@backt/protocol/lib/calc.js

Backt smart contracts implementation

'use strict';

var _bignumber = require('bignumber.js');

var _bignumber2 = _interopRequireDefault(_bignumber);

function _interopRequireDefault(obj) { return obj && obj.__esModule ? obj : { default: obj }; }

_bignumber2.default.config({ DECIMAL_PLACES: 30 });

/**
 * @see ContractForDifference.sol calculateCollateralAmount() for the CFD
 *      Solidity implementation.
 *
 * Formulas are:
 *     Cl = depositBalanceLong  + N * (P - S) / S
 *     Cs = depositBalanceShort - N * (P - S) / S
 */
var calculateCollateral = function calculateCollateral(_ref) {
  var strikePrice = _ref.strikePrice,
      marketPrice = _ref.marketPrice,
      notionalAmount = _ref.notionalAmount,
      depositBalance = _ref.depositBalance,
      calcBuyerSide = _ref.calcBuyerSide;

  var difference = notionalAmount.times(marketPrice.minus(strikePrice).dividedBy(strikePrice));
  return calcBuyerSide ? depositBalance.plus(difference) : depositBalance.minus(difference);
};

/**
 * @see ContractForDifference.sol cutOffPrice() for Solidity implementation.
 *
 * Base Formulas are:
 *     Buyer:  1.05 * S - depositBalanceLong  * S / N
 *     Seller: 0.95 * S + depositBalanceShort * S / N
 */
var cutOffPrice = function cutOffPrice(_ref2) {
  var strikePrice = _ref2.strikePrice,
      notionalAmount = _ref2.notionalAmount,
      depositBalance = _ref2.depositBalance,
      buyerSide = _ref2.buyerSide;

  var strikeFivePercent = strikePrice.times(buyerSide === true ? 1.05 : 0.95);
  var difference = depositBalance.times(strikePrice).dividedBy(notionalAmount);

  // can occur when buyer has leverage less then 1X (ie. deposits > notional)
  if (buyerSide === true && strikeFivePercent.lt(difference)) {
    return new _bignumber2.default(0);
  }

  return buyerSide === true ? strikeFivePercent.minus(difference) : strikeFivePercent.plus(difference);
};

/**
 * Fee for creator is half an update fee PLUS 0.3% of the notional.
 * @see ContractForDifference.sol creatorFee() for Solidity implementation.
 */
var creatorFee = function creatorFee(notionalAmount) {
  return notionalAmount.times(0.003);
};

/**
 * Fee for joiner - via either deposit() or buy()
 * Fee is 0.5% of the notional.
 * @see ContractForDifference.sol joinerFee() for Solidity implementation.
 */
var joinerFee = function joinerFee(notionalAmount) {
  return notionalAmount.times(0.005);
};

/**
 * Calculate new notional amount after a side has been sold at a new strike price.
 *
 * @see ContractForDifference.sol calculateNewNotional() for the CFD
 *      Solidity implementation.
 *
 * Formula is:
 *  N2 = N1 * S2 / S1
 * Where:
 *  N1 = previous notional
 *  S1 = previous strike price
 *  S2 = sale strike price
 *
 * @param _oldNotional Existing notional.
 * @param _oldStrikePrice Existing strike price.
 * @param _newStrikePrice New / Sale strike price.
 * @return newNotional Result of the calculation.
 *
 */
var calculateNewNotional = function calculateNewNotional(_ref3) {
  var oldNotional = _ref3.oldNotional,
      oldStrikePrice = _ref3.oldStrikePrice,
      newStrikePrice = _ref3.newStrikePrice;
  return oldNotional.times(newStrikePrice.dividedBy(oldStrikePrice));
};

module.exports = {
  calculateCollateral: calculateCollateral,
  calculateNewNotional: calculateNewNotional,
  cutOffPrice: cutOffPrice,
  creatorFee: creatorFee,
  joinerFee: joinerFee
};