patch: fix capital efficiency test and increase EPSILON to 1000

primitivefinance · Apr 11, 2024 · 3582603 · 3582603
1 parent 5b1b5df
commit 3582603
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Showing 3 changed files with 9 additions and 7 deletions.
diff --git a/src/CoveredCall/CoveredCall.sol b/src/CoveredCall/CoveredCall.sol
@@ -191,7 +191,9 @@ contract CoveredCall is PairStrategy {
         int256 computedInvariant =
             tradingFunction(pool.reserves, computedL, params);
 
-        if (computedInvariant <= 0 && computedInvariant <= EPSILON) {
+        console2.log("Computed Invariant: {}", computedInvariant);
+
+        if (computedInvariant < 0 || computedInvariant > EPSILON) {
             revert InvalidComputedLiquidity(computedInvariant);
         }
 

diff --git a/src/CoveredCall/CoveredCallMath.sol b/src/CoveredCall/CoveredCallMath.sol
@@ -14,7 +14,7 @@ using FixedPointMathLib for uint256;
 using FixedPointMathLib for int256;
 using SignedWadMathLib for int256;
 
-uint256 constant MAX_ITER = 128;
+uint256 constant MAX_ITER = 256;
 uint256 constant YEAR = 31_536_000;
 
 function computeTradingFunction(
@@ -393,7 +393,7 @@ function computeNextRx(
     int256 computedInvariant = invariant;
     if (computedInvariant < 0) {
         while (computedInvariant < 0) {
-            upper = upper.mulDivUp(101, 100);
+            upper = upper.mulDivUp(1001, 1000);
             upper = upper > L ? L : upper;
             computedInvariant = computeTradingFunction({
                 rX: upper,
@@ -404,7 +404,7 @@ function computeNextRx(
         }
     } else {
         while (computedInvariant > 0) {
-            lower = lower.mulDivDown(99, 100);
+            lower = lower.mulDivDown(999, 1000);
             lower = lower > L ? L : lower;
             computedInvariant = computeTradingFunction({
                 rX: lower,
@@ -440,7 +440,7 @@ function computeNextRy(
     int256 computedInvariant = invariant;
     if (computedInvariant < 0) {
         while (computedInvariant < 0) {
-            upper = upper.mulDivUp(101, 100);
+            upper = upper.mulDivUp(1001, 1000);
             computedInvariant = computeTradingFunction({
                 rX: rX,
                 rY: upper,
@@ -450,7 +450,7 @@ function computeNextRy(
         }
     } else {
         while (computedInvariant > 0) {
-            lower = lower.mulDivDown(99, 100);
+            lower = lower.mulDivDown(999, 1000);
             computedInvariant = computeTradingFunction({
                 rX: rX,
                 rY: lower,

diff --git a/src/lib/StrategyLib.sol b/src/lib/StrategyLib.sol
@@ -3,7 +3,7 @@ pragma solidity ^0.8.13;
 
 import { FixedPointMathLib } from "solmate/utils/FixedPointMathLib.sol";
 
-int256 constant EPSILON = 30;
+int256 constant EPSILON = 1000;
 uint256 constant HALF = 0.5e18;
 uint256 constant ONE = 1e18;
 uint256 constant TWO = 2e18;