fix(notional-finance-v3): Remove fCash app token and move logic into …

…supply and borrow positions (#3089)
Zapper-fi · Nov 29, 2023 · ffb1616 · ffb1616
1 parent a25a5ff
commit ffb1616
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Showing 4 changed files with 36 additions and 212 deletions.
diff --git a/...apps/notional-finance-v3/arbitrum/notional-finance-v3.borrow.contract-position-fetcher.ts b/...apps/notional-finance-v3/arbitrum/notional-finance-v3.borrow.contract-position-fetcher.ts
@@ -31,9 +31,14 @@ export type NotionalBorrowingDataProps = {
   currencyId: number;
   tokenId: string;
   maturity: number;
+  fCashPV: number;
+  positionKey: string;
   type: string;
 };
 
+const NOTIONAL_CONSTANT = 10 ** 7;
+const SECONDS_IN_YEAR = 31104000; // 360 days
+
 @PositionTemplate()
 export class ArbitrumNotionalFinanceV3BorrowContractPositionFetcher extends ContractPositionTemplatePositionFetcher<
   NotionalView,
@@ -79,11 +84,19 @@ export class ArbitrumNotionalFinanceV3BorrowContractPositionFetcher extends Cont
               .read.encodeToId([currencyId, maturity, 0])
               .then(v => v.toString());
 
+            const apy = Number(activeMarket.lastImpliedRate ?? 0) / NOTIONAL_CONSTANT;
+
+            const dateNowEpoch = Date.now() / 1000;
+            const timeToMaturity = (maturity - dateNowEpoch) / SECONDS_IN_YEAR;
+            const lastImpliedRate = apy / 100;
+            const fCashPV = 1 / Math.exp(lastImpliedRate * timeToMaturity);
+
             return {
               address: this.notionalViewContractAddress,
               currencyId,
               underlyingTokenAddress,
               maturity,
+              fCashPV,
               tokenId,
               type,
             };
@@ -107,7 +120,7 @@ export class ArbitrumNotionalFinanceV3BorrowContractPositionFetcher extends Cont
     params: GetDataPropsParams<NotionalView, NotionalBorrowingDataProps, NotionalBorrowingDefinition>,
   ) {
     const defaultDataProps = await super.getDataProps(params);
-    const props = pick(params.definition, ['currencyId', 'tokenId', 'maturity', 'type']);
+    const props = pick(params.definition, ['currencyId', 'tokenId', 'maturity', 'fCashPV', 'type']);
     return { ...defaultDataProps, ...props, positionKey: Object.values(props).join(':') };
   }
 
@@ -120,7 +133,7 @@ export class ArbitrumNotionalFinanceV3BorrowContractPositionFetcher extends Cont
     contractPosition,
     contract,
   }: GetTokenBalancesParams<NotionalView, NotionalBorrowingDataProps>) {
-    const { maturity, currencyId } = contractPosition.dataProps;
+    const { maturity, currencyId, fCashPV } = contractPosition.dataProps;
     const portfolio = await contract.read.getAccountPortfolio([address]);
     const debtPositions = portfolio.filter(v => v.notional < 0);
     const position = debtPositions.find(v => Number(v.maturity) === maturity && Number(v.currencyId) === currencyId);
@@ -130,6 +143,8 @@ export class ArbitrumNotionalFinanceV3BorrowContractPositionFetcher extends Cont
       .times(10 ** contractPosition.tokens[0].decimals)
       .div(10 ** 8);
 
-    return [fcashAmountAtMaturity.abs().toString()];
+    const presentValue = fcashAmountAtMaturity.times(new BigNumber(fCashPV));
+
+    return [presentValue.toString()];
   }
 }
diff --git a/src/apps/notional-finance-v3/arbitrum/notional-finance-v3.f-cash.token-fetcher.ts b/src/apps/notional-finance-v3/arbitrum/notional-finance-v3.f-cash.token-fetcher.ts
diff --git a/...apps/notional-finance-v3/arbitrum/notional-finance-v3.supply.contract-position-fetcher.ts b/...apps/notional-finance-v3/arbitrum/notional-finance-v3.supply.contract-position-fetcher.ts
@@ -32,10 +32,14 @@ export type NotionalFinanceLendingDataProps = {
   currencyId: number;
   tokenId: string;
   maturity: number;
+  fCashPV: number;
   positionKey: string;
   type: string;
 };
 
+const NOTIONAL_CONSTANT = 10 ** 7;
+const SECONDS_IN_YEAR = 31104000; // 360 days
+
 @PositionTemplate()
 export class ArbitrumNotionalFinanceV3SupplyContractPositionFetcher extends ContractPositionTemplatePositionFetcher<
   NotionalView,
@@ -81,11 +85,19 @@ export class ArbitrumNotionalFinanceV3SupplyContractPositionFetcher extends Cont
               .read.encodeToId([currencyId, maturity, 0])
               .then(v => v.toString());
 
+            const apy = Number(activeMarket.lastImpliedRate ?? 0) / NOTIONAL_CONSTANT;
+
+            const dateNowEpoch = Date.now() / 1000;
+            const timeToMaturity = (maturity - dateNowEpoch) / SECONDS_IN_YEAR;
+            const lastImpliedRate = apy / 100;
+            const fCashPV = 1 / Math.exp(lastImpliedRate * timeToMaturity);
+
             return {
               address: this.notionalViewContractAddress,
               currencyId,
               underlyingTokenAddress,
               maturity,
+              fCashPV,
               tokenId,
               type,
             };
@@ -100,16 +112,14 @@ export class ArbitrumNotionalFinanceV3SupplyContractPositionFetcher extends Cont
   }
 
   async getTokenDefinitions({ definition }: GetTokenDefinitionsParams<NotionalView, NotionalFinanceLendingDefinition>) {
-    return [
-      { metaType: MetaType.SUPPLIED, address: definition.address, network: this.network, tokenId: definition.tokenId },
-    ];
+    return [{ metaType: MetaType.SUPPLIED, address: definition.underlyingTokenAddress, network: this.network }];
   }
 
   async getDataProps(
     params: GetDataPropsParams<NotionalView, NotionalFinanceLendingDataProps, NotionalFinanceLendingDefinition>,
   ) {
     const defaultDataProps = await super.getDataProps(params);
-    const props = pick(params.definition, ['currencyId', 'tokenId', 'maturity', 'type']);
+    const props = pick(params.definition, ['currencyId', 'tokenId', 'maturity', 'fCashPV', 'type']);
     return { ...defaultDataProps, ...props, positionKey: Object.values(props).join(':') };
   }
 
@@ -122,7 +132,7 @@ export class ArbitrumNotionalFinanceV3SupplyContractPositionFetcher extends Cont
     contractPosition,
     contract,
   }: GetTokenBalancesParams<NotionalView, NotionalFinanceLendingDataProps>): Promise<BigNumberish[]> {
-    const { maturity, currencyId } = contractPosition.dataProps;
+    const { maturity, currencyId, fCashPV } = contractPosition.dataProps;
     const portfolio = await contract.read.getAccountPortfolio([address]);
     const supplyPositions = portfolio.filter(v => v.notional >= 0);
     const position = supplyPositions.find(v => Number(v.maturity) === maturity && Number(v.currencyId) === currencyId);
@@ -132,6 +142,8 @@ export class ArbitrumNotionalFinanceV3SupplyContractPositionFetcher extends Cont
       .times(10 ** contractPosition.tokens[0].decimals)
       .div(10 ** 8);
 
-    return [fcashAmountAtMaturity.abs().toString()];
+    const presentValue = fcashAmountAtMaturity.times(new BigNumber(fCashPV));
+
+    return [presentValue.toString()];
   }
 }
diff --git a/src/apps/notional-finance-v3/notional-finance-v3.module.ts b/src/apps/notional-finance-v3/notional-finance-v3.module.ts
@@ -3,7 +3,6 @@ import { Module } from '@nestjs/common';
 import { AbstractApp } from '~app/app.dynamic-module';
 
 import { ArbitrumNotionalFinanceV3BorrowContractPositionFetcher } from './arbitrum/notional-finance-v3.borrow.contract-position-fetcher';
-import { ArbitrumNotionalFinanceV3FCashTokenFetcher } from './arbitrum/notional-finance-v3.f-cash.token-fetcher';
 import { ArbitrumNotionalFinanceV3NTokenTokenFetcher } from './arbitrum/notional-finance-v3.n-token.token-fetcher';
 import { ArbitrumNotionalFinanceV3PCashTokenFetcher } from './arbitrum/notional-finance-v3.p-cash.token-fetcher';
 import { ArbitrumNotionalFinanceV3PDebtTokenFetcher } from './arbitrum/notional-finance-v3.p-debt.token-fetcher';
@@ -17,7 +16,6 @@ import { NotionalFinanceV3ViemContractFactory } from './contracts';
     ArbitrumNotionalFinanceV3PCashTokenFetcher,
     ArbitrumNotionalFinanceV3PDebtTokenFetcher,
     ArbitrumNotionalFinanceV3NTokenTokenFetcher,
-    ArbitrumNotionalFinanceV3FCashTokenFetcher,
     ArbitrumNotionalFinanceV3SupplyContractPositionFetcher,
     ArbitrumNotionalFinanceV3BorrowContractPositionFetcher,
   ],