Merge pull request #74 from curvefi/odos-leverage-zap

Odos leverage zap

contracts/zaps/deprecated/LeverageZap.vy

@@ -0,0 +1,329 @@
+# @version 0.3.10
+
+"""
+@title <collateral> crvUSD leverage zap
+@author Curve.Fi
+@license Copyright (c) Curve.Fi, 2020-2023 - all rights reserved
+@notice Creates leverage on crvUSD via CurveRouter. Does calculations for leverage.
+"""
+
+interface ERC20:
+    def balanceOf(_for: address) -> uint256: view
+    def approve(_spender: address, _value: uint256) -> bool: nonpayable
+    def decimals() -> uint256: view
+
+interface Router:
+    def exchange_multiple(_route: address[9], _swap_params: uint256[3][4], _amount: uint256, _expected: uint256, _pools: address[4]) -> uint256: payable
+    def get_exchange_multiple_amount(_route: address[9], _swap_params: uint256[3][4], _amount: uint256, _pools: address[4]) -> uint256: view
+
+interface Controller:
+    def loan_discount() -> uint256: view
+    def amm() -> address: view
+    def calculate_debt_n1(collateral: uint256, debt: uint256, N: uint256) -> int256: view
+
+interface LLAMMA:
+    def A() -> uint256: view
+    def active_band() -> int256: view
+    def can_skip_bands(n_end: int256) -> bool: view
+    def get_base_price() -> uint256: view
+    def price_oracle() -> uint256: view
+    def p_oracle_up(n: int256) -> uint256: view
+    def active_band_with_skip() -> int256: view
+
+
+DEAD_SHARES: constant(uint256) = 1000
+MAX_TICKS_UINT: constant(uint256) = 50
+MAX_P_BASE_BANDS: constant(int256) = 5
+MAX_SKIP_TICKS: constant(uint256) = 1024
+
+CRVUSD: constant(address) = 0xf939E0A03FB07F59A73314E73794Be0E57ac1b4E
+
+CONTROLLER: immutable(address)
+ROUTER: immutable(Router)
+AMM: immutable(LLAMMA)
+A: immutable(uint256)
+Aminus1: immutable(uint256)
+LOG2_A_RATIO: immutable(int256)  # log(A / (A - 1))
+SQRT_BAND_RATIO: immutable(uint256)
+COLLATERAL_PRECISION: immutable(uint256)
+
+routes: public(HashMap[uint256, address[9]])
+route_params: public(HashMap[uint256, uint256[3][4]])
+route_pools: public(HashMap[uint256, address[4]])
+route_names: public(HashMap[uint256, String[64]])
+routes_count: public(uint256)
+
+
+@external
+def __init__(
+        _controller: address,
+        _collateral: address,
+        _router: address,
+        _routes: DynArray[address[9], 20],
+        _route_params: DynArray[uint256[3][4], 20],
+        _route_pools: DynArray[address[4], 20],
+        _route_names: DynArray[String[64], 20],
+):
+    CONTROLLER = _controller
+    ROUTER = Router(_router)
+
+    amm: address = Controller(_controller).amm()
+    AMM = LLAMMA(amm)
+    _A: uint256 = LLAMMA(amm).A()
+    A = _A
+    Aminus1 = _A - 1
+    LOG2_A_RATIO = self.log2(_A * 10 ** 18 / unsafe_sub(_A, 1))
+    SQRT_BAND_RATIO = isqrt(unsafe_div(10 ** 36 * _A, unsafe_sub(_A, 1)))
+    COLLATERAL_PRECISION = pow_mod256(10, 18 - ERC20(_collateral).decimals())
+
+    for i in range(20):
+        if i >= len(_routes):
+            break
+        self.routes[i] = _routes[i]
+        self.route_params[i] = _route_params[i]
+        self.route_pools[i] = _route_pools[i]
+        self.route_names[i] = _route_names[i]
+    self.routes_count = len(_routes)
+
+    ERC20(CRVUSD).approve(_router, max_value(uint256), default_return_value=True)
+    ERC20(_collateral).approve(_controller, max_value(uint256), default_return_value=True)
+
+
+@internal
+@pure
+def log2(_x: uint256) -> int256:
+    """
+    @notice int(1e18 * log2(_x / 1e18))
+    """
+    # adapted from: https://medium.com/coinmonks/9aef8515136e
+    # and vyper log implementation
+    # Might use more optimal solmate's log
+    inverse: bool = _x < 10**18
+    res: uint256 = 0
+    x: uint256 = _x
+    if inverse:
+        x = 10**36 / x
+    t: uint256 = 2**7
+    for i in range(8):
+        p: uint256 = pow_mod256(2, t)
+        if x >= unsafe_mul(p, 10**18):
+            x = unsafe_div(x, p)
+            res = unsafe_add(unsafe_mul(t, 10**18), res)
+        t = unsafe_div(t, 2)
+    d: uint256 = 10**18
+    for i in range(34):  # 10 decimals: math.log(10**10, 2) == 33.2. Need more?
+        if (x >= 2 * 10**18):
+            res = unsafe_add(res, d)
+            x = unsafe_div(x, 2)
+        x = unsafe_div(unsafe_mul(x, x), 10**18)
+        d = unsafe_div(d, 2)
+    if inverse:
+        return -convert(res, int256)
+    else:
+        return convert(res, int256)
+
+
+@internal
+@view
+def _get_k_effective(collateral: uint256, N: uint256) -> uint256:
+    """
+    @notice Intermediary method which calculates k_effective defined as x_effective / p_base / y,
+            however discounted by loan_discount.
+            x_effective is an amount which can be obtained from collateral when liquidating
+    @param N Number of bands the deposit is made into
+    @return k_effective
+    """
+    # x_effective = sum_{i=0..N-1}(y / N * p(n_{n1+i})) =
+    # = y / N * p_oracle_up(n1) * sqrt((A - 1) / A) * sum_{0..N-1}(((A-1) / A)**k)
+    # === d_y_effective * p_oracle_up(n1) * sum(...) === y * k_effective * p_oracle_up(n1)
+    # d_k_effective = N / sqrt(A / (A - 1))
+    # d_k_effective: uint256 = 10**18 * unsafe_sub(10**18, discount) / (SQRT_BAND_RATIO * N)
+    # Make some extra discount to always deposit lower when we have DEAD_SHARES rounding
+    discount: uint256 = Controller(CONTROLLER).loan_discount()
+    d_k_effective: uint256 = 10**18 * unsafe_sub(
+        10**18, min(discount + (DEAD_SHARES * 10**18) / max(collateral / N, DEAD_SHARES), 10**18)
+    ) / (SQRT_BAND_RATIO * N)
+    k_effective: uint256 = d_k_effective
+    for i in range(1, MAX_TICKS_UINT):
+        if i == N:
+            break
+        d_k_effective = unsafe_div(d_k_effective * Aminus1, A)
+        k_effective = unsafe_add(k_effective, d_k_effective)
+    return k_effective
+
+
+@internal
+@view
+def _max_p_base() -> uint256:
+    """
+    @notice Calculate max base price including skipping bands
+    """
+    p_oracle: uint256 = AMM.price_oracle()
+    # Should be correct unless price changes suddenly by MAX_P_BASE_BANDS+ bands
+    n1: int256 = unsafe_div(self.log2(AMM.get_base_price() * 10**18 / p_oracle), LOG2_A_RATIO) + MAX_P_BASE_BANDS
+    p_base: uint256 = AMM.p_oracle_up(n1)
+    n_min: int256 = AMM.active_band_with_skip()
+
+    for i in range(MAX_SKIP_TICKS + 1):
+        n1 -= 1
+        if n1 <= n_min:
+            break
+        p_base_prev: uint256 = p_base
+        p_base = unsafe_div(p_base * A, Aminus1)
+        if p_base > p_oracle:
+            return p_base_prev
+
+    return p_base
+
+
+@view
+@internal
+def _get_collateral(stablecoin: uint256, route_idx: uint256) -> uint256:
+    return ROUTER.get_exchange_multiple_amount(self.routes[route_idx], self.route_params[route_idx], stablecoin, self.route_pools[route_idx])
+
+
+@view
+@internal
+def _get_collateral_and_avg_price(stablecoin: uint256, route_idx: uint256) -> uint256[2]:
+    collateral: uint256 = self._get_collateral(stablecoin, route_idx)
+    return [collateral, stablecoin * 10**18 / (collateral * COLLATERAL_PRECISION)]
+
+
+@view
+@external
+@nonreentrant('lock')
+def get_collateral(stablecoin: uint256, route_idx: uint256) -> uint256:
+    """
+    @notice Calculate the expected amount of collateral by given stablecoin amount
+    @param stablecoin Amount of stablecoin
+    @param route_idx Index of the route to use
+    @return Amount of collateral
+    """
+    return self._get_collateral(stablecoin, route_idx)
+
+
+@view
+@external
+@nonreentrant('lock')
+def get_collateral_underlying(stablecoin: uint256, route_idx: uint256) -> uint256:
+    """
+    @notice This method is needed just to make ABI the same as ABI for sfrxETH and wstETH
+    """
+    return self._get_collateral(stablecoin, route_idx)
+
+
+@external
+@view
+def calculate_debt_n1(collateral: uint256, debt: uint256, N: uint256, route_idx: uint256) -> int256:
+    """
+    @notice Calculate the upper band number for the deposit to sit in to support
+            the given debt with full leverage, which means that all borrowed
+            stablecoin is converted to collateral coin and deposited in addition
+            to collateral provided by user. Reverts if requested debt is too high.
+    @param collateral Amount of collateral (at its native precision)
+    @param debt Amount of requested debt
+    @param N Number of bands to deposit into
+    @param route_idx Index of the route which should be use for exchange stablecoin to collateral
+    @return Upper band n1 (n1 <= n2) to deposit into. Signed integer
+    """
+    leverage_collateral: uint256 = self._get_collateral(debt, route_idx)
+    return Controller(CONTROLLER).calculate_debt_n1(collateral + leverage_collateral, debt, N)
+
+
+@internal
+@view
+def _max_borrowable(collateral: uint256, N: uint256, route_idx: uint256) -> uint256:
+    """
+    @notice Calculation of maximum which can be borrowed with leverage
+    @param collateral Amount of collateral (at its native precision)
+    @param N Number of bands to deposit into
+    @param route_idx Index of the route which should be use for exchange stablecoin to collateral
+    @return Maximum amount of stablecoin to borrow with leverage
+    """
+    # max_borrowable = collateral / (1 / (k_effective * max_p_base) - 1 / p_avg)
+    user_collateral: uint256 = collateral * COLLATERAL_PRECISION
+    leverage_collateral: uint256 = 0
+    k_effective: uint256 = self._get_k_effective(user_collateral + leverage_collateral, N)
+    max_p_base: uint256 = self._max_p_base()
+    p_avg: uint256 = AMM.price_oracle()
+    max_borrowable_prev: uint256 = 0
+    max_borrowable: uint256 = 0
+    for i in range(10):
+        max_borrowable_prev = max_borrowable
+        max_borrowable = user_collateral * 10**18 / (10**36 / k_effective * 10**18 / max_p_base - 10**36 / p_avg)
+        if max_borrowable > max_borrowable_prev:
+            if max_borrowable - max_borrowable_prev <= 1:
+                return max_borrowable
+        else:
+            if max_borrowable_prev - max_borrowable <= 1:
+                return max_borrowable
+        res: uint256[2] = self._get_collateral_and_avg_price(max_borrowable, route_idx)
+        leverage_collateral = res[0]
+        p_avg = res[1]
+        k_effective = self._get_k_effective(user_collateral + leverage_collateral, N)
+
+    return min(max_borrowable * 999 / 1000, ERC20(CRVUSD).balanceOf(CONTROLLER)) # Cannot borrow beyond the amount of coins Controller has
+
+
+@external
+@view
+def max_borrowable(collateral: uint256, N: uint256, route_idx: uint256) -> uint256:
+    """
+    @notice Calculation of maximum which can be borrowed with leverage
+    @param collateral Amount of collateral (at its native precision)
+    @param N Number of bands to deposit into
+    @param route_idx Index of the route which should be use for exchange stablecoin to collateral
+    @return Maximum amount of stablecoin to borrow with leverage
+    """
+    return self._max_borrowable(collateral, N ,route_idx)
+
+
+@external
+@view
+def max_collateral(collateral: uint256, N: uint256, route_idx: uint256) -> uint256:
+    """
+    @notice Calculation of maximum collateral position which can be created with leverage
+    @param collateral Amount of collateral (at its native precision)
+    @param N Number of bands to deposit into
+    @param route_idx Index of the route which should be use for exchange stablecoin to collateral
+    @return user_collateral + max_leverage_collateral
+    """
+    max_borrowable: uint256 = self._max_borrowable(collateral, N, route_idx)
+    max_leverage_collateral: uint256 = self._get_collateral(max_borrowable, route_idx)
+    return collateral + max_leverage_collateral
+
+
+@external
+@view
+def max_borrowable_and_collateral(collateral: uint256, N: uint256, route_idx: uint256) -> uint256[2]:
+    """
+    @notice Calculation of maximum which can be borrowed with leverage and maximum collateral position which can be created then
+    @param collateral Amount of collateral (at its native precision)
+    @param N Number of bands to deposit into
+    @param route_idx Index of the route which should be use for exchange stablecoin to collateral
+    @return [max_borrowable, user_collateral + max_leverage_collateral]
+    """
+    max_borrowable: uint256 = self._max_borrowable(collateral, N, route_idx)
+    max_leverage_collateral: uint256 = self._get_collateral(max_borrowable, route_idx)
+    return [max_borrowable, collateral + max_leverage_collateral]
+
+
+@external
+@nonreentrant('lock')
+def callback_deposit(user: address, stablecoins: uint256, collateral: uint256, debt: uint256, callback_args: DynArray[uint256, 5]) -> uint256[2]:
+    """
+    @notice Callback method which should be called by controller to create leveraged position
+    @param user Address of the user
+    @param stablecoins Amount of stablecoin (always = 0)
+    @param collateral Amount of collateral given by user
+    @param debt Borrowed amount
+    @param callback_args [route_idx, min_recv]
+    return [0, leverage_collateral], leverage_collateral is the amount of collateral got as a result of selling borrowed stablecoin
+    """
+    assert msg.sender == CONTROLLER
+
+    route_idx: uint256 = callback_args[0]
+    min_recv: uint256 = callback_args[1]
+    leverage_collateral: uint256 = ROUTER.exchange_multiple(self.routes[route_idx], self.route_params[route_idx], debt, min_recv, self.route_pools[route_idx])
+
+    return [0, leverage_collateral]

scripts/boa-deploy-1inch-leverage-zap.py

@@ -39,7 +39,7 @@ def account_load(fname):
     boa.env.add_account(account_load('curve-deployer'))
     boa.env._fork_try_prefetch_state = False
 
-    contract = boa.load('contracts/zaps/LeverageZap1inch.vy',
+    contract = boa.load('contracts/zaps/LeverageZap.vy',
                         CONSTANTS[network]["router_1inch"], CONSTANTS[network]["factories"])
 
     print('Deployed at:', contract.address)

scripts/boa-deploy-odos-leverage-zap.py

@@ -0,0 +1,50 @@
+#!/usr/bin/env python3
+
+import boa
+import json
+import os
+import sys
+from getpass import getpass
+from eth_account import account
+from networks import ETHEREUM, ARBITRUM, FRAXTAL
+
+
+def account_load(fname):
+    path = os.path.expanduser(os.path.join('~', '.brownie', 'accounts', fname + '.json'))
+    with open(path, 'r') as f:
+        pkey = account.decode_keyfile_json(json.load(f), getpass())
+        return account.Account.from_key(pkey)
+
+CONSTANTS = {
+    "mainnet": {
+        "rpc": ETHEREUM,
+        "router_odos": "0xCf5540fFFCdC3d510B18bFcA6d2b9987b0772559",
+        "factories": ["0xeA6876DDE9e3467564acBeE1Ed5bac88783205E0", "0xC9332fdCB1C491Dcc683bAe86Fe3cb70360738BC"],  # LlamaLend, crvUSD
+    },
+    "arbitrum": {
+        "rpc": ARBITRUM,
+        "router_odos": "0xa669e7A0d4b3e4Fa48af2dE86BD4CD7126Be4e13",
+        "factories": ["0xcaEC110C784c9DF37240a8Ce096D352A75922DeA"],
+    },
+    "fraxtal": {
+        "rpc": FRAXTAL,
+        "router_odos": "0x56c85a254DD12eE8D9C04049a4ab62769Ce98210",
+        "factories": ["0xf3c9bdAB17B7016fBE3B77D17b1602A7db93ac66"],
+    }
+}
+
+if __name__ == '__main__':
+    if '--network' not in sys.argv[1:]:
+        raise Exception("You must pass '--network' arg")
+    if sys.argv[2] not in CONSTANTS:
+        raise Exception(f"{sys.argv[2]} network is not supported")
+
+    network = sys.argv[2]
+    boa.set_network_env(CONSTANTS[network]["rpc"])
+    boa.env.add_account(account_load('curve-deployer'))
+    boa.env._fork_try_prefetch_state = False
+
+    contract = boa.load('contracts/zaps/LeverageZap.vy',
+                        CONSTANTS[network]["router_odos"], CONSTANTS[network]["factories"])
+
+    print('Deployed at:', contract.address)