Update NAV calculations (#179)

* feat: update NAV calculations

* fix: update schema

* fix: duplication in schema

* fix: cash asset value name

* fix: explicit big ints

* fix: init values

* fix: remove faulty casts

schema.graphql

@@ -31,15 +31,15 @@ type Pool @entity {
   lastEpochClosed: Int
   lastEpochExecuted: Int
 
-  #States
-  portfolioValuation: BigInt
+  # NAV == totalReserve + offchainCashValue + portfolioValuation - sumPoolFeesPendingAmount
+  netAssetValue: BigInt # previously: portfolioValuation
   totalReserve: BigInt
+  offchainCashValue: BigInt # previously: cashAssetValue
+  portfolioValuation: BigInt
+
   availableReserve: BigInt
   maxReserve: BigInt
-  sumDebt: BigInt
-  value: BigInt
-  cashAssetValue: BigInt
-
+
   # Aggregated transaction data over the last period
   sumBorrowedAmountByPeriod: BigInt
   sumRepaidAmountByPeriod: BigInt
@@ -52,6 +52,7 @@ type Pool @entity {
   sumNumberOfAssetsByPeriod: BigInt
 
   sumNumberOfActiveAssets: BigInt
+  sumDebt: BigInt
   sumDebtOverdue: BigInt
   sumDebtWrittenOffByPeriod: BigInt
   deltaPortfolioValuationByPeriod: BigInt
@@ -87,14 +88,14 @@ type PoolSnapshot @entity {
   periodStart: Date! @index
 
   #States
-  portfolioValuation: BigInt
+  netAssetValue: BigInt # previously: portfolioValuation
   totalReserve: BigInt
+  offchainCashValue: BigInt # previously: cashAssetValue
+  portfolioValuation: BigInt
+
   availableReserve: BigInt
   maxReserve: BigInt
-  sumDebt: BigInt
-  value: BigInt
-  cashAssetValue: BigInt
-
+
   # Aggregated transaction data over the last period
   sumBorrowedAmountByPeriod: BigInt
   sumRepaidAmountByPeriod: BigInt
@@ -107,6 +108,7 @@ type PoolSnapshot @entity {
   sumNumberOfAssetsByPeriod: BigInt
 
   sumNumberOfActiveAssets: BigInt
+  sumDebt: BigInt
   sumDebtOverdue: BigInt
   sumDebtWrittenOffByPeriod: BigInt
   deltaPortfolioValuationByPeriod: BigInt

src/mappings/handlers/blockHandlers.ts

@@ -40,8 +40,7 @@ async function _handleBlock(block: SubstrateBlock): Promise<void> {
     const pools = await PoolService.getCfgActivePools()
     for (const pool of pools) {
       await pool.updateState()
-      await pool.updatePortfolioValuation()
-      await pool.computePoolValue()
+      await pool.updateNAV()
       await pool.resetDebtOverdue()
 
       // Update tranche states
@@ -62,14 +61,14 @@ async function _handleBlock(block: SubstrateBlock): Promise<void> {
       }
       // Asset operations
       const activeLoanData = await pool.getPortfolio()
-      pool.resetCashAssetValue()
+      pool.resetOffchainCashValue()
       for (const loanId in activeLoanData) {
         const asset = await AssetService.getById(pool.id, loanId)
         await asset.updateActiveAssetData(activeLoanData[loanId])
         await pool.increaseInterestAccrued(asset.interestAccruedByPeriod)
         await asset.save()
         if (asset.actualMaturityDate < block.timestamp) pool.increaseDebtOverdue(asset.outstandingDebt)
-        if (asset.isOffchainCash()) pool.increaseCashAssetValue(asset.presentValue)
+        if (asset.isOffchainCash()) pool.increaseOffchainCashValue(asset.presentValue)
       }
       await pool.updateNumberOfActiveAssets(BigInt(Object.keys(activeLoanData).length))
 

src/mappings/handlers/ethHandlers.ts

@@ -45,13 +45,11 @@ async function _handleEthBlock(block: EthereumBlock): Promise<void> {
     const poolUpdateCalls: PoolMulticall[] = []
     for (const tinlakePool of tinlakePools) {
       if (block.number >= tinlakePool.startBlock) {
-        const pool = await PoolService.getOrSeed(tinlakePool.id, false,  blockchain.id)
+        const pool = await PoolService.getOrSeed(tinlakePool.id, false, blockchain.id)
 
         // initialize new pool
         if (!pool.isActive) {
           pool.name = tinlakePool.shortName
-          pool.totalReserve = BigInt(0)
-          pool.portfolioValuation = BigInt(0)
           pool.isActive = true
           pool.currencyId = currency.id
           await pool.save()
@@ -100,6 +98,7 @@ async function _handleEthBlock(block: EthereumBlock): Promise<void> {
             callResult.result
           )[0]
           pool.portfolioValuation = currentNAV.toBigInt()
+          pool.netAssetValue = (pool.portfolioValuation || BigInt(0)) + (pool.totalReserve || BigInt(0))
           await pool.save()
           logger.info(`Updating pool ${tinlakePool?.id} with portfolioValuation: ${pool.portfolioValuation}`)
         }
@@ -109,12 +108,13 @@ async function _handleEthBlock(block: EthereumBlock): Promise<void> {
             callResult.result
           )[0]
           pool.totalReserve = totalBalance.toBigInt()
+          pool.netAssetValue = (pool.portfolioValuation || BigInt(0)) + (pool.totalReserve || BigInt(0))
           await pool.save()
           logger.info(`Updating pool ${tinlakePool?.id} with totalReserve: ${pool.totalReserve}`)
         }
 
         // Update loans (only index if fully synced)
-        if (latestNavFeed && date.toDateString() === (new Date()).toDateString()) {
+        if (latestNavFeed && date.toDateString() === new Date().toDateString()) {
           await updateLoans(
             tinlakePool?.id as string,
             date,
@@ -127,7 +127,7 @@ async function _handleEthBlock(block: EthereumBlock): Promise<void> {
     }
 
     // Take snapshots
-    await evmStateSnapshotter<Pool,PoolSnapshot>(Pool, PoolSnapshot, block, 'isActive', true, 'poolId')
+    await evmStateSnapshotter<Pool, PoolSnapshot>(Pool, PoolSnapshot, block, 'isActive', true, 'poolId')
     //await evmStateSnapshotter<Asset,AssetSnapshot>('Asset', 'AssetSnapshot', block, 'isActive', true, 'assetId')
 
     //Update tracking of period and continue

src/mappings/services/poolService.test.ts

@@ -86,7 +86,7 @@ describe('Given a new pool, when initialised', () => {
 
 describe('Given an existing pool,', () => {
   test.skip('when the nav is updated, then the value is fetched and set correctly', async () => {
-    await pool.updatePortfolioValuation()
+    await pool.updateNAV()
     expect(api.query.loans.portfolioValuation).toHaveBeenCalled()
     expect(pool.portfolioValuation).toBe(BigInt(100000000000000))
   })

src/mappings/services/poolService.ts

@@ -45,14 +45,15 @@ export class PoolService extends Pool {
 
     this.currentEpoch = 1
 
-    this.portfolioValuation = BigInt(0)
+    this.netAssetValue = BigInt(0)
     this.totalReserve = BigInt(0)
+    this.offchainCashValue = BigInt(0)
+    this.portfolioValuation = BigInt(0)
+
     this.availableReserve = BigInt(0)
     this.maxReserve = maxReserve
 
     this.sumDebt = BigInt(0)
-    this.value = BigInt(0)
-    this.cashAssetValue = BigInt(0)
 
     this.sumNumberOfActiveAssets = BigInt(0)
     this.sumDebtOverdue = BigInt(0)
@@ -161,40 +162,50 @@ export class PoolService extends Pool {
     return this
   }
 
-  public updatePortfolioValuation() {
+  public updateNAV() {
     const specVersion = api.runtimeVersion.specVersion.toNumber()
     const specName = api.runtimeVersion.specName.toString()
     switch (specName) {
       case 'centrifuge-devel':
-        return specVersion < 1038 ? this.updatePortfolioValuationQuery() : this.updatePortfolioValuationCall()
+        return specVersion < 1038 ? this.updateNAVQuery() : this.updateNAVCall()
       default:
-        return specVersion < 1025 ? this.updatePortfolioValuationQuery() : this.updatePortfolioValuationCall()
+        return specVersion < 1025 ? this.updateNAVQuery() : this.updateNAVCall()
     }
   }
 
-  private async updatePortfolioValuationQuery() {
+  private async updateNAVQuery() {
     logger.info(`Updating portfolio valuation for pool: ${this.id} (state)`)
     const navResponse = await api.query.loans.portfolioValuation<NavDetails>(this.id)
     const newPortfolioValuation = navResponse.value.toBigInt()
+
     this.deltaPortfolioValuationByPeriod = newPortfolioValuation - this.portfolioValuation
     this.portfolioValuation = newPortfolioValuation
+
+    // The query was only used before either offchain cash assets or fees were introduced,
+    // so NAV == portfolioValuation + totalReserve
+    this.netAssetValue = newPortfolioValuation + this.totalReserve
+
     logger.info(
       `portfolio valuation: ${this.portfolioValuation.toString(10)} delta: ${this.deltaPortfolioValuationByPeriod}`
     )
     return this
   }
 
-  private async updatePortfolioValuationCall() {
+  private async updateNAVCall() {
     logger.info(`Updating portfolio valuation for pool: ${this.id} (runtime)`)
     const apiCall = api.call as ExtendedCall
     const navResponse = await apiCall.poolsApi.nav(this.id)
     if (navResponse.isEmpty) {
       logger.warn('Empty pv response')
       return
     }
-    const newPortfolioValuation = navResponse.unwrap().total.toBigInt()
+    const newNAV = navResponse.unwrap().total.toBigInt()
+    const newPortfolioValuation = navResponse.unwrap().navAum.toBigInt() - this.offchainCashValue
+
     this.deltaPortfolioValuationByPeriod = newPortfolioValuation - this.portfolioValuation
     this.portfolioValuation = newPortfolioValuation
+    this.netAssetValue = newNAV
+
     logger.info(
       `portfolio valuation: ${this.portfolioValuation.toString(10)} delta: ${this.deltaPortfolioValuationByPeriod}`
     )
@@ -252,11 +263,6 @@ export class PoolService extends Pool {
     this.lastEpochExecuted = epochId
   }
 
-  public computePoolValue() {
-    this.value = this.portfolioValuation + this.totalReserve
-    logger.info(`Updating pool.value: ${this.value}`)
-  }
-
   public resetDebtOverdue() {
     logger.info('Resetting sumDebtOverdue')
     this.sumDebtOverdue = BigInt(0)
@@ -383,14 +389,14 @@ export class PoolService extends Pool {
     return this
   }
 
-  public resetCashAssetValue() {
-    logger.info(`Resetting cashAssetValue for pool ${this.id}`)
-    this.cashAssetValue = BigInt(0)
+  public resetOffchainCashValue() {
+    logger.info(`Resetting offchainCashValue for pool ${this.id}`)
+    this.offchainCashValue = BigInt(0)
   }
 
-  public increaseCashAssetValue(amount: bigint) {
-    logger.info(`Increasing cashAssetValue for pool ${this.id} by ${amount.toString(10)}`)
-    this.cashAssetValue += amount
+  public increaseOffchainCashValue(amount: bigint) {
+    logger.info(`Increasing offchainCashValue for pool ${this.id} by ${amount.toString(10)}`)
+    this.offchainCashValue += amount
   }
 
   public updateSumPoolFeesPendingAmount(pendingAmount: bigint) {