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adds PoC model for vault share price valuation
This commit is contained in:
Vito
559
src/test/basics/VaultSharePricing_test.cpp
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559
src/test/basics/VaultSharePricing_test.cpp
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#include <xrpl/basics/Number.h>
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#include <xrpl/beast/unit_test.h>
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#include <xrpl/protocol/Indexes.h>
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#include <xrpl/protocol/Issue.h>
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#include <xrpl/protocol/MPTIssue.h>
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#include <xrpl/protocol/STAmount.h>
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namespace xrpl {
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// Result types for vault operations
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struct DepositResult
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{
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STAmount shares;
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STAmount assets;
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};
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struct WithdrawResult
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{
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STAmount shares;
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STAmount assets;
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};
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// Proof-of-concept Vault implementing the XLS-0065 share pricing model.
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// Uses STAmount for typed asset/share values and Number for arithmetic.
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class Vault
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{
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Asset asset_;
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MPTIssue shareAsset_;
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std::uint8_t scale_;
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Number assetsTotal_{0};
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Number assetsAvailable_{0};
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Number sharesTotal_{0};
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Number interestUnrealized_{0};
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Number lossUnrealized_{0};
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static inline std::uint32_t nextShareSeq_ = 1;
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public:
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Vault(Asset asset, std::uint8_t scale = 6)
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: asset_(asset)
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, shareAsset_(makeMptID(nextShareSeq_++, AccountID(0xFACE)))
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, scale_(asset.native() || asset.integral() ? 0 : scale)
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{
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// XRP and MPT force scale to 0 per spec
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// IOU uses caller-provided scale (default 6)
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}
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DepositResult
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deposit(STAmount const& assets)
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{
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Number const depositAmount = static_cast<Number>(assets);
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Number shares;
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Number actualAssets;
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if (assetsTotal_ == 0 && sharesTotal_ == 0)
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{
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// Initial deposit: shares = assets * 10^scale
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shares = Number(depositAmount.mantissa(), depositAmount.exponent() + scale_).truncate();
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actualAssets = depositAmount;
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}
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else
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{
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// Subsequent deposit: shares = floor(assets * sharesTotal / depositNAV)
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Number const depositNAV = assetsTotal_ - interestUnrealized_;
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shares = ((depositAmount * sharesTotal_) / depositNAV).truncate();
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// Recalculate actual assets taken
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actualAssets = (shares * depositNAV) / sharesTotal_;
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}
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assetsTotal_ += actualAssets;
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assetsAvailable_ += actualAssets;
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sharesTotal_ += shares;
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return {
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STAmount{shareAsset_, shares},
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STAmount{asset_, actualAssets},
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};
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}
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STAmount
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redeem(STAmount const& shares)
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{
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Number const shareAmount = static_cast<Number>(shares);
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// assets = shares * withdrawalNAV / sharesTotal
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Number const withdrawalNAV =
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assetsTotal_ - interestUnrealized_ - lossUnrealized_;
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Number const assetsOut =
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(shareAmount * withdrawalNAV) / sharesTotal_;
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assetsTotal_ -= assetsOut;
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assetsAvailable_ -= assetsOut;
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sharesTotal_ -= shareAmount;
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return STAmount{asset_, assetsOut};
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}
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WithdrawResult
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withdraw(STAmount const& assetsRequested)
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{
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Number const requestedAmount = static_cast<Number>(assetsRequested);
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Number const withdrawalNAV =
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assetsTotal_ - interestUnrealized_ - lossUnrealized_;
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// shares = round_nearest(requested * sharesTotal / withdrawalNAV)
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Number const rawShares =
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(requestedAmount * sharesTotal_) / withdrawalNAV;
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// Round to nearest integer via int64_t cast
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Number const shares{static_cast<std::int64_t>(rawShares)};
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// Recalculate actual assets out
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Number const assetsOut = (shares * withdrawalNAV) / sharesTotal_;
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assetsTotal_ -= assetsOut;
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assetsAvailable_ -= assetsOut;
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sharesTotal_ -= shares;
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return {
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STAmount{shareAsset_, shares},
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STAmount{asset_, assetsOut},
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};
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}
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void
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setInterestUnrealized(Number omega)
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{
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interestUnrealized_ = omega;
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}
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void
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setLossUnrealized(Number iota)
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{
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lossUnrealized_ = iota;
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}
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STAmount
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assetsTotal() const
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{
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return STAmount{asset_, assetsTotal_};
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}
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STAmount
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assetsAvailable() const
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{
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return STAmount{asset_, assetsAvailable_};
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}
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STAmount
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sharesTotal() const
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{
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return STAmount{shareAsset_, sharesTotal_};
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}
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MPTIssue const&
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shareAsset() const
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{
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return shareAsset_;
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}
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Number
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interestUnrealized() const
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{
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return interestUnrealized_;
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}
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Number
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lossUnrealized() const
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{
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return lossUnrealized_;
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}
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};
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class VaultSharePricing_test : public beast::unit_test::suite
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{
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// Helper to get the numeric Number value from an STAmount
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static Number
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num(STAmount const& a)
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{
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return static_cast<Number>(a);
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}
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public:
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void
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testInitialDepositIOU()
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{
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testcase("Initial deposit IOU (scale=6)");
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Issue const usd{Currency(0x5553440000000000), AccountID(0x4985601)};
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Vault vault{usd}; // scale defaults to 6
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auto const [shares, assets] = vault.deposit(STAmount{usd, 100});
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// 100 * 10^6 = 100,000,000 shares
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BEAST_EXPECT(num(shares) == Number(100'000'000));
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BEAST_EXPECT(num(assets) == Number(100));
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BEAST_EXPECT(num(vault.assetsTotal()) == Number(100));
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BEAST_EXPECT(num(vault.sharesTotal()) == Number(100'000'000));
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}
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void
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testInitialDepositXRP()
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{
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testcase("Initial deposit XRP (scale=0)");
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Vault vault{xrpIssue()};
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// 10 XRP = 10,000,000 drops; scale=0 so shares = drops 1:1
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auto const [shares, assets] =
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vault.deposit(STAmount{xrpIssue(), 10'000'000});
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BEAST_EXPECT(num(shares) == Number(10'000'000));
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BEAST_EXPECT(num(assets) == Number(10'000'000));
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BEAST_EXPECT(num(vault.assetsTotal()) == Number(10'000'000));
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}
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void
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testInitialDepositMPT()
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{
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testcase("Initial deposit MPT (scale=0)");
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MPTIssue const mptAsset{makeMptID(100, AccountID(0x5678))};
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Vault vault{mptAsset};
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auto const [shares, assets] = vault.deposit(STAmount{mptAsset, 500});
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// scale=0, so 500 assets → 500 shares
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BEAST_EXPECT(num(shares) == Number(500));
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BEAST_EXPECT(num(assets) == Number(500));
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BEAST_EXPECT(num(vault.sharesTotal()) == Number(500));
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}
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void
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testSubsequentDeposit()
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{
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testcase("Subsequent deposit (proportional)");
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Issue const usd{Currency(0x5553440000000000), AccountID(0x4985601)};
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Vault vault{usd};
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// Initial: 100 assets → 100M shares
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vault.deposit(STAmount{usd, 100});
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// Second deposit: 50 assets at same price → 50M shares
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auto const [shares, assets] = vault.deposit(STAmount{usd, 50});
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BEAST_EXPECT(num(shares) == Number(50'000'000));
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BEAST_EXPECT(num(vault.assetsTotal()) == Number(150));
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BEAST_EXPECT(num(vault.sharesTotal()) == Number(150'000'000));
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}
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void
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testRedeemBasic()
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{
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testcase("Redeem basic");
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Issue const usd{Currency(0x5553440000000000), AccountID(0x4985601)};
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Vault vault{usd};
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vault.deposit(STAmount{usd, 100});
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// Redeem half the shares
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auto const assetsOut =
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vault.redeem(STAmount{vault.shareAsset(), 50'000'000});
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BEAST_EXPECT(num(assetsOut) == Number(50));
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BEAST_EXPECT(num(vault.assetsTotal()) == Number(50));
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BEAST_EXPECT(num(vault.sharesTotal()) == Number(50'000'000));
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}
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void
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testWithdrawBasic()
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{
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testcase("Withdraw basic");
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Issue const usd{Currency(0x5553440000000000), AccountID(0x4985601)};
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Vault vault{usd};
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vault.deposit(STAmount{usd, 100});
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// Withdraw 50 assets
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auto const [shares, assets] =
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vault.withdraw(STAmount{usd, 50});
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BEAST_EXPECT(num(shares) == Number(50'000'000));
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BEAST_EXPECT(num(vault.assetsTotal()) == Number(50));
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BEAST_EXPECT(num(vault.sharesTotal()) == Number(50'000'000));
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}
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void
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testAsymmetricDepositWithInterest()
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{
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testcase("Asymmetric pricing - deposit with unrealized interest");
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Issue const usd{Currency(0x5553440000000000), AccountID(0x4985601)};
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Vault vault{usd, 0}; // scale=0 for simpler math
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// Seed vault: 1000 assets, 1000 shares
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vault.deposit(STAmount{usd, 1000});
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BEAST_EXPECT(num(vault.sharesTotal()) == Number(1000));
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// Protocol adds unrealized interest (omega = 50)
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vault.setInterestUnrealized(Number(50));
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// Deposit NAV = assetsTotal - omega = 1000 - 50 = 950
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// Deposit 95 assets: shares = floor(95 * 1000 / 950) = floor(100) = 100
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auto const [shares, assets] = vault.deposit(STAmount{usd, 95});
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BEAST_EXPECT(num(shares) == Number(100));
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// Recalculated assets: 100 * 950 / 1000 = 95
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BEAST_EXPECT(num(assets) == Number(95));
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}
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void
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testAsymmetricWithdrawWithLoss()
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{
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testcase("Asymmetric pricing - withdraw with unrealized loss");
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Issue const usd{Currency(0x5553440000000000), AccountID(0x4985601)};
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Vault vault{usd, 0};
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vault.deposit(STAmount{usd, 1000});
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vault.setInterestUnrealized(Number(50));
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vault.setLossUnrealized(Number(100));
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// Withdrawal NAV = 1000 - 50 - 100 = 850
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// Redeem 100 shares: assets = 100 * 850 / 1000 = 85
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auto const assetsOut =
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vault.redeem(STAmount{vault.shareAsset(), 100});
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BEAST_EXPECT(num(assetsOut) == Number(85));
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}
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void
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testSpecExample()
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{
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testcase("Spec example (section 3.1.7.1)");
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// Vault: assetsTotal=1000, omega=50, iota=100, sharesTotal=1000
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Issue const usd{Currency(0x5553440000000000), AccountID(0x4985601)};
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Vault vault{usd, 0};
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vault.deposit(STAmount{usd, 1000});
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vault.setInterestUnrealized(Number(50));
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vault.setLossUnrealized(Number(100));
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// Deposit share price = (assetsTotal - omega) / sharesTotal
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// = (1000 - 50) / 1000 = 0.95
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// So 1 share costs 0.95 assets to deposit
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// Depositing 0.95 assets: shares = floor(0.95 * 1000 / 950) = floor(1) = 1
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{
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auto const [shares, assets] =
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vault.deposit(STAmount{usd, 95, -2}); // 0.95
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BEAST_EXPECT(num(shares) == Number(1));
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}
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// Withdrawal share price = (assetsTotal - omega - iota) / sharesTotal
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// ≈ 850 / 1001 ≈ 0.849...
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// Redeem 1 share: assets ≈ 0.849...
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// (accounting for the extra share and assets from the deposit above)
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}
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void
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testDepositRoundingDown()
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{
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testcase("Deposit rounding - shares floor");
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Issue const usd{Currency(0x5553440000000000), AccountID(0x4985601)};
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Vault vault{usd, 0};
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// Seed: 3 assets, 3 shares
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vault.deposit(STAmount{usd, 3});
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// Deposit 1 asset: shares = floor(1 * 3 / 3) = 1
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// Now try a case that produces fractional shares:
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// Seed a vault with 10 assets, 7 shares (custom ratio)
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Vault vault2{usd, 0};
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vault2.deposit(STAmount{usd, 10});
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// 10 assets, 10 shares
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// Deposit 3: shares = floor(3 * 10 / 10) = 3 (exact)
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// Need non-trivial ratio. Let's add interest to skew the price.
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vault2.setInterestUnrealized(Number(3));
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// depositNAV = 10 - 3 = 7
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// Deposit 1: shares = floor(1 * 10 / 7) = floor(1.4285...) = 1
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auto const [shares, assets] = vault2.deposit(STAmount{usd, 1});
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BEAST_EXPECT(num(shares) == Number(1));
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// Recalculated assets: 1 * 7 / 10 = 0.7
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BEAST_EXPECT(num(assets) == Number(7, -1));
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}
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void
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testWithdrawRoundingNearest()
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{
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testcase("Withdraw rounding - shares nearest");
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Issue const usd{Currency(0x5553440000000000), AccountID(0x4985601)};
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Vault vault{usd, 0};
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vault.deposit(STAmount{usd, 10});
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vault.setInterestUnrealized(Number(3));
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// withdrawalNAV = 10 - 3 = 7
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// Withdraw 1 asset: shares = round(1 * 10 / 7) = round(1.4285...) = 1
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auto const [shares, assets] = vault.withdraw(STAmount{usd, 1});
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BEAST_EXPECT(num(shares) == Number(1));
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}
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void
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testRedeemAll()
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{
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testcase("Redeem all shares - vault empties");
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Issue const usd{Currency(0x5553440000000000), AccountID(0x4985601)};
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Vault vault{usd};
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vault.deposit(STAmount{usd, 100});
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auto const assetsOut =
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vault.redeem(STAmount{vault.shareAsset(), 100'000'000});
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BEAST_EXPECT(num(assetsOut) == Number(100));
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BEAST_EXPECT(num(vault.assetsTotal()) == Number(0));
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BEAST_EXPECT(num(vault.sharesTotal()) == Number(0));
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}
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void
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testLossOnlyVault()
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{
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testcase("Vault with lossUnrealized only (no interestUnrealized)");
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Issue const usd{Currency(0x5553440000000000), AccountID(0x4985601)};
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Vault vault{usd, 0};
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vault.deposit(STAmount{usd, 1000});
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vault.setLossUnrealized(Number(200));
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// Deposit NAV = 1000 - 0 = 1000 (loss doesn't affect deposit)
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auto const [depShares, depAssets] = vault.deposit(STAmount{usd, 100});
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BEAST_EXPECT(num(depShares) == Number(100));
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// Withdrawal NAV = 1100 - 0 - 200 = 900 (total is now 1100)
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// Redeem 100 shares: assets = 100 * 900 / 1100 ≈ 81.818...
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auto const redeemAssets =
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vault.redeem(STAmount{vault.shareAsset(), 100});
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// 100 * 900 / 1100 = 81.8181...
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// Compare as STAmount to account for IOU normalization
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Number const expected = (Number(100) * Number(900)) / Number(1100);
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STAmount const expectedAmt(usd, expected);
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BEAST_EXPECT(redeemAssets == expectedAmt);
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}
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void
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testMultipleDepositorsIOU()
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||||
{
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testcase("Multiple depositors with yield (IOU)");
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||||
Issue const usd{Currency(0x5553440000000000), AccountID(0x4985601)};
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Vault vault{usd};
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// User A deposits 100
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auto const [sharesA, assetsA] = vault.deposit(STAmount{usd, 100});
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BEAST_EXPECT(num(sharesA) == Number(100'000'000));
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// Protocol earns 10 in realized interest (assetsTotal goes up)
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// Simulate by: a protocol repays 10, increasing assetsTotal
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// We don't have a direct setter for assetsTotal, but we can
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||||
// approximate this scenario through the pricing mechanism.
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// Instead, let's verify through deposit pricing.
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// User B deposits 100 at the same rate (no yield yet)
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auto const [sharesB, assetsB] = vault.deposit(STAmount{usd, 100});
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BEAST_EXPECT(num(sharesB) == Number(100'000'000));
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BEAST_EXPECT(num(vault.assetsTotal()) == Number(200));
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BEAST_EXPECT(num(vault.sharesTotal()) == Number(200'000'000));
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||||
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||||
// Both redeem: should get back 100 each
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auto const outA =
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vault.redeem(STAmount{vault.shareAsset(), 100'000'000});
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BEAST_EXPECT(num(outA) == Number(100));
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||||
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||||
auto const outB =
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vault.redeem(STAmount{vault.shareAsset(), 100'000'000});
|
||||
BEAST_EXPECT(num(outB) == Number(100));
|
||||
|
||||
BEAST_EXPECT(num(vault.assetsTotal()) == Number(0));
|
||||
BEAST_EXPECT(num(vault.sharesTotal()) == Number(0));
|
||||
}
|
||||
|
||||
void
|
||||
testXRPFullCycle()
|
||||
{
|
||||
testcase("XRP full cycle: deposit, withdraw, redeem");
|
||||
|
||||
Vault vault{xrpIssue()};
|
||||
|
||||
// Deposit 10 XRP = 10M drops
|
||||
auto const [shares1, assets1] =
|
||||
vault.deposit(STAmount{xrpIssue(), 10'000'000});
|
||||
BEAST_EXPECT(num(shares1) == Number(10'000'000));
|
||||
|
||||
// Withdraw 5M drops
|
||||
auto const [wShares, wAssets] =
|
||||
vault.withdraw(STAmount{xrpIssue(), 5'000'000});
|
||||
BEAST_EXPECT(num(wShares) == Number(5'000'000));
|
||||
BEAST_EXPECT(num(wAssets) == Number(5'000'000));
|
||||
|
||||
// Redeem remaining 5M shares
|
||||
auto const rAssets =
|
||||
vault.redeem(STAmount{vault.shareAsset(), 5'000'000});
|
||||
BEAST_EXPECT(num(rAssets) == Number(5'000'000));
|
||||
BEAST_EXPECT(num(vault.assetsTotal()) == Number(0));
|
||||
}
|
||||
|
||||
void
|
||||
testMPTFullCycle()
|
||||
{
|
||||
testcase("MPT full cycle: deposit, withdraw, redeem");
|
||||
|
||||
MPTIssue const mptAsset{makeMptID(200, AccountID(0x5678))};
|
||||
Vault vault{mptAsset};
|
||||
|
||||
auto const [shares1, assets1] = vault.deposit(STAmount{mptAsset, 1000});
|
||||
BEAST_EXPECT(num(shares1) == Number(1000));
|
||||
|
||||
auto const [wShares, wAssets] =
|
||||
vault.withdraw(STAmount{mptAsset, 400});
|
||||
BEAST_EXPECT(num(wShares) == Number(400));
|
||||
|
||||
auto const rAssets =
|
||||
vault.redeem(STAmount{vault.shareAsset(), 600});
|
||||
BEAST_EXPECT(num(rAssets) == Number(600));
|
||||
BEAST_EXPECT(num(vault.assetsTotal()) == Number(0));
|
||||
}
|
||||
|
||||
void
|
||||
run() override
|
||||
{
|
||||
testInitialDepositIOU();
|
||||
testInitialDepositXRP();
|
||||
testInitialDepositMPT();
|
||||
testSubsequentDeposit();
|
||||
testRedeemBasic();
|
||||
testWithdrawBasic();
|
||||
testAsymmetricDepositWithInterest();
|
||||
testAsymmetricWithdrawWithLoss();
|
||||
testSpecExample();
|
||||
testDepositRoundingDown();
|
||||
testWithdrawRoundingNearest();
|
||||
testRedeemAll();
|
||||
testLossOnlyVault();
|
||||
testMultipleDepositorsIOU();
|
||||
testXRPFullCycle();
|
||||
testMPTFullCycle();
|
||||
}
|
||||
};
|
||||
|
||||
BEAST_DEFINE_TESTSUITE(VaultSharePricing, basics, xrpl);
|
||||
|
||||
} // namespace xrpl
|
||||
Reference in New Issue
Block a user