feat: pendle pt twap price feed

contracts/interfaces/pendle/IPendleMarket.sol

@@ -0,0 +1,12 @@
+// SPDX-License-Identifier: MIT
+// Gearbox Protocol. Generalized leverage for DeFi protocols
+// (c) Gearbox Foundation, 2024.
+pragma solidity ^0.8.17;
+
+interface IPendleMarket {
+    function observe(uint32[] calldata secondsAgos) external view returns (uint216[] memory);
+
+    function expiry() external view returns (uint256);
+
+    function readTokens() external view returns (address, address, address);
+}

contracts/oracles/pendle/PendleTWAPPTPriceFeed.sol

@@ -0,0 +1,91 @@
+// SPDX-License-Identifier: GPL-3.0-or-later
+// Gearbox Protocol. Generalized leverage for DeFi protocols
+// (c) Gearbox Foundation, 2023.
+pragma solidity ^0.8.17;
+
+import {IERC20Metadata} from "@openzeppelin/contracts/token/ERC20/extensions/IERC20Metadata.sol";
+
+import {WAD, SECONDS_PER_YEAR} from "@gearbox-protocol/core-v2/contracts/libraries/Constants.sol";
+import {PriceFeedType} from "@gearbox-protocol/sdk-gov/contracts/PriceFeedType.sol";
+
+import {IPriceFeed} from "@gearbox-protocol/core-v2/contracts/interfaces/IPriceFeed.sol";
+import {IPendleMarket} from "../../interfaces/pendle/IPendleMarket.sol";
+import {PriceFeedValidationTrait} from "@gearbox-protocol/core-v3/contracts/traits/PriceFeedValidationTrait.sol";
+import {SanityCheckTrait} from "@gearbox-protocol/core-v3/contracts/traits/SanityCheckTrait.sol";
+import {PriceFeedParams} from "../PriceFeedParams.sol";
+import {FixedPoint} from "../../libraries/FixedPoint.sol";
+import {LogExpMath} from "../../libraries/LogExpMath.sol";
+
+/// @title Pendle PT price feed based on Pendle market TWAPs
+/// @notice The PT price is derived from the Pendle market's ln(impliedRate) TWAP:
+///         1) The average implied rate is computed as (ln(IR)_(now) - ln(IR)_(now - timeWindow)) / timeWindow;
+///         2) The PT to asset rate is computed as 1 / (e ^ (ln(IR)_avg * timeToExpiry / secondsPerYear));
+///         3) The PT price is ptToAssetRate * assetPrice;
+contract PendleTWAPPTPriceFeed is IPriceFeed, PriceFeedValidationTrait, SanityCheckTrait {
+    uint256 public constant override version = 3_00;
+    PriceFeedType public constant override priceFeedType = PriceFeedType.PENDLE_PT_TWAP_ORACLE;
+    uint8 public constant override decimals = 8;
+    string public description;
+
+    /// @notice Indicates whether the consuming PriceOracle can skip the sanity checks. Set to `true`
+    ///         since this price feed performs sanity checks locally
+    bool public constant override skipPriceCheck = true;
+
+    /// @notice Address of the pendle market where the PT is traded
+    address public immutable market;
+
+    /// @notice Timestamp of the market (and PT) expiry
+    uint256 public immutable expiry;
+
+    /// @notice Underlying price feed
+    address public immutable priceFeed;
+    uint32 public immutable stalenessPeriod;
+    bool public immutable skipCheck;
+
+    /// @notice The size of the TWAP observation window
+    uint32 public immutable twapWindow;
+
+    constructor(address _market, address _priceFeed, uint32 _stalenessPeriod, uint32 _twapWindow) {
+        market = _market;
+        expiry = IPendleMarket(_market).expiry();
+        priceFeed = _priceFeed;
+        stalenessPeriod = _stalenessPeriod;
+        skipCheck = _validatePriceFeed(priceFeed, stalenessPeriod);
+        twapWindow = _twapWindow;
+
+        (, address pt,) = IPendleMarket(_market).readTokens();
+
+        string memory ptName = IERC20Metadata(pt).name();
+
+        description = string(abi.encodePacked(ptName, " Pendle Market TWAP * ", IPriceFeed(priceFeed).description()));
+    }
+
+    /// @dev Gets the ln(impliedRate) from the market TWAP
+    function _getMarketLnImpliedRate() internal view returns (uint256) {
+        uint32[] memory secondAgos = new uint32[](2);
+        secondAgos[1] = twapWindow;
+
+        uint216[] memory cumulativeLIR = IPendleMarket(market).observe(secondAgos);
+
+        return (cumulativeLIR[0] - cumulativeLIR[1]) / twapWindow;
+    }
+
+    /// @dev Computes the PT to asset rate from the market implied rate TWAP
+    function _getPTToAssetRate() internal view returns (uint256) {
+        uint256 assetToPTRate =
+            uint256(LogExpMath.exp(int256(_getMarketLnImpliedRate() * (expiry - block.timestamp) / SECONDS_PER_YEAR)));
+
+        return FixedPoint.divDown(WAD, assetToPTRate);
+    }
+
+    /// @notice Returns the USD price of the PT token with 8 decimals and the last update timestamp
+    function latestRoundData() external view override returns (uint80, int256, uint256, uint256, uint80) {
+        int256 answer = _getValidatedPrice(priceFeed, stalenessPeriod, skipCheck);
+
+        if (expiry > block.timestamp) {
+            answer = int256(FixedPoint.mulDown(uint256(answer), _getPTToAssetRate()));
+        }
+
+        return (0, answer, 0, 0, 0);
+    }
+}

contracts/test/suites/PriceFeedDeployer.sol

@@ -23,7 +23,8 @@ import {
     GenericLPPriceFeedData,
     TheSamePriceFeedData,
     BalancerLPPriceFeedData,
-    RedStonePriceFeedData
+    RedStonePriceFeedData,
+    PendlePriceFeedData
 } from "@gearbox-protocol/sdk-gov/contracts/PriceFeedDataLive.sol";
 import {PriceFeedConfig} from "@gearbox-protocol/core-v3/contracts/test/interfaces/ICreditConfig.sol";
 import {PriceOracleV3} from "@gearbox-protocol/core-v3/contracts/core/PriceOracleV3.sol";
@@ -49,6 +50,7 @@ import {CompositePriceFeed} from "../../oracles/CompositePriceFeed.sol";
 import {PriceFeedParams} from "../../oracles/PriceFeedParams.sol";
 import {ZeroPriceFeed} from "../../oracles/ZeroPriceFeed.sol";
 import {MellowLRTPriceFeed} from "../../oracles/mellow/MellowLRTPriceFeed.sol";
+import {PendleTWAPPTPriceFeed} from "../../oracles/pendle/PendleTWAPPTPriceFeed.sol";
 
 import {IWAToken} from "../../interfaces/aave/IWAToken.sol";
 import {IBalancerStablePool} from "../../interfaces/balancer/IBalancerStablePool.sol";
@@ -708,6 +710,36 @@ contract PriceFeedDeployer is Test, PriceFeedDataLive {
             }
         }
 
+        // PENDLE PT PRICE FEEDS
+        PendlePriceFeedData[] memory pendlePTPriceFeeds = pendlePriceFeedsByNetwork[chainId];
+        len = pendlePTPriceFeeds.length;
+        unchecked {
+            for (uint256 i; i < len; ++i) {
+                Tokens t = pendlePTPriceFeeds[i].token;
+                address token = tokenTestSuite.addressOf(t);
+
+                if (token == address(0)) {
+                    continue;
+                }
+
+                address underlying = tokenTestSuite.addressOf(pendlePTPriceFeeds[i].underlying);
+
+                address pf = address(
+                    new PendleTWAPPTPriceFeed(
+                        pendlePTPriceFeeds[i].market,
+                        priceFeeds[underlying],
+                        stalenessPeriods[underlying],
+                        pendlePTPriceFeeds[i].twapWindow
+                    )
+                );
+
+                setPriceFeed(token, pf, pendlePTPriceFeeds[i].trusted, pendlePTPriceFeeds[i].reserve);
+
+                string memory description = string(abi.encodePacked("PRICEFEED_", tokenTestSuite.symbols(t)));
+                vm.label(pf, description);
+            }
+        }
+
         priceFeedConfigLength = priceFeedConfig.length;
     }
 

package.json

@@ -34,7 +34,7 @@
     "@gearbox-protocol/core-v3": "^1.47.1",
     "@gearbox-protocol/eslint-config": "^1.6.1",
     "@gearbox-protocol/prettier-config": "^1.5.0",
-    "@gearbox-protocol/sdk-gov": "^2.13.5",
+    "@gearbox-protocol/sdk-gov": "^2.15.0",
     "@openzeppelin/contracts": "4.9.3",
     "@redstone-finance/evm-connector": "0.2.5",
     "@typechain/ethers-v5": "^10.1.0",

yarn.lock

@@ -993,10 +993,10 @@
   resolved "https://registry.yarnpkg.com/@gearbox-protocol/prettier-config/-/prettier-config-1.5.0.tgz#4df8e9fd2305fee6ab8c1417a02e31343836932a"
   integrity sha512-FUoprSsBdZyBjgxXCKL6mTkbeUJytaLzPJqIOoQpDmBRTX0seCc2o5I9PI9tySoRIlNnd/XXnKCXq1xHDEGbxw==
 
-"@gearbox-protocol/sdk-gov@^2.13.5":
-  version "2.13.5"
-  resolved "https://registry.yarnpkg.com/@gearbox-protocol/sdk-gov/-/sdk-gov-2.13.5.tgz#86f5a307d60ac7dd71f0b2de0c2457a81d1b007b"
-  integrity sha512-6852ID0FRor/PauMhRGP4ejvT+gsKuXc1ENzzCVcDGWJozne3r8C6yf1x2VjnDKMPEbykM3iYOHDvhK4SiE80g==
+"@gearbox-protocol/sdk-gov@^2.15.0":
+  version "2.15.0"
+  resolved "https://registry.yarnpkg.com/@gearbox-protocol/sdk-gov/-/sdk-gov-2.15.0.tgz#3ed7da0154b170fa5360f4dbb24fd8c98a67443b"
+  integrity sha512-AfSgKf+tSkpNT2a8f+yWX14pfXQXg82BU9aJcW2mTEEAT7b1CJg3jl8DQLneO2y3YtqnyGlQpv2m4pYtrUqAaQ==
   dependencies:
     ethers "6.12.1"
     humanize-duration-ts "^2.1.1"