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test: high (>100% apr) borrow rates #1243

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Sep 4, 2024
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test: high (>100% apr) borrow rates #1243

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184 changes: 183 additions & 1 deletion crates/loans/src/tests/interest_rate.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -2,7 +2,7 @@ use crate::{mock::*, tests::Loans, Markets};
use currency::Amount;
use frame_support::assert_ok;
use mocktopus::mocking::Mockable;
use primitives::{CurrencyId::Token, Moment, Rate, Ratio, DOT, KSM};
use primitives::{CurrencyId::Token, Moment, Rate, Ratio, DOT, IBTC, KSM};
use sp_runtime::{
traits::{CheckedDiv, One},
FixedPointNumber,
Expand Down Expand Up @@ -125,6 +125,188 @@ fn interest_rate_model_works() {
})
}

#[test]
fn interest_rate_model_works_with_high_rates() {
new_test_ext().execute_with(|| {
let new_model = InterestRateModel::Jump(JumpModel {
base_rate: Rate::from_inner(Rate::DIV / 100 * 2),
jump_rate: Rate::from_inner(Rate::DIV / 100 * 100),
full_rate: Rate::from_inner(Rate::DIV / 100 * 500),
jump_utilization: Ratio::from_percent(80),
});

Loans::update_rate_model(RuntimeOrigin::root(), Token(DOT), new_model).unwrap();
let rate_decimal: u128 = 1_000_000_000_000_000_000;
Tokens::set_balance(
RuntimeOrigin::root(),
ALICE,
Token(DOT),
million_unit(1000) - unit(1000),
0,
)
.unwrap();
// Deposit 200 DOT and borrow 100 DOT
assert_ok!(Loans::mint(RuntimeOrigin::signed(ALICE), Token(DOT), million_unit(200)));
assert_ok!(Loans::deposit_all_collateral(RuntimeOrigin::signed(ALICE), Token(DOT)));
assert_ok!(Loans::borrow(
RuntimeOrigin::signed(ALICE),
Token(DOT),
million_unit(100)
));

let total_cash = million_unit(200) - million_unit(100);
let total_supply = FixedU128::from_inner(million_unit(200))
.checked_div(&Loans::exchange_rate(Token(DOT)))
.map(|r| r.into_inner())
.unwrap();
assert_eq!(Loans::total_supply(Token(DOT)).unwrap().amount(), total_supply);

let borrow_snapshot = Loans::account_borrows(Token(DOT), ALICE);
assert_eq!(borrow_snapshot.principal, million_unit(100));
assert_eq!(borrow_snapshot.borrow_index, Rate::one());

let base_rate = Rate::saturating_from_rational(2, 100);
let jump_rate = Rate::saturating_from_rational(100, 100);
// let full_rate = Rate::saturating_from_rational(32, 100);
let jump_utilization = Ratio::from_percent(80);

let mut borrow_index = Rate::one();
let mut total_borrows = borrow_snapshot.principal;
let mut total_reserves: u128 = 0;

// Interest accrued from blocks 1 to 49
for i in 1..49 {
let delta_time = 6u128;
TimestampPallet::set_timestamp(6000 * (i + 1));
assert_ok!(Loans::accrue_interest(Token(DOT)));
// utilizationRatio = totalBorrows / (totalCash + totalBorrows - totalReserves)
let util_ratio = Ratio::from_rational(total_borrows, total_cash + total_borrows - total_reserves);
assert_eq!(Loans::utilization_ratio(Token(DOT)), util_ratio);

let borrow_rate = (jump_rate - base_rate) * util_ratio.into() / jump_utilization.into() + base_rate;
let borrow_index_old = borrow_index;
borrow_index = Loans::accrue_index(borrow_rate, borrow_index, delta_time as Moment).unwrap();
let total_borrows_old = total_borrows;
total_borrows = (borrow_index / borrow_index_old).saturating_mul_int(total_borrows);
let interest_accumulated = total_borrows - total_borrows_old;
let actual_total_borrows = Loans::total_borrows(Token(DOT)).amount();
assert_eq!(actual_total_borrows, total_borrows);
total_reserves = Markets::<Test>::get(&Token(DOT))
.unwrap()
.reserve_factor
.mul_floor(interest_accumulated)
+ total_reserves;
assert_eq!(Loans::total_reserves(Token(DOT)).amount(), total_reserves);

// exchangeRate = (totalCash + totalBorrows - totalReserves) / totalSupply
assert_eq!(
Loans::exchange_rate(Token(DOT)).into_inner(),
(total_cash + total_borrows - total_reserves) * rate_decimal / total_supply
);
assert_eq!(Loans::borrow_index(Token(DOT)), borrow_index);
}
})
}

#[test]
fn interest_rate_model_works_with_high_rates_above_jump_rate() {
new_test_ext().execute_with(|| {
let new_model = InterestRateModel::Jump(JumpModel {
base_rate: Rate::from_inner(Rate::DIV / 100 * 2),
jump_rate: Rate::from_inner(Rate::DIV / 100 * 100),
full_rate: Rate::from_inner(Rate::DIV / 100 * 500),
jump_utilization: Ratio::from_percent(80),
});

Loans::update_rate_model(RuntimeOrigin::root(), Token(DOT), new_model).unwrap();
let rate_decimal: u128 = 1_000_000_000_000_000_000;
Tokens::set_balance(
RuntimeOrigin::root(),
ALICE,
Token(DOT),
million_unit(1000) - unit(1000),
0,
)
.unwrap();
Tokens::set_balance(
RuntimeOrigin::root(),
ALICE,
Token(IBTC),
million_unit(1000) - unit(1000),
0,
)
.unwrap();
// Deposit 200 DOT and borrow 190 DOT
assert_ok!(Loans::mint(RuntimeOrigin::signed(ALICE), Token(DOT), million_unit(200)));
assert_ok!(Loans::mint(
RuntimeOrigin::signed(ALICE),
Token(IBTC),
million_unit(200)
));
assert_ok!(Loans::deposit_all_collateral(RuntimeOrigin::signed(ALICE), Token(DOT)));
assert_ok!(Loans::deposit_all_collateral(RuntimeOrigin::signed(ALICE), Token(IBTC)));
assert_ok!(Loans::borrow(
RuntimeOrigin::signed(ALICE),
Token(DOT),
million_unit(190)
));

let total_cash = million_unit(200) - million_unit(190);
let total_supply = FixedU128::from_inner(million_unit(200))
.checked_div(&Loans::exchange_rate(Token(DOT)))
.map(|r| r.into_inner())
.unwrap();
assert_eq!(Loans::total_supply(Token(DOT)).unwrap().amount(), total_supply);

let borrow_snapshot = Loans::account_borrows(Token(DOT), ALICE);
assert_eq!(borrow_snapshot.principal, million_unit(190));
assert_eq!(borrow_snapshot.borrow_index, Rate::one());

let jump_rate = Rate::saturating_from_rational(100, 100);
let full_rate = Rate::saturating_from_rational(500, 100);
let jump_utilization = Ratio::from_percent(80);

let mut borrow_index = Rate::one();
let mut total_borrows = borrow_snapshot.principal;
let mut total_reserves: u128 = 0;

// Interest accrued from blocks 1 to 49
for i in 1..49 {
let delta_time = 6u128;
TimestampPallet::set_timestamp(6000 * (i + 1));
assert_ok!(Loans::accrue_interest(Token(DOT)));
// utilizationRatio = totalBorrows / (totalCash + totalBorrows - totalReserves)
let util_ratio = Ratio::from_rational(total_borrows, total_cash + total_borrows - total_reserves);
assert_eq!(Loans::utilization_ratio(Token(DOT)), util_ratio);

// (utilization - jump_utilization)*(full_rate - jump_rate) / ( 1 - jump_utilization) + jump_rate
let borrow_rate = FixedU128::from(util_ratio - jump_utilization) * FixedU128::from(full_rate - jump_rate)
/ FixedU128::from(Ratio::from_percent(100) - jump_utilization)
+ jump_rate;
let borrow_index_old = borrow_index;
borrow_index = Loans::accrue_index(borrow_rate, borrow_index, delta_time as Moment).unwrap();
let total_borrows_old = total_borrows;
total_borrows = (borrow_index / borrow_index_old).saturating_mul_int(total_borrows);
let interest_accumulated = total_borrows - total_borrows_old;
let actual_total_borrows = Loans::total_borrows(Token(DOT)).amount();
assert_eq!(actual_total_borrows, total_borrows);
total_reserves = Markets::<Test>::get(&Token(DOT))
.unwrap()
.reserve_factor
.mul_floor(interest_accumulated)
+ total_reserves;
assert_eq!(Loans::total_reserves(Token(DOT)).amount(), total_reserves);

// exchangeRate = (totalCash + totalBorrows - totalReserves) / totalSupply
assert_eq!(
Loans::exchange_rate(Token(DOT)).into_inner(),
(total_cash + total_borrows - total_reserves) * rate_decimal / total_supply
);
assert_eq!(Loans::borrow_index(Token(DOT)), borrow_index);
}
})
}

#[test]
fn last_accrued_interest_time_should_be_update_correctly() {
new_test_ext().execute_with(|| {
Expand Down