πŸ—Ί
Specifications
Details
Underlying Pair
SOL/USD
Deposit Token
The Orca SOL/USDC LP token, with token mint [TBC]
Epoch Settlement Sources
The SB_PRICE and SB_LP oracle prices
Epoch Settlement Time
Every Friday at or around 08:00 UTC
SB_PRICE
The market price of SOL/USD as reported by the Switchboard oracle [TBC]
SB_LP
The market price of the Orca SOL/USD LP token as reported by the Switchboard oracle [TBC]
Position Limit
Maximum of [TBC] per Vault and [TBC] per user
Settlement Formula
IL-for-fee as per formula below
Interest Split
Variable, as determined at or around Epoch Settlement Time
Protection Range
Variable, as determined at or around Epoch Settlement Time

Settlement Formulas

IL-for-fee

In this contract, a share of farming rewards is paid by the Protected side in exchange for the reimbursement of all the IL realized on the epoch, within the Protection Range.
We compute the settlements for the two sides as follows:
Ξ Pu=CPLPT[(LPTβˆ’LP0βˆ’2NLP(P0PTβˆ’P0))(1βˆ’Ξ»)+LP0+NLP(PTβˆ’P0)]Ξ P=min⁑(CP+CL,Ξ Pu)Ξ L=CP+CLβˆ’Ξ P\Pi^u_P=\frac{C_P}{\text{LP}_T}\left[(\text{LP}_T-\text{LP}_0-2N_{LP}(\sqrt{P_0P_T}-P_0))(1-\lambda)+\text{LP}_0+N_{LP}(P_T-P_0)\right] \\ \Pi_P=\min(C_P+C_L, \Pi_P^u) \\ \Pi_L=C_P+C_L- \Pi_P
where:
  • ​
    CP,CLC_P, C_L
    are the amounts of LP tokens deposited on the Protected and Leveraged side, respectively
  • ​
    Ξ P,Ξ L\Pi_P, \Pi_L
    are the amounts of LP tokens settled for the Protected and Leveraged side, respectively
  • ​
    P0,PTP_0, P_T
    ​ are the initial and final underlying prices, respectively
  • ​
    LP0,LPT\text{LP}_0, \text{LP}_T
    are the initial and final LP token prices, respectively​
  • ​
    NLPN_{LP}
    ​ is the notional of base asset (e.g. SOL) contained in the LP tokens,
    NLP=LP02P0N_{LP}=\frac{\text{LP}_0}{2 P_0}
    ​
  • ​
    λ∈[0,1]\lambda \in [0, 1]
    is the Interest Split
The Protection Range
[Pl,Ph][P_l, P_h]
is computed as follows:
Pl=max⁑{P:P<P0, ΠL=0}Ph=min⁑{P:P>P0, ΠL=0}P_l=\max\{P: P<P_0,\ \Pi_L=0\} \\ P_h=\min\{P: P>P_0,\ \Pi_L=0\}
Note that
LP\text{LP}
depends indirectly on
PP
.
Last modified 20d ago
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Settlement Formulas