191 lines
9.0 KiB
Solidity
191 lines
9.0 KiB
Solidity
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// SPDX-License-Identifier: CC0-1.0
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pragma solidity >=0.7.0 <0.9.0;
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/*------------------------------------------- DESCRIPTION ---------------------------------------------------------------------------------------*/
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/**
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* @title ERC6123 Smart Derivative Contract
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* @dev Interface specification for a Smart Derivative Contract, which specifies the post-trade live cycle of an OTC financial derivative in a completely deterministic way.
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* Counterparty Risk is removed by construction.
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*
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* A Smart Derivative Contract is a deterministic settlement protocol which has economically the same behaviour as a collateralized OTC financial derivative.
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* It aims is to remove many inefficiencies in collateralized OTC transactions and remove counterparty credit risk by construction.
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*
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* In contrast to a collateralized derivative contract based and collateral flows are netted. As result, the smart derivative contract generates a stream of
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* reflecting the settlement of a referenced underlying. The settlement cash flows may be daily (which is the standard frequency in traditional markets)
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* or at higher frequencies.
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* With each settlement flow the change is the (discounting adjusted) net present value of the underlying contract is exchanged and the value of the contract is reset to zero.
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*
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* To automatically process settlement, counterparties need to provide sufficient prefunded margin amounts and termination fees at the
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* beginning of each settlement cycle. Through a settlement cycle the margin amounts are locked. Simplified, the contract reverts the classical scheme of
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* 1) underlying valuation, then 2) funding of a margin call to
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* 1) pre-funding of a margin buffer (a token), then 2) settlement.
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*
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* A SDC automatically terminates the derivatives contract if there is insufficient pre-funding or if the settlement amount exceeds a
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* prefunded margin balance. Beyond mutual termination is also intended by the function specification.
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*
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* Events and Functionality specify the entire live cycle: TradeInception, TradeConfirmation, TradeTermination, Margin-Account-Mechanics, Valuation and Settlement.
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*
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* The process can be described by time points and time-intervals which are associated with well defined states:
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* <ol>
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* <li>t < T* (befrore incept).
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* </li>
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* <li>
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* The process runs in cycles. Let i = 0,1,2,... denote the index of the cycle. Within each cycle there are times
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* T_{i,0}, T_{i,1}, T_{i,2}, T_{i,3} with T_{i,1} = pre-funding of the Smart Contract, T_{i,2} = request valuation from oracle, T_{i,3} = perform settlement on given valuation, T_{i+1,0} = T_{i,3}.
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* </li>
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* <li>
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* Given this time discretization the states are assigned to time points and time intervalls:
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* <dl>
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* <dt>Idle</dt>
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* <dd>Before incept or after terminate</dd>
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*
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* <dt>Initiation</dt>
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* <dd>T* < t < T_{0}, where T* is time of incept and T_{0} = T_{0,0}</dd>
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*
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* <dt>AwaitingFunding</dt>
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* <dd>T_{i,0} < t < T_{i,1}</dd>
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*
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* <dt>Funding</dt>
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* <dd>t = T_{i,1}</dd>
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*
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* <dt>AwaitingSettlement</dt>
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* <dd>T_{i,1} < t < T_{i,2}</dd>
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*
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* <dt>ValuationAndSettlement</dt>
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* <dd>T_{i,2} < t < T_{i,3}</dd>
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*
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* <dt>Settled</dt>
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* <dd>t = T_{i,3}</dd>
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* </dl>
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* </li>
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* </ol>
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*/
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interface ISDC {
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/*------------------------------------------- EVENTS ---------------------------------------------------------------------------------------*/
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/**
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* @dev Emitted when a new trade is incepted from a eligible counterparty
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* @param initiator is the address from which trade was incepted
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* @param tradeId is the trade ID (e.g. generated internally)
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* @param tradeData holding the trade parameters
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*/
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event TradeIncepted(address initiator, string tradeId, string tradeData);
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/**
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* @dev Emitted when an incepted trade is confirmed by the opposite counterparty
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* @param confirmer the confirming party
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* @param tradeId the trade identifier
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*/
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event TradeConfirmed(address confirmer, string tradeId);
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/**
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* @dev Emitted when a confirmed trade is set to active - e.g. when termination fee amounts are provided
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* @param tradeId the trade identifier of the activated trade
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*/
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event TradeActivated(string tradeId);
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/**
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* @dev Emitted when an active trade is terminated
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* @param cause string holding the cause of the termination
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*/
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event TradeTerminated(string cause);
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/**
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* @dev Emitted when funding phase is initiated
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*/
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event ProcessAwaitingFunding();
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/**
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* @dev Emitted when margin balance was updated and sufficient funding is provided
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*/
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event ProcessFunded();
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/**
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* @dev Emitted when a valuation and settlement is requested
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* @param tradeData holding the stored trade data
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* @param lastSettlementData holding the settlementdata from previous settlement (next settlement will be the increment of next valuation compared to former valuation)
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*/
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event ProcessSettlementRequest(string tradeData, string lastSettlementData);
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/**
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* @dev Emitted when a settlement was processed succesfully
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*/
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event ProcessSettled();
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/**
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* @dev Emitted when a counterparty proactively requests an early termination of the underlying trade
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* @param cpAddress the address of the requesting party
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* @param tradeId the trade identifier which is supposed to be terminated
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*/
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event TradeTerminationRequest(address cpAddress, string tradeId);
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/**
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* @dev Emitted when early termination request is confirmed by the opposite party
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* @param cpAddress the party which confirms the trade termination
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* @param tradeId the trade identifier which is supposed to be terminated
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*/
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event TradeTerminationConfirmed(address cpAddress, string tradeId);
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/*------------------------------------------- FUNCTIONALITY ---------------------------------------------------------------------------------------*/
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/// Trade Inception
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/**
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* @notice Handles trade inception, stores trade data
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* @dev emits a {TradeIncepted} event
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* @param _tradeData a description of the trade specification e.g. in xml format, suggested structure - see assets/eip-6123/doc/sample-tradedata-filestructure.xml
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* @param _initialSettlementData the initial settlement data (e.g. initial market data at which trade was incepted)
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*/
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function inceptTrade(string memory _tradeData, string memory _initialSettlementData) external;
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/**
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* @notice Performs a matching of provided trade data and settlement data
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* @dev emits a {TradeConfirmed} event if trade data match
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* @param _tradeData a description of the trade in sdc.xml, e.g. in xml format, suggested structure - see assets/eip-6123/doc/sample-tradedata-filestructure.xml
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* @param _initialSettlementData the initial settlement data (e.g. initial market data at which trade was incepted)
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*/
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function confirmTrade(string memory _tradeData, string memory _initialSettlementData) external;
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/// Settlement Cycle: Prefunding
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/**
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* @notice Called from outside to check and secure pre-funding. Terminate the trade if prefunding fails.
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* @dev emits a {ProcessFunded} event if prefunding check is successful or a {TradeTerminated} event if prefunding check fails
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*/
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function initiatePrefunding() external;
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/// Settlement Cycle: Settlement
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/**
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* @notice Called to trigger a (maybe external) valuation of the underlying contract and afterwards the according settlement process
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* @dev emits a {ProcessSettlementRequest}
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*/
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function initiateSettlement() external;
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/**
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* @notice Called from outside to trigger according settlement on chain-balances callback for initiateSettlement() event handler
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* @dev emits a {ProcessSettled} if settlement is successful or {TradeTerminated} if settlement fails
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* @param settlementAmount the settlement amount. If settlementAmount > 0 then receivingParty receives this amount from other party. If settlementAmount < 0 then other party receives -settlementAmount from receivingParty.
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* @param settlementData. the tripple (product, previousSettlementData, settlementData) determines the settlementAmount.
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*/
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function performSettlement(int256 settlementAmount, string memory settlementData) external;
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/// Trade termination
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/**
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* @notice Called from a counterparty to request a mutual termination
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* @dev emits a {TradeTerminationRequest}
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* @param tradeId the trade identifier which is supposed to be terminated
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*/
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function requestTradeTermination(string memory tradeId) external;
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/**
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* @notice Called from a counterparty to confirm a termination, which will triggers a final settlement before trade gets inactive
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* @dev emits a {TradeTerminationConfirmed}
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* @param tradeId the trade identifier of the trade which is supposed to be terminated
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*/
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function confirmTradeTermination(string memory tradeId) external;
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}
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