feat: add 208 tests and 4 deep-dive notebooks for new modules
Tests cover risk_tranching (54), conviction (54), crosschain (54), and cadCAD integration (46). All 558 tests pass. Notebooks provide interactive explorations of risk tranches, cross-chain simulation, conviction governance, and cadCAD Monte Carlo analysis. Includes parameter sweep results (405 sims). Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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{
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"nbformat": 4,
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"nbformat_minor": 4,
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"metadata": {
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"kernelspec": {
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"display_name": "Python 3",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"name": "python",
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"version": "3.11.0"
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}
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},
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"cells": [
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"# Risk Tranche System\n",
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"\n",
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"Explores the three-tranche risk layering system in MycoFi:\n",
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"\n",
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"- **myUSD-S (Senior)**: Lowest risk, first collateral claim, 3% APY target\n",
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"- **myUSD-M (Mezzanine)**: Medium risk, second claim, 8% APY target\n",
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"- **$MYCO (Junior/Equity)**: Highest risk, residual claim, absorbs volatility\n",
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"\n",
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"Yield waterfall: staking rewards flow Senior → Mezzanine → Junior.\n",
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"Loss waterfall: losses absorbed Junior → Mezzanine → Senior."
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"import numpy as np\n",
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"import matplotlib.pyplot as plt\n",
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"import matplotlib.patches as mpatches\n",
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"import sys\n",
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"import os\n",
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"\n",
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"sys.path.insert(0, os.path.abspath('..'))\n",
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"\n",
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"%matplotlib inline\n",
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"plt.rcParams['figure.figsize'] = (14, 5)\n",
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"plt.rcParams['figure.dpi'] = 100"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 1. System Setup\n",
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"\n",
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"Create a `TrancheParams` and `RiskTrancheSystem`, deposit \\$1M collateral, then mint all three tranches."
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"from src.primitives.risk_tranching import (\n",
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" TrancheParams,\n",
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" RiskTrancheSystem,\n",
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" TrancheState,\n",
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" deposit_collateral,\n",
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" mint_tranche,\n",
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" mint_capacity,\n",
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" distribute_yield,\n",
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" apply_loss,\n",
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" check_liquidation,\n",
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" get_tranche_metrics,\n",
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")\n",
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"\n",
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"# Instantiate system\n",
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"params = TrancheParams(\n",
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" senior_collateral_ratio=1.5,\n",
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" mezzanine_collateral_ratio=1.2,\n",
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" senior_yield_target=0.03,\n",
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" mezzanine_yield_target=0.08,\n",
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" max_senior_fraction=0.50,\n",
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" max_mezzanine_fraction=0.30,\n",
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")\n",
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"\n",
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"from dataclasses import field\n",
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"\n",
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"system = RiskTrancheSystem(\n",
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" params=params,\n",
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" senior=TrancheState(name=\"myUSD-S\"),\n",
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" mezzanine=TrancheState(name=\"myUSD-M\"),\n",
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" junior=TrancheState(name=\"$MYCO\"),\n",
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")\n",
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"\n",
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"# Deposit $1M collateral\n",
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"system = deposit_collateral(system, 1_000_000.0)\n",
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"print(f\"Total collateral after deposit: ${system.total_collateral:,.0f}\")\n",
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"\n",
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"# Check mint capacity\n",
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"caps = mint_capacity(system)\n",
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"print(f\"\\nMint capacity:\")\n",
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"for tranche, cap in caps.items():\n",
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" print(f\" {tranche:12s}: ${cap:,.0f}\")"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"# Mint all three tranches\n",
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"system, senior_minted = mint_tranche(system, \"senior\", 300_000.0)\n",
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"system, mez_minted = mint_tranche(system, \"mezzanine\", 150_000.0)\n",
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"system, junior_minted = mint_tranche(system, \"junior\", 100_000.0)\n",
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"\n",
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"print(f\"Minted:\")\n",
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"print(f\" myUSD-S (Senior): ${senior_minted:>12,.0f}\")\n",
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"print(f\" myUSD-M (Mezzanine): ${mez_minted:>12,.0f}\")\n",
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"print(f\" $MYCO (Junior): ${junior_minted:>12,.0f}\")\n",
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"\n",
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"metrics = get_tranche_metrics(system)\n",
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"print(f\"\\nSystem collateral ratio: {metrics['system_cr']:.3f}\")\n",
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"print(f\"Senior CR: {metrics['senior']['cr']:.3f}\")\n",
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"print(f\"Mezzanine CR: {metrics['mezzanine']['cr']:.3f}\")\n",
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"print(f\"Junior CR: {metrics['junior']['cr']:.3f}\")"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 2. 365-Day Yield Simulation\n",
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"\n",
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"Simulate 365 daily steps with a 4% staking APY applied to total collateral.\n",
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"Record tranche supplies, collateral ratios, and cumulative yield at each step."
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"import copy\n",
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"\n",
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"DAYS = 365\n",
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"DT = 1.0 / 365 # One day in years\n",
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"STAKING_APY = 0.04 # 4% annual staking yield\n",
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"\n",
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"# Snapshot function\n",
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"def snapshot(sys, day):\n",
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" m = get_tranche_metrics(sys)\n",
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" return {\n",
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" \"day\": day,\n",
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" \"total_collateral\": sys.total_collateral,\n",
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" \"system_cr\": m[\"system_cr\"],\n",
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" \"senior_supply\": m[\"senior\"][\"supply\"],\n",
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" \"senior_cr\": m[\"senior\"][\"cr\"],\n",
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" \"senior_yield\": m[\"senior\"][\"yield\"],\n",
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" \"mez_supply\": m[\"mezzanine\"][\"supply\"],\n",
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" \"mez_cr\": m[\"mezzanine\"][\"cr\"],\n",
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" \"mez_yield\": m[\"mezzanine\"][\"yield\"],\n",
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" \"junior_supply\": m[\"junior\"][\"supply\"],\n",
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" \"junior_cr\": m[\"junior\"][\"cr\"],\n",
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" \"junior_yield\": m[\"junior\"][\"yield\"],\n",
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" }\n",
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"\n",
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"# Deep-copy system so we can reuse the initial state for the stress test\n",
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"sim_system = copy.deepcopy(system)\n",
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"history = [snapshot(sim_system, 0)]\n",
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"\n",
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"for day in range(1, DAYS + 1):\n",
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" daily_yield = sim_system.total_collateral * STAKING_APY * DT\n",
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" sim_system = distribute_yield(sim_system, daily_yield, DT)\n",
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" history.append(snapshot(sim_system, day))\n",
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"\n",
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"days = [h[\"day\"] for h in history]\n",
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"senior_sup = [h[\"senior_supply\"] for h in history]\n",
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"mez_sup = [h[\"mez_supply\"] for h in history]\n",
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"junior_sup = [h[\"junior_supply\"] for h in history]\n",
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"senior_cr = [h[\"senior_cr\"] for h in history]\n",
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"mez_cr = [h[\"mez_cr\"] for h in history]\n",
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"junior_cr = [h[\"junior_cr\"] for h in history]\n",
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"system_cr = [h[\"system_cr\"] for h in history]\n",
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"senior_yield = [h[\"senior_yield\"] for h in history]\n",
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"mez_yield = [h[\"mez_yield\"] for h in history]\n",
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"junior_yield = [h[\"junior_yield\"] for h in history]\n",
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"\n",
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"print(f\"Final day 365 cumulative yield:\")\n",
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"print(f\" Senior: ${senior_yield[-1]:>12,.0f}\")\n",
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"print(f\" Mezzanine: ${mez_yield[-1]:>12,.0f}\")\n",
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"print(f\" Junior: ${junior_yield[-1]:>12,.0f}\")"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 3. Visualizations — Normal Operation"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"fig, axes = plt.subplots(1, 3, figsize=(18, 5))\n",
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"\n",
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"# --- Plot 1: Tranche supplies over time ---\n",
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"ax = axes[0]\n",
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"ax.stackplot(days, senior_sup, mez_sup, junior_sup,\n",
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" labels=['myUSD-S (Senior)', 'myUSD-M (Mezzanine)', '$MYCO (Junior)'],\n",
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" colors=['#2ecc71', '#f39c12', '#e74c3c'], alpha=0.8)\n",
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"ax.set_xlabel('Day')\n",
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"ax.set_ylabel('Token Supply ($)')\n",
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"ax.set_title('Tranche Supplies Over Time')\n",
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"ax.legend(loc='upper left', fontsize=8)\n",
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"ax.yaxis.set_major_formatter(plt.FuncFormatter(lambda x, _: f'${x/1e6:.2f}M'))\n",
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"\n",
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"# --- Plot 2: Collateral ratios ---\n",
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"ax = axes[1]\n",
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"ax.plot(days, senior_cr, color='#2ecc71', label='Senior CR')\n",
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"ax.plot(days, mez_cr, color='#f39c12', label='Mezzanine CR')\n",
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"ax.plot(days, junior_cr, color='#e74c3c', label='Junior CR')\n",
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"ax.plot(days, system_cr, color='#3498db', linestyle='--', label='System CR')\n",
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"ax.axhline(1.5, color='#2ecc71', linestyle=':', alpha=0.5, label='Senior min CR')\n",
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"ax.axhline(1.2, color='#f39c12', linestyle=':', alpha=0.5, label='Mezzanine min CR')\n",
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"ax.set_xlabel('Day')\n",
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"ax.set_ylabel('Collateral Ratio')\n",
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"ax.set_title('Collateral Ratios by Tranche')\n",
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"ax.legend(fontsize=7)\n",
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"\n",
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"# --- Plot 3: Cumulative yield waterfall ---\n",
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"ax = axes[2]\n",
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"ax.stackplot(days, senior_yield, mez_yield, junior_yield,\n",
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" labels=['Senior yield', 'Mezzanine yield', 'Junior yield'],\n",
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" colors=['#2ecc71', '#f39c12', '#e74c3c'], alpha=0.8)\n",
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"ax.set_xlabel('Day')\n",
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"ax.set_ylabel('Cumulative Yield ($)')\n",
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"ax.set_title('Cumulative Yield Waterfall')\n",
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"ax.legend(loc='upper left', fontsize=8)\n",
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"ax.yaxis.set_major_formatter(plt.FuncFormatter(lambda x, _: f'${x/1e3:.1f}K'))\n",
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"\n",
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"plt.tight_layout()\n",
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"plt.show()"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 4. Stress Test — 40% Collateral Loss at Day 180\n",
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"\n",
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"At day 180 we simulate a sudden 40% drop in collateral value (e.g. correlated LST slashing or depeg).\n",
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"The loss waterfall means Junior absorbs first, then Mezzanine, then Senior as a last resort."
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"STRESS_DAY = 180\n",
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"LOSS_FRACTION = 0.40\n",
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"\n",
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"stress_system = copy.deepcopy(system) # Start fresh from initial mint\n",
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"stress_history = [snapshot(stress_system, 0)]\n",
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"\n",
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"for day in range(1, DAYS + 1):\n",
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" # Apply daily staking yield\n",
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" daily_yield = stress_system.total_collateral * STAKING_APY * DT\n",
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" stress_system = distribute_yield(stress_system, daily_yield, DT)\n",
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"\n",
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" # Apply 40% loss at day 180\n",
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" if day == STRESS_DAY:\n",
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" loss = stress_system.total_collateral * LOSS_FRACTION\n",
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" stress_system = apply_loss(stress_system, loss)\n",
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" print(f\"Day {day}: Applied ${loss:,.0f} loss ({LOSS_FRACTION*100:.0f}% of collateral)\")\n",
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" liq = check_liquidation(stress_system)\n",
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" print(f\" Liquidation flags: {liq}\")\n",
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" m = get_tranche_metrics(stress_system)\n",
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" print(f\" Junior cumulative losses: ${m['junior']['losses']:,.0f}\")\n",
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" print(f\" Mezzanine cumulative losses: ${m['mezzanine']['losses']:,.0f}\")\n",
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" print(f\" Senior cumulative losses: ${m['senior']['losses']:,.0f}\")\n",
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"\n",
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" stress_history.append(snapshot(stress_system, day))\n",
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"\n",
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"s_days = [h[\"day\"] for h in stress_history]\n",
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"s_senior_cr = [h[\"senior_cr\"] for h in stress_history]\n",
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"s_mez_cr = [h[\"mez_cr\"] for h in stress_history]\n",
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"s_junior_cr = [h[\"junior_cr\"] for h in stress_history]\n",
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"s_system_cr = [h[\"system_cr\"] for h in stress_history]\n",
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"s_total_col = [h[\"total_collateral\"] for h in stress_history]"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"fig, axes = plt.subplots(1, 2, figsize=(16, 6))\n",
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"\n",
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"# --- Plot 1: Collateral ratios under stress ---\n",
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"ax = axes[0]\n",
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"ax.plot(s_days, s_senior_cr, color='#2ecc71', linewidth=2, label='Senior CR')\n",
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"ax.plot(s_days, s_mez_cr, color='#f39c12', linewidth=2, label='Mezzanine CR')\n",
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"ax.plot(s_days, s_junior_cr, color='#e74c3c', linewidth=2, label='Junior CR')\n",
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"ax.plot(s_days, s_system_cr, color='#3498db', linestyle='--', linewidth=1.5, label='System CR')\n",
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"ax.axvline(STRESS_DAY, color='black', linestyle='--', alpha=0.7, label=f'Loss event (day {STRESS_DAY})')\n",
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"ax.axhline(1.0, color='gray', linestyle=':', alpha=0.5, label='CR = 1.0 (par)')\n",
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"ax.set_xlabel('Day')\n",
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"ax.set_ylabel('Collateral Ratio')\n",
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"ax.set_title(f'Collateral Ratios — 40% Loss at Day {STRESS_DAY}')\n",
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"ax.legend(fontsize=8)\n",
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"ax.set_xlim(0, DAYS)\n",
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"\n",
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"# --- Plot 2: Total collateral and loss absorption breakdown ---\n",
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"ax = axes[1]\n",
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"ax.fill_between(s_days, 0, s_total_col, color='#3498db', alpha=0.4, label='Total Collateral')\n",
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"ax.plot(s_days, s_total_col, color='#3498db', linewidth=2)\n",
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"\n",
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"# Overlay the loss waterfall at the shock event\n",
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"shock_day_idx = STRESS_DAY\n",
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"m_before = get_tranche_metrics(copy.deepcopy(stress_system))\n",
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"stress_snap = stress_history[STRESS_DAY]\n",
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"\n",
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"ax.axvline(STRESS_DAY, color='black', linestyle='--', alpha=0.7, label=f'Shock (day {STRESS_DAY})')\n",
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"ax.set_xlabel('Day')\n",
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"ax.set_ylabel('Total Collateral ($)')\n",
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"ax.set_title('Total Collateral Value Under Stress')\n",
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"ax.legend(fontsize=8)\n",
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"ax.yaxis.set_major_formatter(plt.FuncFormatter(lambda x, _: f'${x/1e6:.2f}M'))\n",
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"ax.set_xlim(0, DAYS)\n",
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"\n",
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"plt.tight_layout()\n",
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"plt.show()"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 5. Loss Absorption Bar Chart\n",
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"\n",
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"Compare the cumulative losses absorbed by each tranche after the stress event."
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"final_metrics = get_tranche_metrics(stress_system)\n",
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"\n",
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"tranches = ['Junior ($MYCO)', 'Mezzanine (myUSD-M)', 'Senior (myUSD-S)']\n",
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"losses_abs = [\n",
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" final_metrics['junior']['losses'],\n",
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" final_metrics['mezzanine']['losses'],\n",
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" final_metrics['senior']['losses'],\n",
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"]\n",
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"yields_acc = [\n",
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" final_metrics['junior']['yield'],\n",
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" final_metrics['mezzanine']['yield'],\n",
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" final_metrics['senior']['yield'],\n",
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"]\n",
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"\n",
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||||
"fig, axes = plt.subplots(1, 2, figsize=(14, 5))\n",
|
||||
"\n",
|
||||
"colors = ['#e74c3c', '#f39c12', '#2ecc71']\n",
|
||||
"\n",
|
||||
"ax = axes[0]\n",
|
||||
"bars = ax.bar(tranches, losses_abs, color=colors, alpha=0.85, edgecolor='black', linewidth=0.7)\n",
|
||||
"for bar, val in zip(bars, losses_abs):\n",
|
||||
" ax.text(bar.get_x() + bar.get_width()/2, bar.get_height() + 500,\n",
|
||||
" f'${val:,.0f}', ha='center', va='bottom', fontsize=9)\n",
|
||||
"ax.set_ylabel('Cumulative Losses Absorbed ($)')\n",
|
||||
"ax.set_title('Loss Absorption by Tranche (End of Simulation)')\n",
|
||||
"ax.tick_params(axis='x', labelsize=9)\n",
|
||||
"\n",
|
||||
"ax = axes[1]\n",
|
||||
"bars = ax.bar(tranches, yields_acc, color=colors, alpha=0.85, edgecolor='black', linewidth=0.7)\n",
|
||||
"for bar, val in zip(bars, yields_acc):\n",
|
||||
" ax.text(bar.get_x() + bar.get_width()/2, bar.get_height() + 50,\n",
|
||||
" f'${val:,.0f}', ha='center', va='bottom', fontsize=9)\n",
|
||||
"ax.set_ylabel('Cumulative Yield Received ($)')\n",
|
||||
"ax.set_title('Yield Distribution by Tranche (End of Simulation)')\n",
|
||||
"ax.tick_params(axis='x', labelsize=9)\n",
|
||||
"\n",
|
||||
"plt.tight_layout()\n",
|
||||
"plt.show()\n",
|
||||
"\n",
|
||||
"print(\"\\nFinal system state:\")\n",
|
||||
"print(f\" Total collateral: ${final_metrics['total_collateral']:>12,.0f}\")\n",
|
||||
"print(f\" System CR: {final_metrics['system_cr']:.4f}\")\n",
|
||||
"print(f\" Senior CR: {final_metrics['senior']['cr']:.4f} (healthy: {final_metrics['senior']['healthy']})\")\n",
|
||||
"print(f\" Mezzanine CR: {final_metrics['mezzanine']['cr']:.4f} (healthy: {final_metrics['mezzanine']['healthy']})\")\n",
|
||||
"print(f\" Junior CR: {final_metrics['junior']['cr']:.4f} (healthy: {final_metrics['junior']['healthy']})\")"
|
||||
]
|
||||
}
|
||||
]
|
||||
}
|
||||
|
|
@ -0,0 +1,369 @@
|
|||
{
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 4,
|
||||
"metadata": {
|
||||
"kernelspec": {
|
||||
"display_name": "Python 3",
|
||||
"language": "python",
|
||||
"name": "python3"
|
||||
},
|
||||
"language_info": {
|
||||
"name": "python",
|
||||
"version": "3.11.0"
|
||||
}
|
||||
},
|
||||
"cells": [
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"# Cross-Chain Hub-and-Spoke Simulation\n",
|
||||
"\n",
|
||||
"Explores the multi-chain collateral architecture of MycoFi:\n",
|
||||
"\n",
|
||||
"- **Hub (Base)**: Registry, bonding curve, tranche manager, treasury\n",
|
||||
"- **Spokes**: Ethereum, Arbitrum, Optimism, Base, Polygon — each with a collateral vault\n",
|
||||
"- **CCIP messages**: Deposit reports, state syncs, and rebalancing triggers flow between hub and spokes\n",
|
||||
"\n",
|
||||
"Each chain hosts different LST/LRT assets with their own APYs, prices, and risk scores."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"import numpy as np\n",
|
||||
"import matplotlib.pyplot as plt\n",
|
||||
"import matplotlib.ticker as mticker\n",
|
||||
"import sys\n",
|
||||
"import os\n",
|
||||
"\n",
|
||||
"sys.path.insert(0, os.path.abspath('..'))\n",
|
||||
"\n",
|
||||
"np.random.seed(42)\n",
|
||||
"\n",
|
||||
"%matplotlib inline\n",
|
||||
"plt.rcParams['figure.figsize'] = (14, 5)\n",
|
||||
"plt.rcParams['figure.dpi'] = 100"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 1. Create the Default 5-Chain System\n",
|
||||
"\n",
|
||||
"The default system includes chains: Ethereum, Arbitrum, Optimism, Base, and Polygon,\n",
|
||||
"each pre-configured with typical LST assets and APYs."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from src.crosschain.hub_spoke import (\n",
|
||||
" create_default_system,\n",
|
||||
" simulate_deposit,\n",
|
||||
" tick,\n",
|
||||
" apply_price_shock,\n",
|
||||
" get_crosschain_metrics,\n",
|
||||
")\n",
|
||||
"\n",
|
||||
"system = create_default_system()\n",
|
||||
"\n",
|
||||
"chains = list(system.hub.spokes.keys())\n",
|
||||
"print(f\"Chains registered: {chains}\")\n",
|
||||
"print()\n",
|
||||
"for chain, spoke in system.hub.spokes.items():\n",
|
||||
" assets = [a.symbol for a in spoke.accepted_assets]\n",
|
||||
" print(f\" {chain:12s}: {assets}\")"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 2. Seed Deposits Across All Chains\n",
|
||||
"\n",
|
||||
"Deposit a realistic initial allocation of LST collateral across all spoke chains."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"# Seed initial deposits per chain\n",
|
||||
"seed_deposits = {\n",
|
||||
" \"ethereum\": [(\"stETH\", 120.0), (\"rETH\", 60.0), (\"cbETH\", 30.0)],\n",
|
||||
" \"arbitrum\": [(\"wstETH\", 90.0), (\"rETH\", 40.0)],\n",
|
||||
" \"optimism\": [(\"wstETH\", 70.0), (\"sfrxETH\", 30.0)],\n",
|
||||
" \"base\": [(\"cbETH\", 50.0), (\"USDC\", 120_000.0)],\n",
|
||||
" \"polygon\": [(\"stMATIC\", 250_000.0), (\"USDC\", 80_000.0)],\n",
|
||||
"}\n",
|
||||
"\n",
|
||||
"for chain, assets in seed_deposits.items():\n",
|
||||
" for symbol, amount in assets:\n",
|
||||
" simulate_deposit(system, chain, symbol, amount, timestamp=0.0)\n",
|
||||
"\n",
|
||||
"# Process all CCIP messages to update hub state\n",
|
||||
"system.hub.process_messages(0.01)\n",
|
||||
"\n",
|
||||
"metrics = get_crosschain_metrics(system)\n",
|
||||
"print(f\"Total collateral after seeding: ${metrics['total_collateral_usd']:>14,.0f}\")\n",
|
||||
"print()\n",
|
||||
"for chain, data in metrics['chains'].items():\n",
|
||||
" print(f\" {chain:12s}: ${data['total_value_usd']:>12,.0f}\")"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 3. 90-Day Simulation with Random Deposits and Price Movements\n",
|
||||
"\n",
|
||||
"Each day: apply staking yield, random deposits, mild ETH price drift, and process CCIP messages."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"import copy\n",
|
||||
"\n",
|
||||
"DAYS = 90\n",
|
||||
"DT = 1.0 / 365 # One day in years\n",
|
||||
"\n",
|
||||
"# Assets that can receive random deposits per chain\n",
|
||||
"deposit_assets = {\n",
|
||||
" \"ethereum\": (\"stETH\", 2400.0),\n",
|
||||
" \"arbitrum\": (\"wstETH\", 2410.0),\n",
|
||||
" \"optimism\": (\"wstETH\", 2410.0),\n",
|
||||
" \"base\": (\"USDC\", 1.0),\n",
|
||||
" \"polygon\": (\"USDC\", 1.0),\n",
|
||||
"}\n",
|
||||
"\n",
|
||||
"# Track per-chain collateral over time\n",
|
||||
"chain_history = {ch: [] for ch in chains}\n",
|
||||
"total_history = []\n",
|
||||
"msg_history = []\n",
|
||||
"yield_history = []\n",
|
||||
"\n",
|
||||
"# ETH GBM parameters\n",
|
||||
"eth_mu = 0.0\n",
|
||||
"eth_sigma = 0.6 # 60% annualised volatility\n",
|
||||
"eth_price = 2400.0\n",
|
||||
"eth_assets = [\"stETH\", \"rETH\", \"cbETH\", \"wstETH\", \"sfrxETH\"]\n",
|
||||
"\n",
|
||||
"normal_system = copy.deepcopy(system) # preserve original for stress test\n",
|
||||
"\n",
|
||||
"for day in range(DAYS):\n",
|
||||
" t = day * DT\n",
|
||||
"\n",
|
||||
" # Random deposits (Poisson arrivals, ~3 per day)\n",
|
||||
" n_deposits = np.random.poisson(3)\n",
|
||||
" for _ in range(n_deposits):\n",
|
||||
" chain = np.random.choice(chains)\n",
|
||||
" symbol, unit_price = deposit_assets[chain]\n",
|
||||
" usd_amount = np.random.exponential(10_000) # avg $10k deposit\n",
|
||||
" qty = usd_amount / max(unit_price, 1)\n",
|
||||
" simulate_deposit(normal_system, chain, symbol, qty, timestamp=t)\n",
|
||||
"\n",
|
||||
" # ETH price GBM step\n",
|
||||
" dW = np.random.normal(0, np.sqrt(DT))\n",
|
||||
" eth_price *= np.exp((eth_mu - 0.5 * eth_sigma**2) * DT + eth_sigma * dW)\n",
|
||||
" multiplier = eth_price / 2400.0\n",
|
||||
" for asset_sym in eth_assets:\n",
|
||||
" for spoke in normal_system.hub.spokes.values():\n",
|
||||
" for asset in spoke.accepted_assets:\n",
|
||||
" if asset.symbol == asset_sym:\n",
|
||||
" # Reset to base * multiplier (avoid compounding the multiplier)\n",
|
||||
" pass # Prices are tracked relatively — we only shock in stress test\n",
|
||||
"\n",
|
||||
" # Tick system (applies yield + processes messages)\n",
|
||||
" tick_data = tick(normal_system, DT)\n",
|
||||
"\n",
|
||||
" # Record\n",
|
||||
" for ch in chains:\n",
|
||||
" chain_history[ch].append(normal_system.hub.spokes[ch].total_value_usd)\n",
|
||||
" total_history.append(tick_data[\"total_collateral_usd\"])\n",
|
||||
" msg_history.append(normal_system.total_messages_delivered)\n",
|
||||
" yield_history.append(normal_system.total_yield_generated)\n",
|
||||
"\n",
|
||||
"print(f\"Simulation complete.\")\n",
|
||||
"print(f\"Final total collateral: ${total_history[-1]:,.0f}\")\n",
|
||||
"print(f\"Total CCIP messages delivered: {msg_history[-1]}\")\n",
|
||||
"print(f\"Total yield generated: ${yield_history[-1]:,.0f}\")"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 4. Visualizations — Normal Operation"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"day_axis = np.arange(DAYS)\n",
|
||||
"\n",
|
||||
"chain_colors = {\n",
|
||||
" \"ethereum\": '#627EEA',\n",
|
||||
" \"arbitrum\": '#28A0F0',\n",
|
||||
" \"optimism\": '#FF0420',\n",
|
||||
" \"base\": '#0052FF',\n",
|
||||
" \"polygon\": '#8247E5',\n",
|
||||
"}\n",
|
||||
"\n",
|
||||
"fig, axes = plt.subplots(1, 3, figsize=(20, 6))\n",
|
||||
"\n",
|
||||
"# --- Plot 1: Stacked area — per-chain collateral ---\n",
|
||||
"ax = axes[0]\n",
|
||||
"stacked_data = [chain_history[ch] for ch in chains]\n",
|
||||
"ax.stackplot(day_axis, stacked_data,\n",
|
||||
" labels=chains,\n",
|
||||
" colors=[chain_colors[c] for c in chains],\n",
|
||||
" alpha=0.85)\n",
|
||||
"ax.set_xlabel('Day')\n",
|
||||
"ax.set_ylabel('Collateral Value (USD)')\n",
|
||||
"ax.set_title('Per-Chain Collateral — Stacked Area')\n",
|
||||
"ax.legend(loc='upper left', fontsize=8)\n",
|
||||
"ax.yaxis.set_major_formatter(mticker.FuncFormatter(lambda x, _: f'${x/1e6:.1f}M'))\n",
|
||||
"\n",
|
||||
"# --- Plot 2: Asset breakdown pie chart (final state) ---\n",
|
||||
"ax = axes[1]\n",
|
||||
"final_metrics = get_crosschain_metrics(normal_system)\n",
|
||||
"asset_values = {}\n",
|
||||
"for chain_data in final_metrics['chains'].values():\n",
|
||||
" for sym, data in chain_data['assets'].items():\n",
|
||||
" asset_values[sym] = asset_values.get(sym, 0.0) + data['value']\n",
|
||||
"# Sort by value\n",
|
||||
"sorted_assets = sorted(asset_values.items(), key=lambda x: x[1], reverse=True)\n",
|
||||
"labels, vals = zip(*sorted_assets)\n",
|
||||
"ax.pie(vals, labels=labels, autopct='%1.1f%%', startangle=90,\n",
|
||||
" colors=plt.cm.Set3(np.linspace(0, 1, len(vals))))\n",
|
||||
"ax.set_title('Asset Breakdown by Value (Day 90)')\n",
|
||||
"\n",
|
||||
"# --- Plot 3: CCIP message delivery timeline ---\n",
|
||||
"ax = axes[2]\n",
|
||||
"msg_per_day = np.diff([0] + msg_history)\n",
|
||||
"ax.bar(day_axis, msg_per_day, color='#3498db', alpha=0.7, label='Messages delivered')\n",
|
||||
"ax.plot(day_axis, np.cumsum(msg_per_day), color='#e74c3c', linewidth=2, label='Cumulative')\n",
|
||||
"ax2 = ax.twinx()\n",
|
||||
"ax2.plot(day_axis, yield_history, color='#2ecc71', linewidth=2, linestyle='--', label='Cumulative yield')\n",
|
||||
"ax2.set_ylabel('Cumulative Yield ($)', color='#2ecc71')\n",
|
||||
"ax2.yaxis.set_major_formatter(mticker.FuncFormatter(lambda x, _: f'${x/1e3:.1f}K'))\n",
|
||||
"ax.set_xlabel('Day')\n",
|
||||
"ax.set_ylabel('CCIP Messages')\n",
|
||||
"ax.set_title('CCIP Message Timeline & Yield')\n",
|
||||
"lines1, labels1 = ax.get_legend_handles_labels()\n",
|
||||
"lines2, labels2 = ax2.get_legend_handles_labels()\n",
|
||||
"ax.legend(lines1 + lines2, labels1 + labels2, fontsize=8)\n",
|
||||
"\n",
|
||||
"plt.tight_layout()\n",
|
||||
"plt.show()"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 5. Stress Test — ETH Crash and Cross-Chain Impact Propagation\n",
|
||||
"\n",
|
||||
"Apply a sudden 50% ETH price crash at day 45 and observe how it propagates across all chains\n",
|
||||
"that hold ETH-denominated assets (Ethereum, Arbitrum, Optimism) while stablecoin-heavy\n",
|
||||
"chains (Base USDC, Polygon USDC) show relative stability."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"CRASH_DAY = 45\n",
|
||||
"CRASH_FACTOR = 0.50 # 50% price crash\n",
|
||||
"\n",
|
||||
"stress_system = copy.deepcopy(system) # Start from the seeded state\n",
|
||||
"\n",
|
||||
"stress_chain_history = {ch: [] for ch in chains}\n",
|
||||
"stress_total_history = []\n",
|
||||
"\n",
|
||||
"for day in range(DAYS):\n",
|
||||
" t = day * DT\n",
|
||||
"\n",
|
||||
" # Small random deposits\n",
|
||||
" for chain, (symbol, unit_price) in deposit_assets.items():\n",
|
||||
" if np.random.random() < 0.4:\n",
|
||||
" qty = np.random.exponential(5_000) / max(unit_price, 1)\n",
|
||||
" simulate_deposit(stress_system, chain, symbol, qty, timestamp=t)\n",
|
||||
"\n",
|
||||
" # ETH crash at day 45\n",
|
||||
" if day == CRASH_DAY:\n",
|
||||
" print(f\"Day {day}: ETH crashes by {(1-CRASH_FACTOR)*100:.0f}%\")\n",
|
||||
" for eth_asset in [\"stETH\", \"rETH\", \"cbETH\", \"wstETH\", \"sfrxETH\"]:\n",
|
||||
" apply_price_shock(stress_system, eth_asset, CRASH_FACTOR)\n",
|
||||
" pre_crash = stress_system.hub.total_collateral_usd\n",
|
||||
" stress_system.hub._recalculate_total()\n",
|
||||
" post_crash = stress_system.hub.total_collateral_usd\n",
|
||||
" print(f\" Pre-crash total collateral: ${pre_crash:,.0f}\")\n",
|
||||
" print(f\" Post-crash total collateral: ${post_crash:,.0f}\")\n",
|
||||
" print(f\" Drop: {(pre_crash - post_crash)/pre_crash*100:.1f}%\")\n",
|
||||
"\n",
|
||||
" tick(stress_system, DT)\n",
|
||||
"\n",
|
||||
" for ch in chains:\n",
|
||||
" stress_chain_history[ch].append(stress_system.hub.spokes[ch].total_value_usd)\n",
|
||||
" stress_total_history.append(stress_system.hub.total_collateral_usd)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"fig, axes = plt.subplots(1, 2, figsize=(16, 6))\n",
|
||||
"\n",
|
||||
"# --- Plot 1: Per-chain collateral under stress ---\n",
|
||||
"ax = axes[0]\n",
|
||||
"for ch in chains:\n",
|
||||
" ax.plot(day_axis, stress_chain_history[ch],\n",
|
||||
" label=ch, color=chain_colors[ch], linewidth=2)\n",
|
||||
"ax.axvline(CRASH_DAY, color='black', linestyle='--', linewidth=1.5, label=f'ETH crash (day {CRASH_DAY})')\n",
|
||||
"ax.set_xlabel('Day')\n",
|
||||
"ax.set_ylabel('Chain Collateral Value ($)')\n",
|
||||
"ax.set_title('Per-Chain Collateral — ETH Crash Stress Test')\n",
|
||||
"ax.legend(fontsize=8)\n",
|
||||
"ax.yaxis.set_major_formatter(mticker.FuncFormatter(lambda x, _: f'${x/1e6:.1f}M'))\n",
|
||||
"\n",
|
||||
"# --- Plot 2: Normal vs stress total collateral ---\n",
|
||||
"ax = axes[1]\n",
|
||||
"ax.plot(day_axis, total_history, color='#2ecc71', linewidth=2, label='Normal')\n",
|
||||
"ax.plot(day_axis, stress_total_history, color='#e74c3c', linewidth=2, label='Stress (ETH crash)')\n",
|
||||
"ax.axvline(CRASH_DAY, color='black', linestyle='--', linewidth=1.5, label=f'Shock (day {CRASH_DAY})')\n",
|
||||
"ax.fill_between(day_axis, stress_total_history, total_history,\n",
|
||||
" color='#e74c3c', alpha=0.15, label='Loss from shock')\n",
|
||||
"ax.set_xlabel('Day')\n",
|
||||
"ax.set_ylabel('Total Collateral ($)')\n",
|
||||
"ax.set_title('System Collateral: Normal vs Stress')\n",
|
||||
"ax.legend(fontsize=8)\n",
|
||||
"ax.yaxis.set_major_formatter(mticker.FuncFormatter(lambda x, _: f'${x/1e6:.1f}M'))\n",
|
||||
"\n",
|
||||
"plt.tight_layout()\n",
|
||||
"plt.show()"
|
||||
]
|
||||
}
|
||||
]
|
||||
}
|
||||
|
|
@ -0,0 +1,375 @@
|
|||
{
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 4,
|
||||
"metadata": {
|
||||
"kernelspec": {
|
||||
"display_name": "Python 3",
|
||||
"language": "python",
|
||||
"name": "python3"
|
||||
},
|
||||
"language_info": {
|
||||
"name": "python",
|
||||
"version": "3.11.0"
|
||||
}
|
||||
},
|
||||
"cells": [
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"# Conviction Voting Governance\n",
|
||||
"\n",
|
||||
"Explores the continuous conviction voting mechanism used to govern MycoFi parameters.\n",
|
||||
"\n",
|
||||
"**Core formula:** $y_{t+1} = \\alpha \\cdot y_t + x_t$\n",
|
||||
"\n",
|
||||
"**Trigger function:** $\\tau(r) = \\frac{\\rho S}{(1-\\alpha)(\\beta - r/R)^2}$\n",
|
||||
"\n",
|
||||
"Where:\n",
|
||||
"- $\\alpha$: decay factor (determines how quickly conviction charges/discharges)\n",
|
||||
"- $\\rho$: scale parameter controlling how much conviction is needed overall\n",
|
||||
"- $\\beta$: maximum share of funds any single proposal can request\n",
|
||||
"- $r$: funds requested, $R$: total funds, $S$: token supply"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"import numpy as np\n",
|
||||
"import matplotlib.pyplot as plt\n",
|
||||
"import matplotlib.colors as mcolors\n",
|
||||
"import sys\n",
|
||||
"import os\n",
|
||||
"\n",
|
||||
"sys.path.insert(0, os.path.abspath('..'))\n",
|
||||
"\n",
|
||||
"np.random.seed(7)\n",
|
||||
"\n",
|
||||
"%matplotlib inline\n",
|
||||
"plt.rcParams['figure.figsize'] = (14, 5)\n",
|
||||
"plt.rcParams['figure.dpi'] = 100"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 1. Conviction Charging and Discharging Curves\n",
|
||||
"\n",
|
||||
"Compare four different half-life settings (3, 7, 14, 30 epochs) to visualise how quickly\n",
|
||||
"conviction builds up when tokens are staked and decays when tokens are withdrawn."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from src.primitives.conviction import (\n",
|
||||
" ConvictionParams,\n",
|
||||
" Proposal,\n",
|
||||
" Voter,\n",
|
||||
" ConvictionSystem,\n",
|
||||
" trigger_threshold,\n",
|
||||
" update_conviction,\n",
|
||||
" max_conviction,\n",
|
||||
" conviction_at_time,\n",
|
||||
" epochs_to_fraction,\n",
|
||||
" generate_conviction_curves,\n",
|
||||
" stake,\n",
|
||||
" unstake,\n",
|
||||
" tick,\n",
|
||||
" get_governance_metrics,\n",
|
||||
")\n",
|
||||
"\n",
|
||||
"HALF_LIVES = [3, 7, 14, 30]\n",
|
||||
"STAKED_TOKENS = 1000.0\n",
|
||||
"EPOCHS = 120\n",
|
||||
"\n",
|
||||
"fig, axes = plt.subplots(1, 2, figsize=(16, 6))\n",
|
||||
"\n",
|
||||
"colors = ['#e74c3c', '#f39c12', '#2ecc71', '#3498db']\n",
|
||||
"\n",
|
||||
"for hl, color in zip(HALF_LIVES, colors):\n",
|
||||
" p = ConvictionParams.from_half_life(hl)\n",
|
||||
" curves = generate_conviction_curves(STAKED_TOKENS, p.alpha, EPOCHS)\n",
|
||||
"\n",
|
||||
" # Charging curve\n",
|
||||
" axes[0].plot(curves['time'], curves['charge'] / curves['max'],\n",
|
||||
" color=color, linewidth=2, label=f'Half-life = {hl} epochs (α={p.alpha:.4f})')\n",
|
||||
"\n",
|
||||
" # Discharging curve\n",
|
||||
" axes[1].plot(curves['time'], curves['discharge'] / curves['max'],\n",
|
||||
" color=color, linewidth=2, label=f'Half-life = {hl} epochs')\n",
|
||||
"\n",
|
||||
"# Reference lines\n",
|
||||
"for ax, title, ylabel in [\n",
|
||||
" (axes[0], 'Conviction Charging (Stake held continuously)', 'Conviction / Max Conviction'),\n",
|
||||
" (axes[1], 'Conviction Discharging (Stake removed at t=0)', 'Conviction / Max Conviction'),\n",
|
||||
"]:\n",
|
||||
" ax.axhline(0.5, color='gray', linestyle=':', alpha=0.6, label='50% of max')\n",
|
||||
" ax.axhline(0.9, color='gray', linestyle='--', alpha=0.4, label='90% of max')\n",
|
||||
" ax.set_xlabel('Epochs')\n",
|
||||
" ax.set_ylabel(ylabel)\n",
|
||||
" ax.set_title(title)\n",
|
||||
" ax.legend(fontsize=8)\n",
|
||||
" ax.set_ylim(-0.05, 1.1)\n",
|
||||
"\n",
|
||||
"plt.tight_layout()\n",
|
||||
"plt.show()\n",
|
||||
"\n",
|
||||
"print(\"Epochs to reach 90% of max conviction:\")\n",
|
||||
"for hl in HALF_LIVES:\n",
|
||||
" p = ConvictionParams.from_half_life(hl)\n",
|
||||
" e = epochs_to_fraction(0.9, p.alpha)\n",
|
||||
" print(f\" Half-life {hl:2d} epochs: {e:.1f} epochs to 90%\")"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 2. Full Governance Simulation\n",
|
||||
"\n",
|
||||
"Create a conviction system with 20 voters, 4 proposals requesting different fund shares,\n",
|
||||
"and run 100 epochs. Voters stake tokens semi-randomly based on their sentiment."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"# Build the governance system\n",
|
||||
"params = ConvictionParams(\n",
|
||||
" alpha=0.9,\n",
|
||||
" beta=0.2,\n",
|
||||
" rho=0.0025,\n",
|
||||
" min_age=3,\n",
|
||||
")\n",
|
||||
"\n",
|
||||
"gov = ConvictionSystem(\n",
|
||||
" params=params,\n",
|
||||
" total_supply=100_000.0,\n",
|
||||
" total_funds=50_000.0,\n",
|
||||
")\n",
|
||||
"\n",
|
||||
"# Add 20 voters with log-normally distributed holdings\n",
|
||||
"N_VOTERS = 20\n",
|
||||
"for i in range(N_VOTERS):\n",
|
||||
" vid = f\"voter_{i}\"\n",
|
||||
" holdings = float(np.random.lognormal(mean=np.log(5000), sigma=1.0))\n",
|
||||
" gov.voters[vid] = Voter(\n",
|
||||
" id=vid,\n",
|
||||
" holdings=holdings,\n",
|
||||
" sentiment=float(np.random.uniform(0.3, 0.9)),\n",
|
||||
" )\n",
|
||||
"\n",
|
||||
"gov.total_supply = sum(v.holdings for v in gov.voters.values())\n",
|
||||
"print(f\"Total token supply: {gov.total_supply:,.0f}\")\n",
|
||||
"\n",
|
||||
"# Add 4 proposals with different fund requests\n",
|
||||
"proposals_config = [\n",
|
||||
" (\"P-001\", \"Raise senior CR to 1.6\", 0.05, \"parameter_change\"),\n",
|
||||
" (\"P-002\", \"Add wBTC as collateral\", 0.12, \"chain_onboard\"),\n",
|
||||
" (\"P-003\", \"Adjust mezzanine yield target 10%\",0.08, \"parameter_change\"),\n",
|
||||
" (\"P-004\", \"Emergency reserve allocation\", 0.18, \"weight_update\"),\n",
|
||||
"]\n",
|
||||
"\n",
|
||||
"for pid, title, share, ptype in proposals_config:\n",
|
||||
" gov.proposals[pid] = Proposal(\n",
|
||||
" id=pid,\n",
|
||||
" title=title,\n",
|
||||
" funds_requested=share,\n",
|
||||
" proposal_type=ptype,\n",
|
||||
" status=\"candidate\",\n",
|
||||
" )\n",
|
||||
"\n",
|
||||
"# Initial staking: each voter distributes a fraction of their holdings across proposals\n",
|
||||
"prop_ids = list(gov.proposals.keys())\n",
|
||||
"for voter in gov.voters.values():\n",
|
||||
" available = voter.holdings * np.random.uniform(0.3, 0.8) # stake 30-80% of holdings\n",
|
||||
" n_props = np.random.randint(1, len(prop_ids) + 1)\n",
|
||||
" chosen = np.random.choice(prop_ids, size=n_props, replace=False)\n",
|
||||
" weights = np.random.dirichlet(np.ones(n_props))\n",
|
||||
" for pid, w in zip(chosen, weights):\n",
|
||||
" amount = available * w * voter.sentiment\n",
|
||||
" stake(gov, voter.id, pid, amount)\n",
|
||||
"\n",
|
||||
"print(f\"Proposals created: {list(gov.proposals.keys())}\")\n",
|
||||
"for pid, prop in gov.proposals.items():\n",
|
||||
" thr = trigger_threshold(prop.funds_requested, gov.total_supply, params)\n",
|
||||
" print(f\" {pid}: '{prop.title[:30]}...' share={prop.funds_requested:.0%} trigger={thr:,.0f}\")"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"# Run 100 epochs\n",
|
||||
"N_EPOCHS = 100\n",
|
||||
"\n",
|
||||
"conviction_history = {pid: [] for pid in prop_ids}\n",
|
||||
"trigger_history = {pid: [] for pid in prop_ids}\n",
|
||||
"progress_history = {pid: [] for pid in prop_ids}\n",
|
||||
"\n",
|
||||
"for epoch in range(N_EPOCHS):\n",
|
||||
" gov = tick(gov)\n",
|
||||
"\n",
|
||||
" # Every 10 epochs some voters adjust stakes\n",
|
||||
" if epoch % 10 == 0 and epoch > 0:\n",
|
||||
" for voter in list(gov.voters.values())[:10]:\n",
|
||||
" active_props = [p for p in gov.proposals.values() if p.status == \"candidate\"]\n",
|
||||
" if active_props:\n",
|
||||
" pid = np.random.choice([p.id for p in active_props])\n",
|
||||
" new_amount = voter.holdings * 0.05 * voter.sentiment\n",
|
||||
" stake(gov, voter.id, pid, new_amount)\n",
|
||||
"\n",
|
||||
" metrics = get_governance_metrics(gov)\n",
|
||||
" for pid in prop_ids:\n",
|
||||
" pdata = metrics['proposals'].get(pid, {})\n",
|
||||
" conviction_history[pid].append(pdata.get('conviction', 0.0))\n",
|
||||
" trigger_history[pid].append(pdata.get('trigger', float('inf')))\n",
|
||||
" progress_history[pid].append(min(pdata.get('progress', 0.0), 1.5)) # cap for display\n",
|
||||
"\n",
|
||||
"print(f\"Simulation complete after {N_EPOCHS} epochs.\")\n",
|
||||
"print(f\"Passed proposals: {[p.title for p in gov.passed_proposals]}\")\n",
|
||||
"print(f\"Staking ratio: {metrics['staking_ratio']:.2%}\")"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 3. Conviction Progress Toward Trigger Per Proposal"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"epoch_axis = np.arange(1, N_EPOCHS + 1)\n",
|
||||
"prop_colors = ['#e74c3c', '#f39c12', '#2ecc71', '#9b59b6']\n",
|
||||
"\n",
|
||||
"fig, axes = plt.subplots(1, 2, figsize=(18, 6))\n",
|
||||
"\n",
|
||||
"# --- Plot 1: Absolute conviction vs trigger ---\n",
|
||||
"ax = axes[0]\n",
|
||||
"for (pid, title, share, _), color in zip(proposals_config, prop_colors):\n",
|
||||
" conv = conviction_history[pid]\n",
|
||||
" trigs = trigger_history[pid]\n",
|
||||
" ax.plot(epoch_axis, conv, color=color, linewidth=2, label=f'{pid}: {title[:25]}')\n",
|
||||
" # Draw the trigger as a dashed line (first finite value)\n",
|
||||
" finite_trigs = [t for t in trigs if t != float('inf')]\n",
|
||||
" if finite_trigs:\n",
|
||||
" ax.axhline(finite_trigs[0], color=color, linestyle='--', alpha=0.5)\n",
|
||||
"\n",
|
||||
"ax.set_xlabel('Epoch')\n",
|
||||
"ax.set_ylabel('Total Conviction')\n",
|
||||
"ax.set_title('Conviction Accumulation by Proposal')\n",
|
||||
"ax.legend(fontsize=7)\n",
|
||||
"\n",
|
||||
"# --- Plot 2: Progress ratio (conviction / trigger) ---\n",
|
||||
"ax = axes[1]\n",
|
||||
"for (pid, title, share, _), color in zip(proposals_config, prop_colors):\n",
|
||||
" progress = progress_history[pid]\n",
|
||||
" ax.plot(epoch_axis, progress, color=color, linewidth=2, label=f'{pid}: {title[:25]}')\n",
|
||||
"\n",
|
||||
"ax.axhline(1.0, color='black', linestyle='--', linewidth=1.5, label='Trigger threshold (1.0)')\n",
|
||||
"ax.fill_between(epoch_axis, 0, 1, alpha=0.05, color='gray', label='Below trigger')\n",
|
||||
"ax.fill_between(epoch_axis, 1, 1.5, alpha=0.08, color='green', label='Passed')\n",
|
||||
"ax.set_xlabel('Epoch')\n",
|
||||
"ax.set_ylabel('Conviction / Trigger Threshold')\n",
|
||||
"ax.set_title('Conviction Progress Toward Trigger')\n",
|
||||
"ax.set_ylim(0, 1.55)\n",
|
||||
"ax.legend(fontsize=7)\n",
|
||||
"\n",
|
||||
"plt.tight_layout()\n",
|
||||
"plt.show()"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 4. Trigger Function Contour Map\n",
|
||||
"\n",
|
||||
"Visualise how the conviction trigger threshold varies as a function of:\n",
|
||||
"- **x-axis**: requested share of funds ($r/R$)\n",
|
||||
"- **y-axis**: token supply ($S$)\n",
|
||||
"\n",
|
||||
"Darker regions require more conviction. The asymptote at $r/R = \\beta$ means proposals\n",
|
||||
"requesting too large a share can never pass."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"shares = np.linspace(0.001, 0.185, 200)\n",
|
||||
"supplies = np.linspace(10_000, 200_000, 200)\n",
|
||||
"SS, RR = np.meshgrid(supplies, shares)\n",
|
||||
"\n",
|
||||
"# Compute trigger for each grid point\n",
|
||||
"Z = np.zeros_like(SS)\n",
|
||||
"for i in range(len(shares)):\n",
|
||||
" for j in range(len(supplies)):\n",
|
||||
" Z[i, j] = trigger_threshold(shares[i], supplies[j], params)\n",
|
||||
"\n",
|
||||
"# Cap extreme values for display\n",
|
||||
"Z_display = np.clip(Z, 0, 5e6)\n",
|
||||
"\n",
|
||||
"fig, axes = plt.subplots(1, 2, figsize=(16, 6))\n",
|
||||
"\n",
|
||||
"# --- Contour map ---\n",
|
||||
"ax = axes[0]\n",
|
||||
"cf = ax.contourf(SS, RR, Z_display, levels=20, cmap='RdYlGn_r')\n",
|
||||
"cs = ax.contour(SS, RR, Z_display, levels=10, colors='black', alpha=0.3, linewidths=0.5)\n",
|
||||
"plt.colorbar(cf, ax=ax, label='Trigger Threshold (conviction units)')\n",
|
||||
"ax.set_xlabel('Token Supply (S)')\n",
|
||||
"ax.set_ylabel('Requested Share of Funds (r/R)')\n",
|
||||
"ax.set_title('Conviction Trigger Contour Map')\n",
|
||||
"ax.axhline(params.beta, color='red', linestyle='--', linewidth=2, label=f'β = {params.beta} (max share)')\n",
|
||||
"ax.legend()\n",
|
||||
"ax.xaxis.set_major_formatter(mticker := plt.FuncFormatter(lambda x, _: f'{x/1e3:.0f}K'))\n",
|
||||
"ax.yaxis.set_major_formatter(plt.FuncFormatter(lambda x, _: f'{x:.0%}'))\n",
|
||||
"\n",
|
||||
"# --- Fixed supply trigger curve ---\n",
|
||||
"ax = axes[1]\n",
|
||||
"fixed_supply = 100_000.0\n",
|
||||
"safe_shares = shares[shares < params.beta * 0.95]\n",
|
||||
"triggers = [trigger_threshold(s, fixed_supply, params) for s in safe_shares]\n",
|
||||
"\n",
|
||||
"ax.plot(safe_shares, triggers, color='#3498db', linewidth=2.5)\n",
|
||||
"ax.set_xlabel('Requested Share of Funds (r/R)')\n",
|
||||
"ax.set_ylabel('Required Conviction to Pass')\n",
|
||||
"ax.set_title(f'Trigger Curve at Fixed Supply = {fixed_supply:,.0f} tokens')\n",
|
||||
"ax.axvline(params.beta, color='red', linestyle='--', label=f'β = {params.beta}')\n",
|
||||
"\n",
|
||||
"# Annotate the 4 proposals\n",
|
||||
"for (pid, title, share, _), color in zip(proposals_config, prop_colors):\n",
|
||||
" if share < params.beta * 0.95:\n",
|
||||
" thr = trigger_threshold(share, fixed_supply, params)\n",
|
||||
" ax.scatter([share], [thr], color=color, s=100, zorder=5, label=f'{pid} ({share:.0%})')\n",
|
||||
"\n",
|
||||
"ax.set_ylim(0, min(max(triggers) * 1.1, 2e6))\n",
|
||||
"ax.legend(fontsize=8)\n",
|
||||
"ax.xaxis.set_major_formatter(plt.FuncFormatter(lambda x, _: f'{x:.0%}'))\n",
|
||||
"\n",
|
||||
"plt.tight_layout()\n",
|
||||
"plt.show()"
|
||||
]
|
||||
}
|
||||
]
|
||||
}
|
||||
|
|
@ -0,0 +1,360 @@
|
|||
{
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 4,
|
||||
"metadata": {
|
||||
"kernelspec": {
|
||||
"display_name": "Python 3",
|
||||
"language": "python",
|
||||
"name": "python3"
|
||||
},
|
||||
"language_info": {
|
||||
"name": "python",
|
||||
"version": "3.11.0"
|
||||
}
|
||||
},
|
||||
"cells": [
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"# cadCAD Full System Monte Carlo\n",
|
||||
"\n",
|
||||
"Runs the full MycoFi system through cadCAD with Monte Carlo sampling to characterise\n",
|
||||
"the distribution of outcomes under normal growth and stress scenarios.\n",
|
||||
"\n",
|
||||
"**Scenarios:**\n",
|
||||
"- `scenario_normal_growth`: Steady deposits, mild ETH volatility, governance ticking — 3 MC runs over 180 days\n",
|
||||
"- `scenario_stress_test`: ETH crash at day 30, bank run follows — 5 MC runs over 100 days\n",
|
||||
"\n",
|
||||
"**Outputs:**\n",
|
||||
"- Fan charts (mean ± 1σ) for supply, collateral, and system CR\n",
|
||||
"- Tranche CR comparison under stress vs normal\n",
|
||||
"- Summary statistics table"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"import numpy as np\n",
|
||||
"import pandas as pd\n",
|
||||
"import matplotlib.pyplot as plt\n",
|
||||
"import matplotlib.ticker as mticker\n",
|
||||
"import sys\n",
|
||||
"import os\n",
|
||||
"\n",
|
||||
"sys.path.insert(0, os.path.abspath('..'))\n",
|
||||
"\n",
|
||||
"%matplotlib inline\n",
|
||||
"plt.rcParams['figure.figsize'] = (14, 5)\n",
|
||||
"plt.rcParams['figure.dpi'] = 100\n",
|
||||
"pd.set_option('display.float_format', '{:,.2f}'.format)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 1. Run Normal Growth Scenario\n",
|
||||
"\n",
|
||||
"3 Monte Carlo runs, 180 timesteps (one per day). Each run uses the same system configuration\n",
|
||||
"but different random seeds for deposit arrivals and price movements."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from src.cadcad.config import scenario_normal_growth, scenario_stress_test\n",
|
||||
"\n",
|
||||
"print(\"Running normal growth scenario (3 runs × 180 days)...\")\n",
|
||||
"df_normal = scenario_normal_growth(timesteps=180, runs=3)\n",
|
||||
"print(f\"Done. DataFrame shape: {df_normal.shape}\")\n",
|
||||
"print(f\"Columns: {list(df_normal.columns)}\")\n",
|
||||
"df_normal.head()"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 2. Fan Charts — Normal Growth\n",
|
||||
"\n",
|
||||
"Plot supply, total collateral, and system collateral ratio across all Monte Carlo runs.\n",
|
||||
"Shade the 1σ band around the mean to show the spread of outcomes."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"def fan_chart(ax, df, col, runs, color, label, formatter=None):\n",
|
||||
" \"\"\"Plot a fan chart: individual run traces + mean ± 1σ band.\"\"\"\n",
|
||||
" # Get all timesteps\n",
|
||||
" timesteps = sorted(df['timestep'].unique())\n",
|
||||
"\n",
|
||||
" # Collect values per timestep across runs\n",
|
||||
" per_ts = []\n",
|
||||
" for ts in timesteps:\n",
|
||||
" # Take the last substep only (final state per timestep)\n",
|
||||
" sub = df[df['timestep'] == ts]\n",
|
||||
" if 'substep' in sub.columns:\n",
|
||||
" sub = sub[sub['substep'] == sub['substep'].max()]\n",
|
||||
" vals = sub[col].values\n",
|
||||
" per_ts.append(vals)\n",
|
||||
"\n",
|
||||
" per_ts = np.array(per_ts, dtype=float) # shape: (timesteps, runs)\n",
|
||||
" mean = np.nanmean(per_ts, axis=1)\n",
|
||||
" std = np.nanstd(per_ts, axis=1)\n",
|
||||
" t = np.array(timesteps, dtype=float)\n",
|
||||
"\n",
|
||||
" # Individual run traces (thin)\n",
|
||||
" for r in range(per_ts.shape[1]):\n",
|
||||
" ax.plot(t, per_ts[:, r], color=color, linewidth=0.8, alpha=0.4)\n",
|
||||
"\n",
|
||||
" # Mean line\n",
|
||||
" ax.plot(t, mean, color=color, linewidth=2.5, label=f'{label} (mean)')\n",
|
||||
"\n",
|
||||
" # ±1σ band\n",
|
||||
" ax.fill_between(t, mean - std, mean + std, color=color, alpha=0.15, label=f'{label} ±1σ')\n",
|
||||
"\n",
|
||||
" if formatter:\n",
|
||||
" ax.yaxis.set_major_formatter(formatter)\n",
|
||||
"\n",
|
||||
" return mean, std\n",
|
||||
"\n",
|
||||
"\n",
|
||||
"fig, axes = plt.subplots(1, 3, figsize=(20, 6))\n",
|
||||
"\n",
|
||||
"runs = sorted(df_normal['run'].unique()) if 'run' in df_normal.columns else [0]\n",
|
||||
"\n",
|
||||
"# --- Total supply ---\n",
|
||||
"fan_chart(axes[0], df_normal, 'total_supply', runs, '#3498db', 'Total Supply',\n",
|
||||
" mticker.FuncFormatter(lambda x, _: f'${x/1e3:.0f}K'))\n",
|
||||
"axes[0].set_xlabel('Timestep (day)')\n",
|
||||
"axes[0].set_ylabel('Total Supply ($)')\n",
|
||||
"axes[0].set_title('Total Token Supply — Normal Growth')\n",
|
||||
"axes[0].legend(fontsize=8)\n",
|
||||
"\n",
|
||||
"# --- Total collateral ---\n",
|
||||
"fan_chart(axes[1], df_normal, 'total_collateral_usd', runs, '#2ecc71', 'Total Collateral',\n",
|
||||
" mticker.FuncFormatter(lambda x, _: f'${x/1e6:.2f}M'))\n",
|
||||
"axes[1].set_xlabel('Timestep (day)')\n",
|
||||
"axes[1].set_ylabel('Total Collateral (USD)')\n",
|
||||
"axes[1].set_title('Total Collateral — Normal Growth')\n",
|
||||
"axes[1].legend(fontsize=8)\n",
|
||||
"\n",
|
||||
"# --- System CR ---\n",
|
||||
"fan_chart(axes[2], df_normal, 'system_cr', runs, '#e74c3c', 'System CR')\n",
|
||||
"axes[2].axhline(1.0, color='black', linestyle='--', alpha=0.5, label='CR = 1.0 (par)')\n",
|
||||
"axes[2].set_xlabel('Timestep (day)')\n",
|
||||
"axes[2].set_ylabel('Collateral Ratio')\n",
|
||||
"axes[2].set_title('System Collateral Ratio — Normal Growth')\n",
|
||||
"axes[2].legend(fontsize=8)\n",
|
||||
"\n",
|
||||
"plt.tight_layout()\n",
|
||||
"plt.show()"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 3. Run Stress Test Scenario\n",
|
||||
"\n",
|
||||
"5 Monte Carlo runs, 100 timesteps. ETH crashes at day 30, bank run starts at day 31."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"print(\"Running stress test scenario (5 runs × 100 days)...\")\n",
|
||||
"df_stress = scenario_stress_test(timesteps=100, runs=5)\n",
|
||||
"print(f\"Done. DataFrame shape: {df_stress.shape}\")\n",
|
||||
"df_stress.head()"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 4. Tranche CRs Under Stress vs Normal\n",
|
||||
"\n",
|
||||
"Compare the collateral ratios for each tranche under both scenarios.\n",
|
||||
"Senior should remain most protected; Junior absorbs the most volatility."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"fig, axes = plt.subplots(1, 3, figsize=(20, 6))\n",
|
||||
"\n",
|
||||
"tranche_cols = [\n",
|
||||
" ('senior_cr', '#2ecc71', 'Senior (myUSD-S)'),\n",
|
||||
" ('mezzanine_cr', '#f39c12', 'Mezzanine (myUSD-M)'),\n",
|
||||
" ('junior_cr', '#e74c3c', 'Junior ($MYCO)'),\n",
|
||||
"]\n",
|
||||
"\n",
|
||||
"# Use only the last 100 timesteps of the normal run for comparison\n",
|
||||
"df_normal_sub = df_normal[df_normal['timestep'] <= 100].copy()\n",
|
||||
"runs_stress = sorted(df_stress['run'].unique()) if 'run' in df_stress.columns else [0]\n",
|
||||
"runs_normal = sorted(df_normal_sub['run'].unique()) if 'run' in df_normal_sub.columns else [0]\n",
|
||||
"\n",
|
||||
"for ax, (col, color, title) in zip(axes, tranche_cols):\n",
|
||||
" # Stress scenario fan\n",
|
||||
" fan_chart(ax, df_stress, col, runs_stress, '#e74c3c', 'Stress')\n",
|
||||
" # Normal scenario fan (overlaid)\n",
|
||||
" fan_chart(ax, df_normal_sub, col, runs_normal, '#2ecc71', 'Normal')\n",
|
||||
"\n",
|
||||
" ax.axhline(1.0, color='black', linestyle=':', alpha=0.6, label='CR = 1.0')\n",
|
||||
" ax.axvline(30, color='gray', linestyle='--', alpha=0.5, label='Shock day 30')\n",
|
||||
" ax.set_xlabel('Timestep (day)')\n",
|
||||
" ax.set_ylabel('Collateral Ratio')\n",
|
||||
" ax.set_title(f'{title} CR')\n",
|
||||
" ax.legend(fontsize=7)\n",
|
||||
"\n",
|
||||
"plt.tight_layout()\n",
|
||||
"plt.show()"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 5. Summary Statistics Table\n",
|
||||
"\n",
|
||||
"Aggregate key metrics at the final timestep for both scenarios, summarised across all MC runs."
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"metrics_of_interest = [\n",
|
||||
" 'total_supply', 'total_collateral_usd', 'system_cr',\n",
|
||||
" 'senior_cr', 'mezzanine_cr', 'junior_cr',\n",
|
||||
" 'total_yield', 'ccip_messages', 'proposals_passed',\n",
|
||||
"]\n",
|
||||
"\n",
|
||||
"def final_timestep_stats(df, label):\n",
|
||||
" \"\"\"Extract final-timestep rows and compute summary statistics.\"\"\"\n",
|
||||
" max_ts = df['timestep'].max()\n",
|
||||
" final = df[df['timestep'] == max_ts]\n",
|
||||
" if 'substep' in final.columns:\n",
|
||||
" final = final[final['substep'] == final['substep'].max()]\n",
|
||||
"\n",
|
||||
" cols = [c for c in metrics_of_interest if c in final.columns]\n",
|
||||
" stats = final[cols].agg(['mean', 'std', 'min', 'max']).T\n",
|
||||
" stats.columns = [f'{label}_mean', f'{label}_std', f'{label}_min', f'{label}_max']\n",
|
||||
" return stats\n",
|
||||
"\n",
|
||||
"normal_stats = final_timestep_stats(df_normal, 'normal')\n",
|
||||
"stress_stats = final_timestep_stats(df_stress, 'stress')\n",
|
||||
"\n",
|
||||
"summary = pd.concat([normal_stats, stress_stats], axis=1)\n",
|
||||
"print(\"=\" * 80)\n",
|
||||
"print(\"Final Timestep Summary Statistics\")\n",
|
||||
"print(\"=\" * 80)\n",
|
||||
"print(summary.to_string())"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"# Display as a formatted DataFrame\n",
|
||||
"display_cols = [\n",
|
||||
" 'normal_mean', 'normal_std',\n",
|
||||
" 'stress_mean', 'stress_std',\n",
|
||||
"]\n",
|
||||
"display_rows = [\n",
|
||||
" 'total_supply', 'total_collateral_usd', 'system_cr',\n",
|
||||
" 'senior_cr', 'mezzanine_cr', 'junior_cr',\n",
|
||||
" 'total_yield',\n",
|
||||
"]\n",
|
||||
"\n",
|
||||
"display_df = summary[[c for c in display_cols if c in summary.columns]]\n",
|
||||
"display_df = display_df.loc[[r for r in display_rows if r in display_df.index]]\n",
|
||||
"\n",
|
||||
"rename_map = {\n",
|
||||
" 'total_supply': 'Total Token Supply ($)',\n",
|
||||
" 'total_collateral_usd': 'Total Collateral (USD)',\n",
|
||||
" 'system_cr': 'System Collateral Ratio',\n",
|
||||
" 'senior_cr': 'Senior CR (myUSD-S)',\n",
|
||||
" 'mezzanine_cr': 'Mezzanine CR (myUSD-M)',\n",
|
||||
" 'junior_cr': 'Junior CR ($MYCO)',\n",
|
||||
" 'total_yield': 'Cumulative Yield (USD)',\n",
|
||||
"}\n",
|
||||
"display_df.index = [rename_map.get(i, i) for i in display_df.index]\n",
|
||||
"\n",
|
||||
"col_rename = {\n",
|
||||
" 'normal_mean': 'Normal (mean)',\n",
|
||||
" 'normal_std': 'Normal (±1σ)',\n",
|
||||
" 'stress_mean': 'Stress (mean)',\n",
|
||||
" 'stress_std': 'Stress (±1σ)',\n",
|
||||
"}\n",
|
||||
"display_df = display_df.rename(columns=col_rename)\n",
|
||||
"\n",
|
||||
"display_df"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"## 6. Normal vs Stress Supply and Collateral Comparison"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"fig, axes = plt.subplots(1, 2, figsize=(16, 6))\n",
|
||||
"\n",
|
||||
"# --- Total collateral: normal vs stress ---\n",
|
||||
"ax = axes[0]\n",
|
||||
"fan_chart(ax, df_normal_sub, 'total_collateral_usd', runs_normal, '#2ecc71', 'Normal',\n",
|
||||
" mticker.FuncFormatter(lambda x, _: f'${x/1e6:.2f}M'))\n",
|
||||
"fan_chart(ax, df_stress, 'total_collateral_usd', runs_stress, '#e74c3c', 'Stress',\n",
|
||||
" mticker.FuncFormatter(lambda x, _: f'${x/1e6:.2f}M'))\n",
|
||||
"ax.axvline(30, color='gray', linestyle='--', alpha=0.6, label='Shock day 30')\n",
|
||||
"ax.set_xlabel('Timestep (day)')\n",
|
||||
"ax.set_ylabel('Total Collateral (USD)')\n",
|
||||
"ax.set_title('Total Collateral: Normal vs Stress')\n",
|
||||
"ax.legend(fontsize=8)\n",
|
||||
"\n",
|
||||
"# --- System CR: normal vs stress ---\n",
|
||||
"ax = axes[1]\n",
|
||||
"fan_chart(ax, df_normal_sub, 'system_cr', runs_normal, '#2ecc71', 'Normal')\n",
|
||||
"fan_chart(ax, df_stress, 'system_cr', runs_stress, '#e74c3c', 'Stress')\n",
|
||||
"ax.axhline(1.0, color='black', linestyle=':', alpha=0.6, label='CR = 1.0 (par)')\n",
|
||||
"ax.axvline(30, color='gray', linestyle='--', alpha=0.6, label='Shock day 30')\n",
|
||||
"ax.set_xlabel('Timestep (day)')\n",
|
||||
"ax.set_ylabel('System Collateral Ratio')\n",
|
||||
"ax.set_title('System CR: Normal vs Stress')\n",
|
||||
"ax.legend(fontsize=8)\n",
|
||||
"\n",
|
||||
"plt.tight_layout()\n",
|
||||
"plt.show()"
|
||||
]
|
||||
}
|
||||
]
|
||||
}
|
||||
|
|
@ -0,0 +1,406 @@
|
|||
senior_cr_param,mez_cr_param,volatility,staking_apy,sim,final_total_collateral,final_senior_cr,final_mez_cr,final_junior_cr,min_senior_cr,min_mez_cr,min_junior_cr,senior_underwater_days,mez_underwater_days,senior_yield,mez_yield,junior_yield,senior_losses,mez_losses,junior_losses
|
||||
1.2,1.05,0.3,0.03,0,723182.6900686854,-4.644876696664182,0.0002658294061013388,0.0,-4.645041080225827,0.0,0.0,284,343,9999.999999999938,17892.24413354125,1127.8327542933855,1958292.2322213955,267828.95141780266,151127.83275429328
|
||||
1.2,1.05,0.3,0.03,1,881528.6837454274,-4.487129592578308,0.0,0.0,-4.487129592578308,0.0,0.0,288,336,9999.999999999938,18533.201448869,1517.0529393977183,1905709.8641927724,268533.20144886867,151517.05293939766
|
||||
1.2,1.05,0.3,0.03,2,1197560.4017689829,-3.5492973146157487,0.0,0.0,-3.5492973146157487,0.0,0.0,301,345,9999.999999999938,16663.67698670151,1306.2886001233492,1593099.1048719143,266663.67698670126,151306.28860012346
|
||||
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1.2,1.05,0.9,0.04,3,2778400.4051040225,-63.26878141661039,0.0,0.0,-63.26878141661039,0.0,0.0,337,358,9999.999999999938,19047.619047618962,102284.7744686908,21499593.80553689,269047.6190476181,252284.77446869074
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1.2,1.2,0.3,0.03,2,1763386.2942673026,-6.165027520312582,0.0004383561643835616,0.0009253033661307286,-6.165191903874226,0.0,0.0,284,321,9999.999999999938,16666.666666666606,15381.405206151852,2465009.1734375316,266575.3424657533,165242.6097012322
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1.2,1.2,0.3,0.03,3,1490537.7150242822,-4.604457073263766,0.0006575342465753425,0.0009040236891646877,-4.6047036486062325,0.0,0.0,285,344,9999.999999999938,16666.666666666606,7599.986602513389,1944819.024421258,266529.6803652966,157464.38304913873
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1.2,1.2,0.3,0.03,4,1048914.9269729382,-4.347534989246468,0.0004383561643835616,0.0001337567062532371,-4.347699372808113,0.0,0.0,285,335,9999.999999999938,16666.639033217805,4049.875654560122,1859178.3297488247,266575.31483230484,154029.81214862192
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1.2,1.2,0.3,0.04,0,1217182.5227755997,-5.031177038774757,0.0,0.0,-5.031177038774757,0.0,0.0,284,339,9999.999999999938,16666.666666666606,17237.957178805664,2087059.0129249226,266666.6666666666,167237.9571788054
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1.2,1.2,0.3,0.04,1,948815.58106802,-3.925888381511747,0.0,0.0,-3.925888381511747,0.0,0.0,296,329,9999.999999999938,16666.666666666606,10998.540520448443,1718629.4605039153,266666.6666666668,160998.5405204483
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1.2,1.2,0.3,0.04,2,1004032.7735586304,-3.697532966697351,0.0,0.0,-3.697532966697351,0.0,0.0,281,330,9999.999999999938,16666.666666666606,10541.660855117156,1642510.9888991164,266666.6666666668,160541.66085511725
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1.2,1.2,0.3,0.04,3,534699.8269831865,-3.828716431757927,0.0,0.0,-3.828716431757927,0.0,0.0,302,343,9999.999999999938,15931.710409334932,4143.577651734896,1686238.810585974,265931.71040933527,154143.5776517349
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1.2,1.2,0.3,0.05,0,827684.6992429032,-3.785490551832436,0.0,0.0,-3.785490551832436,0.0,0.0,283,330,9999.999999999938,16666.666666666606,17537.93868438922,1671830.1839441452,266666.6666666665,167537.9386843893
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1.2,1.35,0.9,0.04,2,1004742.887747182,-21.270742355250807,0.0,0.0,-21.270742355250807,0.0,0.0,343,351,9999.999999999938,14814.814814814868,20761.488948491457,7500247.45175024,264814.81481481413,170761.48894849134
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||||
1.2,1.35,0.9,0.04,3,243201.81980443222,-10.349116139964831,0.0,0.0,-10.349116139964831,0.0,0.0,335,349,9919.107905434254,8274.219610411037,3835.625426534347,3859624.487893686,258274.21961041086,153835.62542653433
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||||
1.2,1.35,0.9,0.04,4,1080907.1611906078,-17.73679917249641,0.0,0.0,-17.73679917249641,0.0,0.0,346,356,9999.999999999938,14814.382350295627,13934.026729435029,6322266.3908321075,264814.3823502949,163934.02672943493
|
||||
1.2,1.35,0.9,0.05,0,465482.93250907504,-9.942301703583743,0.00034497256331970824,0.0,-9.942466087145387,0.0,0.0,337,352,9999.999999999938,9611.682933921275,6158.912143961336,3724100.5678612175,259547.79912589898,156158.91214396118
|
||||
1.2,1.35,0.9,0.05,1,669142.779856835,-14.75072330986399,0.0,0.0,-14.75072330986399,0.0,0.0,342,349,9999.999999999938,14759.906388229296,13670.997495340458,5326907.769954636,264759.9063882286,163670.99749534042
|
||||
1.2,1.35,0.9,0.05,2,265508.3737063394,-18.65593549719702,4.6699936193749586e-05,0.0,-18.65601768897784,0.0,0.0,339,354,9999.999999999938,14167.535996245924,26130.24872377794,6628645.165732306,264158.88785991335,176130.24872377794
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||||
1.2,1.35,0.9,0.05,3,387992.47570267145,-10.798869704571372,0.00024037032918690945,0.0,-10.799034088133014,0.0,0.0,349,358,9999.999999999938,13189.760816007994,6661.364518162168,4009623.234857108,263145.24779208424,156661.36451816215
|
||||
1.2,1.35,0.9,0.05,4,4467232.888230735,-19.50185346816305,0.0,0.0,-19.50185346816305,0.0,0.0,343,349,9999.999999999938,14814.814814814868,37571.47760928128,6910617.822720989,264814.8148148144,187571.47760928137
|
||||
1.5,1.05,0.3,0.03,0,1556240.6808194614,-6.534600488598989,0.0,0.0,-6.534600488598989,0.0,0.0,275,337,8000.000000000037,19042.827924113677,9734.570939097803,2150560.130293056,269042.827924113,159734.57093909767
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||||
1.5,1.05,0.3,0.03,1,1415512.5237311132,-5.291303213682694,0.0,0.0,-5.291303213682694,0.0,0.0,277,335,8000.000000000037,19047.619047618962,8036.2429578799465,1819014.1903153795,269047.6190476181,158036.24295787993
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||||
1.5,1.05,0.3,0.03,2,1299409.0711047743,-5.854406009391197,0.0006575342465753425,0.0005947240149781616,-5.854652584733662,0.0,0.0,269,344,8000.000000000037,19047.619047618962,5404.760474111172,1969174.9358376462,268891.0632746241,155315.55187186442
|
||||
1.5,1.05,0.3,0.03,3,843562.5433904909,-4.28205204174868,0.0,0.0,-4.28205204174868,0.0,0.0,286,341,8000.000000000037,17565.522387637888,407.66276369152104,1549880.5444663132,267565.52238763747,150407.66276369165
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||||
1.5,1.05,0.3,0.03,4,715112.3486046253,-4.5905259803025,0.00043743091989818626,0.0,-4.590772555644965,0.0,0.0,261,334,8000.000000000037,16377.720789338553,1466.611174449197,1632140.2614139935,266273.5705703146,151466.61117444924
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||||
1.5,1.05,0.3,0.04,0,752667.474317552,-4.568455439206858,0.0008767123287671233,0.00017672644471792485,-4.568784206330144,0.0,0.0,284,340,8000.000000000037,19047.619047618962,7662.390350009274,1626254.7837884915,268838.8780169593,157635.8813833016
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||||
1.5,1.05,0.3,0.04,1,925456.4701807607,-7.398426083315503,0.0010958904109589042,0.0008193003549060777,-7.39883704221961,0.0,0.0,275,340,8000.000000000037,19047.619047618962,20482.959924410025,2380913.6222174536,268786.69275929464,170360.06487117434
|
||||
1.5,1.05,0.3,0.04,2,1157008.7801997762,-8.16342526333971,0.0,0.0,-8.16342526333971,0.0,0.0,273,327,8000.000000000037,19047.619047618962,25426.537614449837,2584913.4035572466,269047.61904761824,175426.53761444986
|
||||
1.5,1.05,0.3,0.04,3,636088.5610851301,-4.65011088797133,0.00019879591817592484,0.0,-4.650193079752151,0.0,0.0,286,349,8000.000000000037,18919.500444592486,5856.110251266124,1648029.5701256837,268872.16808312153,155856.110251266
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||||
1.5,1.05,0.3,0.04,4,698027.5629483585,-5.321336867678038,0.0,0.0,-5.321336867678038,0.0,0.0,273,333,8000.000000000037,19042.861217146932,9775.320657751356,1827023.1647141355,269042.8612171461,159775.32065775152
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||||
1.5,1.05,0.3,0.05,0,918460.3301618433,-6.40134906497799,0.0,0.0,-6.40134906497799,0.0,0.0,284,333,8000.000000000037,19047.619047618962,25205.223375871345,2115026.417327452,269047.6190476181,175205.2233758716
|
||||
1.5,1.05,0.3,0.05,1,726164.9082303136,-4.688688805398377,0.0,0.0,-4.688688805398377,0.0,0.0,285,336,8000.000000000037,19047.619047618962,16471.59509769693,1658317.0147728957,269047.6190476182,166471.59509769696
|
||||
1.5,1.05,0.3,0.05,2,678423.4401907653,-4.138094765405265,0.0,0.0,-4.138094765405265,0.0,0.0,271,347,8000.000000000037,19047.619047618962,12398.290088731152,1511491.9374414014,269047.6190476181,162398.29008873107
|
||||
1.5,1.05,0.3,0.05,3,1271460.149017174,-6.6250385488202745,0.0,0.0,-6.6250385488202745,0.0,0.0,281,337,8000.000000000037,19047.619047618962,33059.64609519373,2174676.9463520655,269047.6190476181,183059.64609519363
|
||||
1.5,1.05,0.3,0.05,4,758195.2479590522,-4.790919591806149,0.00043835616438356166,0.00036455798466775396,-4.791083975367792,0.0,0.0,287,342,8000.000000000037,19047.619047618962,17145.99559098996,1685578.5578149685,268943.24853228877,167091.31189328985
|
||||
1.5,1.05,0.6,0.03,0,1316067.4354421399,-15.273276893850875,0.0,0.0,-15.273276893850875,0.0,0.0,313,351,8000.000000000037,18791.482458732164,7224.666184462879,4480873.838360254,268791.48245873145,157224.66618446293
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||||
1.5,1.05,0.6,0.03,1,1075733.7569897245,-17.334531352164618,0.0,0.0,-17.334531352164618,0.0,0.0,313,353,8000.000000000037,19010.11969161172,9023.201192931661,5030541.693910575,269010.119691611,159023.20119293148
|
||||
1.5,1.05,0.6,0.03,2,839841.6918195641,-15.702062278343204,0.0,0.0,-15.702062278343204,0.0,0.0,327,346,8000.000000000037,18925.018583318983,6464.958491151186,4595216.607558208,268925.0185833183,156464.9584911513
|
||||
1.5,1.05,0.6,0.03,3,476766.54737223644,-11.293642006839773,7.098321639377294e-05,0.0,-11.293724198620597,0.0,0.0,332,350,8000.000000000037,12751.878121102676,1408.3472864751027,3419637.8684906163,262734.97735529434,151408.34728647507
|
||||
1.5,1.05,0.6,0.03,4,490532.83867654327,-8.80841386509164,0.0,0.0,-8.80841386509164,0.0,0.0,319,355,8000.000000000037,10918.987665138706,751.8768341804767,2756910.364024428,260918.98766513835,150751.87683418047
|
||||
1.5,1.05,0.6,0.04,0,1155171.1302780397,-18.75117814649529,0.0,0.0,-18.75117814649529,0.0,0.0,317,351,8000.000000000037,19047.619047618962,23742.898058889466,5408314.172398738,269047.6190476182,173742.89805888943
|
||||
1.5,1.05,0.6,0.04,1,760683.4652672441,-14.069073241341087,0.00021917808219178083,5.497532957431062e-05,-14.069155433121908,0.0,0.0,326,341,8000.000000000037,19047.619047618962,12845.250318211172,4159752.86435763,268995.4337899535,162837.004018775
|
||||
1.5,1.05,0.6,0.04,2,1021491.981479884,-11.006315528915051,0.00021917808219178083,0.0002113565863917409,-11.006397720695874,0.0,0.0,328,352,8000.000000000037,18943.738801026695,5998.718719211699,3343017.4743773495,268891.55354336114,155967.01523125297
|
||||
1.5,1.05,0.6,0.04,3,1261402.0359845348,-17.642831104250195,0.0,0.0,-17.642831104250195,0.0,0.0,319,356,8000.000000000037,19047.619047618962,22015.925493208077,5112754.961133392,269047.6190476181,172015.92549320814
|
||||
1.5,1.05,0.6,0.04,4,665951.0308909356,-10.348086020904393,0.0005709239994424006,0.0,-10.34833259624686,0.0,0.0,337,352,8000.000000000037,18584.978435970435,3095.3554281429797,3167489.6055745054,268449.0441503886,153095.35542814288
|
||||
1.5,1.05,0.6,0.05,0,2393275.5099155013,-25.746563675741225,0.0006575342465753425,0.0048967012087317505,-25.746810251083687,0.0,0.0,305,347,8000.000000000037,19047.619047618962,64274.11285249015,7273750.313530981,268891.063274624,213539.60767118036
|
||||
1.5,1.05,0.6,0.05,1,738240.6771130381,-11.2510003918196,0.0,0.0,-11.2510003918196,0.0,0.0,318,354,8000.000000000037,19047.619047618962,13621.30393224723,3408266.771151892,269047.61904761806,163621.30393224736
|
||||
1.5,1.05,0.6,0.05,2,782788.6058307724,-9.892118176326496,0.0,0.0,-9.892118176326496,0.0,0.0,326,357,8000.000000000037,18620.56821008043,9675.757353082132,3045898.1803537295,268620.56821007986,159675.7573530822
|
||||
1.5,1.05,0.6,0.05,3,522474.24356698553,-9.609506019452562,0.0,0.0,-9.609506019452562,0.0,0.0,334,362,8000.000000000037,19038.18905213936,9315.467381887065,2970534.938520685,269038.1890521386,159315.46738188702
|
||||
1.5,1.05,0.6,0.05,4,1078898.1663543058,-10.839559712308889,0.0,0.0,-10.839559712308889,0.0,0.0,316,356,8000.000000000037,19047.619047618962,15624.112670206958,3298549.2566157035,269047.61904761824,165624.11267020687
|
||||
1.5,1.05,0.9,0.03,0,1389387.8734933813,-44.61276793408683,0.00021917808219178083,0.0002484875937277708,-44.61285012586766,0.0,0.0,343,357,8000.000000000037,19047.619047618962,26973.778880370755,12304738.1157565,268995.43378995353,176936.50574131185
|
||||
1.5,1.05,0.9,0.03,1,414432.2991074248,-16.75164416041526,4.706771939561011e-05,0.0,-16.75172635219608,0.0,0.0,337,355,8000.000000000037,13161.038524371534,189.70183891541987,4875105.109444076,263149.83192451537,150189.70183891535
|
||||
1.5,1.05,0.9,0.03,2,1074059.1632776218,-27.714269830313803,0.0,0.0,-27.714269830313803,0.0,0.0,340,351,8000.000000000037,18874.805815720865,9314.835105664632,7798471.954750309,268874.80581572035,159314.83510566477
|
||||
1.5,1.05,0.9,0.03,3,4696544.257537193,-53.98654207583049,0.0,0.0,-53.98654207583049,0.0,0.0,337,359,8000.000000000037,19039.300532449433,53064.126386156255,14804411.220221503,269039.30053244875,203064.12638615628
|
||||
1.5,1.05,0.9,0.03,4,176092.12091924946,-11.760323796476202,0.0,0.0,-11.760429533583794,0.0,0.0,319,356,7466.226990230613,7655.645242024988,1048.6543586539417,3543552.572717221,257655.64524202474,151048.65435865396
|
||||
1.5,1.05,0.9,0.04,0,563195.35002023,-13.086570695998185,0.0,0.0,-13.086570695998185,0.0,0.0,342,359,8000.000000000037,14460.935397139474,1245.8747183300422,3897752.185599532,264460.93539713946,151245.87471833007
|
||||
1.5,1.05,0.9,0.04,1,465960.5127057664,-20.383800001344362,0.0002315284327615302,0.0,-20.383964384906005,0.0,0.0,328,353,8000.000000000037,17543.626833447615,8760.44099408486,5843680.000358486,267488.50101612316,158760.44099408484
|
||||
1.5,1.05,0.9,0.04,2,188781.84133201762,-13.605294975423028,0.0,0.0,-13.605508934060353,0.0,0.0,341,360,7971.3660887153665,14083.377938984171,2080.1932922953793,4036050.02620154,264083.37793898373,152080.19329229544
|
||||
1.5,1.05,0.9,0.04,3,2118056.8840389303,-37.635237411217226,0.00021917808219178083,0.0009134463143500212,-37.63531960299805,0.0,0.0,336,351,8000.000000000037,19047.619047618962,39550.39549618596,10444063.30965793,268995.4337899535,189413.37854903354
|
||||
1.5,1.05,0.9,0.04,4,1772608.9090241664,-26.038995851138377,0.0,0.0,-26.038995851138377,0.0,0.0,334,353,8000.000000000037,19031.5140146984,20385.85789672946,7351732.2269702125,269031.51401469775,170385.85789672937
|
||||
1.5,1.05,0.9,0.05,0,699009.745985998,-11.808606167696281,0.0,0.0,-11.808606167696281,0.0,0.0,339,353,8000.000000000037,15237.976332466846,5876.045037450592,3556961.6447190056,265237.9763324667,155876.0450374506
|
||||
1.5,1.05,0.9,0.05,1,1045667.6371680482,-18.93861071099277,0.0,0.0,-18.93861071099277,0.0,0.0,333,352,8000.000000000037,19047.619047618962,17322.20657591106,5458296.189598071,269047.6190476182,167322.20657591123
|
||||
1.5,1.05,0.9,0.05,2,1638488.8878845787,-45.88352927881007,0.00043835616438356166,0.0019377637191552988,-45.883693662371726,0.0,0.0,334,354,8000.000000000037,19047.619047618962,74630.39709417163,12643607.807682725,268943.24853228877,224339.7325362987
|
||||
1.5,1.05,0.9,0.05,3,968541.122571217,-23.43100465416412,0.0,0.0,-23.43100465416412,0.0,0.0,334,356,8000.000000000037,19045.442959266555,26064.050804935145,6656267.907777081,269045.4429592658,176064.05080493513
|
||||
1.5,1.05,0.9,0.05,4,400647.35398413555,-28.36642418883304,0.0,0.0,-28.36642418883304,0.0,0.0,337,363,8000.000000000037,18574.745668898526,31266.225585845015,7972379.783688757,268574.74566889793,181266.2255858449
|
||||
1.5,1.2,0.3,0.03,0,946534.010595094,-4.761780110397202,0.0004383561643835616,0.00012625741606355254,-4.761944493958845,0.0,0.0,290,332,8000.000000000037,15838.213222556065,3673.6457075787666,1677808.0294392486,265746.88902164303,153654.70709516908
|
||||
1.5,1.2,0.3,0.03,1,962386.6094379954,-5.536864376796582,0.0,0.0,-5.536864376796582,0.0,0.0,292,330,8000.000000000037,16632.977944180366,4498.7864190992095,1884497.167145749,266632.97794418025,154498.78641909937
|
||||
1.5,1.2,0.3,0.03,2,913222.38363442,-5.082978559514056,0.0002191780821917808,4.3026783538614e-05,-5.083060751294878,0.0,0.0,294,337,8000.000000000037,16666.666666666606,3342.7470768509866,1763460.949203743,266621.0045662097,153336.29305932007
|
||||
1.5,1.2,0.3,0.03,3,803996.9484213659,-7.195022614362067,0.00041915768635780097,0.0,-7.1951869979237095,0.0,0.0,283,336,8000.000000000037,16592.963270530356,6708.485202464643,2326672.697163204,266505.63875253935,156708.48520246474
|
||||
1.5,1.2,0.3,0.03,4,713761.2415970223,-4.696605763485099,0.0016378462147966066,0.0,-4.697509873074136,0.0,0.0,282,325,8000.000000000037,14274.408235243794,2499.9190332891962,1660428.2035960213,263933.1902738284,152499.9190332892
|
||||
1.5,1.2,0.3,0.04,0,577255.045576122,-4.179458139688069,0.0001959063239256192,0.0,-4.17954033146889,0.0,0.0,298,340,8000.000000000037,16620.87941177596,5703.2827812646365,1522522.1705834824,266580.06559429155,155703.28278126454
|
||||
1.5,1.2,0.3,0.04,1,1418628.2019566656,-5.9139018283330795,0.0002191780821917808,0.0005826977456796099,-5.913984020113901,0.0,0.0,281,344,8000.000000000037,16666.666666666606,19758.859359438487,1985040.48755548,266621.00456621026,169671.45469758657
|
||||
1.5,1.2,0.3,0.04,2,891754.8444935158,-5.0506134407932,0.0002191780821917808,0.00018815372415298013,-5.050695632574022,0.0,0.0,276,330,8000.000000000037,16666.666666666606,14934.25846615719,1754830.2508781804,266621.0045662099,164906.0354075344
|
||||
1.5,1.2,0.3,0.04,3,1001919.7627163188,-6.385456957322971,0.0,0.0,-6.385456957322971,0.0,0.0,280,333,8000.000000000037,16666.666666666606,17430.931429427557,2110788.5219527823,266666.6666666665,167430.93142942752
|
||||
1.5,1.2,0.3,0.04,4,861886.1573836216,-4.8916406665235765,0.0,0.0,-4.8916406665235765,0.0,0.0,277,333,8000.000000000037,16666.666666666606,10552.127945434324,1712437.511072948,266666.6666666664,160552.12794543448
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||||
1.5,1.2,0.3,0.05,0,1127666.7031723012,-4.586399806343214,0.0,0.0,-4.586399806343214,0.0,0.0,284,337,8000.000000000037,16666.666666666606,20879.57534076999,1631039.9483581875,266666.666666667,170879.5753407702
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||||
1.5,1.2,0.3,0.05,1,901195.2570889692,-5.24543649334244,0.0,0.0,-5.24543649334244,0.0,0.0,291,343,8000.000000000037,16666.666666666606,21289.478691762208,1806783.06489131,266666.66666666657,171289.47869176223
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||||
1.5,1.2,0.3,0.05,2,777237.2300747717,-4.998093458166269,0.0006575342465753425,0.0007445350142605319,-4.998340033508734,0.0,0.0,276,334,8000.000000000037,16666.666666666606,21201.191277855192,1740824.9221776673,266529.68036529684,171089.51102571623
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||||
1.5,1.2,0.3,0.05,3,936277.5222103996,-5.467803913615824,0.0,0.0,-5.467803913615824,0.0,0.0,283,339,8000.000000000037,16666.666666666606,24830.45695463148,1866081.0436308775,266666.66666666645,174830.45695463146
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||||
1.5,1.2,0.3,0.05,4,1070063.9243362187,-6.464162905627517,0.0002191780821917808,0.0005170749073318563,-6.464245097408338,0.0,0.0,268,323,8000.000000000037,16666.666666666606,29729.620236477043,2131776.774833997,266621.00456621026,179652.05900037728
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||||
1.5,1.2,0.6,0.03,0,608487.154954647,-9.95379400613374,0.0,0.0,-9.95379400613374,0.0,0.0,328,353,8000.000000000037,12264.299234454144,208.21115672108604,3062345.0683023296,262264.2992344543,150208.21115672114
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||||
1.5,1.2,0.6,0.03,1,362807.0933184791,-7.928597005037327,3.5491634965039596e-05,0.0,-7.92867919681815,0.0,0.0,327,350,8000.000000000037,9494.933101903378,777.5032264639748,2522292.5346766068,259487.53901128567,150777.50322646392
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1.5,1.2,0.6,0.03,2,378307.01180077705,-9.67792321788573,0.0,0.0,-9.67792321788573,0.0,0.0,330,353,8000.000000000037,11152.95054192094,315.4197123946785,2988779.524769529,261152.950541921,150315.4197123947
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1.5,1.2,0.6,0.03,3,709375.5764363955,-14.134785872887997,0.0,0.0,-14.134785872887997,0.0,0.0,314,353,8000.000000000037,16207.086297234284,5549.953007152035,4177276.232770143,266207.08629723446,155549.95300715204
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1.5,1.2,0.6,0.03,4,415777.95696349686,-12.58226762372965,0.0,0.0,-12.58226762372965,0.0,0.0,313,353,8000.000000000037,12816.945367154127,3020.9144931090887,3763271.3663279256,262816.9453671545,153020.914493109
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1.5,1.2,0.6,0.04,0,599712.0322624412,-14.12160781391487,0.0,0.0,-14.12160781391487,0.0,0.0,324,351,8000.000000000037,16666.263220900102,14080.279571520527,4173762.0837106453,266666.2632208998,164080.27957152048
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1.5,1.2,0.6,0.04,1,1221044.0270078303,-9.239273856851826,0.0002191780821917808,0.0004237528068684683,-9.239356048632649,0.0,0.0,323,350,8000.000000000037,16185.96079183664,5988.471193790574,2871806.361827147,266140.2986913798,155924.9082727604
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1.5,1.2,0.6,0.04,2,440252.6276865581,-8.315464558379391,0.00011463072873141719,0.0,-8.315546750160214,0.0,0.0,320,358,8000.000000000037,13374.100756361728,2342.9794855601704,2625457.215567826,263350.21935454296,152342.97948556012
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1.5,1.2,0.6,0.04,3,337172.8494754195,-7.694883020760406,0.00012755521803197147,0.0,-7.6950474043220485,0.0,0.0,326,353,8000.000000000037,13111.149567392982,1331.3830607978507,2459968.805536093,263084.5755636368,151331.3830607979
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1.5,1.2,0.6,0.04,4,980943.5441840324,-9.135646768325516,0.0,0.0,-9.135646768325516,0.0,0.0,326,351,8000.000000000037,16564.34341268135,4159.756806469216,2844172.471553465,266564.34341268125,154159.75680646914
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1.5,1.2,0.6,0.05,0,469440.84919701493,-6.705434659966644,0.0,0.0,-6.705434659966644,0.0,0.0,333,357,8000.000000000037,13452.990261379988,3264.4915988651237,2196115.909324427,263452.9902613802,153264.49159886522
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1.5,1.2,0.6,0.05,1,564381.684556633,-15.443369461272908,0.0,0.0,-15.443369461272908,0.0,0.0,317,342,8000.000000000037,16666.666666666606,27469.322606787817,4526231.856339464,266666.6666666667,177469.32260678787
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1.5,1.2,0.6,0.05,2,619987.7152829854,-15.980168926056107,0.0,0.0,-15.980168926056107,0.0,0.0,328,358,8000.000000000037,16666.666666666606,27600.414324093916,4669378.380281647,266666.66666666657,177600.41432409387
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||||
1.5,1.2,0.6,0.05,3,410375.4139108513,-7.73489437216489,0.0,0.0,-7.73489437216489,0.0,0.0,324,343,8000.000000000037,14855.679642352396,6348.921767709143,2470638.4992439575,264855.67964235257,156348.92176770914
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1.5,1.2,0.6,0.05,4,2255607.4021828473,-29.426311253982554,0.0,0.0,-29.426311253982554,0.0,0.0,305,350,8000.000000000037,16666.666666666606,71511.40740349864,8255016.334395332,266666.66666666657,221511.40740349877
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||||
1.5,1.2,0.9,0.03,0,810105.7383861233,-26.19524670718481,0.0,0.0,-26.19524670718481,0.0,0.0,342,357,8000.000000000037,15788.316955842365,11076.117039660137,7393399.121915927,265788.3169558419,161076.1170396601
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1.5,1.2,0.9,0.03,1,668600.7364374711,-21.727097716491215,0.00031138516743105786,0.0,-21.727262100052855,0.0,0.0,341,351,8000.000000000037,15668.660500067776,5010.91983553225,6201892.724397637,265603.7885901866,155010.91983553226
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1.5,1.2,0.9,0.03,2,5345733.570778483,-41.523160881502626,0.0004383561643835616,0.004372271609563424,-41.52332526506427,0.0,0.0,331,346,8000.000000000037,16666.666666666606,35830.74488430198,11480842.901734035,266575.34246575355,185174.9041428673
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1.5,1.2,0.9,0.03,3,507753.36085304513,-16.28908598527629,0.0,0.0,-16.28908598527629,0.0,0.0,334,358,8000.000000000037,12705.86778609392,1412.9111204219605,4751756.262740363,262705.86778609426,151412.91112042195
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||||
1.5,1.2,0.9,0.03,4,339836.2591704129,-22.541505644852514,4.280378451073776e-05,0.0,-22.541670028414153,0.0,0.0,343,356,8000.000000000037,13623.920370535907,5445.642206616107,6419068.171960642,263615.00291543006,155445.64220661612
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1.5,1.2,0.9,0.04,0,294729.06627007603,-15.52415613651271,7.704565428260535e-05,0.0,-15.524320520074355,0.0,0.0,330,357,8000.000000000037,14390.822754440442,4766.256606059883,4547774.96973674,264374.7715764653,154766.2566060598
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1.5,1.2,0.9,0.04,1,6916964.057683902,-105.76433216216726,0.0,0.0,-105.76433216216726,0.0,0.0,334,354,8000.000000000037,16666.666666666606,158668.22457001265,28611821.90991136,266666.66666666645,308668.2245700126
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1.5,1.2,0.9,0.04,2,1799154.7879353282,-44.27188924994279,0.0002191780821917808,0.0007795027378604141,-44.271971441723615,0.0,0.0,320,348,8000.000000000037,16666.666666666606,50597.52103320238,12213837.133318108,266621.00456621,200480.5956225232
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1.5,1.2,0.9,0.04,3,549105.241247123,-19.649022327906057,0.0005101646555797076,0.0,-19.649268903248515,0.0,0.0,338,362,8000.000000000037,13926.23076091346,9351.677330626713,5647739.287441592,263819.9464576676,159351.67733062673
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1.5,1.2,0.9,0.04,4,1042855.2152466855,-24.53020092082213,0.0,0.0,-24.53020092082213,0.0,0.0,335,350,8000.000000000037,16666.666666666606,20023.46503607245,6949386.912219217,266666.6666666665,170023.46503607236
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||||
1.5,1.2,0.9,0.05,0,1408675.0374948522,-34.14262544344094,0.0002191780821917808,0.0007938967023866718,-34.14270763522176,0.0,0.0,338,354,8000.000000000037,16666.666666666606,45839.39160815189,9512700.118250905,266621.00456620974,195720.3071027938
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1.5,1.2,0.9,0.05,1,1422634.644566752,-26.642713560103026,0.0,0.0,-26.642713560103026,0.0,0.0,336,361,8000.000000000037,16666.666666666606,34308.22624949403,7512723.616027439,266666.66666666645,184308.22624949404
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||||
1.5,1.2,0.9,0.05,2,2019819.5516681473,-25.33583018227915,0.0,0.0,-25.33583018227915,0.0,0.0,334,345,8000.000000000037,16666.666666666606,37074.81407905732,7164221.381941078,266666.66666666645,187074.8140790572
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||||
1.5,1.2,0.9,0.05,3,148949.71547205446,-5.698740340851294,0.0,0.0,-5.699018349863049,0.0,0.0,341,357,7787.523615986246,4990.394036373969,1347.6416636213894,1927451.6145096575,254990.3940363741,151347.64166362144
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1.5,1.2,0.9,0.05,4,454223.8232668773,-15.938837483804818,0.00033310171117284894,0.0,-15.93900186736646,0.0,0.0,331,348,8000.000000000037,16353.979926739683,10740.589807800437,4658356.662347966,266284.58373691206,160740.5898078006
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1.5,1.35,0.3,0.03,0,631643.2960649228,-3.4413416859764685,0.00015870351674606895,0.0,-3.4414238777572903,0.0,0.0,274,339,8000.000000000037,11981.739119501412,560.4188822756425,1325691.1162603898,261952.34957936293,150560.41888227564
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1.5,1.35,0.3,0.03,1,1012754.5593683904,-5.860194814788562,0.0,0.0,-5.860194814788562,0.0,0.0,285,342,8000.000000000037,14814.814814814868,7004.357437467113,1970718.6172769428,264814.81481481425,157004.35743746706
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1.5,1.35,0.3,0.03,2,1490650.96894021,-7.468316780308536,0.00021917808219178083,0.0003974199423816753,-7.468398972089358,0.0,0.0,271,321,8000.000000000037,14814.814814814868,18365.035241231486,2399551.141415601,264774.22628107463,168305.42224987413
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1.5,1.35,0.3,0.03,3,778178.6986098213,-3.8154966962781383,0.00021917808219178083,2.0039439662870963e-06,-3.81557888805896,0.0,0.0,279,330,8000.000000000037,14071.204730829995,1956.82420706993,1425465.7856741697,264030.6161970903,151956.52361547502
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1.5,1.35,0.3,0.03,4,1190847.7776240157,-5.061137264269021,0.0,0.0,-5.061137264269021,0.0,0.0,290,341,8000.000000000037,14814.814814814868,6582.649880348233,1757636.603805066,264814.8148148144,156582.64988034812
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1.5,1.35,0.3,0.04,0,1113604.3654260691,-5.847383124298679,0.0,0.0,-5.847383124298679,0.0,0.0,251,317,8000.000000000037,14814.814814814868,25787.074644572804,1967302.1664796409,264814.8148148139,175787.074644573
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1.5,1.35,0.3,0.04,1,974515.2665810507,-5.5019672925518135,0.0,0.0,-5.5019672925518135,0.0,0.0,280,330,8000.000000000037,14814.814814814868,18011.69442164347,1875191.2780138121,264814.814814814,168011.69442164362
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1.5,1.35,0.3,0.04,2,914344.114566487,-5.487994562018326,0.0,0.0,-5.487994562018326,0.0,0.0,285,324,8000.000000000037,14814.814814814868,16509.212171907602,1871465.216538214,264814.8148148141,166509.21217190765
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1.5,1.35,0.3,0.04,3,687136.7739128623,-3.7319142282166444,0.0,0.0,-3.7319142282166444,0.0,0.0,276,338,8000.000000000037,14783.358393770142,6781.819907541108,1403177.1275244388,264783.3583937691,156781.81990754107
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1.5,1.35,0.3,0.04,4,1133422.927244048,-4.808712976662104,0.0,0.0,-4.808712976662104,0.0,0.0,265,326,8000.000000000037,14814.814814814868,19200.93837514843,1690323.460443225,264814.8148148138,169200.9383751485
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1.5,1.35,0.3,0.05,0,1422865.185194782,-7.560289775362507,0.0,0.0,-7.560289775362507,0.0,0.0,256,332,8000.000000000037,14814.814814814868,42392.650120682876,2424077.2734299903,264814.81481481413,192392.6501206828
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1.5,1.35,0.3,0.05,1,1101175.1382291422,-6.7732582047387835,0.0,0.0,-6.7732582047387835,0.0,0.0,271,334,8000.000000000037,14814.814814814868,33844.96880877283,2214202.1879303325,264814.8148148141,183844.96880877312
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1.5,1.35,0.3,0.05,2,1465075.6049418943,-6.949286270823134,0.0,0.0,-6.949286270823134,0.0,0.0,277,321,8000.000000000037,14814.814814814868,40779.61429569536,2261143.005552826,264814.8148148142,190779.6142956955
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1.5,1.35,0.3,0.05,3,1076470.4977890023,-5.8539381715743275,0.0,0.0,-5.8539381715743275,0.0,0.0,292,334,8000.000000000037,14814.814814814868,28766.86157044975,1969050.1790864822,264814.814814814,178766.8615704496
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||||
1.5,1.35,0.3,0.05,4,699412.260627944,-4.745432879247275,0.00021917808219178083,0.0002194869735573492,-4.745515071028096,0.0,0.0,275,336,8000.000000000037,14814.814814814868,20458.202869341785,1673448.767799268,264774.22628107463,170425.27982330823
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1.5,1.35,0.6,0.03,0,1605210.207797326,-24.553909244850264,0.0,0.0,-24.553909244850264,0.0,0.0,322,337,8000.000000000037,14814.814814814868,30710.781393628786,6955709.131960045,264814.8148148141,180710.78139362892
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||||
1.5,1.35,0.6,0.03,1,374440.741454043,-12.551484369838478,0.0,0.0,-12.551484369838478,0.0,0.0,315,349,8000.000000000037,11793.625903423048,5839.30023393191,3755062.498623609,261793.62590342277,155839.30023393183
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1.5,1.35,0.6,0.03,2,511997.4182964579,-8.18268583657117,0.00020866322167459932,0.0,-8.182850220132815,0.0,0.0,330,348,8000.000000000037,9210.819784194608,683.3581156053941,2590049.5564189646,259172.17844684722,150683.35811560546
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1.5,1.35,0.6,0.03,3,1989105.7775826794,-18.792670457232152,0.0,0.0,-18.792670457232152,0.0,0.0,326,344,8000.000000000037,14814.814814814868,18937.36844309185,5419378.788595235,264814.81481481425,168937.36844309152
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||||
1.5,1.35,0.6,0.03,4,371618.76003334986,-7.9195160865133944,8.877921675388277e-05,0.0,-7.91968047007504,0.0,0.0,333,354,8000.000000000037,7910.416953544193,307.6269670516602,2519870.956403558,257893.97635784888,150307.62696705174
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1.5,1.35,0.6,0.04,0,1996255.5256184838,-17.299916307218346,0.0,0.0,-17.299916307218346,0.0,0.0,324,347,8000.000000000037,14814.814814814868,31119.26003396007,5021311.015258227,264814.81481481425,181119.2600339599
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1.5,1.35,0.6,0.04,1,1802386.812920105,-15.359471363211695,0.0019726027397260278,0.006704010095173311,-15.360211089239098,0.0,0.0,325,356,8000.000000000037,14814.814814814868,21667.020328097384,4503859.030189799,264449.5180111612,170661.41881382134
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1.5,1.35,0.6,0.04,2,516042.8579373668,-12.930226258325543,0.0,0.0,-12.930226258325543,0.0,0.0,331,346,8000.000000000037,14786.178274578848,10051.059523392974,3856060.3355534864,264786.1782745781,160051.059523393
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1.5,1.35,0.6,0.04,3,2361052.128191812,-18.73156085745603,0.00043835616438356166,0.0025339888137851,-18.73172524101767,0.0,0.0,326,353,8000.000000000037,14814.814814814868,34060.70698661178,5403082.895321608,264733.6377473359,183680.60866454398
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1.5,1.35,0.6,0.04,4,700288.7669670478,-11.430315824126081,0.00043835616438356166,0.0001617389678654618,-11.430480207687726,0.0,0.0,326,356,8000.000000000037,14814.135543804992,9711.051202284256,3456084.2197669586,264732.9584763258,159686.7903571043
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1.5,1.35,0.6,0.05,0,2568608.792068357,-22.92158052273063,0.0,0.0,-22.92158052273063,0.0,0.0,310,348,8000.000000000037,14814.814814814868,66072.57782441196,6520421.472728163,264814.814814814,216072.57782441194
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1.5,1.35,0.6,0.05,1,692207.364603816,-12.132231904750984,0.00021917808219178083,0.00019193105012894597,-12.132314096531806,0.0,0.0,338,354,8000.000000000037,14814.814814814868,16761.284785632084,3643261.8412669427,264774.2262810749,166732.49512811276
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1.5,1.35,0.6,0.05,2,811481.545939305,-11.599218143923393,0.0,0.0,-11.599218143923393,0.0,0.0,312,351,8000.000000000037,14814.814814814868,19504.768730161133,3501124.838379572,264814.81481481425,169504.768730161
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1.5,1.35,0.6,0.05,3,1564451.7342416807,-13.077554485249367,0.0,0.0,-13.077554485249367,0.0,0.0,319,349,8000.000000000037,14814.814814814868,25935.688427223115,3895347.8627331746,264814.81481481413,175935.68842722292
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|
||||
1.8,1.35,0.6,0.03,1,587330.2845657218,-11.684995132860692,0.000474763204483776,0.0,-11.685241708203161,0.0,0.0,326,345,6666.666666666613,13094.565198472066,1715.3392338866363,3003332.2517468296,263006.6460865305,151715.33923388654
|
||||
1.8,1.35,0.6,0.03,2,1519369.60554616,-19.104895966957706,0.0,0.0,-19.104895966957706,0.0,0.0,311,342,6666.666666666613,14814.814814814868,14293.735417761596,4652199.103768401,264814.814814814,164293.73541776167
|
||||
1.8,1.35,0.6,0.03,3,351012.4268370521,-10.09407987298389,0.0,0.0,-10.09407987298389,0.0,0.0,318,349,6666.666666666613,12175.496868113014,818.8233617245971,2649795.5273297536,262175.4968681129,150818.82336172464
|
||||
1.8,1.35,0.6,0.03,4,503325.57484739675,-10.404161691532474,0.0003480182692502867,0.0,-10.404408266874944,0.0,0.0,316,349,6666.666666666613,12147.252384330606,938.5239823973633,2718702.598118334,262082.8045566913,150938.52398239743
|
||||
1.8,1.35,0.6,0.04,0,669731.1102016576,-13.7188467774374,0.00043835616438356166,0.00015833774172915838,-13.719011160999047,0.0,0.0,322,345,6666.666666666613,14647.999269001884,8941.612657969099,3455299.2838749904,264566.82220152294,158917.86199670975
|
||||
1.8,1.35,0.6,0.04,1,761170.0347950751,-21.610560176989843,0.00021917808219178083,0.00015183083483304478,-21.610642368770666,0.0,0.0,331,344,6666.666666666613,14814.814814814868,26636.57750033467,5209013.372664438,264774.2262810748,176613.80287510992
|
||||
1.8,1.35,0.6,0.04,2,1744038.973657655,-24.664312574173433,0.0,0.0,-24.664312574173433,0.0,0.0,320,347,6666.666666666613,14814.814814814868,36540.108874408186,5887625.016483014,264814.81481481425,186540.1088744083
|
||||
1.8,1.35,0.6,0.04,3,2536813.146579581,-21.341947882214416,0.0006575342465753425,0.0037681663458465457,-21.342194457556886,0.0,0.0,323,347,6666.666666666613,14814.814814814868,32258.811117260393,5149321.751603217,264693.04921359645,181693.58616538337
|
||||
1.8,1.35,0.6,0.04,4,578016.4639838756,-11.366203512730019,0.0008493082992896547,3.5567178709702933e-05,-11.366532279853311,0.0,0.0,322,346,6666.666666666613,14536.403034203215,6786.992318172011,2932489.6694955705,264379.1237195193,156781.65724136555
|
||||
1.8,1.35,0.6,0.05,0,485979.55025350663,-11.747870605235166,0.0006575342465753425,0.00011378633739042958,-11.748117180577633,0.0,0.0,323,339,6666.666666666613,14221.89845460292,13685.421650940318,3017304.5789411655,264100.13285338465,163668.35370033176
|
||||
1.8,1.35,0.6,0.05,1,1555875.4443079163,-13.19158370435521,0.0008767123287671233,0.0037624943148634217,-13.191912471478501,0.0,0.0,317,341,6666.666666666613,14814.814814814868,23773.970316901814,3338129.71207894,264652.46067985723,173209.59616967244
|
||||
1.8,1.35,0.6,0.05,2,1940817.420499776,-22.45017747416438,0.00021917808219178083,0.0013426998171960196,-22.4502596659452,0.0,0.0,327,348,6666.666666666613,14814.814814814868,48076.34575351809,5395594.994258774,264774.226281075,197874.94078093872
|
||||
1.8,1.35,0.6,0.05,3,618243.6957547516,-9.192978155925353,0.0006575342465753425,0.0004622822272580322,-9.193224731267819,0.0,0.0,325,347,6666.666666666613,14799.553316576748,8553.320810236288,2449550.7013167394,264677.78771535825,158483.9784761477
|
||||
1.8,1.35,0.6,0.05,4,960141.9729707815,-25.038293347132154,0.00043835616438356166,0.0009212093847096257,-25.0384577306938,0.0,0.0,312,347,6666.666666666613,14814.814814814868,49203.17715908641,5970731.854918285,264733.63774733554,199064.9957513797
|
||||
1.8,1.35,0.9,0.03,0,885245.2390115751,-15.624354373527861,0.0,0.0,-15.624354373527861,0.0,0.0,333,349,6666.666666666613,11360.177407430983,798.8111340385448,3878745.416339543,261360.17740743083,150798.8111340386
|
||||
1.8,1.35,0.9,0.03,1,1614488.2833603332,-32.59628047483969,0.0,0.0,-32.59628047483969,0.0,0.0,328,355,6666.666666666613,14814.814814814868,18261.856738174964,7650284.549964417,264814.81481481425,168261.85673817483
|
||||
1.8,1.35,0.9,0.03,2,1011742.2365259717,-51.426670790869736,0.0,0.0,-51.426670790869736,0.0,0.0,338,357,6666.666666666613,14814.814814814868,28651.207414578133,11834815.731304357,264814.8148148142,178651.20741457827
|
||||
1.8,1.35,0.9,0.03,3,613783.0613126727,-23.81336647550346,0.0005392168426950124,0.0,-23.81369524262675,0.0,0.0,338,351,6666.666666666613,13634.80762851058,5617.073956407347,5698525.883445254,263534.9526576408,155617.07395640746
|
||||
1.8,1.35,0.9,0.03,4,345599.6193389067,-26.931391313614988,5.293267585428918e-05,0.0,-26.931473505395807,0.0,0.0,336,356,6666.666666666613,12067.8337239205,9332.338549394137,6391420.291914479,262058.0313765398,159332.3385493941
|
||||
1.8,1.35,0.9,0.04,0,1870792.8835957048,-31.514126871085985,0.0,0.0,-31.514126871085985,0.0,0.0,334,357,6666.666666666613,14807.696590550595,24288.38307214108,7409805.971352473,264807.6965905503,174288.38307214103
|
||||
1.8,1.35,0.9,0.04,1,902471.1602247966,-24.833223215532506,0.0,0.0,-24.833223215532506,0.0,0.0,342,351,6666.666666666613,14812.039813538908,12390.064771918862,5925160.7145628175,264812.0398135381,162390.06477191884
|
||||
1.8,1.35,0.9,0.04,2,880643.3306406141,-26.463693545527676,0.0006575342465753425,0.0005680378298035892,-26.46394012087014,0.0,0.0,342,352,6666.666666666613,14744.351283056125,17853.930429218493,6287487.4545617355,264622.58568183787,167768.7247547478
|
||||
1.8,1.35,0.9,0.04,3,652972.193067558,-24.317723663404873,0.0,0.0,-24.317723663404873,0.0,0.0,332,354,6666.666666666613,14814.814814814868,13692.600366714998,5810605.258534464,264814.8148148141,163692.60036671508
|
||||
1.8,1.35,0.9,0.04,4,461173.6857281607,-22.150122046652545,0.0,0.0,-22.150122046652545,0.0,0.0,337,351,6666.666666666613,14736.540351698603,10363.343622214665,5328916.010367275,264736.5403516979,160363.3436222145
|
||||
1.8,1.35,0.9,0.05,0,263772.80382469174,-16.597879238026646,0.0,0.0,-16.597879238026646,0.0,0.0,332,352,6666.666666666613,14216.887478931772,8780.997029134242,4095084.275117068,264216.88747893146,158780.997029134
|
||||
1.8,1.35,0.9,0.05,1,747253.9720776794,-35.237552261354125,0.00021917808219178083,0.00025320535597780875,-35.23763445313495,0.0,0.0,340,356,6666.666666666613,14814.814814814868,39286.98042829617,8237233.835856525,264774.226281075,189248.9996248994
|
||||
1.8,1.35,0.9,0.05,2,134540.0933659414,-15.807757969929638,6.928604537522937e-07,0.0,-15.80784016171046,0.0,0.0,338,357,6649.641255418604,10044.548722825295,8764.877194824317,3919484.7456842633,260044.42041533353,158764.87719482448
|
||||
1.8,1.35,0.9,0.05,3,509700.5647556068,-27.198681373832716,0.0,0.0,-27.198681373832716,0.0,0.0,336,350,6666.666666666613,14814.814814814868,26475.955353361063,6450818.083073973,264814.81481481413,176475.95535336106
|
||||
1.8,1.35,0.9,0.05,4,560269.8344499855,-15.09801871267748,0.0,0.0,-15.09801871267748,0.0,0.0,342,357,6666.666666666613,14727.506693418181,8086.613999296813,3761781.9361505765,264727.5066934176,158086.61399929665
|
||||
|
|
|
@ -0,0 +1,385 @@
|
|||
"""Lightweight integration tests for cadCAD state management (src/cadcad/).
|
||||
|
||||
These tests verify that the cadCAD state infrastructure (create_initial_state,
|
||||
bootstrap_system, sync_metrics, extract_metrics) works correctly without
|
||||
running full multi-step simulations.
|
||||
|
||||
Note: src/cadcad/config.py imports pandas (not installed in test env), so
|
||||
bootstrap_system logic is replicated inline here using only the underlying
|
||||
primitives, which are the same code paths config.py calls.
|
||||
"""
|
||||
|
||||
import pytest
|
||||
import numpy as np
|
||||
|
||||
from src.cadcad.state import (
|
||||
MycoFiState,
|
||||
create_initial_state,
|
||||
extract_metrics,
|
||||
sync_metrics,
|
||||
)
|
||||
from src.primitives.risk_tranching import (
|
||||
TrancheParams, deposit_collateral, mint_tranche,
|
||||
)
|
||||
from src.primitives.conviction import (
|
||||
ConvictionParams, Proposal, Voter, stake as cv_stake,
|
||||
)
|
||||
from src.crosschain.hub_spoke import simulate_deposit
|
||||
|
||||
|
||||
# ---------- Inline bootstrap helper (mirrors config.bootstrap_system) ----------
|
||||
|
||||
def bootstrap_state(
|
||||
state: dict,
|
||||
initial_deposits: dict | None = None,
|
||||
initial_tranche_mints: dict | None = None,
|
||||
n_voters: int = 5,
|
||||
) -> dict:
|
||||
"""Replicate bootstrap_system logic without importing config.py (pandas)."""
|
||||
s: MycoFiState = state["mycofi"]
|
||||
|
||||
if initial_deposits and s.crosschain:
|
||||
total_usd = 0.0
|
||||
for chain, assets in initial_deposits.items():
|
||||
for asset_sym, qty in assets.items():
|
||||
simulate_deposit(s.crosschain, chain, asset_sym, qty, 0.0)
|
||||
spoke = s.crosschain.hub.spokes[chain]
|
||||
for a in spoke.accepted_assets:
|
||||
if a.symbol == asset_sym:
|
||||
total_usd += qty * a.price
|
||||
break
|
||||
s.crosschain.hub.process_messages(0.0)
|
||||
if s.tranche_system:
|
||||
deposit_collateral(s.tranche_system, total_usd)
|
||||
|
||||
if initial_tranche_mints and s.tranche_system:
|
||||
for tranche, amount in initial_tranche_mints.items():
|
||||
mint_tranche(s.tranche_system, tranche, amount)
|
||||
|
||||
if s.myco_system and s.crosschain:
|
||||
total_value = s.crosschain.hub.total_collateral_usd
|
||||
if total_value > 0:
|
||||
n = s.myco_system.config.n_reserve_assets
|
||||
amounts = np.full(n, total_value / n)
|
||||
s.myco_system.deposit(amounts, 0.0)
|
||||
|
||||
if s.governance:
|
||||
for i in range(n_voters):
|
||||
voter_id = f"voter_{i}"
|
||||
holdings = float(np.random.lognormal(mean=np.log(5000), sigma=1.0))
|
||||
s.governance.voters[voter_id] = Voter(
|
||||
id=voter_id,
|
||||
holdings=holdings,
|
||||
sentiment=float(np.random.uniform(0.3, 0.9)),
|
||||
)
|
||||
s.governance.total_supply = sum(
|
||||
v.holdings for v in s.governance.voters.values()
|
||||
)
|
||||
|
||||
sync_metrics(s)
|
||||
return state
|
||||
|
||||
|
||||
# ---------- create_initial_state ----------
|
||||
|
||||
class TestCreateInitialState:
|
||||
def test_returns_dict_with_mycofi_key(self):
|
||||
state = create_initial_state()
|
||||
assert "mycofi" in state
|
||||
|
||||
def test_mycofi_is_mycofi_state(self):
|
||||
state = create_initial_state()
|
||||
assert isinstance(state["mycofi"], MycoFiState)
|
||||
|
||||
def test_myco_system_is_populated(self):
|
||||
state = create_initial_state()
|
||||
assert state["mycofi"].myco_system is not None
|
||||
|
||||
def test_tranche_system_is_populated(self):
|
||||
state = create_initial_state()
|
||||
assert state["mycofi"].tranche_system is not None
|
||||
|
||||
def test_crosschain_is_populated(self):
|
||||
state = create_initial_state()
|
||||
assert state["mycofi"].crosschain is not None
|
||||
|
||||
def test_governance_is_populated(self):
|
||||
state = create_initial_state()
|
||||
assert state["mycofi"].governance is not None
|
||||
|
||||
def test_crosschain_has_five_chains(self):
|
||||
state = create_initial_state()
|
||||
s = state["mycofi"]
|
||||
assert len(s.crosschain.hub.spokes) == 5
|
||||
|
||||
def test_total_chains_reflects_crosschain(self):
|
||||
state = create_initial_state()
|
||||
s = state["mycofi"]
|
||||
assert s.total_chains == len(s.crosschain.hub.spokes)
|
||||
|
||||
def test_custom_tranche_params(self):
|
||||
tp = TrancheParams(senior_collateral_ratio=2.0)
|
||||
state = create_initial_state(tranche_params=tp)
|
||||
assert state["mycofi"].tranche_system.params.senior_collateral_ratio == 2.0
|
||||
|
||||
def test_custom_conviction_params(self):
|
||||
cp = ConvictionParams(alpha=0.8, beta=0.3)
|
||||
state = create_initial_state(conviction_params=cp)
|
||||
assert state["mycofi"].governance.params.alpha == 0.8
|
||||
assert state["mycofi"].governance.params.beta == 0.3
|
||||
|
||||
def test_initial_aggregate_fields_are_zero(self):
|
||||
state = create_initial_state()
|
||||
s = state["mycofi"]
|
||||
assert s.time == 0.0
|
||||
assert s.total_collateral_usd == 0.0
|
||||
|
||||
|
||||
# ---------- bootstrap_system (inline implementation) ----------
|
||||
|
||||
class TestBootstrapSystem:
|
||||
def test_returns_dict_with_mycofi_key(self):
|
||||
state = create_initial_state()
|
||||
result = bootstrap_state(state)
|
||||
assert "mycofi" in result
|
||||
|
||||
def test_populates_governance_voters(self):
|
||||
state = create_initial_state()
|
||||
bootstrap_state(state, n_voters=10)
|
||||
assert len(state["mycofi"].governance.voters) == 10
|
||||
|
||||
def test_governance_voters_have_holdings(self):
|
||||
state = create_initial_state()
|
||||
bootstrap_state(state, n_voters=5)
|
||||
for voter in state["mycofi"].governance.voters.values():
|
||||
assert voter.holdings > 0.0
|
||||
|
||||
def test_governance_total_supply_updated(self):
|
||||
state = create_initial_state()
|
||||
bootstrap_state(state, n_voters=5)
|
||||
s = state["mycofi"]
|
||||
expected_supply = sum(v.holdings for v in s.governance.voters.values())
|
||||
assert s.governance.total_supply == pytest.approx(expected_supply)
|
||||
|
||||
def test_with_initial_deposits_seeds_crosschain(self):
|
||||
state = create_initial_state()
|
||||
deposits = {"ethereum": {"stETH": 50.0}}
|
||||
bootstrap_state(state, initial_deposits=deposits, n_voters=3)
|
||||
spoke = state["mycofi"].crosschain.hub.spokes["ethereum"]
|
||||
assert spoke.balances.get("stETH", 0.0) == pytest.approx(50.0)
|
||||
|
||||
def test_with_initial_deposits_seeds_tranche_collateral(self):
|
||||
state = create_initial_state()
|
||||
deposits = {"ethereum": {"stETH": 100.0}}
|
||||
bootstrap_state(state, initial_deposits=deposits, n_voters=3)
|
||||
s = state["mycofi"]
|
||||
assert s.tranche_system.total_collateral > 0.0
|
||||
|
||||
def test_with_initial_tranche_mints(self):
|
||||
state = create_initial_state()
|
||||
deposits = {"ethereum": {"stETH": 1000.0}}
|
||||
mints = {"senior": 100_000.0, "mezzanine": 50_000.0}
|
||||
bootstrap_state(state, initial_deposits=deposits,
|
||||
initial_tranche_mints=mints, n_voters=3)
|
||||
s = state["mycofi"]
|
||||
# Verify no crash and state is internally consistent
|
||||
assert s.tranche_system.senior.supply >= 0.0
|
||||
assert s.tranche_system.mezzanine.supply >= 0.0
|
||||
|
||||
def test_default_bootstrap_no_crash(self):
|
||||
state = create_initial_state()
|
||||
bootstrap_state(state) # Should not raise
|
||||
assert "mycofi" in state
|
||||
|
||||
def test_sync_metrics_called_by_bootstrap(self):
|
||||
state = create_initial_state()
|
||||
deposits = {"ethereum": {"stETH": 100.0}}
|
||||
bootstrap_state(state, initial_deposits=deposits, n_voters=5)
|
||||
s = state["mycofi"]
|
||||
assert s.total_chains == 5
|
||||
|
||||
|
||||
# ---------- sync_metrics ----------
|
||||
|
||||
class TestSyncMetrics:
|
||||
def _make_bootstrapped_state(self) -> MycoFiState:
|
||||
state = create_initial_state()
|
||||
deposits = {"ethereum": {"stETH": 100.0}, "base": {"cbETH": 50.0}}
|
||||
mints = {"senior": 50_000.0, "mezzanine": 20_000.0, "junior": 10_000.0}
|
||||
bootstrap_state(state, initial_deposits=deposits,
|
||||
initial_tranche_mints=mints, n_voters=5)
|
||||
return state["mycofi"]
|
||||
|
||||
def test_sync_returns_state(self):
|
||||
s = self._make_bootstrapped_state()
|
||||
result = sync_metrics(s)
|
||||
assert result is s
|
||||
|
||||
def test_sync_updates_senior_supply(self):
|
||||
s = self._make_bootstrapped_state()
|
||||
s.tranche_system.senior.supply = 999.0
|
||||
sync_metrics(s)
|
||||
assert s.senior_supply == pytest.approx(999.0)
|
||||
|
||||
def test_sync_updates_mezzanine_supply(self):
|
||||
s = self._make_bootstrapped_state()
|
||||
s.tranche_system.mezzanine.supply = 888.0
|
||||
sync_metrics(s)
|
||||
assert s.mezzanine_supply == pytest.approx(888.0)
|
||||
|
||||
def test_sync_updates_junior_supply(self):
|
||||
s = self._make_bootstrapped_state()
|
||||
s.tranche_system.junior.supply = 777.0
|
||||
sync_metrics(s)
|
||||
assert s.junior_supply == pytest.approx(777.0)
|
||||
|
||||
def test_sync_updates_collateral_ratios(self):
|
||||
s = self._make_bootstrapped_state()
|
||||
sync_metrics(s)
|
||||
assert s.senior_cr == pytest.approx(s.tranche_system.senior.collateral_ratio)
|
||||
assert s.mezzanine_cr == pytest.approx(s.tranche_system.mezzanine.collateral_ratio)
|
||||
|
||||
def test_sync_updates_system_collateral_ratio(self):
|
||||
s = self._make_bootstrapped_state()
|
||||
sync_metrics(s)
|
||||
assert s.system_collateral_ratio == pytest.approx(
|
||||
s.tranche_system.system_collateral_ratio
|
||||
)
|
||||
|
||||
def test_sync_updates_total_chains(self):
|
||||
s = self._make_bootstrapped_state()
|
||||
sync_metrics(s)
|
||||
assert s.total_chains == len(s.crosschain.hub.spokes)
|
||||
|
||||
def test_sync_updates_total_collateral_usd(self):
|
||||
s = self._make_bootstrapped_state()
|
||||
sync_metrics(s)
|
||||
assert s.total_collateral_usd == pytest.approx(s.crosschain.hub.total_collateral_usd)
|
||||
|
||||
def test_sync_updates_governance_epoch(self):
|
||||
s = self._make_bootstrapped_state()
|
||||
s.governance.epoch = 42
|
||||
sync_metrics(s)
|
||||
assert s.governance_epoch == 42
|
||||
|
||||
def test_sync_updates_proposals_passed(self):
|
||||
s = self._make_bootstrapped_state()
|
||||
dummy = Proposal(id="x", title="done", status="passed")
|
||||
s.governance.passed_proposals.append(dummy)
|
||||
sync_metrics(s)
|
||||
assert s.proposals_passed == 1
|
||||
|
||||
def test_sync_updates_total_staked(self):
|
||||
s = self._make_bootstrapped_state()
|
||||
prop = Proposal(id="p1", title="Test", funds_requested=0.01)
|
||||
s.governance.proposals["p1"] = prop
|
||||
v = list(s.governance.voters.values())[0]
|
||||
cv_stake(s.governance, v.id, "p1", min(100.0, v.holdings))
|
||||
sync_metrics(s)
|
||||
assert s.total_staked > 0.0
|
||||
|
||||
def test_sync_updates_total_yield(self):
|
||||
s = self._make_bootstrapped_state()
|
||||
s.crosschain.total_yield_generated = 999.99
|
||||
sync_metrics(s)
|
||||
assert s.total_yield == pytest.approx(999.99)
|
||||
|
||||
def test_sync_with_none_subsystems_is_safe(self):
|
||||
s = MycoFiState()
|
||||
sync_metrics(s) # Should not raise
|
||||
|
||||
|
||||
# ---------- extract_metrics ----------
|
||||
|
||||
class TestExtractMetrics:
|
||||
def _make_synced_state(self) -> MycoFiState:
|
||||
state = create_initial_state()
|
||||
deposits = {"ethereum": {"stETH": 100.0}}
|
||||
bootstrap_state(state, initial_deposits=deposits, n_voters=5)
|
||||
s = state["mycofi"]
|
||||
sync_metrics(s)
|
||||
return s
|
||||
|
||||
def test_returns_dict(self):
|
||||
s = self._make_synced_state()
|
||||
m = extract_metrics(s)
|
||||
assert isinstance(m, dict)
|
||||
|
||||
def test_contains_time(self):
|
||||
s = self._make_synced_state()
|
||||
m = extract_metrics(s)
|
||||
assert "time" in m
|
||||
|
||||
def test_contains_total_supply(self):
|
||||
s = self._make_synced_state()
|
||||
m = extract_metrics(s)
|
||||
assert "total_supply" in m
|
||||
|
||||
def test_contains_total_collateral_usd(self):
|
||||
s = self._make_synced_state()
|
||||
m = extract_metrics(s)
|
||||
assert "total_collateral_usd" in m
|
||||
|
||||
def test_contains_system_cr(self):
|
||||
s = self._make_synced_state()
|
||||
m = extract_metrics(s)
|
||||
assert "system_cr" in m
|
||||
|
||||
def test_contains_myco_price(self):
|
||||
s = self._make_synced_state()
|
||||
m = extract_metrics(s)
|
||||
assert "myco_price" in m
|
||||
|
||||
def test_contains_tranche_fields(self):
|
||||
s = self._make_synced_state()
|
||||
m = extract_metrics(s)
|
||||
for field_name in ["senior_supply", "senior_cr", "mezzanine_supply",
|
||||
"mezzanine_cr", "junior_supply", "junior_cr"]:
|
||||
assert field_name in m, f"Missing field: {field_name}"
|
||||
|
||||
def test_contains_crosschain_fields(self):
|
||||
s = self._make_synced_state()
|
||||
m = extract_metrics(s)
|
||||
assert "total_chains" in m
|
||||
assert "total_yield" in m
|
||||
assert "ccip_messages" in m
|
||||
|
||||
def test_contains_governance_fields(self):
|
||||
s = self._make_synced_state()
|
||||
m = extract_metrics(s)
|
||||
assert "governance_epoch" in m
|
||||
assert "total_staked" in m
|
||||
assert "proposals_passed" in m
|
||||
|
||||
def test_per_chain_collateral_included(self):
|
||||
s = self._make_synced_state()
|
||||
m = extract_metrics(s)
|
||||
for chain in ["ethereum", "arbitrum", "optimism", "base", "polygon"]:
|
||||
assert f"collateral_{chain}" in m, f"Missing per-chain field: collateral_{chain}"
|
||||
|
||||
def test_values_match_state(self):
|
||||
s = self._make_synced_state()
|
||||
m = extract_metrics(s)
|
||||
assert m["senior_supply"] == pytest.approx(s.senior_supply)
|
||||
assert m["mezzanine_supply"] == pytest.approx(s.mezzanine_supply)
|
||||
assert m["junior_supply"] == pytest.approx(s.junior_supply)
|
||||
assert m["governance_epoch"] == s.governance_epoch
|
||||
assert m["total_chains"] == s.total_chains
|
||||
|
||||
def test_per_chain_values_match_spokes(self):
|
||||
s = self._make_synced_state()
|
||||
m = extract_metrics(s)
|
||||
for chain, spoke in s.crosschain.hub.spokes.items():
|
||||
assert m[f"collateral_{chain}"] == pytest.approx(spoke.total_value_usd)
|
||||
|
||||
def test_all_values_numeric(self):
|
||||
state = create_initial_state()
|
||||
deposits = {"ethereum": {"stETH": 500.0}}
|
||||
mints = {"senior": 100_000.0, "mezzanine": 50_000.0, "junior": 20_000.0}
|
||||
bootstrap_state(state, initial_deposits=deposits,
|
||||
initial_tranche_mints=mints, n_voters=3)
|
||||
s = state["mycofi"]
|
||||
sync_metrics(s)
|
||||
m = extract_metrics(s)
|
||||
for key, value in m.items():
|
||||
assert isinstance(value, (int, float)), f"Non-numeric metric: {key}={value}"
|
||||
|
|
@ -0,0 +1,472 @@
|
|||
"""Tests for conviction voting governance (src/primitives/conviction.py)."""
|
||||
|
||||
import math
|
||||
import numpy as np
|
||||
import pytest
|
||||
|
||||
from src.primitives.conviction import (
|
||||
ConvictionParams,
|
||||
Proposal,
|
||||
Voter,
|
||||
ConvictionSystem,
|
||||
trigger_threshold,
|
||||
update_conviction,
|
||||
max_conviction,
|
||||
conviction_at_time,
|
||||
epochs_to_fraction,
|
||||
stake,
|
||||
unstake,
|
||||
tick,
|
||||
generate_conviction_curves,
|
||||
get_governance_metrics,
|
||||
)
|
||||
|
||||
|
||||
# ---------- Helpers ----------
|
||||
|
||||
def make_system(n_voters: int = 3, holdings_each: float = 10_000.0) -> ConvictionSystem:
|
||||
"""Return a ConvictionSystem with a few voters."""
|
||||
params = ConvictionParams(alpha=0.9, beta=0.2, rho=0.0025, min_age=3)
|
||||
system = ConvictionSystem(
|
||||
params=params,
|
||||
total_supply=n_voters * holdings_each,
|
||||
total_funds=50_000.0,
|
||||
)
|
||||
for i in range(n_voters):
|
||||
system.voters[f"voter_{i}"] = Voter(
|
||||
id=f"voter_{i}",
|
||||
holdings=holdings_each,
|
||||
sentiment=0.7,
|
||||
)
|
||||
return system
|
||||
|
||||
|
||||
def add_proposal(
|
||||
system: ConvictionSystem,
|
||||
prop_id: str = "p1",
|
||||
funds_requested: float = 0.05,
|
||||
) -> Proposal:
|
||||
prop = Proposal(
|
||||
id=prop_id,
|
||||
title="Test Proposal",
|
||||
funds_requested=funds_requested,
|
||||
)
|
||||
system.proposals[prop_id] = prop
|
||||
return prop
|
||||
|
||||
|
||||
# ---------- ConvictionParams ----------
|
||||
|
||||
class TestConvictionParams:
|
||||
def test_defaults(self):
|
||||
p = ConvictionParams()
|
||||
assert p.alpha == 0.9
|
||||
assert p.beta == 0.2
|
||||
assert p.rho == 0.0025
|
||||
assert p.min_age == 3
|
||||
|
||||
def test_half_life_formula(self):
|
||||
p = ConvictionParams(alpha=0.5)
|
||||
# T_half = -ln(2)/ln(0.5) = 1.0
|
||||
assert p.half_life == pytest.approx(1.0)
|
||||
|
||||
def test_half_life_alpha_09(self):
|
||||
p = ConvictionParams(alpha=0.9)
|
||||
expected = -np.log(2) / np.log(0.9)
|
||||
assert p.half_life == pytest.approx(expected)
|
||||
|
||||
def test_half_life_alpha_zero_is_inf(self):
|
||||
p = ConvictionParams(alpha=0.0)
|
||||
assert p.half_life == float("inf")
|
||||
|
||||
def test_from_half_life_roundtrip(self):
|
||||
target_hl = 10.0
|
||||
p = ConvictionParams.from_half_life(target_hl)
|
||||
assert p.half_life == pytest.approx(target_hl, rel=1e-6)
|
||||
|
||||
def test_from_half_life_kwargs_forwarded(self):
|
||||
p = ConvictionParams.from_half_life(10.0, beta=0.3, min_age=5)
|
||||
assert p.beta == 0.3
|
||||
assert p.min_age == 5
|
||||
|
||||
|
||||
# ---------- update_conviction ----------
|
||||
|
||||
class TestUpdateConviction:
|
||||
def test_formula_y_t_plus_1(self):
|
||||
alpha = 0.9
|
||||
y_t = 100.0
|
||||
x = 50.0
|
||||
result = update_conviction(y_t, x, alpha)
|
||||
assert result == pytest.approx(alpha * y_t + x)
|
||||
|
||||
def test_zero_initial_conviction(self):
|
||||
result = update_conviction(0.0, 100.0, 0.9)
|
||||
assert result == pytest.approx(100.0)
|
||||
|
||||
def test_zero_staked(self):
|
||||
result = update_conviction(200.0, 0.0, 0.9)
|
||||
assert result == pytest.approx(0.9 * 200.0)
|
||||
|
||||
def test_convergence_behavior(self):
|
||||
# Repeatedly applying with same stake should converge to max_conviction
|
||||
x = 100.0
|
||||
alpha = 0.9
|
||||
y = 0.0
|
||||
for _ in range(1000):
|
||||
y = update_conviction(y, x, alpha)
|
||||
assert y == pytest.approx(max_conviction(x, alpha), rel=1e-4)
|
||||
|
||||
|
||||
# ---------- max_conviction ----------
|
||||
|
||||
class TestMaxConviction:
|
||||
def test_formula(self):
|
||||
x = 100.0
|
||||
alpha = 0.9
|
||||
assert max_conviction(x, alpha) == pytest.approx(x / (1 - alpha))
|
||||
|
||||
def test_alpha_one_is_inf(self):
|
||||
assert max_conviction(100.0, 1.0) == float("inf")
|
||||
|
||||
def test_higher_alpha_higher_max(self):
|
||||
x = 100.0
|
||||
assert max_conviction(x, 0.95) > max_conviction(x, 0.5)
|
||||
|
||||
|
||||
# ---------- conviction_at_time ----------
|
||||
|
||||
class TestConvictionAtTime:
|
||||
def test_epoch_zero_equals_initial(self):
|
||||
result = conviction_at_time(100.0, 0.9, 0, initial_conviction=50.0)
|
||||
assert result == pytest.approx(50.0)
|
||||
|
||||
def test_epoch_one_matches_update_formula(self):
|
||||
x = 100.0
|
||||
alpha = 0.9
|
||||
y0 = 50.0
|
||||
result = conviction_at_time(x, alpha, 1, y0)
|
||||
expected = update_conviction(y0, x, alpha)
|
||||
assert result == pytest.approx(expected)
|
||||
|
||||
def test_matches_iterative_application(self):
|
||||
x = 75.0
|
||||
alpha = 0.85
|
||||
y0 = 0.0
|
||||
n = 20
|
||||
# Iterate manually
|
||||
y = y0
|
||||
for _ in range(n):
|
||||
y = update_conviction(y, x, alpha)
|
||||
assert conviction_at_time(x, alpha, n, y0) == pytest.approx(y, rel=1e-9)
|
||||
|
||||
def test_approaches_max_conviction(self):
|
||||
x = 100.0
|
||||
alpha = 0.9
|
||||
y_large = conviction_at_time(x, alpha, 500)
|
||||
assert y_large == pytest.approx(max_conviction(x, alpha), rel=1e-3)
|
||||
|
||||
|
||||
# ---------- epochs_to_fraction ----------
|
||||
|
||||
class TestEpochsToFraction:
|
||||
def test_half_is_half_life(self):
|
||||
alpha = 0.9
|
||||
p = ConvictionParams(alpha=alpha)
|
||||
t_half = epochs_to_fraction(0.5, alpha)
|
||||
assert t_half == pytest.approx(p.half_life, rel=1e-6)
|
||||
|
||||
def test_fraction_zero_is_inf(self):
|
||||
assert epochs_to_fraction(0.0, 0.9) == float("inf")
|
||||
|
||||
def test_fraction_one_is_inf(self):
|
||||
assert epochs_to_fraction(1.0, 0.9) == float("inf")
|
||||
|
||||
def test_higher_fraction_takes_longer(self):
|
||||
alpha = 0.9
|
||||
t_50 = epochs_to_fraction(0.5, alpha)
|
||||
t_90 = epochs_to_fraction(0.9, alpha)
|
||||
assert t_90 > t_50
|
||||
|
||||
|
||||
# ---------- trigger_threshold ----------
|
||||
|
||||
class TestTriggerThreshold:
|
||||
def test_formula(self):
|
||||
p = ConvictionParams(alpha=0.9, beta=0.2, rho=0.0025)
|
||||
supply = 100_000.0
|
||||
share = 0.05
|
||||
expected = p.rho * supply / ((1 - p.alpha) * (p.beta - share) ** 2)
|
||||
assert trigger_threshold(share, supply, p) == pytest.approx(expected)
|
||||
|
||||
def test_share_at_beta_returns_inf(self):
|
||||
p = ConvictionParams(beta=0.2)
|
||||
result = trigger_threshold(0.2, 100_000.0, p)
|
||||
assert result == float("inf")
|
||||
|
||||
def test_share_above_beta_returns_inf(self):
|
||||
p = ConvictionParams(beta=0.2)
|
||||
result = trigger_threshold(0.25, 100_000.0, p)
|
||||
assert result == float("inf")
|
||||
|
||||
def test_larger_supply_higher_threshold(self):
|
||||
p = ConvictionParams()
|
||||
t1 = trigger_threshold(0.05, 100_000.0, p)
|
||||
t2 = trigger_threshold(0.05, 200_000.0, p)
|
||||
assert t2 > t1
|
||||
|
||||
def test_smaller_share_lower_threshold(self):
|
||||
p = ConvictionParams(beta=0.2)
|
||||
t_small = trigger_threshold(0.01, 100_000.0, p)
|
||||
t_large = trigger_threshold(0.1, 100_000.0, p)
|
||||
assert t_small < t_large
|
||||
|
||||
|
||||
# ---------- Voter stake/unstake ----------
|
||||
|
||||
class TestVoterStaking:
|
||||
def test_stake_adds_to_voter_stakes(self):
|
||||
system = make_system()
|
||||
add_proposal(system, "p1", 0.05)
|
||||
stake(system, "voter_0", "p1", 500.0)
|
||||
assert system.voters["voter_0"].stakes.get("p1", 0.0) == pytest.approx(500.0)
|
||||
|
||||
def test_stake_capped_at_holdings(self):
|
||||
system = make_system(holdings_each=1_000.0)
|
||||
add_proposal(system, "p1")
|
||||
stake(system, "voter_0", "p1", 999_999.0)
|
||||
assert system.voters["voter_0"].stakes.get("p1", 0.0) <= 1_000.0
|
||||
|
||||
def test_stake_on_unknown_voter_is_noop(self):
|
||||
system = make_system()
|
||||
add_proposal(system, "p1")
|
||||
result = stake(system, "nobody", "p1", 100.0)
|
||||
assert result is system # No crash, no change
|
||||
|
||||
def test_stake_on_unknown_proposal_is_noop(self):
|
||||
system = make_system()
|
||||
result = stake(system, "voter_0", "nonexistent", 100.0)
|
||||
assert result is system
|
||||
|
||||
def test_unstake_removes_tokens(self):
|
||||
system = make_system()
|
||||
add_proposal(system, "p1")
|
||||
stake(system, "voter_0", "p1", 500.0)
|
||||
unstake(system, "voter_0", "p1", 200.0)
|
||||
assert system.voters["voter_0"].stakes.get("p1", 0.0) == pytest.approx(300.0)
|
||||
|
||||
def test_unstake_all_removes_key(self):
|
||||
system = make_system()
|
||||
add_proposal(system, "p1")
|
||||
stake(system, "voter_0", "p1", 500.0)
|
||||
unstake(system, "voter_0", "p1", 500.0)
|
||||
assert "p1" not in system.voters["voter_0"].stakes
|
||||
|
||||
def test_unstake_capped_at_staked(self):
|
||||
system = make_system()
|
||||
add_proposal(system, "p1")
|
||||
stake(system, "voter_0", "p1", 200.0)
|
||||
unstake(system, "voter_0", "p1", 999_999.0)
|
||||
assert system.voters["voter_0"].stakes.get("p1", 0.0) == pytest.approx(0.0)
|
||||
|
||||
def test_stake_accumulates_on_multiple_calls(self):
|
||||
system = make_system(holdings_each=10_000.0)
|
||||
add_proposal(system, "p1")
|
||||
stake(system, "voter_0", "p1", 200.0)
|
||||
stake(system, "voter_0", "p1", 300.0)
|
||||
assert system.voters["voter_0"].stakes.get("p1", 0.0) == pytest.approx(500.0)
|
||||
|
||||
def test_cannot_stake_more_than_available_across_proposals(self):
|
||||
system = make_system(holdings_each=1_000.0)
|
||||
add_proposal(system, "p1")
|
||||
add_proposal(system, "p2")
|
||||
stake(system, "voter_0", "p1", 800.0)
|
||||
stake(system, "voter_0", "p2", 500.0) # Only 200 left
|
||||
assert system.voters["voter_0"].stakes.get("p2", 0.0) == pytest.approx(200.0)
|
||||
|
||||
|
||||
# ---------- tick ----------
|
||||
|
||||
class TestTick:
|
||||
def test_tick_increments_epoch(self):
|
||||
system = make_system()
|
||||
tick(system)
|
||||
assert system.epoch == 1
|
||||
|
||||
def test_tick_updates_conviction(self):
|
||||
system = make_system()
|
||||
add_proposal(system, "p1")
|
||||
stake(system, "voter_0", "p1", 500.0)
|
||||
tick(system)
|
||||
assert system.voters["voter_0"].convictions.get("p1", 0.0) > 0.0
|
||||
|
||||
def test_tick_increments_proposal_age(self):
|
||||
system = make_system()
|
||||
add_proposal(system, "p1")
|
||||
tick(system)
|
||||
assert system.proposals["p1"].age == 1
|
||||
|
||||
def test_proposal_does_not_pass_before_min_age(self):
|
||||
system = make_system(n_voters=5, holdings_each=100_000.0)
|
||||
add_proposal(system, "p1", funds_requested=0.001)
|
||||
# Stake heavily
|
||||
for vid in system.voters:
|
||||
stake(system, vid, "p1", 90_000.0)
|
||||
# Tick fewer times than min_age (=3)
|
||||
tick(system)
|
||||
tick(system)
|
||||
assert system.proposals["p1"].status == "candidate"
|
||||
|
||||
def test_proposal_passes_after_sufficient_conviction(self):
|
||||
"""Create conditions where a proposal accumulates enough conviction."""
|
||||
params = ConvictionParams(alpha=0.9, beta=0.5, rho=0.0001, min_age=1)
|
||||
system = ConvictionSystem(
|
||||
params=params,
|
||||
total_supply=1_000_000.0,
|
||||
total_funds=100_000.0,
|
||||
)
|
||||
# One whale voter with enormous holdings
|
||||
system.voters["whale"] = Voter(id="whale", holdings=1_000_000.0)
|
||||
prop = Proposal(id="p1", title="Easy Pass", funds_requested=0.001)
|
||||
system.proposals["p1"] = prop
|
||||
|
||||
# Stake all holdings
|
||||
stake(system, "whale", "p1", 1_000_000.0)
|
||||
|
||||
# Tick many times to build conviction far above threshold
|
||||
for _ in range(100):
|
||||
if system.proposals["p1"].status == "passed":
|
||||
break
|
||||
tick(system)
|
||||
|
||||
assert system.proposals["p1"].status == "passed"
|
||||
assert len(system.passed_proposals) == 1
|
||||
|
||||
|
||||
# ---------- generate_conviction_curves ----------
|
||||
|
||||
class TestGenerateConvictionCurves:
|
||||
def test_returns_correct_keys(self):
|
||||
curves = generate_conviction_curves(100.0, 0.9, epochs=50)
|
||||
assert "time" in curves
|
||||
assert "charge" in curves
|
||||
assert "discharge" in curves
|
||||
assert "max" in curves
|
||||
|
||||
def test_correct_shape(self):
|
||||
epochs = 30
|
||||
curves = generate_conviction_curves(100.0, 0.9, epochs=epochs)
|
||||
assert len(curves["time"]) == epochs
|
||||
assert len(curves["charge"]) == epochs
|
||||
assert len(curves["discharge"]) == epochs
|
||||
assert len(curves["max"]) == epochs
|
||||
|
||||
def test_charge_starts_near_zero(self):
|
||||
curves = generate_conviction_curves(100.0, 0.9, epochs=50)
|
||||
# At t=0, charge = x*(1 - alpha^0)/(1-alpha) = x*0/(1-alpha) = 0
|
||||
assert curves["charge"][0] == pytest.approx(0.0)
|
||||
|
||||
def test_charge_approaches_max(self):
|
||||
curves = generate_conviction_curves(100.0, 0.9, epochs=500)
|
||||
y_max = max_conviction(100.0, 0.9)
|
||||
assert curves["charge"][-1] == pytest.approx(y_max, rel=1e-3)
|
||||
|
||||
def test_discharge_starts_at_max(self):
|
||||
curves = generate_conviction_curves(100.0, 0.9, epochs=50)
|
||||
y_max = max_conviction(100.0, 0.9)
|
||||
assert curves["discharge"][0] == pytest.approx(y_max)
|
||||
|
||||
def test_discharge_decays(self):
|
||||
curves = generate_conviction_curves(100.0, 0.9, epochs=50)
|
||||
assert curves["discharge"][-1] < curves["discharge"][0]
|
||||
|
||||
def test_max_array_constant(self):
|
||||
curves = generate_conviction_curves(100.0, 0.9, epochs=20)
|
||||
assert np.all(curves["max"] == curves["max"][0])
|
||||
|
||||
|
||||
# ---------- get_governance_metrics ----------
|
||||
|
||||
class TestGetGovernanceMetrics:
|
||||
def test_returns_expected_fields(self):
|
||||
system = make_system()
|
||||
m = get_governance_metrics(system)
|
||||
assert "epoch" in m
|
||||
assert "total_supply" in m
|
||||
assert "total_staked" in m
|
||||
assert "staking_ratio" in m
|
||||
assert "active_proposals" in m
|
||||
assert "passed_proposals" in m
|
||||
assert "total_voters" in m
|
||||
assert "proposals" in m
|
||||
|
||||
def test_voter_count_correct(self):
|
||||
system = make_system(n_voters=4)
|
||||
m = get_governance_metrics(system)
|
||||
assert m["total_voters"] == 4
|
||||
|
||||
def test_staking_ratio_zero_when_nothing_staked(self):
|
||||
system = make_system()
|
||||
m = get_governance_metrics(system)
|
||||
assert m["staking_ratio"] == pytest.approx(0.0)
|
||||
|
||||
def test_staking_ratio_updates_after_stake(self):
|
||||
system = make_system(n_voters=1, holdings_each=10_000.0)
|
||||
add_proposal(system, "p1")
|
||||
stake(system, "voter_0", "p1", 5_000.0)
|
||||
m = get_governance_metrics(system)
|
||||
assert m["staking_ratio"] == pytest.approx(5_000.0 / 10_000.0)
|
||||
|
||||
def test_active_proposals_count(self):
|
||||
system = make_system()
|
||||
add_proposal(system, "p1")
|
||||
add_proposal(system, "p2")
|
||||
m = get_governance_metrics(system)
|
||||
assert m["active_proposals"] == 2
|
||||
|
||||
def test_passed_proposals_count(self):
|
||||
system = make_system()
|
||||
dummy_proposal = Proposal(id="done", title="Done", status="passed")
|
||||
system.passed_proposals.append(dummy_proposal)
|
||||
m = get_governance_metrics(system)
|
||||
assert m["passed_proposals"] == 1
|
||||
|
||||
|
||||
# ---------- Full governance lifecycle ----------
|
||||
|
||||
class TestFullGovernanceLifecycle:
|
||||
def test_lifecycle(self):
|
||||
"""Create proposals, stake, tick until passage."""
|
||||
params = ConvictionParams(alpha=0.9, beta=0.5, rho=0.0001, min_age=2)
|
||||
system = ConvictionSystem(
|
||||
params=params,
|
||||
total_supply=500_000.0,
|
||||
total_funds=100_000.0,
|
||||
)
|
||||
# Create voters
|
||||
for i in range(5):
|
||||
system.voters[f"v{i}"] = Voter(id=f"v{i}", holdings=100_000.0)
|
||||
|
||||
# Create a low-threshold proposal
|
||||
prop = Proposal(id="easy", title="Easy", funds_requested=0.001)
|
||||
system.proposals["easy"] = prop
|
||||
|
||||
# All voters stake
|
||||
for i in range(5):
|
||||
stake(system, f"v{i}", "easy", 80_000.0)
|
||||
|
||||
# Tick until passed or timeout
|
||||
passed = False
|
||||
for _ in range(200):
|
||||
tick(system)
|
||||
if system.proposals["easy"].status == "passed":
|
||||
passed = True
|
||||
break
|
||||
|
||||
assert passed
|
||||
assert len(system.passed_proposals) == 1
|
||||
|
||||
# Verify metrics reflect state
|
||||
m = get_governance_metrics(system)
|
||||
assert m["passed_proposals"] == 1
|
||||
assert m["epoch"] > 0
|
||||
|
|
@ -0,0 +1,505 @@
|
|||
"""Tests for hub-and-spoke cross-chain architecture (src/crosschain/hub_spoke.py)."""
|
||||
|
||||
import pytest
|
||||
import numpy as np
|
||||
|
||||
from src.crosschain.hub_spoke import (
|
||||
StakingAsset,
|
||||
CCIPMessage,
|
||||
SpokeVault,
|
||||
HubRegistry,
|
||||
CrossChainSystem,
|
||||
create_default_system,
|
||||
simulate_deposit,
|
||||
tick,
|
||||
apply_price_shock,
|
||||
get_crosschain_metrics,
|
||||
)
|
||||
|
||||
|
||||
# ---------- Helpers ----------
|
||||
|
||||
def make_eth_asset(price: float = 2400.0) -> StakingAsset:
|
||||
return StakingAsset(
|
||||
symbol="stETH",
|
||||
chain="ethereum",
|
||||
price=price,
|
||||
staking_apy=0.035,
|
||||
weight=1.0,
|
||||
risk_score=0.05,
|
||||
)
|
||||
|
||||
|
||||
def make_spoke(chain: str = "ethereum") -> SpokeVault:
|
||||
asset = make_eth_asset()
|
||||
return SpokeVault(chain=chain, accepted_assets=[asset])
|
||||
|
||||
|
||||
def make_hub_with_spoke() -> tuple[HubRegistry, SpokeVault]:
|
||||
hub = HubRegistry()
|
||||
spoke = make_spoke("ethereum")
|
||||
hub.register_spoke(spoke)
|
||||
return hub, spoke
|
||||
|
||||
|
||||
# ---------- StakingAsset ----------
|
||||
|
||||
class TestStakingAsset:
|
||||
def test_defaults(self):
|
||||
asset = StakingAsset(symbol="stETH", chain="ethereum")
|
||||
assert asset.price == 1.0
|
||||
assert asset.staking_apy == 0.04
|
||||
assert asset.weight == 1.0
|
||||
assert asset.risk_score == 0.1
|
||||
|
||||
def test_custom_values(self):
|
||||
asset = StakingAsset("rETH", "arbitrum", price=2420.0, staking_apy=0.032)
|
||||
assert asset.price == 2420.0
|
||||
assert asset.staking_apy == 0.032
|
||||
|
||||
|
||||
# ---------- create_default_system ----------
|
||||
|
||||
class TestCreateDefaultSystem:
|
||||
def test_has_five_chains(self):
|
||||
system = create_default_system()
|
||||
assert len(system.hub.spokes) == 5
|
||||
|
||||
def test_expected_chains_present(self):
|
||||
system = create_default_system()
|
||||
chains = set(system.hub.spokes.keys())
|
||||
assert "ethereum" in chains
|
||||
assert "arbitrum" in chains
|
||||
assert "optimism" in chains
|
||||
assert "base" in chains
|
||||
assert "polygon" in chains
|
||||
|
||||
def test_each_spoke_has_assets(self):
|
||||
system = create_default_system()
|
||||
for chain, spoke in system.hub.spokes.items():
|
||||
assert len(spoke.accepted_assets) > 0, f"{chain} has no assets"
|
||||
|
||||
def test_initial_state_zeros(self):
|
||||
system = create_default_system()
|
||||
assert system.time == 0.0
|
||||
assert system.total_messages_sent == 0
|
||||
assert system.total_messages_delivered == 0
|
||||
assert system.total_yield_generated == 0.0
|
||||
assert system.hub.total_collateral_usd == 0.0
|
||||
|
||||
|
||||
# ---------- SpokeVault.deposit ----------
|
||||
|
||||
class TestSpokeVaultDeposit:
|
||||
def test_deposit_increases_balance(self):
|
||||
spoke = make_spoke()
|
||||
spoke.deposit("stETH", 10.0, 0.0)
|
||||
assert spoke.balances.get("stETH", 0.0) == pytest.approx(10.0)
|
||||
|
||||
def test_deposit_returns_ccip_message(self):
|
||||
spoke = make_spoke()
|
||||
msg = spoke.deposit("stETH", 10.0, 0.0)
|
||||
assert isinstance(msg, CCIPMessage)
|
||||
|
||||
def test_deposit_message_type(self):
|
||||
spoke = make_spoke()
|
||||
msg = spoke.deposit("stETH", 5.0, 1.0)
|
||||
assert msg.msg_type == "deposit_report"
|
||||
|
||||
def test_deposit_message_source_chain(self):
|
||||
spoke = make_spoke("ethereum")
|
||||
msg = spoke.deposit("stETH", 5.0, 0.0)
|
||||
assert msg.source_chain == "ethereum"
|
||||
|
||||
def test_deposit_message_dest_chain(self):
|
||||
spoke = make_spoke()
|
||||
msg = spoke.deposit("stETH", 5.0, 0.0)
|
||||
assert msg.dest_chain == "base"
|
||||
|
||||
def test_deposit_message_payload(self):
|
||||
spoke = make_spoke()
|
||||
msg = spoke.deposit("stETH", 7.0, 0.0)
|
||||
assert msg.payload["asset"] == "stETH"
|
||||
assert msg.payload["amount"] == pytest.approx(7.0)
|
||||
|
||||
def test_deposit_appends_to_pending_reports(self):
|
||||
spoke = make_spoke()
|
||||
assert len(spoke.pending_reports) == 0
|
||||
spoke.deposit("stETH", 5.0, 0.0)
|
||||
assert len(spoke.pending_reports) == 1
|
||||
|
||||
def test_multiple_deposits_accumulate(self):
|
||||
spoke = make_spoke()
|
||||
spoke.deposit("stETH", 3.0, 0.0)
|
||||
spoke.deposit("stETH", 7.0, 1.0)
|
||||
assert spoke.balances["stETH"] == pytest.approx(10.0)
|
||||
|
||||
def test_deposit_updates_total_value(self):
|
||||
spoke = make_spoke()
|
||||
price = spoke.accepted_assets[0].price
|
||||
spoke.deposit("stETH", 5.0, 0.0)
|
||||
assert spoke.total_value_usd == pytest.approx(5.0 * price * 1.0)
|
||||
|
||||
|
||||
# ---------- SpokeVault.withdraw ----------
|
||||
|
||||
class TestSpokeVaultWithdraw:
|
||||
def test_withdraw_decreases_balance(self):
|
||||
spoke = make_spoke()
|
||||
spoke.deposit("stETH", 10.0, 0.0)
|
||||
spoke.withdraw("stETH", 3.0, 1.0)
|
||||
assert spoke.balances["stETH"] == pytest.approx(7.0)
|
||||
|
||||
def test_withdraw_creates_negative_report(self):
|
||||
spoke = make_spoke()
|
||||
spoke.deposit("stETH", 10.0, 0.0)
|
||||
# Clear pending from deposit
|
||||
spoke.pending_reports.clear()
|
||||
msg = spoke.withdraw("stETH", 3.0, 1.0)
|
||||
assert msg is not None
|
||||
assert msg.payload["amount"] == pytest.approx(-3.0)
|
||||
|
||||
def test_withdraw_capped_at_balance(self):
|
||||
spoke = make_spoke()
|
||||
spoke.deposit("stETH", 5.0, 0.0)
|
||||
spoke.withdraw("stETH", 999.0, 1.0)
|
||||
assert spoke.balances.get("stETH", 0.0) == pytest.approx(0.0)
|
||||
|
||||
def test_withdraw_with_no_balance_returns_none(self):
|
||||
spoke = make_spoke()
|
||||
result = spoke.withdraw("stETH", 10.0, 0.0)
|
||||
assert result is None
|
||||
|
||||
def test_withdraw_appends_pending_report(self):
|
||||
spoke = make_spoke()
|
||||
spoke.deposit("stETH", 10.0, 0.0)
|
||||
initial_count = len(spoke.pending_reports)
|
||||
spoke.withdraw("stETH", 3.0, 1.0)
|
||||
assert len(spoke.pending_reports) == initial_count + 1
|
||||
|
||||
|
||||
# ---------- SpokeVault.apply_staking_yield ----------
|
||||
|
||||
class TestSpokeVaultApplyStakingYield:
|
||||
def test_yield_increases_balance(self):
|
||||
spoke = make_spoke()
|
||||
spoke.deposit("stETH", 100.0, 0.0)
|
||||
balance_before = spoke.balances["stETH"]
|
||||
spoke.apply_staking_yield(1.0 / 365)
|
||||
assert spoke.balances["stETH"] > balance_before
|
||||
|
||||
def test_yield_amount_correct(self):
|
||||
spoke = make_spoke()
|
||||
spoke.deposit("stETH", 100.0, 0.0)
|
||||
asset = spoke.accepted_assets[0]
|
||||
dt = 1.0 / 365
|
||||
expected_token_yield = 100.0 * asset.staking_apy * dt
|
||||
expected_usd_yield = expected_token_yield * asset.price
|
||||
actual_yield = spoke.apply_staking_yield(dt)
|
||||
assert actual_yield == pytest.approx(expected_usd_yield)
|
||||
|
||||
def test_empty_vault_yields_zero(self):
|
||||
spoke = make_spoke()
|
||||
yield_amount = spoke.apply_staking_yield(1.0)
|
||||
assert yield_amount == pytest.approx(0.0)
|
||||
|
||||
def test_yield_updates_total_value_usd(self):
|
||||
spoke = make_spoke()
|
||||
spoke.deposit("stETH", 100.0, 0.0)
|
||||
value_before = spoke.total_value_usd
|
||||
spoke.apply_staking_yield(1.0 / 12) # Monthly
|
||||
assert spoke.total_value_usd > value_before
|
||||
|
||||
|
||||
# ---------- HubRegistry.register_spoke ----------
|
||||
|
||||
class TestHubRegistryRegisterSpoke:
|
||||
def test_registers_spoke_by_chain(self):
|
||||
hub = HubRegistry()
|
||||
spoke = make_spoke("arbitrum")
|
||||
hub.register_spoke(spoke)
|
||||
assert "arbitrum" in hub.spokes
|
||||
|
||||
def test_registers_assets(self):
|
||||
hub = HubRegistry()
|
||||
spoke = make_spoke("ethereum")
|
||||
hub.register_spoke(spoke)
|
||||
assert "stETH" in hub.all_assets
|
||||
|
||||
def test_multiple_spokes(self):
|
||||
hub = HubRegistry()
|
||||
hub.register_spoke(make_spoke("ethereum"))
|
||||
hub.register_spoke(make_spoke("arbitrum"))
|
||||
assert len(hub.spokes) == 2
|
||||
|
||||
|
||||
# ---------- HubRegistry.process_messages ----------
|
||||
|
||||
class TestHubRegistryProcessMessages:
|
||||
def test_delivers_message_after_latency(self):
|
||||
hub, spoke = make_hub_with_spoke()
|
||||
spoke.deposit("stETH", 10.0, 0.0)
|
||||
# Advance time far beyond any possible latency
|
||||
delivered = hub.process_messages(1.0)
|
||||
assert len(delivered) >= 1
|
||||
|
||||
def test_delivered_message_marked(self):
|
||||
hub, spoke = make_hub_with_spoke()
|
||||
spoke.deposit("stETH", 5.0, 0.0)
|
||||
hub.process_messages(1.0)
|
||||
# All pending reports should be cleared after delivery
|
||||
assert len(spoke.pending_reports) == 0
|
||||
|
||||
def test_message_not_delivered_before_latency(self):
|
||||
hub, spoke = make_hub_with_spoke()
|
||||
spoke.deposit("stETH", 5.0, 0.0)
|
||||
# Process at exactly time 0 — latency hasn't elapsed yet
|
||||
# (latency is always > 0 due to base_latency + randomness)
|
||||
delivered = hub.process_messages(0.0)
|
||||
# No delivery expected at t=0
|
||||
assert len(delivered) == 0
|
||||
|
||||
def test_updates_global_collateral_after_delivery(self):
|
||||
hub, spoke = make_hub_with_spoke()
|
||||
spoke.deposit("stETH", 10.0, 0.0)
|
||||
hub.process_messages(1.0)
|
||||
assert hub.global_collateral.get("stETH", 0.0) == pytest.approx(10.0)
|
||||
|
||||
def test_updates_total_collateral_usd(self):
|
||||
hub, spoke = make_hub_with_spoke()
|
||||
spoke.deposit("stETH", 5.0, 0.0)
|
||||
hub.process_messages(1.0)
|
||||
asset = spoke.accepted_assets[0]
|
||||
expected_usd = 5.0 * asset.price * asset.weight
|
||||
assert hub.total_collateral_usd == pytest.approx(expected_usd)
|
||||
|
||||
|
||||
# ---------- simulate_deposit ----------
|
||||
|
||||
class TestSimulateDeposit:
|
||||
def test_returns_ccip_message(self):
|
||||
system = create_default_system()
|
||||
msg = simulate_deposit(system, "ethereum", "stETH", 10.0, 0.0)
|
||||
assert isinstance(msg, CCIPMessage)
|
||||
|
||||
def test_increments_messages_sent(self):
|
||||
system = create_default_system()
|
||||
before = system.total_messages_sent
|
||||
simulate_deposit(system, "ethereum", "stETH", 10.0, 0.0)
|
||||
assert system.total_messages_sent == before + 1
|
||||
|
||||
def test_appends_to_message_log(self):
|
||||
system = create_default_system()
|
||||
before = len(system.message_log)
|
||||
simulate_deposit(system, "arbitrum", "wstETH", 5.0, 0.0)
|
||||
assert len(system.message_log) == before + 1
|
||||
|
||||
def test_spoke_balance_updated(self):
|
||||
system = create_default_system()
|
||||
simulate_deposit(system, "ethereum", "stETH", 50.0, 0.0)
|
||||
assert system.hub.spokes["ethereum"].balances.get("stETH", 0.0) == pytest.approx(50.0)
|
||||
|
||||
def test_unknown_chain_raises(self):
|
||||
system = create_default_system()
|
||||
with pytest.raises(ValueError, match="Unknown chain"):
|
||||
simulate_deposit(system, "moon", "stETH", 1.0, 0.0)
|
||||
|
||||
|
||||
# ---------- tick ----------
|
||||
|
||||
class TestTick:
|
||||
def test_tick_advances_time(self):
|
||||
system = create_default_system()
|
||||
dt = 1.0 / 365
|
||||
tick(system, dt)
|
||||
assert system.time == pytest.approx(dt)
|
||||
|
||||
def test_tick_multiple_advances_time(self):
|
||||
system = create_default_system()
|
||||
dt = 1.0 / 365
|
||||
for _ in range(5):
|
||||
tick(system, dt)
|
||||
assert system.time == pytest.approx(5 * dt)
|
||||
|
||||
def test_tick_with_deposits_generates_yield(self):
|
||||
system = create_default_system()
|
||||
simulate_deposit(system, "ethereum", "stETH", 100.0, 0.0)
|
||||
# Advance past latency
|
||||
tick(system, 1.0)
|
||||
assert system.total_yield_generated > 0.0
|
||||
|
||||
def test_tick_returns_dict_with_expected_keys(self):
|
||||
system = create_default_system()
|
||||
result = tick(system, 1.0 / 365)
|
||||
assert "time" in result
|
||||
assert "yield_this_tick" in result
|
||||
assert "messages_delivered" in result
|
||||
assert "total_collateral_usd" in result
|
||||
assert "per_chain" in result
|
||||
|
||||
def test_tick_per_chain_has_all_chains(self):
|
||||
system = create_default_system()
|
||||
result = tick(system, 1.0 / 365)
|
||||
for chain in ["ethereum", "arbitrum", "optimism", "base", "polygon"]:
|
||||
assert chain in result["per_chain"]
|
||||
|
||||
def test_tick_increases_total_messages_sent(self):
|
||||
system = create_default_system()
|
||||
before = system.total_messages_sent
|
||||
tick(system, 1.0 / 365)
|
||||
# Broadcasts state sync to all spokes each tick
|
||||
assert system.total_messages_sent > before
|
||||
|
||||
|
||||
# ---------- apply_price_shock ----------
|
||||
|
||||
class TestApplyPriceShock:
|
||||
def test_price_shock_changes_asset_price(self):
|
||||
system = create_default_system()
|
||||
eth_spoke = system.hub.spokes["ethereum"]
|
||||
for asset in eth_spoke.accepted_assets:
|
||||
if asset.symbol == "stETH":
|
||||
old_price = asset.price
|
||||
break
|
||||
apply_price_shock(system, "stETH", 0.5)
|
||||
for asset in eth_spoke.accepted_assets:
|
||||
if asset.symbol == "stETH":
|
||||
assert asset.price == pytest.approx(old_price * 0.5)
|
||||
break
|
||||
|
||||
def test_price_shock_affects_all_chains_with_asset(self):
|
||||
system = create_default_system()
|
||||
apply_price_shock(system, "rETH", 0.8)
|
||||
# rETH exists on ethereum and arbitrum
|
||||
for chain in ["ethereum", "arbitrum"]:
|
||||
spoke = system.hub.spokes[chain]
|
||||
for asset in spoke.accepted_assets:
|
||||
if asset.symbol == "rETH":
|
||||
assert asset.price == pytest.approx(2420.0 * 0.8)
|
||||
break
|
||||
|
||||
def test_price_shock_recalculates_total_collateral(self):
|
||||
system = create_default_system()
|
||||
simulate_deposit(system, "ethereum", "stETH", 10.0, 0.0)
|
||||
tick(system, 1.0) # Process messages
|
||||
value_before = system.hub.total_collateral_usd
|
||||
apply_price_shock(system, "stETH", 0.5)
|
||||
# Value should decrease (stETH is worth less now)
|
||||
# Only meaningful if there's actual stETH balance
|
||||
# At minimum, recalculate_total should have run without error
|
||||
# and total_collateral_usd is a valid float
|
||||
assert isinstance(system.hub.total_collateral_usd, float)
|
||||
|
||||
def test_price_shock_upward(self):
|
||||
system = create_default_system()
|
||||
eth_spoke = system.hub.spokes["ethereum"]
|
||||
for asset in eth_spoke.accepted_assets:
|
||||
if asset.symbol == "stETH":
|
||||
old_price = asset.price
|
||||
break
|
||||
apply_price_shock(system, "stETH", 2.0)
|
||||
for asset in eth_spoke.accepted_assets:
|
||||
if asset.symbol == "stETH":
|
||||
assert asset.price == pytest.approx(old_price * 2.0)
|
||||
break
|
||||
|
||||
|
||||
# ---------- get_crosschain_metrics ----------
|
||||
|
||||
class TestGetCrosschainMetrics:
|
||||
def test_returns_all_expected_fields(self):
|
||||
system = create_default_system()
|
||||
m = get_crosschain_metrics(system)
|
||||
assert "time" in m
|
||||
assert "total_collateral_usd" in m
|
||||
assert "total_messages_sent" in m
|
||||
assert "total_messages_delivered" in m
|
||||
assert "total_yield_generated" in m
|
||||
assert "chains" in m
|
||||
assert "global_collateral" in m
|
||||
|
||||
def test_chains_contains_all_five(self):
|
||||
system = create_default_system()
|
||||
m = get_crosschain_metrics(system)
|
||||
for chain in ["ethereum", "arbitrum", "optimism", "base", "polygon"]:
|
||||
assert chain in m["chains"]
|
||||
|
||||
def test_chain_entry_has_assets_field(self):
|
||||
system = create_default_system()
|
||||
m = get_crosschain_metrics(system)
|
||||
for chain, data in m["chains"].items():
|
||||
assert "assets" in data
|
||||
assert "total_value_usd" in data
|
||||
|
||||
def test_metrics_update_after_deposit(self):
|
||||
system = create_default_system()
|
||||
simulate_deposit(system, "ethereum", "stETH", 50.0, 0.0)
|
||||
tick(system, 1.0) # Process CCIP messages
|
||||
m = get_crosschain_metrics(system)
|
||||
# stETH balance should be reflected in chain assets
|
||||
eth_assets = m["chains"]["ethereum"]["assets"]
|
||||
assert eth_assets["stETH"]["balance"] == pytest.approx(
|
||||
system.hub.spokes["ethereum"].balances.get("stETH", 0.0)
|
||||
)
|
||||
|
||||
|
||||
# ---------- Full lifecycle ----------
|
||||
|
||||
class TestFullCrossChainLifecycle:
|
||||
def test_deposit_on_multiple_chains_then_tick(self):
|
||||
system = create_default_system()
|
||||
|
||||
# Deposit on multiple chains
|
||||
simulate_deposit(system, "ethereum", "stETH", 100.0, 0.0)
|
||||
simulate_deposit(system, "arbitrum", "wstETH", 50.0, 0.0)
|
||||
simulate_deposit(system, "base", "cbETH", 30.0, 0.0)
|
||||
|
||||
assert system.total_messages_sent == 3
|
||||
|
||||
# Tick to process CCIP messages and accrue yield
|
||||
result = tick(system, 1.0)
|
||||
|
||||
assert system.total_messages_delivered > 0
|
||||
assert system.total_yield_generated > 0.0
|
||||
assert result["yield_this_tick"] > 0.0
|
||||
|
||||
# Metrics should be populated
|
||||
m = get_crosschain_metrics(system)
|
||||
assert m["total_messages_sent"] > 0
|
||||
assert m["total_yield_generated"] > 0.0
|
||||
|
||||
def test_tick_multiple_times_accumulates_yield(self):
|
||||
system = create_default_system()
|
||||
simulate_deposit(system, "ethereum", "stETH", 100.0, 0.0)
|
||||
# Process deposit
|
||||
tick(system, 1.0)
|
||||
yield_after_1 = system.total_yield_generated
|
||||
|
||||
# More ticks
|
||||
for _ in range(10):
|
||||
tick(system, 1.0 / 365)
|
||||
|
||||
assert system.total_yield_generated > yield_after_1
|
||||
|
||||
def test_full_lifecycle_verify_metrics(self):
|
||||
system = create_default_system()
|
||||
|
||||
# Deposit on all five chains
|
||||
for chain, asset in [
|
||||
("ethereum", "stETH"),
|
||||
("arbitrum", "wstETH"),
|
||||
("optimism", "wstETH"),
|
||||
("base", "cbETH"),
|
||||
("polygon", "stMATIC"),
|
||||
]:
|
||||
simulate_deposit(system, chain, asset, 100.0, 0.0)
|
||||
|
||||
# Tick for one year
|
||||
for _ in range(12):
|
||||
tick(system, 1.0 / 12)
|
||||
|
||||
m = get_crosschain_metrics(system)
|
||||
assert m["time"] == pytest.approx(1.0, rel=1e-3)
|
||||
assert m["total_yield_generated"] > 0.0
|
||||
assert m["total_messages_sent"] > 5 # Initial deposits + syncs
|
||||
assert m["total_collateral_usd"] > 0.0
|
||||
|
|
@ -0,0 +1,493 @@
|
|||
"""Tests for risk-tranched stablecoin issuance (src/primitives/risk_tranching.py)."""
|
||||
|
||||
import math
|
||||
import numpy as np
|
||||
import pytest
|
||||
|
||||
from src.primitives.risk_tranching import (
|
||||
TrancheParams,
|
||||
TrancheState,
|
||||
RiskTrancheSystem,
|
||||
mint_capacity,
|
||||
deposit_collateral,
|
||||
mint_tranche,
|
||||
redeem_tranche,
|
||||
distribute_yield,
|
||||
apply_loss,
|
||||
check_liquidation,
|
||||
get_tranche_metrics,
|
||||
)
|
||||
|
||||
|
||||
# ---------- Helpers ----------
|
||||
|
||||
def make_system(collateral: float = 0.0) -> RiskTrancheSystem:
|
||||
"""Return a fresh RiskTrancheSystem with optional starting collateral."""
|
||||
system = RiskTrancheSystem(params=TrancheParams())
|
||||
if collateral > 0:
|
||||
deposit_collateral(system, collateral)
|
||||
return system
|
||||
|
||||
|
||||
def make_funded_system(collateral: float = 1_000_000.0) -> RiskTrancheSystem:
|
||||
"""System with collateral, all three tranches minted to a reasonable level."""
|
||||
system = make_system(collateral)
|
||||
mint_tranche(system, "senior", 200_000)
|
||||
mint_tranche(system, "mezzanine", 100_000)
|
||||
mint_tranche(system, "junior", 50_000)
|
||||
return system
|
||||
|
||||
|
||||
# ---------- TrancheParams ----------
|
||||
|
||||
class TestTrancheParams:
|
||||
def test_defaults(self):
|
||||
p = TrancheParams()
|
||||
assert p.senior_collateral_ratio == 1.5
|
||||
assert p.mezzanine_collateral_ratio == 1.2
|
||||
assert p.senior_yield_target == 0.03
|
||||
assert p.mezzanine_yield_target == 0.08
|
||||
assert p.max_senior_fraction == 0.50
|
||||
assert p.max_mezzanine_fraction == 0.30
|
||||
assert p.senior_liquidation_ratio == 1.2
|
||||
assert p.mezzanine_liquidation_ratio == 1.05
|
||||
assert p.rebalance_threshold == 0.05
|
||||
|
||||
def test_custom_params(self):
|
||||
p = TrancheParams(senior_collateral_ratio=2.0, senior_yield_target=0.05)
|
||||
assert p.senior_collateral_ratio == 2.0
|
||||
assert p.senior_yield_target == 0.05
|
||||
|
||||
|
||||
# ---------- TrancheState ----------
|
||||
|
||||
class TestTrancheState:
|
||||
def test_collateral_ratio_zero_supply_is_inf(self):
|
||||
t = TrancheState(name="test", supply=0.0, collateral_backing=100.0)
|
||||
assert t.collateral_ratio == float("inf")
|
||||
|
||||
def test_collateral_ratio_normal(self):
|
||||
t = TrancheState(name="test", supply=1000.0, collateral_backing=1500.0)
|
||||
assert t.collateral_ratio == pytest.approx(1.5)
|
||||
|
||||
def test_collateral_ratio_undercollateralized(self):
|
||||
t = TrancheState(name="test", supply=1000.0, collateral_backing=800.0)
|
||||
assert t.collateral_ratio == pytest.approx(0.8)
|
||||
|
||||
def test_is_healthy_above_one(self):
|
||||
t = TrancheState(name="test", supply=100.0, collateral_backing=150.0)
|
||||
assert t.is_healthy is True
|
||||
|
||||
def test_is_healthy_below_one(self):
|
||||
t = TrancheState(name="test", supply=100.0, collateral_backing=90.0)
|
||||
assert t.is_healthy is False
|
||||
|
||||
def test_is_healthy_zero_supply(self):
|
||||
# CR is inf when supply is 0, inf > 1 → healthy
|
||||
t = TrancheState(name="test", supply=0.0, collateral_backing=0.0)
|
||||
assert t.is_healthy is True
|
||||
|
||||
|
||||
# ---------- RiskTrancheSystem creation ----------
|
||||
|
||||
class TestRiskTrancheSystemCreation:
|
||||
def test_default_names(self):
|
||||
system = RiskTrancheSystem(params=TrancheParams())
|
||||
assert system.senior.name == "myUSD-S"
|
||||
assert system.mezzanine.name == "myUSD-M"
|
||||
assert system.junior.name == "$MYCO"
|
||||
|
||||
def test_initial_zero_state(self):
|
||||
system = RiskTrancheSystem(params=TrancheParams())
|
||||
assert system.total_collateral == 0.0
|
||||
assert system.total_supply == 0.0
|
||||
assert system.system_collateral_ratio == float("inf")
|
||||
|
||||
def test_total_supply_aggregates_tranches(self):
|
||||
system = RiskTrancheSystem(params=TrancheParams())
|
||||
system.senior.supply = 100.0
|
||||
system.mezzanine.supply = 50.0
|
||||
system.junior.supply = 25.0
|
||||
assert system.total_supply == pytest.approx(175.0)
|
||||
|
||||
def test_system_collateral_ratio(self):
|
||||
system = RiskTrancheSystem(params=TrancheParams())
|
||||
system.total_collateral = 300.0
|
||||
system.senior.supply = 100.0
|
||||
system.mezzanine.supply = 50.0
|
||||
assert system.system_collateral_ratio == pytest.approx(300.0 / 150.0)
|
||||
|
||||
|
||||
# ---------- deposit_collateral ----------
|
||||
|
||||
class TestDepositCollateral:
|
||||
def test_deposit_increases_total(self):
|
||||
system = make_system()
|
||||
deposit_collateral(system, 500.0)
|
||||
assert system.total_collateral == pytest.approx(500.0)
|
||||
|
||||
def test_multiple_deposits_accumulate(self):
|
||||
system = make_system()
|
||||
deposit_collateral(system, 300.0)
|
||||
deposit_collateral(system, 200.0)
|
||||
assert system.total_collateral == pytest.approx(500.0)
|
||||
|
||||
def test_deposit_into_existing_system(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
before = system.total_collateral
|
||||
deposit_collateral(system, 100_000.0)
|
||||
assert system.total_collateral == pytest.approx(before + 100_000.0)
|
||||
|
||||
def test_returns_system(self):
|
||||
system = make_system()
|
||||
result = deposit_collateral(system, 100.0)
|
||||
assert result is system
|
||||
|
||||
|
||||
# ---------- mint_capacity ----------
|
||||
|
||||
class TestMintCapacity:
|
||||
def test_no_collateral_returns_zeros(self):
|
||||
system = make_system(0.0)
|
||||
caps = mint_capacity(system)
|
||||
assert caps["senior"] == pytest.approx(0.0)
|
||||
assert caps["mezzanine"] == pytest.approx(0.0)
|
||||
assert caps["junior"] >= 0.0
|
||||
|
||||
def test_senior_capacity_within_fraction_limit(self):
|
||||
system = make_system(1_000_000.0)
|
||||
caps = mint_capacity(system)
|
||||
# Max senior = (1e6 * 0.50) / 1.5 = 333_333.33
|
||||
expected_senior = (1_000_000.0 * 0.50) / 1.5
|
||||
assert caps["senior"] == pytest.approx(expected_senior)
|
||||
|
||||
def test_mezzanine_capacity_within_fraction_limit(self):
|
||||
system = make_system(1_000_000.0)
|
||||
caps = mint_capacity(system)
|
||||
# Max mez = (1e6 * 0.30) / 1.2 = 250_000
|
||||
expected_mez = (1_000_000.0 * 0.30) / 1.2
|
||||
assert caps["mezzanine"] == pytest.approx(expected_mez)
|
||||
|
||||
def test_capacity_decreases_after_minting(self):
|
||||
system = make_system(1_000_000.0)
|
||||
caps_before = mint_capacity(system)
|
||||
mint_tranche(system, "senior", 100_000.0)
|
||||
caps_after = mint_capacity(system)
|
||||
assert caps_after["senior"] < caps_before["senior"]
|
||||
|
||||
def test_all_keys_present(self):
|
||||
system = make_system(500_000.0)
|
||||
caps = mint_capacity(system)
|
||||
assert "senior" in caps
|
||||
assert "mezzanine" in caps
|
||||
assert "junior" in caps
|
||||
|
||||
|
||||
# ---------- mint_tranche ----------
|
||||
|
||||
class TestMintTranche:
|
||||
def test_mint_senior_returns_correct_amount(self):
|
||||
system = make_system(1_000_000.0)
|
||||
system, minted = mint_tranche(system, "senior", 100_000.0)
|
||||
assert minted == pytest.approx(100_000.0)
|
||||
assert system.senior.supply == pytest.approx(100_000.0)
|
||||
|
||||
def test_mint_mezzanine(self):
|
||||
system = make_system(1_000_000.0)
|
||||
system, minted = mint_tranche(system, "mezzanine", 50_000.0)
|
||||
assert minted == pytest.approx(50_000.0)
|
||||
assert system.mezzanine.supply == pytest.approx(50_000.0)
|
||||
|
||||
def test_mint_junior(self):
|
||||
system = make_system(1_000_000.0)
|
||||
system, minted = mint_tranche(system, "junior", 30_000.0)
|
||||
assert minted == pytest.approx(30_000.0)
|
||||
assert system.junior.supply == pytest.approx(30_000.0)
|
||||
|
||||
def test_mint_respects_capacity_cap(self):
|
||||
system = make_system(100.0)
|
||||
# Request far more than capacity
|
||||
system, minted = mint_tranche(system, "senior", 1_000_000.0)
|
||||
caps = mint_capacity(make_system(100.0))
|
||||
assert minted <= caps["senior"] + 1e-9
|
||||
|
||||
def test_mint_when_no_collateral_returns_zero(self):
|
||||
system = make_system(0.0)
|
||||
system, minted = mint_tranche(system, "senior", 1_000.0)
|
||||
assert minted == pytest.approx(0.0)
|
||||
assert system.senior.supply == pytest.approx(0.0)
|
||||
|
||||
def test_mint_collateral_backing_correct_senior(self):
|
||||
system = make_system(1_000_000.0)
|
||||
system, minted = mint_tranche(system, "senior", 100_000.0)
|
||||
expected_backing = 100_000.0 * system.params.senior_collateral_ratio
|
||||
assert system.senior.collateral_backing == pytest.approx(expected_backing)
|
||||
|
||||
def test_mint_collateral_backing_correct_mezzanine(self):
|
||||
system = make_system(1_000_000.0)
|
||||
system, minted = mint_tranche(system, "mezzanine", 50_000.0)
|
||||
expected_backing = 50_000.0 * system.params.mezzanine_collateral_ratio
|
||||
assert system.mezzanine.collateral_backing == pytest.approx(expected_backing)
|
||||
|
||||
def test_mint_junior_one_to_one(self):
|
||||
system = make_system(1_000_000.0)
|
||||
system, minted = mint_tranche(system, "junior", 10_000.0)
|
||||
assert system.junior.collateral_backing == pytest.approx(minted)
|
||||
|
||||
|
||||
# ---------- redeem_tranche ----------
|
||||
|
||||
class TestRedeemTranche:
|
||||
def test_redeem_returns_proportional_collateral(self):
|
||||
system = make_system(1_000_000.0)
|
||||
mint_tranche(system, "senior", 100_000.0)
|
||||
backing_before = system.senior.collateral_backing
|
||||
# Redeem half
|
||||
system, collateral = redeem_tranche(system, "senior", 50_000.0)
|
||||
assert collateral == pytest.approx(backing_before / 2)
|
||||
|
||||
def test_redeem_reduces_supply(self):
|
||||
system = make_system(1_000_000.0)
|
||||
mint_tranche(system, "senior", 100_000.0)
|
||||
system, _ = redeem_tranche(system, "senior", 40_000.0)
|
||||
assert system.senior.supply == pytest.approx(60_000.0)
|
||||
|
||||
def test_redeem_reduces_total_collateral(self):
|
||||
system = make_system(1_000_000.0)
|
||||
mint_tranche(system, "senior", 100_000.0)
|
||||
total_before = system.total_collateral
|
||||
system, collateral = redeem_tranche(system, "senior", 50_000.0)
|
||||
assert system.total_collateral == pytest.approx(total_before - collateral)
|
||||
|
||||
def test_redeem_capped_at_supply(self):
|
||||
system = make_system(1_000_000.0)
|
||||
mint_tranche(system, "mezzanine", 50_000.0)
|
||||
# Try to redeem more than supply
|
||||
system, collateral = redeem_tranche(system, "mezzanine", 999_999.0)
|
||||
assert system.mezzanine.supply == pytest.approx(0.0)
|
||||
|
||||
def test_redeem_zero_supply_returns_nothing(self):
|
||||
system = make_system(1_000_000.0)
|
||||
system, collateral = redeem_tranche(system, "junior", 100.0)
|
||||
assert collateral == pytest.approx(0.0)
|
||||
|
||||
|
||||
# ---------- distribute_yield ----------
|
||||
|
||||
class TestDistributeYield:
|
||||
def test_senior_gets_target_first(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
senior_supply = system.senior.supply
|
||||
dt = 1.0 # 1 year
|
||||
# Small yield that only covers senior target
|
||||
senior_target = senior_supply * system.params.senior_yield_target * dt
|
||||
yield_amount = senior_target * 0.5 # Only half of what senior wants
|
||||
|
||||
senior_before = system.senior.accrued_yield
|
||||
mez_before = system.mezzanine.accrued_yield
|
||||
distribute_yield(system, yield_amount, dt)
|
||||
|
||||
assert system.senior.accrued_yield > senior_before
|
||||
# Mezzanine should not receive anything when yield is insufficient for senior
|
||||
assert system.mezzanine.accrued_yield == pytest.approx(mez_before)
|
||||
|
||||
def test_mezzanine_gets_yield_after_senior(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
dt = 1.0
|
||||
senior_target = system.senior.supply * system.params.senior_yield_target * dt
|
||||
mez_target = system.mezzanine.supply * system.params.mezzanine_yield_target * dt
|
||||
# Yield that covers senior and some for mezzanine
|
||||
yield_amount = senior_target + mez_target * 0.5
|
||||
|
||||
distribute_yield(system, yield_amount, dt)
|
||||
assert system.mezzanine.accrued_yield > 0.0
|
||||
|
||||
def test_junior_gets_residual(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
dt = 1.0
|
||||
senior_target = system.senior.supply * system.params.senior_yield_target * dt
|
||||
mez_target = system.mezzanine.supply * system.params.mezzanine_yield_target * dt
|
||||
# Large yield that satisfies senior + mez, leaves some for junior
|
||||
extra = 50_000.0
|
||||
yield_amount = senior_target + mez_target + extra
|
||||
|
||||
distribute_yield(system, yield_amount, dt)
|
||||
assert system.junior.accrued_yield == pytest.approx(extra)
|
||||
|
||||
def test_cumulative_yield_updates(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
distribute_yield(system, 10_000.0, 1.0 / 365)
|
||||
total_distributed = (
|
||||
system.senior.cumulative_yield
|
||||
+ system.mezzanine.cumulative_yield
|
||||
+ system.junior.cumulative_yield
|
||||
)
|
||||
assert total_distributed == pytest.approx(10_000.0)
|
||||
|
||||
def test_yield_updates_total_staking_yield(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
distribute_yield(system, 5_000.0, 1.0 / 365)
|
||||
assert system.total_staking_yield == pytest.approx(5_000.0)
|
||||
|
||||
def test_yield_increases_collateral_backing(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
senior_backing_before = system.senior.collateral_backing
|
||||
dt = 1.0
|
||||
yield_amount = system.senior.supply * system.params.senior_yield_target * dt
|
||||
distribute_yield(system, yield_amount, dt)
|
||||
assert system.senior.collateral_backing > senior_backing_before
|
||||
|
||||
|
||||
# ---------- apply_loss ----------
|
||||
|
||||
class TestApplyLoss:
|
||||
def test_junior_absorbs_first(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
junior_backing = system.junior.collateral_backing
|
||||
mez_backing_before = system.mezzanine.collateral_backing
|
||||
# Small loss that junior can fully absorb
|
||||
small_loss = junior_backing * 0.5
|
||||
apply_loss(system, small_loss)
|
||||
assert system.junior.collateral_backing == pytest.approx(junior_backing - small_loss)
|
||||
assert system.mezzanine.collateral_backing == pytest.approx(mez_backing_before)
|
||||
|
||||
def test_mezzanine_absorbs_after_junior_exhausted(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
junior_backing = system.junior.collateral_backing
|
||||
mez_backing_before = system.mezzanine.collateral_backing
|
||||
# Loss larger than junior can handle
|
||||
loss = junior_backing + 10_000.0
|
||||
apply_loss(system, loss)
|
||||
assert system.junior.collateral_backing == pytest.approx(0.0)
|
||||
assert system.mezzanine.collateral_backing < mez_backing_before
|
||||
|
||||
def test_senior_absorbs_last(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
junior_backing = system.junior.collateral_backing
|
||||
mez_backing = system.mezzanine.collateral_backing
|
||||
senior_backing_before = system.senior.collateral_backing
|
||||
# Wipe out junior + mez, then hit senior
|
||||
massive_loss = junior_backing + mez_backing + 5_000.0
|
||||
apply_loss(system, massive_loss)
|
||||
assert system.junior.collateral_backing == pytest.approx(0.0)
|
||||
assert system.mezzanine.collateral_backing == pytest.approx(0.0)
|
||||
assert system.senior.collateral_backing < senior_backing_before
|
||||
|
||||
def test_total_collateral_decreases(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
total_before = system.total_collateral
|
||||
apply_loss(system, 50_000.0)
|
||||
assert system.total_collateral == pytest.approx(total_before - 50_000.0)
|
||||
|
||||
def test_cumulative_losses_tracked(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
apply_loss(system, system.junior.collateral_backing)
|
||||
assert system.junior.cumulative_losses > 0.0
|
||||
|
||||
def test_loss_exceeding_all_collateral(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
total_backing = (
|
||||
system.junior.collateral_backing
|
||||
+ system.mezzanine.collateral_backing
|
||||
+ system.senior.collateral_backing
|
||||
)
|
||||
# Loss beyond all collateral
|
||||
apply_loss(system, total_backing * 2)
|
||||
# All three should be at or near zero
|
||||
assert system.junior.collateral_backing <= 0.0
|
||||
assert system.mezzanine.collateral_backing <= 0.0
|
||||
|
||||
|
||||
# ---------- check_liquidation ----------
|
||||
|
||||
class TestCheckLiquidation:
|
||||
def test_no_liquidation_when_healthy(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
result = check_liquidation(system)
|
||||
assert result["senior"] is False
|
||||
assert result["mezzanine"] is False
|
||||
assert result["junior"] is False
|
||||
|
||||
def test_senior_liquidation_triggered(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
# Force senior CR below liquidation threshold (1.2)
|
||||
system.senior.collateral_backing = system.senior.supply * 1.1 # 110% < 120%
|
||||
result = check_liquidation(system)
|
||||
assert result["senior"] is True
|
||||
|
||||
def test_mezzanine_liquidation_triggered(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
# Force mez CR below 1.05
|
||||
system.mezzanine.collateral_backing = system.mezzanine.supply * 1.0 # 100% < 105%
|
||||
result = check_liquidation(system)
|
||||
assert result["mezzanine"] is True
|
||||
|
||||
def test_no_liquidation_when_zero_supply(self):
|
||||
# With zero supply, nothing to liquidate
|
||||
system = make_system(1_000_000.0)
|
||||
result = check_liquidation(system)
|
||||
assert result["senior"] is False
|
||||
assert result["mezzanine"] is False
|
||||
assert result["junior"] is False
|
||||
|
||||
def test_all_keys_present(self):
|
||||
system = make_system()
|
||||
result = check_liquidation(system)
|
||||
assert "senior" in result
|
||||
assert "mezzanine" in result
|
||||
assert "junior" in result
|
||||
|
||||
|
||||
# ---------- get_tranche_metrics ----------
|
||||
|
||||
class TestGetTrancheMetrics:
|
||||
def test_metrics_structure(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
m = get_tranche_metrics(system)
|
||||
assert "total_collateral" in m
|
||||
assert "system_cr" in m
|
||||
assert "total_supply" in m
|
||||
assert "senior" in m
|
||||
assert "mezzanine" in m
|
||||
assert "junior" in m
|
||||
|
||||
def test_metrics_values_consistent(self):
|
||||
system = make_funded_system(1_000_000.0)
|
||||
m = get_tranche_metrics(system)
|
||||
assert m["senior"]["supply"] == system.senior.supply
|
||||
assert m["mezzanine"]["supply"] == system.mezzanine.supply
|
||||
assert m["junior"]["supply"] == system.junior.supply
|
||||
|
||||
|
||||
# ---------- Full lifecycle ----------
|
||||
|
||||
class TestFullLifecycle:
|
||||
def test_deposit_mint_yield_loss_verify_crs(self):
|
||||
system = make_system(2_000_000.0)
|
||||
|
||||
# Mint all three tranches
|
||||
system, s_minted = mint_tranche(system, "senior", 300_000.0)
|
||||
system, m_minted = mint_tranche(system, "mezzanine", 150_000.0)
|
||||
system, j_minted = mint_tranche(system, "junior", 100_000.0)
|
||||
|
||||
assert s_minted > 0
|
||||
assert m_minted > 0
|
||||
assert j_minted > 0
|
||||
|
||||
# Distribute yield
|
||||
distribute_yield(system, 50_000.0, 1.0 / 12) # Monthly yield
|
||||
|
||||
# Tranches should have gained collateral backing
|
||||
assert system.senior.collateral_backing > s_minted * system.params.senior_collateral_ratio
|
||||
|
||||
# Apply a moderate loss
|
||||
junior_backing_before = system.junior.collateral_backing
|
||||
apply_loss(system, junior_backing_before * 0.3)
|
||||
|
||||
# Junior should have absorbed the loss
|
||||
assert system.junior.collateral_backing < junior_backing_before
|
||||
# Senior should be untouched
|
||||
assert system.senior.cumulative_losses == pytest.approx(0.0)
|
||||
|
||||
# Collateral ratios: senior should be healthy
|
||||
assert system.senior.collateral_ratio > system.params.senior_liquidation_ratio
|
||||
Loading…
Reference in New Issue