-
Notifications
You must be signed in to change notification settings - Fork 11
/
PolynomialPayoutCurve.ts
189 lines (162 loc) · 5.28 KB
/
PolynomialPayoutCurve.ts
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
import {
MessageType,
PayoutFunctionV0,
PolynomialPayoutCurvePiece,
RoundingIntervalsV0,
} from '@node-dlc/messaging';
import BigNumber from 'bignumber.js';
import { fromPrecision, getPrecision } from '../utils/Precision';
import { CETPayout, mergePayouts, splitIntoRanges } from './CETCalculator';
interface DlcPoint {
outcome: BigNumber;
payout: BigNumber;
}
export class PolynomialPayoutCurve {
private readonly points: DlcPoint[];
private readonly slope: BigNumber;
private readonly left: DlcPoint;
private readonly right: DlcPoint;
constructor(points: DlcPoint[]) {
if (points.length !== 2) throw new Error('Must have two points');
this.points = points;
this.left = points[0];
this.right = points[points.length - 1];
// m = (y2 - y1) / (x2 - x1)
this.slope = this.right.payout
.minus(this.left.payout)
.dividedBy(this.right.outcome.minus(this.left.outcome));
}
/**
* Get the payout for a given outcome
* @param outcome The outcome to get the payout for
* @returns The payout for the outcome
*/
getPayout(outcome: bigint): BigNumber {
const { left, slope } = this;
const x = new BigNumber(Number(outcome));
// y = mx + b
const payout = slope.times(x.minus(left.outcome)).plus(left.payout);
return payout;
}
/**
* Get the outcome for a given payout
* @param payout The payout to get the outcome for
* @returns The outcome for the payout
*/
getOutcomeForPayout(payout: BigNumber): bigint {
const { left, slope } = this;
const y = new BigNumber(Number(payout));
// Find the x value for the given y
// slope = (y2 - y1) / (x2 - x1)
// x1 = (y2 - y1) / slope + x2
const outcome = y
.minus(left.payout)
.dividedBy(slope)
.plus(left.outcome)
.integerValue();
return BigInt(outcome.toString());
}
/**
* Serializes PolynomialPayoutCurve to a PolynomialPayoutCurvePiece (for transport)
* @returns A PolynomialPayoutCurvePiece
*/
toPayoutCurvePiece(): PolynomialPayoutCurvePiece {
const { points } = this;
const piece = new PolynomialPayoutCurvePiece();
piece.points = points.map((point) => {
const eventOutcome = BigInt(point.outcome.toString());
const outcomePayout = BigInt(point.payout.toString());
const extraPrecision = getPrecision(point.payout);
return { eventOutcome, outcomePayout, extraPrecision };
});
return piece;
}
/**
* Determine if the payout curve is equal to another
* @param curve A PolynomialPayoutCurve
* @returns True if the curves are the same
*/
equals(curve: PolynomialPayoutCurve): boolean {
return this.points.every((point, i) => {
const otherPoint = curve.points[i];
return (
point.outcome.eq(otherPoint.outcome) &&
point.payout.eq(otherPoint.payout)
);
});
}
/**
* Creates a PolynomialPayoutCurve from a PolynomialPayoutCurvePiece
* @param piece
* @returns A PolynomialPayoutCurve
*/
static fromPayoutCurvePiece(
piece: PolynomialPayoutCurvePiece,
): PolynomialPayoutCurve {
const points = piece.points.map((point) => {
const outcome = new BigNumber(point.eventOutcome.toString());
const payout = new BigNumber(point.outcomePayout.toString()).plus(
fromPrecision(point.extraPrecision),
);
return { outcome, payout };
});
return new PolynomialPayoutCurve(points);
}
/**
* Computes all CETs for a given payout curve
* @param payoutFunction The payout function
* @param totalCollateral The total collateral
* @param roundingIntervals The rounding intervals
* @returns A list of CETs
*/
static computePayouts(
payoutFunction: PayoutFunctionV0,
totalCollateral: bigint,
roundingIntervals: RoundingIntervalsV0,
): CETPayout[] {
if (payoutFunction.pieces.length < 1)
throw new Error('Must have at least one piece');
payoutFunction.pieces.forEach((piece) => {
if (
piece.payoutCurvePiece.type !== MessageType.PolynomialPayoutCurvePiece
)
throw new Error('Payout curve piece must be a polynomial');
});
const CETS: CETPayout[] = [];
// 1. Add the first piece to the list
const { payoutCurvePiece } = payoutFunction.pieces[0];
const curve = this.fromPayoutCurvePiece(
payoutCurvePiece as PolynomialPayoutCurvePiece,
);
CETS.push(
...splitIntoRanges(
payoutFunction.endpoint0,
payoutFunction.pieces[0].endpoint,
payoutFunction.endpointPayout0,
payoutFunction.pieces[0].endpointPayout,
totalCollateral,
curve,
roundingIntervals.intervals,
),
);
// 2. If there are subsequent pieces, add them to the list
for (let i = 1; i < payoutFunction.pieces.length; i++) {
const { payoutCurvePiece } = payoutFunction.pieces[i];
const curve = this.fromPayoutCurvePiece(
payoutCurvePiece as PolynomialPayoutCurvePiece,
);
CETS.push(
...splitIntoRanges(
payoutFunction.pieces[i - 1].endpoint,
payoutFunction.pieces[i].endpoint,
payoutFunction.pieces[i - 1].endpointPayout,
payoutFunction.pieces[i].endpointPayout,
totalCollateral,
curve,
roundingIntervals.intervals,
),
);
}
return mergePayouts(CETS);
}
}