@agoric/zoe/src/contracts/callSpread/calculateShares.js

Zoe: the Smart Contract Framework for Offer Enforcement

/// <reference path="./types-ambient.js" />

import { assert } from '@endo/errors';
import { AmountMath, isNatValue } from '@agoric/ertp';
import { makeRatio, oneMinus } from '../../contractSupport/index.js';
import { make100Percent, make0Percent } from './percent.js';

/**
 * Calculate the portion (as a Ratio) of the collateral that should be
 * allocated to the long side of a call spread contract. price gives the value
 * of the underlying asset at closing that determines the payouts to the parties
 *
 * @type {CalculateShares}
 */
function calculateShares(collateralBrand, price, strikePrice1, strikePrice2) {
  if (AmountMath.isGTE(strikePrice1, price)) {
    return {
      longShare: make0Percent(collateralBrand),
      shortShare: make100Percent(collateralBrand),
    };
  } else if (AmountMath.isGTE(price, strikePrice2)) {
    return {
      longShare: make100Percent(collateralBrand),
      shortShare: make0Percent(collateralBrand),
    };
  }

  const denominator = AmountMath.subtract(strikePrice2, strikePrice1);
  const numerator = AmountMath.subtract(price, strikePrice1);
  assert(isNatValue(numerator.value));
  assert(isNatValue(denominator.value));
  const longShare = makeRatio(
    numerator.value,
    collateralBrand,
    denominator.value,
  );
  return { longShare, shortShare: oneMinus(longShare) };
}

harden(calculateShares);
export { calculateShares };