fix: account for approximation error in deposit and borrow rates (#270)

* fix: account for approximation error in deposit and borrow rates * fix: add minus one to rate and update test snapshot
aave · Oct 21, 2021 · de6a678 · de6a678
1 parent 50b3a88
commit de6a678
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Showing 2 changed files with 31 additions and 10 deletions.
diff --git a/src/test/v2/__snapshots__/computation-and-formatting.test.ts.snap b/src/test/v2/__snapshots__/computation-and-formatting.test.ts.snap
@@ -87,7 +87,7 @@ Object {
   "isFrozen": false,
   "lastUpdateTimestamp": 1606992400,
   "liquidityIndex": "1.00016444737961059057",
-  "liquidityRate": "0.02677620073531209306",
+  "liquidityRate": "0.02713790431950061223",
   "name": "",
   "optimalUtilisationRate": "109284236984257451326752610",
   "price": Object {
@@ -100,7 +100,7 @@ Object {
   "sIncentivesAPY": "0",
   "sIncentivesLastUpdateTimestamp": 1606992400,
   "sTokenIncentivesIndex": "0",
-  "stableBorrowRate": "0.10928437169401419784",
+  "stableBorrowRate": "0.11547951583122878182",
   "stableBorrowRateEnabled": true,
   "stableDebtLastUpdateTimestamp": 1606992400,
   "stableDebtTokenAddress": "0x3B91257Fe5CA63b4114ac41A0d467D25E2F747F3",
@@ -121,7 +121,7 @@ Object {
   "vIncentivesLastUpdateTimestamp": 1606992400,
   "vTokenIncentivesIndex": "0",
   "variableBorrowIndex": "1.00023285443371120965",
-  "variableBorrowRate": "0.03856874338802839568",
+  "variableBorrowRate": "0.03932217240517564451",
   "variableDebtTokenAddress": "0xEAbBDBe7aaD7d5A278da40967E62C8c8Fe5fAec8",
   "variableRateSlope1": "40000000000000000000000000",
   "variableRateSlope2": "750000000000000000000000000",
@@ -148,7 +148,7 @@ Object {
   "isFrozen": false,
   "lastUpdateTimestamp": 1606992400,
   "liquidityIndex": "1.00016444737961059057",
-  "liquidityRate": "0.02677620073531209306",
+  "liquidityRate": "0.02713790431950061223",
   "name": "",
   "optimalUtilisationRate": "109284236984257451326752610",
   "price": Object {
@@ -161,7 +161,7 @@ Object {
   "sIncentivesAPY": "0",
   "sIncentivesLastUpdateTimestamp": 1606992400,
   "sTokenIncentivesIndex": "0",
-  "stableBorrowRate": "0.10928437169401419784",
+  "stableBorrowRate": "0.11547951583122878182",
   "stableBorrowRateEnabled": true,
   "stableDebtLastUpdateTimestamp": 1606992400,
   "stableDebtTokenAddress": "0x3B91257Fe5CA63b4114ac41A0d467D25E2F747F3",
@@ -182,7 +182,7 @@ Object {
   "vIncentivesLastUpdateTimestamp": 1606992400,
   "vTokenIncentivesIndex": "0",
   "variableBorrowIndex": "1.00023285443371120965",
-  "variableBorrowRate": "0.03856874338802839568",
+  "variableBorrowRate": "0.03932217240517564451",
   "variableDebtTokenAddress": "0xEAbBDBe7aaD7d5A278da40967E62C8c8Fe5fAec8",
   "variableRateSlope1": "40000000000000000000000000",
   "variableRateSlope2": "750000000000000000000000000",

diff --git a/src/v2/computations-and-formatting.ts b/src/v2/computations-and-formatting.ts
@@ -18,7 +18,7 @@ import {
   calculateCompoundedInterest,
   getLinearBalance,
 } from '../helpers/pool-math';
-import { rayDiv, rayMul } from '../helpers/ray-math';
+import { RAY, rayDiv, rayMul, rayPow } from '../helpers/ray-math';
 import {
   ComputedUserReserve,
   ReserveData,
@@ -586,6 +586,27 @@ export function formatReserves(
           )
         : '0';
 
+    const exactLiquidityRate = rayPow(
+      valueToZDBigNumber(reserve.liquidityRate)
+        .dividedBy(SECONDS_PER_YEAR)
+        .plus(RAY),
+      SECONDS_PER_YEAR
+    ).minus(RAY);
+
+    const exactVariableBorrowRate = rayPow(
+      valueToZDBigNumber(reserve.variableBorrowRate)
+        .dividedBy(SECONDS_PER_YEAR)
+        .plus(RAY),
+      SECONDS_PER_YEAR
+    ).minus(RAY);
+
+    const exactStableBorrowRate = rayPow(
+      valueToZDBigNumber(reserve.stableBorrowRate)
+        .dividedBy(SECONDS_PER_YEAR)
+        .plus(RAY),
+      SECONDS_PER_YEAR
+    ).minus(RAY);
+
     return {
       ...reserve,
       totalVariableDebt,
@@ -606,7 +627,7 @@ export function formatReserves(
         LTV_PRECISION
       ),
       reserveFactor: normalize(reserve.reserveFactor, LTV_PRECISION),
-      variableBorrowRate: normalize(reserve.variableBorrowRate, RAY_DECIMALS),
+      variableBorrowRate: normalize(exactVariableBorrowRate, RAY_DECIMALS),
       avg30DaysVariableBorrowRate: reserve30DaysAgo
         ? calculateAverageRate(
             reserve30DaysAgo.variableBorrowIndex,
@@ -624,8 +645,8 @@ export function formatReserves(
           )
         : undefined,
 
-      stableBorrowRate: normalize(reserve.stableBorrowRate, RAY_DECIMALS),
-      liquidityRate: normalize(reserve.liquidityRate, RAY_DECIMALS),
+      stableBorrowRate: normalize(exactStableBorrowRate, RAY_DECIMALS),
+      liquidityRate: normalize(exactLiquidityRate, RAY_DECIMALS),
       liquidityIndex: normalize(reserve.liquidityIndex, RAY_DECIMALS),
       reserveLiquidationThreshold: normalize(
         reserve.reserveLiquidationThreshold,