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fix(#17): marginal price math error
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Alexangelj committed Dec 29, 2021
1 parent 8a6189e commit ba8a319
Showing 1 changed file with 4 additions and 4 deletions.
8 changes: 4 additions & 4 deletions src/ReplicationMath.ts
Original file line number Diff line number Diff line change
Expand Up @@ -230,14 +230,14 @@ export function getMarginalPriceSwapStableIn(
const step1 = sigma * Math.sqrt(tau)
const step3 = inverse_std_n_cdf(step0)
const step4 = std_n_pdf(step3 + step1)
const step5 = step0 * (1 / strike)
const step6 = quantilePrime(step5)
const step6 = quantilePrime(step0) * (1 / strike)
const step7 = gamma * step4 * step6
return 1 / step7
}

/**
* @notice See https://arxiv.org/pdf/2012.08040.pdf
* @dev Uses same approximations used in solidity contracts
* @param amountIn Amount of risky token to add to risky reserve
* @param reserveRisky Pool's reserve of risky tokens
* @param strike Price point that defines complete stable token composition of the pool
Expand Down Expand Up @@ -266,6 +266,7 @@ export function getMarginalPriceSwapRiskyInApproximation(

/**
* @notice See https://arxiv.org/pdf/2012.08040.pdf
* @dev Uses same approximations used in solidity contracts
* @param amountIn Amount of stable token to add to stable reserve
* @param reserveStable Pool's reserve of stable tokens
* @param strike Price point that defines complete stable token composition of the pool
Expand All @@ -288,8 +289,7 @@ export function getMarginalPriceSwapStableInApproximation(
const step1 = sigma * Math.sqrt(tau)
const step3 = getInverseCDFSolidity(step0)
const step4 = std_n_pdf(step3 + step1)
const step5 = step0 * (1 / strike)
const step6 = quantilePrime(step5)
const step6 = quantilePrime(step0) * (1 / strike)
const step7 = gamma * step4 * step6
return 1 / step7
}
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