@node-dlc/core
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<h1><a href="../../../index.html">All files</a> / <a href="index.html">lib/dlc/finance</a> OptionInfo.ts</h1>
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<span class="strong">72.41% </span>
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<span class='fraction'>42/58</span>
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<span class="strong">60% </span>
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<span class="strong">100% </span>
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<span class='fraction'>2/2</span>
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<span class="strong">72.41% </span>
<span class="quiet">Lines</span>
<span class='fraction'>42/58</span>
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<span class="cline-any cline-neutral"> </span></td><td class="text"><pre class="prettyprint lang-js">import {
ContractDescriptorType,
ContractInfo,
DigitDecompositionEventDescriptor,
HyperbolaPayoutCurvePiece,
MessageType,
MultiOracleInfo,
NumericalDescriptor,
PayoutCurvePieceType,
PayoutFunction,
SingleContractInfo,
SingleOracleInfo,
} from '@node-dlc/messaging';
import BN from 'bignumber.js';
import { HyperbolaPayoutCurve } from '../HyperbolaPayoutCurve';
import { CoveredCall } from './CoveredCall';
import { ShortPut } from './ShortPut';
export interface OptionInfo {
contractSize: bigint;
strikePrice: bigint;
premium?: bigint;
type?: OptionType;
expiry: Date;
}
export type HasOfferCollateral = {
offerCollateral: bigint;
};
export type HasContractInfo = {
contractInfo: ContractInfo;
};
export type HasType = {
type: MessageType;
};
export type OptionType = 'put' | 'call';
export function getOptionInfoFromContractInfo(
_contractInfo: ContractInfo,
): OptionInfo {
<span class="missing-if-branch" title="if path not taken" >I</span>if (_contractInfo.type !== MessageType.SingleContractInfo)
<span class="cstat-no" title="statement not covered" > throw Error('Only SingleContractInfo currently supported');</span>
const contractInfo = _contractInfo as SingleContractInfo;
<span class="missing-if-branch" title="if path not taken" >I</span>if (
contractInfo.contractDescriptor.contractDescriptorType !==
ContractDescriptorType.NumericOutcome
)
<span class="cstat-no" title="statement not covered" > throw Error('Numeric Descriptor currently supported');</span>
const oracleInfo = contractInfo.oracleInfo;
// Handle both SingleOracleInfo and MultiOracleInfo using proper type discrimination
let eventMaturityEpoch: number;
let eventDescriptor: DigitDecompositionEventDescriptor;
switch (oracleInfo.type) {
case MessageType.SingleOracleInfo: {
const singleOracleInfo = oracleInfo as SingleOracleInfo;
eventMaturityEpoch =
singleOracleInfo.announcement.oracleEvent.eventMaturityEpoch;
eventDescriptor = singleOracleInfo.announcement.oracleEvent
.eventDescriptor as DigitDecompositionEventDescriptor;
<span class="missing-if-branch" title="if path not taken" >I</span>if (
singleOracleInfo.announcement.oracleEvent.eventDescriptor.type !==
MessageType.DigitDecompositionEventDescriptorV0
) {
<span class="cstat-no" title="statement not covered" > throw Error(</span>
'Only DigitDecompositionEventDescriptorV0 currently supported',
);
}
break;
}
<span class="branch-1 cbranch-no" title="branch not covered" > case MessageType.MultiOracleInfo: {</span>
const multiOracleInfo = <span class="cstat-no" title="statement not covered" >oracleInfo as MultiOracleInfo;</span>
<span class="cstat-no" title="statement not covered" > eventMaturityEpoch =</span>
multiOracleInfo.announcements[0].oracleEvent.eventMaturityEpoch;
<span class="cstat-no" title="statement not covered" > eventDescriptor = multiOracleInfo.announcements[0].oracleEvent</span>
.eventDescriptor as DigitDecompositionEventDescriptor;
<span class="cstat-no" title="statement not covered" > if (</span>
multiOracleInfo.announcements[0].oracleEvent.eventDescriptor.type !==
MessageType.DigitDecompositionEventDescriptorV0
) {
<span class="cstat-no" title="statement not covered" > throw Error(</span>
'Only DigitDecompositionEventDescriptorV0 currently supported',
);
}
<span class="cstat-no" title="statement not covered" > break;</span>
}
<span class="branch-2 cbranch-no" title="branch not covered" > default:</span>
<span class="cstat-no" title="statement not covered" > throw Error(`Unknown oracle info type: ${oracleInfo.type}`);</span>
}
const { base: oracleBase, nbDigits: oracleDigits } = eventDescriptor;
const contractDescriptor = contractInfo.contractDescriptor as NumericalDescriptor;
<span class="missing-if-branch" title="if path not taken" >I</span>if (contractDescriptor.payoutFunction.type !== MessageType.PayoutFunction)
<span class="cstat-no" title="statement not covered" > throw Error('Only PayoutFunction currently supported');</span>
const payoutFunction = contractDescriptor.payoutFunction as PayoutFunction;
<span class="missing-if-branch" title="if path not taken" >I</span>if (payoutFunction.payoutFunctionPieces.length === 0)
<span class="cstat-no" title="statement not covered" > throw Error('PayoutFunction must have at least once PayoutFunctionPiece');</span>
<span class="missing-if-branch" title="if path not taken" >I</span>if (payoutFunction.payoutFunctionPieces.length > 1)
<span class="cstat-no" title="statement not covered" > throw Error('More than one PayoutFunctionPiece not supported');</span>
const payoutCurvePiece = payoutFunction.payoutFunctionPieces[0]
.payoutCurvePiece as HyperbolaPayoutCurvePiece;
<span class="missing-if-branch" title="if path not taken" >I</span>if (payoutCurvePiece.payoutCurvePieceType !== PayoutCurvePieceType.Hyperbola)
<span class="cstat-no" title="statement not covered" > throw Error('Must be HyperbolaPayoutCurvePiece');</span>
<span class="missing-if-branch" title="if path not taken" >I</span>if (!payoutCurvePiece.b.isZero() || !payoutCurvePiece.c.isZero())
<span class="cstat-no" title="statement not covered" > throw Error('b and c HyperbolaPayoutCurvePiece values must be 0');</span>
const curve = HyperbolaPayoutCurve.fromPayoutCurvePiece(payoutCurvePiece);
const maxOutcome = BigInt(
new BN(oracleBase).pow(oracleDigits).minus(1).toString(10),
);
// For the new PayoutFunction structure, we need to get the initial payout from the first piece
const initialPayout =
payoutFunction.payoutFunctionPieces[0].endPoint.outcomePayout;
const isAscending = curve.getPayout(maxOutcome).gt(Number(initialPayout));
const expiry = new Date(eventMaturityEpoch * 1000);
const totalCollateral = contractInfo.totalCollateral;
// if curve is ascending, assume it is a put.
const contractSize = isAscending
? BigInt(payoutCurvePiece.translatePayout.toDecimal().toString()) -
totalCollateral
: totalCollateral -
BigInt(payoutCurvePiece.translatePayout.toDecimal().toString());
const strikePrice =
BigInt(payoutCurvePiece.d.toDecimal().toString()) / contractSize;
// rebuild payout curve from option info and perform a sanity check
const { payoutCurve: sanityCurve } = isAscending
? ShortPut.buildCurve(
strikePrice,
contractSize,
totalCollateral,
oracleBase,
oracleDigits,
)
: CoveredCall.buildCurve(
strikePrice,
contractSize,
oracleBase,
oracleDigits,
);
const type = isAscending ? 'put' : 'call';
if (!curve.equals(sanityCurve))
throw new Error(
'Payout curve built from extracted OptionInfo does not match original payout curve',
);
return { contractSize, strikePrice, expiry, type };
}
export function getOptionInfoFromOffer(
offer: HasOfferCollateral & HasContractInfo & HasType,
): OptionInfo {
<span class="missing-if-branch" title="if path not taken" >I</span>if (
offer.type !== MessageType.DlcOffer &&
<span class="branch-1 cbranch-no" title="branch not covered" > offer.type !== MessageType.OrderOffer</span>
)
<span class="cstat-no" title="statement not covered" > throw Error('Only DlcOffer and OrderOffer currently supported');</span>
const premium = offer.contractInfo.totalCollateral - offer.offerCollateral;
return {
...getOptionInfoFromContractInfo(offer.contractInfo),
premium,
};
}
</pre></td></tr></table></pre>
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