rysk-finance / dynamic-hedging

Options delta neutrality as a crypto native uncorrelated asset class

Dynamic hedging

Options delta neutrality as a crypto native uncorrelated asset class and the best option trading experience

Getting Started

To get a local copy up and running follow these simple steps.

Prerequisites

At Rysk, we use Yarn for package management with Yarn workspaces. To get started with Yarn if you haven't installed it yet, you can run:

npm install --global yarn

We use jq for formatting JSON files from the command line. To install it, you might have to run:

For linux:

$ sudo apt-get install jq

For macOS:

$ brew install jq

Installation

1. Clone the repo

   git clone

2. Install packages

   yarn

3. Add environment variables

   You will need to create free API keys for Alchemy and Infura. You can then:

   • Create /packages/contracts/.env
   • Add ALCHEMY=<your-alchemy-key>
   • Create /packages/front-end/.env
   • Add REACT_APP_INFURA_KEY=<your-infura-key>

4. Compile contracts

   yarn workspace contracts compile

5. Deploy contracts and update ABIs + address

   yarn workspace contracts deploy:localhost

6. Start the front end

   yarn workspace front-end start

   It will become accessible on http://localhost:3000

Usage examples

Testing Contracts

Complete steps 1 to 3 from the installation section and then:

1. Compile all files

   yarn workspace contracts compile

2. Run all tests

   yarn workspace contracts test

   To run a specific test suite, e.g. LiquidityPool.ts

   yarn workspace contracts test test/LiquidityPool.ts

   Run test coverage

   yarn workspace contracts test-coverage

Run foundry fuzzing

1. Follow instructions on template
2. In the pipenv environment run forge test --ffi --vvv

Contract Architecture

Contract layout

contracts
├── hedging
│   ├── GMXHedgingReactor.sol
│   ├── PerpHedgingReactor.sol
│   └── UniswapV3HedgingReactor.sol
├── interfaces
│   ├── AddressBookInterface.sol
│   ├── IAuthority.sol
│   ├── AggregatorV3Interface.sol
│   ├── GammaInterface.sol
│   ├── IERC20.sol
│   ├── IOptionRegistry.sol
│   ├── ILiquidityPool.sol
│   ├── IHedgingReactor.sol
│   ├── IMarginCalculator.sol
│   └── IOracle.sol
├── libraries
│   ├── BlackScholes.sol
│   ├── CustomErrors.sol
│   ├── NormalDist.sol
│   ├── OptionsCompute.sol
│   ├── OpynInteractions.sol
│   ├── AccessControl.sol
│   ├── RyskActions.sol
│   ├── CombinedActions.sol
│   ├── EnumerableSet.sol
│   ├── SABR.sol
│   ├── SafeTransferLib.sol
│   └── Types.sol
├── tokens
│   └── ERC20.sol
├── Accounting.sol
├── AlphaOptionHandler.sol
├── Authority.sol
├── BeyondPricer.sol
├── LiquidityPool.sol
├── OptionRegistry.sol
├── OptionExchange.sol
├── OptionCatalogue.sol
├── Protocol.sol
├── PortfolioValuesFeed.sol
├── VolatilityFeed.sol
└── PriceFeed.sol