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WIP - review architecture #192

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13 changes: 9 additions & 4 deletions contracts/Vault.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -81,7 +81,7 @@ contract Vault is IVault, Ownable {
vaultState.netLoans -
vaultState.insuranceReserveBalance -
vaultState.boostedAmount -
VaultMath.calculateLockedProfit(vaultState.currentProfits, block.timestamp, vaultState.latestRepay);
VaultMath.calculateLockedProfits(vaultState.currentProfits, block.timestamp, vaultState.latestRepay);
}

function claimable(address token) external view override returns (uint256) {
Expand Down Expand Up @@ -260,9 +260,10 @@ contract Vault is IVault, Ownable {
uint256 baseInterestRate = 0;
uint256 fees = vaultData.fixedFee;
if (amount > 0) {
uint256 freeLiquidity = vaultData.takeLoan(IERC20(token), amount, riskFactor);
uint256 freeLiquidity = vaultData.takeLoan(token, amount, riskFactor);
IERC20(token).safeTransfer(msg.sender, amount);

baseInterestRate = VaultMath.computeInterestRateNoLeverage(
baseInterestRate = VaultMath.getLoanBaseFee(
vaultData.netLoans - amount,
freeLiquidity,
vaultData.insuranceReserveBalance,
Expand All @@ -288,8 +289,12 @@ contract Vault is IVault, Ownable {

VaultState.VaultData storage vaultData = vaults[token];

IERC20 tkn = IERC20(token);
uint256 amountToTransfer = vaultData.repayLoan(tkn, debt, fees, amount, riskFactor);
tkn.safeTransfer(borrower, amountToTransfer);

emit LoanRepaid(borrower, token, amount);

return vaultData.repayLoan(IERC20(token), borrower, debt, fees, amount, riskFactor);
return amountToTransfer;
}
}
22 changes: 22 additions & 0 deletions contracts/interfaces/IInterestRateModel.sol
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@@ -0,0 +1,22 @@
// SPDX-License-Identifier: BUSL-1.1
pragma solidity >=0.8.12;

Check warning

Code scanning / Slither

Incorrect versions of Solidity

Pragma version>=0.8.12 (contracts/interfaces/IInterestRateModel.sol#2) necessitates a version too recent to be trusted. Consider deploying with 0.6.12/0.7.6/0.8.7

/// @title Interface of the InterestRateModel contract
/// @author Ithil
interface IInterestRateModel {
function computePairRiskFactor(uint256 rf0, uint256 rf1) external pure returns (uint256);

function computeIR(
uint256 baseIR,
uint256 toBorrow,
uint256 amountIn,
uint256 initialExposure,
uint256 collateral
) external view returns (uint256);

function computeTimeFees(
uint256 principal,
uint256 interestRate,
uint256 time
) external pure returns (uint256 dueFees);
}
16 changes: 16 additions & 0 deletions contracts/interfaces/ISVGImageGenerator.sol
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@@ -0,0 +1,16 @@
// SPDX-License-Identifier: BUSL-1.1
pragma solidity >=0.8.12;

Check warning

Code scanning / Slither

Incorrect versions of Solidity

Pragma version>=0.8.12 (contracts/interfaces/ISVGImageGenerator.sol#2) necessitates a version too recent to be trusted. Consider deploying with 0.6.12/0.7.6/0.8.7

/// @title Interface of the SVGImageGenerator contract
/// @author Ithil
interface ISVGImageGenerator {
function generateMetadata(
string memory name,
string memory symbol,
uint256 id,
address token,
uint256 amount,
uint256 createdAt,
int256 score
) external pure returns (string memory);
}
35 changes: 15 additions & 20 deletions contracts/interfaces/IStrategy.sol
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Expand Up @@ -24,7 +24,7 @@ interface IStrategy {
uint256 deadline;
}

/// @param owner the account who opened the position
/// @param lender the account who lent the tokens (defaults to the Vault)
/// @param owedToken the token which must be repayed to the vault
/// @param heldToken the token held in the strategy as investment effect
/// @param collateralToken the token used as collateral
Expand All @@ -36,6 +36,7 @@ interface IStrategy {
/// @param fees the fees generated by the position so far
/// @param createdAt the date and time in unix epoch when the position was opened
struct Position {
address lender;
address owedToken;
address heldToken;
address collateralToken;
Expand Down Expand Up @@ -88,11 +89,6 @@ interface IStrategy {
uint256 amount
) external view returns (uint256, uint256);

/// @notice computes the risk factor of the token pair, from the individual risk factors
/// @param token0 first token of the pair
/// @param token1 second token of the pair
function computePairRiskFactor(address token0, address token1) external view returns (uint256);

function deleteAndBurn(uint256 positionId) external;

function approveAllowance(Position memory position) external;
Expand Down Expand Up @@ -144,21 +140,20 @@ interface IStrategy {

/// ==== ERRORS ==== ///

error Strategy__Order_Expired(uint256 timestamp, uint256 deadline);
error Strategy__Source_Eq_Dest(address token);
error Strategy__Insufficient_Collateral(uint256 collateral);
error Strategy__Restricted_Access(address owner, address sender);
error Strategy__Order_Expired();
error Strategy__Source_Eq_Dest();
error Strategy__Insufficient_Collateral();
error Strategy__Restricted_Access();
error Strategy__Action_Throttled();
error Strategy__Maximum_Leverage_Exceeded(uint256 interestRate);
error Strategy__Insufficient_Amount_Out(uint256 amountIn, uint256 minAmountOut);
error Strategy__Loan_Not_Repaid(uint256 repaid, uint256 debt);
error Strategy__Only_Liquidator(address sender, address liquidator);
error Strategy__Position_Not_Liquidable(uint256 id, int256 score);
error Strategy__Margin_Below_Minimum(uint256 marginProvider, uint256 minimumMargin);
error Strategy__Insufficient_Margin_Provided(int256 newScore);
error Strategy__Not_Enough_Liquidity(uint256 balance, uint256 amount);
error Strategy__Unsupported_Token(address token0, address token1);
error Strategy__Too_High_Risk(uint256 riskFactor);
error Strategy__Insufficient_Amount_Out();
error Strategy__Loan_Not_Repaid();
error Strategy__Only_Liquidator();
error Strategy__Position_Not_Liquidable();
error Strategy__Margin_Below_Minimum();
error Strategy__Insufficient_Margin_Provided();
error Strategy__Not_Enough_Liquidity();
error Strategy__Unsupported_Token();
error Strategy__Too_High_Risk();
error Strategy__Locked();
error Strategy__Only_Guardian();
error Strategy__Incorrect_Obtained_Token();
Expand Down
2 changes: 2 additions & 0 deletions contracts/libraries/GeneralMath.sol
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Expand Up @@ -7,6 +7,8 @@ import { VaultState } from "./VaultState.sol";
/// @author Ithil
/// @notice A library to perform the most common math operations
library GeneralMath {
uint24 public constant RESOLUTION = 10000;

function positiveSub(uint256 a, uint256 b) internal pure returns (uint256) {
if (a > b) {
return a - b;
Expand Down
27 changes: 7 additions & 20 deletions contracts/libraries/VaultMath.sol
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Expand Up @@ -10,11 +10,8 @@ import { GeneralMath } from "./GeneralMath.sol";
library VaultMath {
using GeneralMath for uint256;

uint24 internal constant RESOLUTION = 10000;
uint24 internal constant TIME_FEE_PERIOD = 86400;
uint24 internal constant MAX_RATE = 500;

uint256 internal constant DEGRADATION_COEFFICIENT = 21600; // six hours
uint24 internal constant TIME_FEE_WINDOW = 84600;

Check warning

Code scanning / Slither

Unused state variable

VaultMath.TIME_FEE_WINDOW (contracts/libraries/VaultMath.sol#14) is never used in VaultMath (contracts/libraries/VaultMath.sol#10-62)

/// @notice Computes the amount of native tokens to exchange for wrapped
/// @param amount the number of native tokens to stake
Expand All @@ -40,32 +37,22 @@ library VaultMath {
return (totalBalance != 0 && totalSupply != 0) ? (totalSupply * amount) / totalBalance : amount;
}

/// @notice Computes the due time fees of a certain position
function computeTimeFees(
uint256 principal,
uint256 interestRate,
uint256 time
) internal pure returns (uint256 dueFees) {
return (principal * interestRate * (time + 1)).ceilingDiv(uint32(TIME_FEE_PERIOD) * RESOLUTION);
}

/// @notice Computes the interest rate to apply to a position at its opening
function computeInterestRateNoLeverage(
function getLoanBaseFee(
uint256 netLoans,
uint256 freeLiquidity,
uint256 insuranceReserveBalance,
uint256 riskFactor,
uint256 baseFee
) internal pure returns (uint256) {
uint256 uncovered = netLoans.positiveSub(insuranceReserveBalance);
uint256 interestRate = (netLoans + uncovered) * riskFactor;
interestRate /= (netLoans + freeLiquidity);
interestRate += baseFee;
uint256 fee = (netLoans + uncovered) * riskFactor;
fee /= (netLoans + freeLiquidity);
fee += baseFee;

return interestRate;
return fee;
}

function calculateLockedProfit(
function calculateLockedProfits(
uint256 profits,
uint256 time,
uint256 latestRepay
Expand Down
50 changes: 16 additions & 34 deletions contracts/libraries/VaultState.sol
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Original file line number Diff line number Diff line change
@@ -1,15 +1,14 @@
// SPDX-License-Identifier: BUSL-1.1
pragma solidity >=0.8.12;

import { IERC20, SafeERC20 } from "@openzeppelin/contracts/token/ERC20/utils/SafeERC20.sol";
import { IERC20 } from "@openzeppelin/contracts/token/ERC20/IERC20.sol";
import { GeneralMath } from "./GeneralMath.sol";
import { VaultMath } from "./VaultMath.sol";

/// @title VaultState library
/// @author Ithil
/// @notice A library to store the vault status
library VaultState {
using SafeERC20 for IERC20;
using GeneralMath for uint256;

error Vault__Insufficient_Free_Liquidity(address token, uint256 requested, uint256 freeLiquidity);
Expand Down Expand Up @@ -45,22 +44,9 @@ library VaultState {
uint256 currentProfits;
}

function addInsuranceReserve(
VaultState.VaultData storage self,
uint256 totalBalance,
uint256 fees
) internal returns (uint256) {
uint256 availableInsuranceBalance = self.insuranceReserveBalance.positiveSub(self.netLoans);
uint256 insurancePortion = (fees * self.optimalRatio * (totalBalance - availableInsuranceBalance)) /
(totalBalance * VaultMath.RESOLUTION);
self.insuranceReserveBalance += insurancePortion;

return insurancePortion;
}

function takeLoan(
VaultState.VaultData storage self,
IERC20 token,
address token,
uint256 amount,
uint256 riskFactor
) internal returns (uint256) {
Expand All @@ -70,43 +56,40 @@ library VaultState {

// If the following fails drainage has occurred so we want failure
uint256 freeLiquidity = IERC20(token).balanceOf(address(this)) - self.insuranceReserveBalance;

if (amount > freeLiquidity) revert Vault__Insufficient_Free_Liquidity(address(token), amount, freeLiquidity);

token.safeTransfer(msg.sender, amount);
// We have transferred an amount <= freeLiquidity, therefore we now have
// We are transferring an amount <= freeLiquidity, therefore we now have
// IERC20(token).balanceOf(address(this)) >= self.insuranceReserveBalance
return freeLiquidity;
}

function subtractLoan(VaultState.VaultData storage self, uint256 b) private {
if (self.netLoans > b) self.netLoans -= b;
else self.netLoans = 0;
}

function subtractInsuranceReserve(VaultState.VaultData storage self, uint256 b) private {
self.insuranceReserveBalance = self.insuranceReserveBalance.positiveSub(b);
}

function repayLoan(
VaultState.VaultData storage self,
IERC20 token,
address borrower,
uint256 debt,
uint256 fees,
uint256 amount,
uint256 riskFactor
) internal returns (uint256) {
uint256 amountToTransfer = 0;
uint256 totalRisk = self.optimalRatio * self.netLoans;
subtractLoan(self, debt);

if (self.netLoans > debt) self.netLoans -= debt;
else self.netLoans = 0;

self.optimalRatio = self.netLoans != 0 ? totalRisk.positiveSub(riskFactor * debt) / self.netLoans : 0;
if (amount >= debt + fees) {
// At this point amount has been transferred here
// Insurance reserve increases by a portion of fees
uint256 insurancePortion = addInsuranceReserve(self, token.balanceOf(address(this)), fees);
uint256 totalBalance = token.balanceOf(address(this));
uint256 insurancePortion = (fees *
self.optimalRatio *
(totalBalance - self.insuranceReserveBalance.positiveSub(self.netLoans))) /
(totalBalance * GeneralMath.RESOLUTION);
self.insuranceReserveBalance += insurancePortion;

self.currentProfits =
VaultMath.calculateLockedProfit(self.currentProfits, block.timestamp, self.latestRepay) +
VaultMath.calculateLockedProfits(self.currentProfits, block.timestamp, self.latestRepay) +
fees -
insurancePortion;
self.latestRepay = block.timestamp;
Expand All @@ -116,11 +99,10 @@ library VaultState {
} else {
// Bad liquidation: rewards the liquidator with 5% of the amountIn
// amount is already adjusted in BaseStrategy
if (amount < debt) subtractInsuranceReserve(self, debt - amount);
if (amount < debt) self.insuranceReserveBalance.positiveSub(debt - amount);
amountToTransfer = amount / 19;
}

token.safeTransfer(borrower, amountToTransfer);
return amountToTransfer;
}
}
18 changes: 9 additions & 9 deletions contracts/liquidation/Liquidator.sol
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Expand Up @@ -77,8 +77,8 @@ contract Liquidator is Ownable {
// rewardPercentage is computed as of the tokens staked
function rewardPercentage() public view returns (uint256) {
if (maximumStake > 0) {
uint256 stakePercentage = (stakes[address(token)][msg.sender] * VaultMath.RESOLUTION) / maximumStake;
if (stakePercentage > VaultMath.RESOLUTION) return VaultMath.RESOLUTION;
uint256 stakePercentage = (stakes[address(token)][msg.sender] * GeneralMath.RESOLUTION) / maximumStake;
if (stakePercentage > GeneralMath.RESOLUTION) return GeneralMath.RESOLUTION;
else return stakePercentage;
} else {
return 0;
Expand Down Expand Up @@ -116,8 +116,8 @@ contract Liquidator is Ownable {

// Computation of reward is done by adding to the dueFees
dueFees +=
((amountIn.positiveSub(position.principal + dueFees)) * (VaultMath.RESOLUTION - reward)) /
VaultMath.RESOLUTION;
((amountIn.positiveSub(position.principal + dueFees)) * (GeneralMath.RESOLUTION - reward)) /
GeneralMath.RESOLUTION;

// In a bad liquidation event, 5% of the paid amount is transferred
// Linearly scales with reward (with 0 reward corresponding to 0 transfer)
Expand All @@ -128,7 +128,7 @@ contract Liquidator is Ownable {
// then amountIn / 20 > amountIn - principal - dueFees and the liquidator may be better off
// not liquidating the position and instead wait for it to become bad liquidation
if (amountIn < (20 * (position.principal + dueFees)) / 19)
amountIn -= (amountIn * reward) / (20 * VaultMath.RESOLUTION);
amountIn -= (amountIn * reward) / (20 * GeneralMath.RESOLUTION);

strategy.directRepay(
position.owedToken,
Expand Down Expand Up @@ -165,7 +165,7 @@ contract Liquidator is Ownable {
fairPrice += dueFees;
// Apply discount based on reward (max 5%)
// In this case there is no distinction between good or bad liquidation
fairPrice -= (fairPrice * reward) / (VaultMath.RESOLUTION * 20);
fairPrice -= (fairPrice * reward) / (GeneralMath.RESOLUTION * 20);
if (price < fairPrice) {
revert Liquidator__Below_Fair_Price(price, fairPrice);
} else {
Expand Down Expand Up @@ -208,7 +208,7 @@ contract Liquidator is Ownable {
if (score > 0) {
strategy.transferNFT(positionId, liquidatorUser);
// reduce due fees based on reward (max 50%)
position.fees += (dueFees * (2 * VaultMath.RESOLUTION - reward)) / (2 * VaultMath.RESOLUTION);
position.fees += (dueFees * (2 * GeneralMath.RESOLUTION - reward)) / (2 * GeneralMath.RESOLUTION);
position.createdAt = block.timestamp;
bool collateralInOwedToken = position.collateralToken != position.heldToken;
if (collateralInOwedToken) {
Expand Down Expand Up @@ -246,7 +246,7 @@ contract Liquidator is Ownable {

uint256 dueFees = position.fees +
(position.interestRate * (block.timestamp - position.createdAt) * position.principal) /
(uint32(VaultMath.TIME_FEE_PERIOD) * VaultMath.RESOLUTION);
(uint32(VaultMath.TIME_FEE_WINDOW) * GeneralMath.RESOLUTION);

if (collateralInOwedToken) {
(expectedTokensOwed, ) = strategy.quote(position.heldToken, position.owedToken, position.allowance);
Expand All @@ -262,7 +262,7 @@ contract Liquidator is Ownable {

int256 score = SafeCast.toInt256(position.collateral * position.riskFactor) -
profitAndLoss *
int24(VaultMath.RESOLUTION);
int24(GeneralMath.RESOLUTION);

return (score, dueFees, expectedTokensOwed, expectedTokensHeld);
}
Expand Down
4 changes: 2 additions & 2 deletions contracts/mock/MockKyberNetworkProxy.sol
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Expand Up @@ -4,8 +4,8 @@ pragma solidity >=0.8.12;
import { Ownable } from "@openzeppelin/contracts/access/Ownable.sol";
import { IERC20, SafeERC20 } from "@openzeppelin/contracts/token/ERC20/utils/SafeERC20.sol";
import { IERC20Metadata } from "@openzeppelin/contracts/token/ERC20/extensions/IERC20Metadata.sol";
import { GeneralMath } from "../libraries/GeneralMath.sol";
import { IKyberNetworkProxy } from "../interfaces/external/IKyberNetworkProxy.sol";
import { VaultMath } from "../libraries/VaultMath.sol";

/// @dev Used for testing, unaudited
contract MockKyberNetworkProxy is IKyberNetworkProxy, Ownable {
Expand Down Expand Up @@ -57,7 +57,7 @@ contract MockKyberNetworkProxy is IKyberNetworkProxy, Ownable {
if (rate2 == 0) return (0, 0);

uint256 res = (rate1 * srcDec) / rate2;
res = (res * (VaultMath.RESOLUTION - slippages[src])) / VaultMath.RESOLUTION;
res = (res * (GeneralMath.RESOLUTION - slippages[src])) / GeneralMath.RESOLUTION;

if (res * rate2 < rate1 * srcDec) res++;

Expand Down
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