(x, hold - lp, label='Impermanent loss')
    plt.gca().yaxis.set_major_formatter('{x:.0%}')
    plt.gca().xaxis.set_major_formatter('{x:.0%}')
    plt.legend(loc="best", prop={'size': 14})
    plt.grid(linestyle='--')
    plt.show()
    exit()

    # plt.ylabel("以法币计相对盈亏", fontsize=14)
    # plt.ylabel("Relative PnL in stablecoin", fontsize=14)
    # x = np.arange(0, 2, 0.01)
    # for L in range(1, 4):
    #     lp = L * np.sqrt(x) - L * x + x - 1
    #     plt.plot(x, lp, label='{}倍杠杆借币'.format(L))
    #     plt.plot(x, lp, label='Borrow crypto at {} leverage'.format(L))

    # # plt.ylabel("以法币计相对盈亏", fontsize=14)
    # plt.ylabel("Relative PnL in stablecoin", fontsize=14)
    # L = 2
    # x = np.arange(0, 4, 0.01)
    # lp = L * (np.sqrt(x) - 1)
    # # plt.plot(x, lp, label='{}倍杠杆借U'.format(L))
    # plt.plot(x, lp, label='Borrow stablecoin at {} leverage'.format(L))

    # plt.ylabel("以法币计相对盈亏", fontsize=14)
    # plt.ylabel("Relative PnL in stablecoin", fontsize=14)
    # L = 3
    # LTVi = (L - 1) / L
    # LTVf = 5. / 6
    # liquidation = (LTVf / LTVi) ** 2
    # x = np.arange(1. / liquidation, liquidation + 0.01, 0.01)
    # a = L / 2 / (L - 1)
    # lp = a * (L * np.sqrt(x) - L * x + x - 1) + (1 - a) * L * (np.sqrt(x) - 1)
    # # plt.plot(x, lp, label='{}倍杠杆中性策略'.format(L))
    # plt.plot(x, lp, label='Pseudo delta neutral at leverage {}'.format(L))

    plt.gca().yaxis.set_major_formatter('{x:.0%}')
    plt.legend(loc="best", prop={'size': 14})
    plt.grid(linestyle='--')
    plt.show()