fix: integrate call spread contract with Oracle API. #1928
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Chris-Hibbert
requested review from
dtribble,
erights,
katelynsills and
michaelfig
michaelfig
reviewed
Oct 27, 2020
Comment on lines
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| E(terms.priceAuthority) | ||
| .priceAtTime( | ||
| terms.timer, | ||
| terms.expiration, | ||
| terms.underlyingAmount, | ||
| strikeBrand, | ||
| ) | ||
| .then(quoteIssuer.getAmountOf) |
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Suggested change
| E(terms.priceAuthority) | |
| .priceAtTime( | |
| terms.timer, | |
| terms.expiration, | |
| terms.underlyingAmount, | |
| strikeBrand, | |
| ) | |
| .then(quoteIssuer.getAmountOf) | |
| E(quoteIssuer).getAmountOf(E(terms.priceAuthority) | |
| .priceAtTime( | |
| terms.timer, | |
| terms.expiration, | |
| terms.underlyingAmount, | |
| strikeBrand, | |
| )) |
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Can we use the quoteAmount part of the { quoteAmount, quotePayment } that we discussed this morning so we don't have to do getAmountOf?
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And also then we don't need to know about quoteIssuer so we can drop that
katelynsills
suggested changes
Oct 28, 2020
| maths: { Collateral: collateralMath, Strike: strikeMath }, | ||
| maths: { Collateral: collateralMath, Strike: strikeMath, Quote: quoteMath }, | ||
| brands: { Strike: strikeBrand }, | ||
| issuers: { Quote: quoteIssuer }, |
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Does this contract need to use the quoteIssuer?
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Not any more.
| function payoffOptions(price) { | ||
| // either offer might be exercised late, so we pay the two seats separately. | ||
| function payoffOptions(priceQuoteAmount) { | ||
| const { Price: price } = quoteMath.getValue(priceQuoteAmount)[0]; |
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I think price is already lower case
Comment on lines
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to
+154
| E(terms.priceAuthority) | ||
| .priceAtTime( | ||
| terms.timer, | ||
| terms.expiration, | ||
| terms.underlyingAmount, | ||
| strikeBrand, | ||
| ) | ||
| .then(quoteIssuer.getAmountOf) |
There was a problem hiding this comment.
Can we use the quoteAmount part of the { quoteAmount, quotePayment } that we discussed this morning so we don't have to do getAmountOf?
Comment on lines
+147
to
+154
| E(terms.priceAuthority) | ||
| .priceAtTime( | ||
| terms.timer, | ||
| terms.expiration, | ||
| terms.underlyingAmount, | ||
| strikeBrand, | ||
| ) | ||
| .then(quoteIssuer.getAmountOf) |
There was a problem hiding this comment.
And also then we don't need to know about quoteIssuer so we can drop that
Comment on lines
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| function getRecentPrice(timer, desiredPriceBrand, underlyingAmount) { | ||
| const underlyingValue = underlyingAmountMath.getValue(underlyingAmount); | ||
| return E(timer) | ||
| .getCurrentTimestamp() | ||
| .then(now => { | ||
| const price = priceFromSchedule(now); | ||
| const strikePrice = strikeAmountMath.make(price * underlyingValue); | ||
| return quoteMint.mintPayment( | ||
| quote.make( | ||
| harden([ | ||
| { | ||
| Asset: underlyingAmount, | ||
| Price: strikePrice, | ||
| timer, | ||
| timestamp: now, | ||
| }, | ||
| ]), | ||
| ), | ||
| ); | ||
| }); | ||
| } | ||
|
|
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Why define getRecentPrice when you only need priceAtTime to test?
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I simplified the helper function.
|
I'm going to merge this into the base PR and address comments once rather than try to keep 2 PRs synced. |
sounds good! |
Chris-Hibbert
commented
Oct 28, 2020
| function payoffOptions(price) { | ||
| // either offer might be exercised late, so we pay the two seats separately. | ||
| function payoffOptions(priceQuoteAmount) { | ||
| const { Price: price } = quoteMath.getValue(priceQuoteAmount)[0]; |
Comment on lines
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| function getRecentPrice(timer, desiredPriceBrand, underlyingAmount) { | ||
| const underlyingValue = underlyingAmountMath.getValue(underlyingAmount); | ||
| return E(timer) | ||
| .getCurrentTimestamp() | ||
| .then(now => { | ||
| const price = priceFromSchedule(now); | ||
| const strikePrice = strikeAmountMath.make(price * underlyingValue); | ||
| return quoteMint.mintPayment( | ||
| quote.make( | ||
| harden([ | ||
| { | ||
| Asset: underlyingAmount, | ||
| Price: strikePrice, | ||
| timer, | ||
| timestamp: now, | ||
| }, | ||
| ]), | ||
| ), | ||
| ); | ||
| }); | ||
| } | ||
|
|
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I simplified the helper function.
| maths: { Collateral: collateralMath, Strike: strikeMath }, | ||
| maths: { Collateral: collateralMath, Strike: strikeMath, Quote: quoteMath }, | ||
| brands: { Strike: strikeBrand }, | ||
| issuers: { Quote: quoteIssuer }, |
There was a problem hiding this comment.
Not any more.
Chris-Hibbert
added a commit
that referenced
this pull request
Oct 29, 2020
* feat: a call spread option contract and tests.
Implementation of a fully collateralized call spread option, following Joe
Clark's description. This is a combination of a bought call option and a sold
call option at a higher strike price. The contracts are sold in pairs, and the
buyers of the two positions together invest the entire amount that will be
paid out.
This option is settled financially. Neither party is expected to have
ownership of the underlying asset at the start, and neither expects to take
delivery at closing.
zoe.startInstance() takes an issuerKeywordRecord that specifies the issuers
for the keywords Underlying, Strike, and Collateral. The payout uses
Collateral. The price oracle quotes the value of the Underlying in the same
units as the Strike prices.
creatorFacet has a method makeInvitationPair(), that takes terms
that specifies { expiration, underlyingAmount, priceAuthority, strikePrice1,
strikePrice2, settlementAmount, buyPercent }.
ownerFacet.makeInvitationPair() returns two invitations, which can be sold
separately. They settle when the priceAuthority announces the settlement amout
as of it's pre-programmed closing time.
closes: #1829
* fix: integrate call spread contract with Oracle API. (#1928)
* chore: cleanups from review
This includes changes from the base PR and the separate PR for the
updates to the oracle API.
* chore: more review clean-ups
extract calculation for testing purposes.
save the invitationIssuer as an issuer in the contract
exit contract when done.
use trade() rathern than reallocate()
some renaming
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