Leverage Index

Test

Install dependencies

yarn install

Run scenario testing

yarn run test:scenarios

How it works

Issue

The collateral cost I required to issue a quantity q of SetToken is proportional to q.
The cost of issuing per unit of SetToken is dependent on the current leverage state L of SetToken and the current price p of the collateral asset vs the borrow asset.

m_i = (L_i(1-p_i-1/p_i) - p_i-1/p_i) * m_i-1

I = m_i * q

Where m is issuing multiplier factor.

Redeem

Redemption R is reflecting the net asset value of the SetToken which equals to the difference between debt and collateral.

R = (C - D) * q / T_s

Where T_s is total supply of SetToken

Rebalance

Rebalacing is achieved by a sequence of leverages or deleverages according to the current state of SetToken.
Example
- Suppose at first we have 1 WETH = 1000 DAI
- Having SetToken with Collateral of 3 WETH vs Debt of 2 WETH per unit.
- Leverage = 3 / (3-2) = 3
- Price jumped: 1 WETH = 1600 DAI
- Hence Collateral = 3 WETH vs Debt = 1.25 WETH
- Need to borrow 3600 DAI = 2.25 WETH in order to end up with Leverage = 5.25 / (5.25 3.5) = 3.
- To achieve that need to call:

lever(_setToken, dai, weth, 2.25*10**18, 2.2*10**18, "UNISWAP", "0x" )

Doc

Lev3x Issuance

issue

Deposits stable asset (e.g. usdc) to the index and mints quantity of the index leverage token. Amount of asset to be received is proportional to quantity.

function issue( ISetToken _setToken, uint256 _quantity, address _to, uint256 _maxEquityCost ) external

_setToken Instance of the SetToken to issue
_quantity Quantity of SetToken to issue
_to Address to mint SetToken to
_maxEquityCost Slippage

redeem

Returns components from the SetToken, unwinds any external module component positions and burns the SetToken. If the token has debt positions, the module transfers the equity after deducting the debt amount for the user. redeemed_equity_per_index = (collateral - debt) * quantity / index_total_supply

function redeem(ISetToken _setToken, uint256 _quantity, address _to, uint256 _minEquityReceived ) external

_setToken Instance of the SetToken to redeem
_quantity Quantity of SetToken to redeem (be burnt)
_to Address to send collateral to
_minEquityReceived For slippage (protect from sandwich attacks). Minimum amount of collateral asset to receive.

calculateEquityIssuanceCost

Calculates the amount of collateral asset needed to collateralize passed issue quantity of Sets that will be returned to caller. Can also be used to determine how much collateral will be returned on redemption. It calculates the total amount required of collateral asset for a given setToken quantity.

function calculateEquityIssuanceCost( ISetToken _setToken, uint256 _quantity, bool _isIssue ) external view

_setToken Instance of the SetToken to issue
_quantity Amount of Sets to be issued/redeemed
_isIssue Whether Sets are being issued or redeemed
_equityCost equity notional amounts of component, represented as uint256

Lev3x Aave Leverage

lever

MANAGER ONLY: Increases leverage for a given base (collateral) token using an enabled borrow asset (e.g. usdc in bull case). Borrows _borrowAsset from Aave. Performs a DEX trade, exchanging the _borrowAsset for _collateralAsset. Deposits _collateralAsset to Aave and mints corresponding aToken. Note: Both collateral and borrow assets need to be enabled, and they must not be the same asset. Do this on Initialize. Note: example:

lever(
     index.address,
     usdc.address,     // borrow asset
     weth.address,     // collateral asset 
     ether(800),       // quantityUnit = totalQuantityToBorrow/totalSupplyOfIndex
     ether(0.75),      // minQuantityUnit = totalQuantityToReceiveSwap/totalSupplyOfIndex
     "UNISWAP",
     "0x"
);

function lever(
    ISetToken _setToken,
    IERC20 _borrowAsset,
    IERC20 _collateralAsset,
    uint256 _borrowQuantityUnits,
    uint256 _minReceiveQuantityUnits,
    string memory _tradeAdapterName,
    bytes memory _tradeData
) external

_setToken Instance of the SetToken
_borrowAsset Address of underlying asset being borrowed for leverage
_collateralAsset Address of underlying collateral asset
_borrowQuantityUnits Borrow quantity of asset in position units
_minReceiveQuantityUnits Min receive quantity of collateral asset to receive post-trade in position units
_tradeAdapterName Name of trade adapter
_tradeData Arbitrary data for trade

delever

MANAGER ONLY: Decrease leverage for a given collateral (base) token using an enabled borrow asset. Withdraws _collateralAsset from Aave. Performs a DEX trade, exchanging the _collateralAsset for _repayAsset (i.e. borrowAsset). Repays _repayAsset to Aave and decreases leverage of index accordingly.

Note: Both collateral and borrow assets need to be enabled, and they must not be the same asset. Do this on initialize.

function delever(
    ISetToken _setToken,
    IERC20 _collateralAsset,
    IERC20 _repayAsset,
    uint256 _redeemQuantityUnits,
    uint256 _minRepayQuantityUnits,
    string memory _tradeAdapterName,
    bytes memory _tradeData
) external

_setToken Instance of the SetToken
_collateralAsset Address of underlying collateral asset being withdrawn
_repayAsset Address of underlying borrowed asset being repaid
_redeemQuantityUnits Quantity of collateral asset to delever in position units
_minRepayQuantityUnits Minimum amount of repay asset to receive post trade in position units
_tradeAdapterName Name of trade adapter
_tradeData Arbitrary data for trade

autoLever

AUTHORIZED CALLER (BOT) ONLY: Increases leverage for a given base (collateral) token using an enabled borrow asset (e.g. usdc in bull case). Borrows _borrowAsset from Aave. Performs a DEX trade, exchanging the _borrowAsset for _collateralAsset. Deposits _collateralAsset to Aave and mints corresponding aToken.

Note: Both collateral and borrow assets need to be enabled, and they must not be the same asset. Do this on Initialize.

function autoLever(
    ISetToken _setToken,
    IERC20 _borrowAsset,
    IERC20 _collateralAsset,
    uint256 _borrowQuantityUnits,
    uint256 _minReceiveQuantityUnits,
    string memory _tradeAdapterName,
    bytes memory _tradeData
) external

_setToken Instance of the SetToken
_borrowAsset Address of underlying asset being borrowed for leverage
_collateralAsset Address of underlying collateral asset
_borrowQuantityUnits Borrow quantity of asset in position units
_minReceiveQuantityUnits Min receive quantity of collateral asset to receive post-trade in position units
_tradeAdapterName Name of trade adapter
_tradeData Arbitrary data for trade

autoLever

AUTHORIZED CALLER (BOT) ONLY: Decrease leverage for a given collateral (base) token using an enabled borrow asset. Withdraws _collateralAsset from Aave. Performs a DEX trade, exchanging the _collateralAsset for _repayAsset (i.e. borrowAsset). Repays _repayAsset to Aave and decreases leverage of index accordingly. Note: Both collateral and borrow assets need to be enabled, and they must not be the same asset. Do this on initialize.

Note: This is CRITICAL to be called if position health factor becomes low.

function autoDelever(
    ISetToken _setToken,
    IERC20 _collateralAsset,
    IERC20 _repayAsset,
    uint256 _redeemQuantityUnits,
    uint256 _minRepayQuantityUnits,
    string memory _tradeAdapterName,
    bytes memory _tradeData
)    external

_setToken Instance of the SetToken
_collateralAsset Address of underlying collateral asset being withdrawn
_repayAsset Address of underlying borrowed asset being repaid
_redeemQuantityUnits Quantity of collateral asset to delever in position units
_minRepayQuantityUnits Minimum amount of repay asset to receive post trade in position units
_tradeAdapterName Name of trade adapter
_tradeData Arbitrary data for trade

initialize

MANAGER ONLY: Initializes this module to the SetToken. Either the SetToken needs to be on the allowed list or anySetAllowed needs to be true. Only callable by the SetToken's manager.

Note: Managers can enable collateral and borrow assets that don't exist as positions on the SetToken

function initialize(
    ISetToken _setToken,
    IERC20 _collateralAssets,
    IERC20 _borrowAssets
) external

_setToken Instance of the SetToken to initialize
_collateralAssets Underlying tokens to be enabled as collateral in the SetToken
_borrowAssets Underlying tokens to be enabled as borrow in the SetToken

registerToModule

MANAGER ONLY: Add registration of this module on the debt issuance module for the SetToken.

Note: if the debt issuance module is not added to SetToken before this module is initialized, then this function needs to be called if the debt issuance module is later added and initialized to prevent state inconsistencies

function registerToModule(ISetToken _setToken, IDebtIssuanceModule _debtIssuanceModule) external

_setToken Instance of the SetToken
_debtIssuanceModule Debt issuance module address to register

updateAllowedSetToken

GOVERNANCE ONLY: Enable/disable ability of a SetToken to initialize this module. Only callable by governance.

function updateAllowedSetToken(ISetToken _setToken, bool _status) external

_setToken Instance of the SetToken
_status Bool indicating if _setToken is allowed to initialize this module

updateAnySetAllowed

GOVERNANCE ONLY: Toggle whether ANY SetToken is allowed to initialize this module. Only callable by governance.

function updateAnySetAllowed(bool _anySetAllowed) external

_anySetAllowed Bool indicating if ANY SetToken is allowed to initialize this module

anbang / Zoo-Leverage-Token-Bear-Bull

Leverage Index

Test

How it works

Issue

Redeem

Rebalance

Doc

Lev3x Issuance

issue

redeem

calculateEquityIssuanceCost

Lev3x Aave Leverage

lever

delever

autoLever

autoLever

initialize

registerToModule

updateAllowedSetToken

updateAnySetAllowed

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