Wednesday, December 6, 2023

What all of us obtained improper about calculating Impermanent Loss | by Stefan Loesch

IL as operate of normalized value xi
  1. at any level of time, the worth of the ETH place is precisely the identical as that of the USDC place; this holds for each numeraire, however for simplicity I assume “greenback worth”
  2. if the place was contributed at a normalized value ratio of xi=1, then at any cut-off date sooner or later, the worth of the full place is proportional to sqrt(xi)
Definition of an influence regulation operate within the value ratio xi
Diagonal motion of Black Scholes constituent operators on energy regulation features
Black Scholes ODE on the ability regulation eigen foundation
answer to the Black Scholes ODE
tau worth for sq. root profile with zero charges
  1. the distinction between HODL and the CFMM worth, and
  2. the distinction between the CFMM worth and the truthful worth of the 50/50 self financing funding technique
Right definition for divergence loss, together with the Gamma correction time period

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