Update DAIInterestRateModel to v4 (fixes #230)

contracts/DAIInterestRateModelV3.sol → contracts/DAIInterestRateModelV4.sol

@@ -1,30 +1,29 @@
-// SPDX-License-Identifier: BSD-3-Clause
 pragma solidity ^0.8.10;
 
 import "./JumpRateModelV2.sol";
 
 /**
-  * @title Compound's DAIInterestRateModel Contract (version 3)
-  * @author Compound (modified by Dharma Labs)
-  * @notice The parameterized model described in section 2.4 of the original Compound Protocol whitepaper.
-  * Version 3 modifies the interest rate model in Version 2 by increasing the initial "gap" or slope of
-  * the model prior to the "kink" from 2% to 4%, and enabling updateable parameters.
+  * @title Compound's DAIInterestRateModel Contract (version 4)
+  * @author Compound, Dharma (modified by Maker Growth)
+  * @notice Version 4 modifies the number of seconds per block to 12,
+  * and takes the stability fee of ETH-B as a reference.
   */
-contract DAIInterestRateModelV3 is JumpRateModelV2 {
+contract DAIInterestRateModelV4 is JumpRateModelV2 {
     uint256 private constant BASE = 1e18;
     uint256 private constant RAY_BASE = 1e27;
     uint256 private constant RAY_TO_BASE_SCALE = 1e9;
-    uint256 private constant SECONDS_PER_BLOCK = 15;
+    uint256 private constant SECONDS_PER_BLOCK = 12;
 
     /**
      * @notice The additional margin per block separating the base borrow rate from the roof.
      */
     uint public gapPerBlock;
 
     /**
-     * @notice The assumed (1 - reserve factor) used to calculate the minimum borrow rate (reserve factor = 0.05)
+     * @notice The assumed (1 - reserve factor) used to calculate the minimum borrow rate (reserve factor = 0.15)
+     * @dev This reflects the reserve factor on the DAI market at the time of implementation.
      */
-    uint public constant assumedOneMinusReserveFactorMantissa = 0.95e18;
+    uint public constant assumedOneMinusReserveFactorMantissa = 0.85e18;
 
     PotLike pot;
     JugLike jug;
@@ -84,16 +83,16 @@ contract DAIInterestRateModelV3 is JumpRateModelV2 {
      */
     function dsrPerBlock() public view returns (uint) {
         return (pot.dsr() - RAY_BASE) // scaled RAY_BASE aka RAY, and includes an extra "ONE" before subtraction
-            / RAY_TO_BASE_SCALE // descale to BASE
             * SECONDS_PER_BLOCK; // seconds per block
+            / RAY_TO_BASE_SCALE // descale to BASE
     }
 
     /**
      * @notice Resets the baseRate and multiplier per block based on the stability fee and Dai savings rate
      */
     function poke() public {
-        (uint duty, ) = jug.ilks("ETH-A");
-        uint stabilityFeePerBlock = (duty + jug.base() - RAY_BASE) / RAY_TO_BASE_SCALE * SECONDS_PER_BLOCK;
+        (uint duty, ) = jug.ilks("ETH-B");
+        uint stabilityFeePerBlock = (duty + jug.base() - RAY_BASE) * SECONDS_PER_BLOCK / RAY_TO_BASE_SCALE;
 
         // We ensure the minimum borrow rate >= DSR / (1 - reserve factor)
         baseRatePerBlock = dsrPerBlock() * BASE / assumedOneMinusReserveFactorMantissa;

scenario/src/Builder/InterestRateModelBuilder.ts

@@ -22,7 +22,7 @@ import {getContract, getTestContract} from '../Contract';
 const FixedInterestRateModel = getTestContract('InterestRateModelHarness');
 const WhitePaperInterestRateModel = getContract('WhitePaperInterestRateModel');
 const JumpRateModel = getContract('JumpRateModel');
-const DAIInterestRateModel = getContract('DAIInterestRateModelV3');
+const DAIInterestRateModel = getContract('DAIInterestRateModelV4');
 const JumpRateModelV2 = getContract('JumpRateModelV2');
 const LegacyJumpRateModelV2 = getContract('LegacyJumpRateModelV2');
 

tests/Models/DAIInterestRateModelTest.js

@@ -7,6 +7,7 @@ const {
   getSupplyRate
 } = require('../Utils/Compound');
 
+const assumedSecondsPerBlock = 12;
 const blocksPerYear = 2102400;
 const secondsPerYear = 60 * 60 * 24 * 365;
 
@@ -16,8 +17,8 @@ function utilizationRate(cash, borrows, reserves) {
 
 function baseRoofRateFn(dsr, duty, mkrBase, jump, kink, cash, borrows, reserves) {
   const assumedOneMinusReserveFactor = 0.95;
-  const stabilityFeePerBlock = (duty + mkrBase - 1) * 15;
-  const dsrPerBlock = (dsr - 1) * 15;
+  const stabilityFeePerBlock = (duty + mkrBase - 1) * assumedSecondsPerBlock;
+  const dsrPerBlock = (dsr - 1) * assumedSecondsPerBlock;
   const gapPerBlock = 0.04 / blocksPerYear;
   const jumpPerBlock = jump / blocksPerYear;
 
@@ -39,7 +40,7 @@ function baseRoofRateFn(dsr, duty, mkrBase, jump, kink, cash, borrows, reserves)
 }
 
 function daiSupplyRate(dsr, duty, mkrBase, jump, kink, cash, borrows, reserves, reserveFactor = 0.1) {
-  const dsrPerBlock = (dsr - 1) * 15;
+  const dsrPerBlock = (dsr - 1) * assumedSecondsPerBlock;
   const ur = utilizationRate(cash, borrows, reserves);
   const borrowRate = baseRoofRateFn(dsr, duty, mkrBase, jump, kink, cash, borrows, reserves);
   const underlying = cash + borrows - reserves;
@@ -68,15 +69,15 @@ async function getKovanFork() {
   return {kovan, root, accounts};
 }
 
-describe('DAIInterestRateModelV3', () => {
+describe('DAIInterestRateModelV4', () => {
   describe("constructor", () => {
     it("sets jug and ilk address and pokes", async () => {
       // NB: Going back a certain distance requires an archive node, currently that add-on is $250/mo
       //  https://community.infura.io/t/error-returned-error-project-id-does-not-have-access-to-archive-state/847
       const {kovan, root, accounts} = await getKovanFork();
 
       // TODO: Get contract craz
-      let {contract: model} = await saddle.deployFull('DAIInterestRateModelV3', [
+      let {contract: model} = await saddle.deployFull('DAIInterestRateModelV4', [
         etherUnsigned(0.8e18),
         etherUnsigned(0.9e18),
         "0xea190dbdc7adf265260ec4da6e9675fd4f5a78bb",
@@ -152,7 +153,7 @@ describe('DAIInterestRateModelV3', () => {
             etherUnsigned(perSecondBase)
           ]);
 
-          const daiIRM = await deploy('DAIInterestRateModelV3', [
+          const daiIRM = await deploy('DAIInterestRateModelV4', [
             etherUnsigned(jump),
             etherUnsigned(kink),
             pot._address,
@@ -229,7 +230,7 @@ describe('DAIInterestRateModelV3', () => {
             etherUnsigned(perSecondBase)
           ]);
 
-          const daiIRM = await deploy('DAIInterestRateModelV3', [
+          const daiIRM = await deploy('DAIInterestRateModelV4', [
             etherUnsigned(jump),
             etherUnsigned(kink),
             pot._address,