feat: add unrealized P&L

chains-cfg/demo.yaml

@@ -6,4 +6,4 @@ network:
     file: ./dist/chaintypes.js
 dataSources:
   - kind: substrate/Runtime
-    startBlock: 2291900 # April 1st 2024
+    startBlock: 2758750 # June 10th 2024

chains-cfg/development.yaml

@@ -6,6 +6,6 @@ network:
     file: ./dist/chaintypes.js
 dataSources:
   - kind: substrate/Runtime
-    startBlock: 6870 # block first pool was created at
+    startBlock: 1093800 # June 10th 2024
     filter:
       modulo: 1000

chains-evm/eth/demo.yaml

@@ -3,6 +3,6 @@ network:
   endpoint: "https://eth-sepolia.api.onfinality.io/rpc?apikey=${ONFINALITY_API_KEY}"
 dataSources:
   - kind: ethereum/Runtime
-    startBlock: 5602400 # April 1st 2024
+    startBlock: 6074950 # June 10th 2024
     options:
       address: '0x5c8657b827a138D52a4e3f03683A28B1FaD86893'

schema.graphql

@@ -68,6 +68,8 @@ type Pool @entity {
   sumPoolFeesPendingAmount: BigInt #Applies to All 
 
   sumRealizedProfitFifoByPeriod: BigInt
+  sumUnrealizedProfitAtMarketPrice: BigInt
+  sumUnrealizedProfitAtNotional: BigInt
 
   # Cumulated transaction data since pool creation
   sumBorrowedAmount: BigInt
@@ -126,6 +128,8 @@ type PoolSnapshot @entity {
   sumPoolFeesPendingAmount: BigInt #Applies to All 
 
   sumRealizedProfitFifoByPeriod: BigInt
+  sumUnrealizedProfitAtMarketPrice: BigInt
+  sumUnrealizedProfitAtNotional: BigInt
 
   # Cumulated transaction data since pool creation
   sumBorrowedAmount: BigInt
@@ -415,6 +419,7 @@ type Asset @entity {
   presentValue: BigInt
   currentPrice: BigInt
   outstandingQuantity: BigInt
+  notional: BigInt
 
   actualMaturityDate: Date
   timeToMaturity: Int
@@ -436,6 +441,9 @@ type Asset @entity {
   writtenOffAmountByPeriod: BigInt
   penaltyInterestRatePerSec: BigInt
 
+  unrealizedProfitAtMarketPrice: BigInt
+  unrealizedProfitAtNotional: BigInt
+
   positions: [AssetPosition] @derivedFrom(field: "asset")
 }
 
@@ -471,6 +479,9 @@ type AssetSnapshot @entity {
   writtenOffPercentageByPeriod: BigInt
   writtenOffAmountByPeriod: BigInt
   penaltyInterestRatePerSec: BigInt
+
+  unrealizedProfitAtMarketPrice: BigInt
+  unrealizedProfitAtNotional: BigInt
 }
 
 type AssetPosition @entity {

src/helpers/types.ts

@@ -270,6 +270,8 @@ export interface LoanPricing extends Enum {
   asExternal: {
     priceId: CfgOracleKey
     maxBorrowAmount: LoanExternalPricingMaxBorrowAmount
+    notional: u128,
+    maxPriceVariation: u128
   }
 }
 

src/mappings/handlers/blockHandlers.ts

@@ -18,6 +18,7 @@ import {
   Tranche,
   TrancheSnapshot,
 } from '../../types/models'
+import { AssetPositionService } from '../services/assetPositionService'
 
 const timekeeper = TimekeeperService.init()
 
@@ -61,11 +62,18 @@ async function _handleBlock(block: SubstrateBlock): Promise<void> {
       // Asset operations
       const activeLoanData = await pool.getPortfolio()
       pool.resetOffchainCashValue()
+      pool.resetUnrealizedProfit()
       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.updateUnrealizedProfit(
+          await AssetPositionService.computeUnrealizedProfitAtPrice(asset.id, asset.currentPrice),
+          await AssetPositionService.computeUnrealizedProfitAtPrice(asset.id, asset.notional)
+        )
         await asset.save()
+        await pool.increaseInterestAccrued(asset.interestAccruedByPeriod)
+        if (asset.isNonCash())
+          pool.increaseUnrealizedProfit(asset.unrealizedProfitAtMarketPrice, asset.unrealizedProfitAtNotional)
         if (asset.actualMaturityDate < block.timestamp) pool.increaseDebtOverdue(asset.outstandingDebt)
         if (asset.isOffchainCash()) pool.increaseOffchainCashValue(asset.presentValue)
       }

src/mappings/handlers/loansHandlers.ts

@@ -31,6 +31,7 @@ async function _handleLoanCreated(event: SubstrateEvent<LoanCreatedEvent>) {
 
   const isInternal = loanInfo.pricing.isInternal
   const internalLoanPricing = isInternal ? loanInfo.pricing.asInternal : null
+  const externalLoanPricing = !isInternal ? loanInfo.pricing.asExternal : null
 
   const assetType: AssetType =
     isInternal && internalLoanPricing.valuationMethod.isCash ? AssetType.OffchainCash : AssetType.Other
@@ -71,6 +72,7 @@ async function _handleLoanCreated(event: SubstrateEvent<LoanCreatedEvent>) {
     maturityDate: loanInfo.schedule.maturity.isFixed
       ? new Date(loanInfo.schedule.maturity.asFixed.date.toNumber() * 1000)
       : null,
+    notional: !isInternal ? externalLoanPricing.notional.toBigInt() : null,
   }
 
   await asset.updateAssetSpecs(assetSpecs)

src/mappings/services/assetPositionService.ts

@@ -26,6 +26,7 @@ export class AssetPositionService extends AssetPosition {
       `Selling positions for ${assetId} ` +
         `sellingQuantity: ${sellingQuantity.toString(10)} sellingPrice: ${sellingPrice.toString(10)}`
     )
+    if (sellingQuantity <= BigInt(0)) return BigInt(0)
     const positions = await this.getByAssetId(assetId)
     positions.sort((a, b) => b.timestamp.valueOf() - a.timestamp.valueOf())
 
@@ -62,4 +63,22 @@ export class AssetPositionService extends AssetPosition {
     await Promise.all(dbUpdates)
     return profitFromSale - costOfBuy
   }
+
+  static async computeUnrealizedProfitAtPrice(assetId: string, sellingPrice: bigint) {
+    if (!sellingPrice || sellingPrice <= BigInt(0)) return BigInt(0)
+    logger.info(`Computing unrealizedProfit at price ${sellingPrice} for asset ${assetId}`)
+    const sellingPositions = await this.getByAssetId(assetId)
+    const sellingQuantity = sellingPositions.reduce<bigint>(
+      (result, position) => result + position.holdingQuantity,
+      BigInt(0)
+    )
+    const profitFromSale = nToBigInt(bnToBn(sellingPrice).mul(bnToBn(sellingQuantity)).div(WAD))
+    const costOfBuy = nToBigInt(
+      sellingPositions.reduce<BN>(
+        (totalCost, line) => totalCost.add(bnToBn(line.purchasePrice).mul(bnToBn(line.holdingQuantity).div(WAD))),
+        new BN(0)
+      )
+    )
+    return profitFromSale - costOfBuy
+  }
 }

src/mappings/services/assetService.ts

@@ -43,6 +43,7 @@ export class AssetService extends Asset {
     asset.presentValue = BigInt(0)
     asset.outstandingQuantity = BigInt(0)
     asset.currentPrice = BigInt(0)
+    asset.notional = BigInt(0)
     asset.writeOffPercentage = BigInt(0)
     asset.totalBorrowed = BigInt(0)
     asset.totalRepaid = BigInt(0)
@@ -56,6 +57,9 @@ export class AssetService extends Asset {
     asset.writtenOffAmountByPeriod = BigInt(0)
     asset.interestAccruedByPeriod = BigInt(0)
 
+    asset.unrealizedProfitAtMarketPrice = BigInt(0)
+    asset.unrealizedProfitAtNotional = BigInt(0)
+
     return asset
   }
 
@@ -207,6 +211,14 @@ export class AssetService extends Asset {
         `currentPrice: ${latestSettlementPrice.toString(10)} for asset ${this.id}`
     )
   }
+
+  public updateUnrealizedProfit(atMarketPrice: bigint, atNotional: bigint) {
+    logger.info(
+      `Updating unrealizedProfit for asset ${this.id} atMarketPrice: ${atMarketPrice} atNotional: ${atNotional}`
+    )
+    this.unrealizedProfitAtMarketPrice = atMarketPrice
+    this.unrealizedProfitAtNotional = atNotional
+  }
 }
 
 interface AssetSpecs {
@@ -217,6 +229,7 @@ interface AssetSpecs {
   discountRate?: bigint
   maturityDate?: Date
   currentPrice?: bigint
+  notional?: bigint
 }
 
 interface AssetIpfsMetadata {

src/mappings/services/poolService.ts

@@ -64,7 +64,10 @@ export class PoolService extends Pool {
     this.sumPoolFeesPaidAmountByPeriod = BigInt(0)
     this.deltaPortfolioValuationByPeriod = BigInt(0)
     this.sumInterestAccruedByPeriod = BigInt(0)
+
     this.sumRealizedProfitFifoByPeriod = BigInt(0)
+    this.sumUnrealizedProfitAtMarketPrice = BigInt(0)
+    this.sumUnrealizedProfitAtNotional = BigInt(0)
 
     this.sumBorrowedAmount = BigInt(0)
     this.sumRepaidAmount = BigInt(0)
@@ -402,6 +405,18 @@ export class PoolService extends Pool {
     logger.info(`Increasing umRealizedProfitFifoByPeriod for pool ${this.id} by ${amount.toString(10)}`)
     this.sumRealizedProfitFifoByPeriod += amount
   }
+
+  public resetUnrealizedProfit() {
+    logger.info(`Resetting unrealizedProfit for pool ${this.id}`)
+    this.sumUnrealizedProfitAtMarketPrice = BigInt(0)
+    this.sumUnrealizedProfitAtNotional = BigInt(0)
+  }
+
+  public increaseUnrealizedProfit(atMarket: bigint, atNotional: bigint) {
+    logger.info(`Increasing unrealizedProfit for pool ${this.id} atMarket: ${atMarket} notional: ${atNotional}`)
+    this.sumUnrealizedProfitAtMarketPrice += atMarket
+    this.sumUnrealizedProfitAtNotional += atNotional
+  }
 }
 
 export interface ActiveLoanData {