riftenlabs-indexer/src/rpc/apy/poolperiod.rs

// Copyright (C) 2024 Riften Labs AS
//
// This software is licensed under the GNU Affero General Public License (AGPL), version 3.0 or later.
// A copy of the license can be found in the LICENSE file or at https://www.gnu.org/licenses/agpl-3.0.html

use anyhow::{bail, Context, Result};
use rust_decimal::MathematicalOps;
use rust_decimal::{prelude::FromPrimitive, Decimal};
use rust_decimal_macros::dec;

use super::PoolSnapshot;

const SECONDS_IN_DAY: Decimal = dec!(86400.0);
const DAYS_IN_YEAR: Decimal = dec!(365.25);

#[derive(Debug, Clone)]
pub struct PoolPeriod {
    pub start: PoolSnapshot,
    pub end: PoolSnapshot,

    start_k: Decimal,
    end_k: Decimal,
}

impl PoolPeriod {
    pub fn new(start: PoolSnapshot, end: PoolSnapshot) -> Result<Self> {
        if start.timestamp > end.timestamp {
            bail!(
                "start timestamp ({}) > end timestamp ({})",
                start.timestamp,
                end.timestamp
            )
        }

        let start_k = Decimal::from_u64(start.sats * start.token_amount)
            .context("failed to convert inital_k to decimal")?;

        let end_k = Decimal::from_u64(end.sats * end.token_amount)
            .context("failed to convert final_k to decimal")?;

        Ok(Self {
            start,
            end,
            start_k,
            end_k,
        })
    }

    /// Duration in seconds of this pool period
    /// starting: If provided; we assume that when the real starting position was BEFORE this timestamp,
    ///           then this was also the state of the pool at this time.
    pub fn duration(&self, starting: &Option<u64>) -> u64 {
        let start = match *starting {
            Some(starting) => {
                if starting > self.start.timestamp {
                    starting
                } else {
                    self.start.timestamp
                }
            }
            None => self.start.timestamp,
        };
        self.end.timestamp.saturating_sub(start)
    }

    pub fn durationd(&self, starting: &Option<u64>) -> Result<Decimal> {
        Decimal::from_u64(self.duration(starting)).context("duration to decimal")
    }

    pub fn duration_days(&self, starting: &Option<u64>) -> Result<Decimal> {
        Ok(self.durationd(starting)? / SECONDS_IN_DAY)
    }

    pub fn days_over_year(&self, starting: &Option<u64>) -> Result<Decimal> {
        Ok(DAYS_IN_YEAR
            .checked_div(self.duration_days(starting)?)
            .unwrap_or_default())
    }

    pub fn end_k_sqrt(&self) -> Result<Decimal> {
        self.end_k.sqrt().context("failed to sqrt end")
    }

    pub fn pool_yield(&self) -> Result<Decimal> {
        let start_k_sr = self.start_k.sqrt().context("failed to sqrt start")?;
        let end_k_sr = self.end_k.sqrt().context("failed to sqrt end")?;

        Ok(((end_k_sr - start_k_sr) / start_k_sr) * Decimal::ONE_HUNDRED)
    }

    pub fn yield_and_apy(&self, starting: &Option<u64>) -> Result<(Decimal, Decimal)> {
        let pool_yield = self.pool_yield()?;

        let years_elapsed = self.days_over_year(starting)?;

        // to avoid powd overflow; don't calculate for pools < 6 hour old
        if self.duration(starting) < 3600 * 6 {
            return Ok((pool_yield, Decimal::ZERO));
        }

        let apy = if years_elapsed.is_zero() {
            Decimal::ZERO
        } else {
            (((pool_yield / Decimal::ONE_HUNDRED) + Decimal::ONE)
                .checked_powd(years_elapsed)
                .context("powd overflow")?
                - Decimal::ONE)
                * Decimal::ONE_HUNDRED
        };

        Ok((pool_yield, apy))
    }
}

#[cfg(test)]
mod tests {

    use super::*;

    #[test]
    fn test_apy_and_yield() {
        // http://localhost:3000/position/f67ff489fb3b8efaf5db1a2cf9e3faa07fdfd7903079262a534c921e7e7d0d2c17
        // APY:  0.2815061492818 numberOfDaysInPeriod:  28.668907708332494 first timestamp 1727201259 last trade 1729678252.626 first sats 1648241n first tokens 116674414n last sats 1759576n last tokens 109340225n yield 0.02206714530974295
        // compare numbers to our existing implementation

        let start = PoolSnapshot::dummy(1727201259, 1648241, 116674414);
        let end = PoolSnapshot::dummy(1729678252, 1759576, 109340225);

        let expected_yield = dec!(0.02206714530974295);
        let expected_apy = dec!(0.2815061492818);

        let period = PoolPeriod::new(start, end).unwrap();
        let (pool_yield, pool_apy) = period.yield_and_apy(&None).unwrap();

        assert!((expected_yield - pool_yield).abs() < dec!(1e-12));
        assert!(
            (expected_apy - pool_apy).abs() < dec!(1e-7),
            "expected {expected_apy} != actual {pool_apy}"
        );
    }
}