VolatilityOracle

Inherits: IVolatilityOracle, ReentrancyGuard, RelayerAccessManager

State Variables

DECIMALS

uint256 private constant DECIMALS = 12;

Functions

formatParams

Pack IV model parameters into a single bytes32

This function is used to pack the parameters into a single variable, which is then used as input in update

function formatParams(int256[5] calldata params) external pure returns (bytes32 result);

Parameters

Name	Type	Description
`params`	`int256[5]`	Parameters of IV model to pack

Returns

Name	Type	Description
`result`	`bytes32`	The packed parameters of IV model

parseParams

Unpack IV model parameters from a bytes32

function parseParams(bytes32 input) external pure returns (int256[5] memory params);

Parameters

Name	Type	Description
`input`	`bytes32`	Packed IV model parameters to unpack

Returns

Name	Type	Description
`params`	`int256[5]`	The unpacked parameters of the IV model

updateParams

Update a list of Anchored eSSVI model parameters

function updateParams(
    address[] calldata tokens,
    bytes32[] calldata tau,
    bytes32[] calldata theta,
    bytes32[] calldata psi,
    bytes32[] calldata rho,
    UD60x18 riskFreeRate
) external nonReentrant;

Parameters

Name	Type	Description
`tokens`	`address[]`	List of the base tokens
`tau`	`bytes32[]`	List of maturities
`theta`	`bytes32[]`	List of ATM total implied variance curves
`psi`	`bytes32[]`	List of ATM skew curves
`rho`	`bytes32[]`	List of rho curves
`riskFreeRate`	`UD60x18`	The risk-free rate

getParams

Get the IV model parameters of a token pair

function getParams(address token) external view returns (VolatilityOracleStorage.Update memory);

Parameters

Name	Type	Description
`token`	`address`	The token address

Returns

Name	Type	Description
`<none>`	`VolatilityOracleStorage.Update`	The IV model parameters

getParamsUnpacked

Get unpacked IV model parameters

function getParamsUnpacked(address token) external view returns (VolatilityOracleStorage.Params memory);

Parameters

Name	Type	Description
`token`	`address`	The token address

Returns

Name	Type	Description
`<none>`	`VolatilityOracleStorage.Params`	The unpacked IV model parameters

_findInterval

Finds the interval a particular value is located in.

function _findInterval(SD59x18[5] memory arr, SD59x18 value) internal pure returns (uint256);

Parameters

Name	Type	Description
`arr`	`SD59x18[5]`	The array of cutoff points that define the intervals
`value`	`SD59x18`	The value to find the interval for

Returns

Name	Type	Description
`<none>`	`uint256`	The interval index that corresponds the value

_toArray59x18

Convert an int256[] array to a SD59x18[] array

function _toArray59x18(int256[5] memory src) internal pure returns (SD59x18[5] memory tgt);

Parameters

Name	Type	Description
`src`	`int256[5]`	The array to be converted

Returns

Name	Type	Description
`tgt`	`SD59x18[5]`	The input array converted to a SD59x18[] array

_weightedAvg

function _weightedAvg(SD59x18 lam, SD59x18 value1, SD59x18 value2) internal pure returns (SD59x18);

getVolatility

Calculate the annualized volatility for given set of parameters

function getVolatility(address token, UD60x18 spot, UD60x18 strike, UD60x18 timeToMaturity)
    public
    view
    virtual
    returns (UD60x18);

Parameters

Name	Type	Description
`token`	`address`	The token address
`spot`	`UD60x18`	The spot price of the token
`strike`	`UD60x18`	The strike price of the option
`timeToMaturity`	`UD60x18`	The time until maturity (denominated in years)

Returns

Name	Type	Description
`<none>`	`UD60x18`	The annualized implied volatility, where 1 is defined as 100%

getVolatility

function getVolatility(address token, UD60x18 spot, UD60x18[] memory strike, UD60x18[] memory timeToMaturity)
    external
    view
    virtual
    returns (UD60x18[] memory);

getRiskFreeRate

function getRiskFreeRate() external view virtual returns (UD60x18);

Structs

Params

struct Params {
    SD59x18[5] tau;
    SD59x18[5] theta;
    SD59x18[5] psi;
    SD59x18[5] rho;
}

SliceInfo

struct SliceInfo {
    SD59x18 theta;
    SD59x18 psi;
    SD59x18 rho;
}