Constants

Git Source

ONE

The initial value of Lender's borrowIndex

uint256 constant ONE = 1e12;

BORROWS_SCALER

An additional scaling factor applied to borrowed amounts before dividing by borrowIndex and storing. 72 matches the type of borrowIndex in Ledger to guarantee that the stored borrow units fit in uint256.

uint256 constant BORROWS_SCALER = ONE << 72;

MAX_RATE

The maximum percentage yield per second, scaled up by 1e12. The current value is equivalent to ((1 + 706354 / 1e12) ** (24 * 60 * 60)) - 1 ⇒ +6.3% per day or +53% per week. If the rate is consistently at this maximum value, the Lender will function for 1 year before borrowIndex overflows.

uint256 constant MAX_RATE = 706354;

DEFAULT_ANTE

The default amount of Ether required to take on debt in a Borrower. The Factory can override this value on a per-market basis. Incentivizes calls to Borrower.warn.

uint208 constant DEFAULT_ANTE = 0.01 ether;

DEFAULT_N_SIGMA

The default number of standard deviations of price movement used to determine probe prices for Borrower solvency. The Factory can override this value on a per-market basis. Expressed x10, e.g. 50 → 5σ

uint8 constant DEFAULT_N_SIGMA = 50;

DEFAULT_MANIPULATION_THRESHOLD_DIVISOR

Assume someone is manipulating the Uniswap TWAP oracle. To steal money from the protocol and create bad debt, they would need to change the TWAP by a factor of (1 / LTV), where the LTV is a function of volatility. We have a manipulation metric that increases as an attacker tries to change the TWAP. If this metric rises above a certain threshold, certain functionality will be paused, e.g. no new debt can be created. The threshold is calculated as follows: \( \text{manipulationThreshold} = \frac{log_{1.0001}\left( \frac{1}{\text{LTV}} \right)}{\text{MANIPULATION_THRESHOLD_DIVISOR}} \)

uint8 constant DEFAULT_MANIPULATION_THRESHOLD_DIVISOR = 12;

DEFAULT_RESERVE_FACTOR

The default portion of interest that will accrue to a Lender's RESERVE address. Expressed as a reciprocal, e.g. 16 → 6.25%

uint8 constant DEFAULT_RESERVE_FACTOR = 16;

CONSTRAINT_N_SIGMA_MIN

The lowest number of standard deviations of price movement allowed for determining Borrower probe prices. Expressed x10, e.g. 40 → 4σ

uint8 constant CONSTRAINT_N_SIGMA_MIN = 40;

CONSTRAINT_N_SIGMA_MAX

The highest number of standard deviations of price movement allowed for determining Borrower probe prices. Expressed x10, e.g. 80 → 8σ

uint8 constant CONSTRAINT_N_SIGMA_MAX = 80;

CONSTRAINT_MANIPULATION_THRESHOLD_DIVISOR_MIN

The minimum value of the manipulationThresholdDivisor, described above

uint8 constant CONSTRAINT_MANIPULATION_THRESHOLD_DIVISOR_MIN = 10;

CONSTRAINT_MANIPULATION_THRESHOLD_DIVISOR_MAX

The maximum value of the manipulationThresholdDivisor, described above

uint8 constant CONSTRAINT_MANIPULATION_THRESHOLD_DIVISOR_MAX = 16;

CONSTRAINT_RESERVE_FACTOR_MIN

The lower bound on what any Lender's reserve factor can be. Expressed as reciprocal, e.g. 4 → 25%

uint8 constant CONSTRAINT_RESERVE_FACTOR_MIN = 4;

CONSTRAINT_RESERVE_FACTOR_MAX

The upper bound on what any Lender's reserve factor can be. Expressed as reciprocal, e.g. 20 → 5%

uint8 constant CONSTRAINT_RESERVE_FACTOR_MAX = 20;

CONSTRAINT_ANTE_MAX

The maximum amount of Ether that Borrowers can be required to post before taking on debt

uint216 constant CONSTRAINT_ANTE_MAX = 0.5 ether;

MAX_LEVERAGE

\( 1 + \frac{1}{\text{MAX_LEVERAGE}} \) should be greater than the maximum feasible single-block accrualFactor so that liquidators have time to respond to interest updates

uint256 constant MAX_LEVERAGE = 200;

LIQUIDATION_INCENTIVE

The minimum discount that a healthy Borrower should be able to offer a liquidator when swapping assets. Expressed as reciprocal, e.g. 20 → 5%

uint256 constant LIQUIDATION_INCENTIVE = 20;

LIQUIDATION_GRACE_PERIOD

The minimum time that must pass between calls to Borrower.warn and Borrower.liquidate.

uint256 constant LIQUIDATION_GRACE_PERIOD = 5 minutes;

TERMINATING_CLOSE_FACTOR

The minimum closeFactor necessary to conclude a liquidation auction. To actually conclude the auction, Borrower.liquidate must result in a healthy balance sheet (in addition to this closeFactor requirement). Expressed in basis points. NOTE: The ante is depleted after just 4 Borrower.warnings. By requiring that each auction repay at least 68%, we ensure that after 4 auctions, no more than 1% of debt remains ((1 - 0.6838)^4). Increasing the threshold would reduce that further, but we don't want to prolong individual auctions unnecessarily since the incentive (and loss to Borrowers) increases with time.

uint256 constant TERMINATING_CLOSE_FACTOR = 6837;

PROBE_SQRT_SCALER_MIN

The minimum scaling factor by which sqrtMeanPriceX96 is multiplied or divided to get probe prices

uint256 constant PROBE_SQRT_SCALER_MIN = 1.026248453011e12;

PROBE_SQRT_SCALER_MAX

The maximum scaling factor by which sqrtMeanPriceX96 is multiplied or divided to get probe prices

uint256 constant PROBE_SQRT_SCALER_MAX = 3.078745359035e12;

LTV_NUMERATOR

Equivalent to \( \frac{10^{36}}{1 + \frac{1}{liquidationIncentive} + \frac{1}{maxLeverage}} \)

uint256 constant LTV_NUMERATOR = uint256(LIQUIDATION_INCENTIVE * MAX_LEVERAGE * 1e36)
    / (LIQUIDATION_INCENTIVE * MAX_LEVERAGE + LIQUIDATION_INCENTIVE + MAX_LEVERAGE);

LTV_MIN

The minimum loan-to-value ratio. Actual ratio is based on implied volatility; this is just a lower bound. Expressed as a 1e12 percentage, e.g. 0.10e12 → 10%. Must be greater than TickMath.MIN_SQRT_RATIO because we reuse a base 1.0001 logarithm in BalanceSheet

uint256 constant LTV_MIN = LTV_NUMERATOR / (PROBE_SQRT_SCALER_MAX * PROBE_SQRT_SCALER_MAX);

LTV_MAX

The maximum loan-to-value ratio. Actual ratio is based on implied volatility; this is just a upper bound. Expressed as a 1e12 percentage, e.g. 0.90e12 → 90%

uint256 constant LTV_MAX = LTV_NUMERATOR / (PROBE_SQRT_SCALER_MIN * PROBE_SQRT_SCALER_MIN);

IV_SCALE

The timescale of implied volatility, applied to measurements and calculations. When BalanceSheet detects that an nSigma event would cause insolvency in this time period, it enables liquidations. So if you squint your eyes and wave your hands enough, this is (in expectation) the time liquidators have to act before the protocol accrues bad debt.

uint32 constant IV_SCALE = 24 hours;

IV_COLD_START

The initial value of implied volatility, used when VolatilityOracle.prepare is called for a new pool. Expressed as a 1e12 percentage at IV_SCALE, e.g. {0.12e12, 24 hours} → 12% daily → 229% annual. Error on the side of making this too large (resulting in low LTV).

uint104 constant IV_COLD_START = 0.127921282726e12;

IV_CHANGE_PER_SECOND

The maximum rate at which (reported) implied volatility can change. Raw samples in VolatilityOracle.update are clamped (before being stored) so as not to exceed this rate. Expressed in 1e12 percentage points at IV_SCALE per second, e.g. {115740, 24 hours} means daily IV can change by 0.0000116 percentage points per second → 1 percentage point per day.

uint256 constant IV_CHANGE_PER_SECOND = 115740;

IV_CHANGE_PER_UPDATE

The maximum amount by which (reported) implied volatility can change with a single VolatilityOracle.update call. If updates happen as frequently as possible (every FEE_GROWTH_SAMPLE_PERIOD), this cap is no different from IV_CHANGE_PER_SECOND alone.

uint104 constant IV_CHANGE_PER_UPDATE = uint104(IV_CHANGE_PER_SECOND * FEE_GROWTH_SAMPLE_PERIOD);

IV_EMA_GAIN_POS

The gain on the EMA update when IV is increasing. Expressed as reciprocal, e.g. 20 → 0.05

int256 constant IV_EMA_GAIN_POS = 20;

IV_EMA_GAIN_NEG

The gain on the EMA update when IV is decreasing. Expressed as reciprocal, e.g. 100 → 0.01

int256 constant IV_EMA_GAIN_NEG = 100;

FEE_GROWTH_AVG_WINDOW

To estimate volume, we need 2 samples. One is always at the current block, the other is from FEE_GROWTH_AVG_WINDOW seconds ago, +/- FEE_GROWTH_SAMPLE_PERIOD / 2. Larger values make the resulting volume estimate more robust, but may cause the oracle to miss brief spikes in activity.

uint256 constant FEE_GROWTH_AVG_WINDOW = 72 hours;

FEE_GROWTH_ARRAY_LENGTH

The length of the circular buffer that stores feeGrowthGlobals samples. Must be in interval \( \left[ \frac{\text{FEE_GROWTH_AVG_WINDOW}}{\text{FEE_GROWTH_SAMPLE_PERIOD}}, 256 \right) \)

uint256 constant FEE_GROWTH_ARRAY_LENGTH = 32;

FEE_GROWTH_SAMPLE_PERIOD

The minimum number of seconds that must elapse before a new feeGrowthGlobals sample will be stored. This controls how often the oracle can update IV.

uint256 constant FEE_GROWTH_SAMPLE_PERIOD = 4 hours;

UNISWAP_AVG_WINDOW

To compute Uniswap mean price & liquidity, we need 2 samples. One is always at the current block, the other is from UNISWAP_AVG_WINDOW seconds ago. Larger values make the resulting price/liquidity values harder to manipulate, but also make the oracle slower to respond to changes.

uint32 constant UNISWAP_AVG_WINDOW = 30 minutes;