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address audit comments #315

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address audit comments #315

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e9bc1fd
address audit comments
Spablob Jun 29, 2023
504e35f
address comments
Spablob Jun 29, 2023
29a59c9
remaining comments
Spablob Jun 30, 2023
a51e6af
test trade changes (#316)
Spablob Jul 3, 2023
01c716a
add local vars
chudnov Jul 3, 2023
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3 changes: 1 addition & 2 deletions constants/constants.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -509,8 +509,7 @@ export const COUPON_TYPE = 0; // FIXED
export const AB = 10000; // autocall is 100%
export const CB = 0; // FIXED requires 0 CB
export const OBSERVATION_FREQUENCY = 604800; // 7 days
export const AUTOCALL_SELLER = ""; // Marex address

export const AUTOCALL_SELLER = "0x43a43D3404eaC5fA1ec4F4BB0879495D500e390b"; // test trade address
/**
* RVol Bytecode
*/
Expand Down
9 changes: 1 addition & 8 deletions contracts/libraries/VaultLifecycleTreasury.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -742,14 +742,7 @@ library VaultLifecycleTreasury {
);
require(bytes(_initParams._tokenName).length > 0, "!_tokenName");
require(bytes(_initParams._tokenSymbol).length > 0, "!_tokenSymbol");
require(
(_initParams._period == 7) ||
(_initParams._period == 14) ||
(_initParams._period == 30) ||
(_initParams._period == 90) ||
(_initParams._period == 180),
"!_period"
);
require((_initParams._period > 0), "!_period");
require(
_initParams._optionsPremiumPricer != address(0),
"!_optionsPremiumPricer"
Expand Down
59 changes: 33 additions & 26 deletions contracts/vaults/TreasuryVault/RibbonAutocallVault.sol
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Original file line number Diff line number Diff line change
@@ -1,11 +1,7 @@
// SPDX-License-Identifier: MIT
pragma solidity =0.8.4;

import {SafeMath} from "@openzeppelin/contracts/utils/math/SafeMath.sol";
import {IERC20} from "@openzeppelin/contracts/token/ERC20/IERC20.sol";
import {
SafeERC20
} from "@openzeppelin/contracts/token/ERC20/utils/SafeERC20.sol";
import {AutocallVaultStorage} from "../../storage/AutocallVaultStorage.sol";
import {
VaultLifecycleTreasury
Expand Down Expand Up @@ -112,19 +108,21 @@ contract RibbonAutocallVault is RibbonTreasuryVaultLite, AutocallVaultStorage {

require(_autocallSeller != address(0), "A7");

uint256 _period = period;

// Observation frequency must evenly divide the period
require(_obsFreq > 0 && (period * 1 days) % _obsFreq == 0, "A8");
require(_obsFreq > 0 && (_period * 1 days) % _obsFreq == 0, "A8");

putOption.nOptionType = _optionType;
couponState.nCouponType = _couponState.couponType;
couponState.nAB = _couponState.AB;
couponState.nCB = _couponState.CB;

nObsFreq = _obsFreq;
nPeriod = period;
nPeriod = _period;
autocallSeller = _autocallSeller;
nAutocallSeller = _autocallSeller;
numTotalObs = (period * 1 days) / _obsFreq;
numTotalObs = (_period * 1 days) / _obsFreq;
}

/**
Expand Down Expand Up @@ -204,7 +202,7 @@ contract RibbonAutocallVault is RibbonTreasuryVaultLite, AutocallVaultStorage {
onlyOwner
{
require(_period > 0, "A9");
require(_obsFreq > 0 && (period * 1 days) % _obsFreq == 0, "A8");
require(_obsFreq > 0 && (_period * 1 days) % _obsFreq == 0, "A8");

emit PeriodAndObsFreqSet(obsFreq, _obsFreq, period, _period);

Expand Down Expand Up @@ -311,7 +309,7 @@ contract RibbonAutocallVault is RibbonTreasuryVaultLite, AutocallVaultStorage {
_setReserveRatio(_putOption.nOptionType, _spotPrice, _strikePrice);

// Set next option payoff
putOption.payoff = _setPutOptionPayoff(
putOption.payoff = _getPutOptionPayoff(
_putOption.nOptionType,
_spotPrice,
_strikePrice
Expand Down Expand Up @@ -349,13 +347,13 @@ contract RibbonAutocallVault is RibbonTreasuryVaultLite, AutocallVaultStorage {
}

/**
* @dev Sets the option payoff
* @dev Gets the option payoff
* @param _nOptionType is the type of the next option
* @param _price is the spot price of the new option
* @param _nextStrikePrice is the strike price of the next option
* @return payoff is the enhanced payoff amount
*/
function _setPutOptionPayoff(
function _getPutOptionPayoff(
OptionType _nOptionType,
uint256 _price,
uint256 _nextStrikePrice
Expand All @@ -371,12 +369,12 @@ contract RibbonAutocallVault is RibbonTreasuryVaultLite, AutocallVaultStorage {

if (_nOptionType == OptionType.DIP) {
payoff = _price - _nextStrikePrice;
}

uint256 decimals = vaultParams.decimals;
payoff = decimals > Vault.OTOKEN_DECIMALS
? payoff * 10**(decimals - Vault.OTOKEN_DECIMALS)
: payoff / 10**(Vault.OTOKEN_DECIMALS - decimals);
uint256 decimals = vaultParams.decimals;
payoff = decimals > Vault.OTOKEN_DECIMALS
? payoff * 10**(decimals - Vault.OTOKEN_DECIMALS)
: payoff / 10**(Vault.OTOKEN_DECIMALS - decimals);
}
}

/**
Expand All @@ -396,9 +394,11 @@ contract RibbonAutocallVault is RibbonTreasuryVaultLite, AutocallVaultStorage {
uint256 returnAmt
)
{
uint256 _reserveRatio = reserveRatio;

uint256 nonLockedAmt =
(vaultState.lockedAmount * reserveRatio) /
(10**Vault.OTOKEN_DECIMALS - reserveRatio);
(vaultState.lockedAmount * _reserveRatio) /
(10**Vault.OTOKEN_DECIMALS - _reserveRatio);

uint256 totalPremium =
IERC20(vaultParams.asset).balanceOf(address(this)) -
Expand All @@ -417,9 +417,11 @@ contract RibbonAutocallVault is RibbonTreasuryVaultLite, AutocallVaultStorage {
* means autocall barrier has been hit and we get all previous
* coupons
*/
CouponType _couponType = couponState.couponType;

bool hasMemory =
(couponState.couponType == CouponType.PHOENIX_MEMORY ||
couponState.couponType == CouponType.VANILLA)
(_couponType == CouponType.PHOENIX_MEMORY ||
_couponType == CouponType.VANILLA)
? true
: false;
nCouponsEarned = hasMemory ? lastCBBreach : nCBBreaches;
Expand Down Expand Up @@ -447,14 +449,16 @@ contract RibbonAutocallVault is RibbonTreasuryVaultLite, AutocallVaultStorage {
return (0, 0, 0);
}

uint256 startTS = _expiry - (numTotalObs - 1) * obsFreq;
uint256 _obsFreq = obsFreq;

uint256 startTS = _expiry - (numTotalObs - 1) * _obsFreq;
(, uint256 lastTS) = _lastObservation(_expiry);
address underlying = vaultParams.underlying;

autocallTS = _expiry;

// For every previous observation timestamp
for (uint256 ts = startTS; ts <= lastTS; ts += obsFreq) {
for (uint256 ts = startTS; ts <= lastTS; ts += _obsFreq) {
uint256 obsPrice = ORACLE.getExpiryPrice(underlying, ts);
require(obsPrice > 0, "A12");
// If coupon barrier breached
Expand All @@ -477,7 +481,7 @@ contract RibbonAutocallVault is RibbonTreasuryVaultLite, AutocallVaultStorage {

// Convert to index
if (lastCBBreach > 0) {
lastCBBreach = numTotalObs - (_expiry - lastCBBreach) / obsFreq;
lastCBBreach = numTotalObs - (_expiry - lastCBBreach) / _obsFreq;
}
}

Expand All @@ -492,14 +496,17 @@ contract RibbonAutocallVault is RibbonTreasuryVaultLite, AutocallVaultStorage {
view
returns (uint256 index, uint256 ts)
{
uint256 _obsFreq = obsFreq;
uint256 _numTotalObs = numTotalObs;

index =
numTotalObs -
_numTotalObs -
(
_expiry > block.timestamp
? (_expiry - block.timestamp + obsFreq) / obsFreq
? (_expiry - block.timestamp + _obsFreq) / _obsFreq
: 0
);
ts = _expiry - (numTotalObs - index) * obsFreq;
ts = _expiry - (_numTotalObs - index) * _obsFreq;
}

/**
Expand Down
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