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Greek Cache Parameters

RateAndCarry

Meaning

This is the value of the risk-free rate (r) used in the Black Scholes formula. It varies by asset and over time.

GWAVSkewCap

Value
  • GwavSkewCap: 5.0
Meaning/Justification
  • Enforce that the skew GWAV is updated with a value at most 5. This ensures the integrity of the GWAV.

GWAVSkewFloor

Value
  • GwavSkewFloor: 0.5
Meaning/Justification
  • Enforce that the skew GWAV is updated with a value of at least 0.5. This ensures the integrity of the GWAV.

OptionValueSkewGWAVPeriod

Value
  • OptionValueSkewGWAVPeriod: 36 hours
Meaning/Justification
  • This is the length of the GWAV used to compute the skew of a listing, which is in turn used to calculate the NAV of the pool.
  • These values have to be very resilient to manipulation, since they determine the value of the pool and, by extension, the value of each LP token.
  • It is easy to see that longer GWAVs are much more resistant to attack, so longer values are favoured. That said, too long a period means it will take substantial periods of time for the GWAV to catch up to market conditions.

OptionValueIvGWAVPeriod

Value
  • OptionValueIvGWAVPeriod: 36 hours
Meaning/Justification
  • This is the length of the GWAV used to compute the baseline IV of a listing, which is in turn used to calculate the NAV of the pool.
  • The same reasoning applies as for OptionValueSkewGWAVPeriod.

StaleUpdateDuration

Value
  • StaleUpdateDuraton: 0.5 hours
Meaning/Justification
  • How much time has passed since last update before deposits/withdrawals are blocked.

VarianceIvGWAVPeriod

Value
  • VarianceIvGWAVPeriod: 6 hours
Meaning/Justification
  • A GWAV of recent baseline volatilities is used to determine whether the volatility circuit breaker should fire. VarianceIvGWAVPeriod is the length of this GWAV.
  • A sufficiently long look back window is needed to gauge the conditions of the market. Too long a period uses too much information and risks the circuit breaker firing too often, too short ignores the broader context.

VarianceSkewGWAVPeriod

Value
  • VarianceSkewGWAVPeriod: 6 hours
Meaning/Justification
  • A GWAV of recent skews is used to determine whether the volatility circuit breaker should fire. VarianceSkewGWAVPeriod is the length of this GWAV.