Add calculate fidelity bond value function + tests

jmclient/jmclient/wallet.py

@@ -17,6 +17,7 @@ from hashlib import sha256
 from itertools import chain
 from decimal import Decimal
 from numbers import Integral
+from math import exp
 
 
 from .configure import jm_single
@@ -2380,6 +2381,25 @@ class FidelityBondMixin(object):
         self._storage.data[self._BURNER_OUTPUT_STORAGE_KEY][path][2] = \
             merkle_branch
 
+
+    @classmethod
+    def calculate_timelocked_fidelity_bond_value(cls, utxo_value, confirmation_time, locktime,
+            current_time, interest_rate):
+        """
+        utxo_value is in satoshi
+        interest rate is per year
+        all times are seconds
+        """
+        YEAR = 60 * 60 * 24 * 365.2425 #gregorian calender year length
+
+        r = interest_rate
+        T = (locktime - confirmation_time) / YEAR
+        L = locktime / YEAR
+        t = current_time / YEAR
+
+        a = max(0, min(1, exp(r*T) - 1) - min(1, exp(r*max(0, t-L)) - 1))
+        return utxo_value*utxo_value*a*a
+
 class BIP49Wallet(BIP32PurposedWallet):
     _PURPOSE = 2**31 + 49
     _ENGINE = ENGINES[TYPE_P2SH_P2WPKH]

jmclient/test/test_wallet.py

@@ -821,6 +821,67 @@ def test_watchonly_wallet(setup_wallet):
         assert script == watchonly_script
     assert burn_pubkey == watchonly_burn_pubkey
 
+def test_calculate_timelocked_fidelity_bond_value(setup_wallet):
+    EPSILON = 0.000001
+    YEAR = 60*60*24*356.25
+
+    #the function should be flat anywhere before the locktime ends
+    values = [FidelityBondMixin.calculate_timelocked_fidelity_bond_value(
+        utxo_value=100000000,
+        confirmation_time=0,
+        locktime=6*YEAR,
+        current_time=y*YEAR,
+        interest_rate=0.01
+        )
+        for y in range(4)
+    ]
+    value_diff = [values[i] - values[i+1] for i in range(len(values)-1)]
+    for vd in value_diff:
+        assert abs(vd) < EPSILON
+
+    #after locktime, the value should go down
+    values = [FidelityBondMixin.calculate_timelocked_fidelity_bond_value(
+        utxo_value=100000000,
+        confirmation_time=0,
+        locktime=6*YEAR,
+        current_time=(6+y)*YEAR,
+        interest_rate=0.01
+        )
+        for y in range(5)
+    ]
+    value_diff = [values[i+1] - values[i] for i in range(len(values)-1)]
+    for vrd in value_diff:
+        assert vrd < 0
+
+    #value of a bond goes up as the locktime goes up
+    values = [FidelityBondMixin.calculate_timelocked_fidelity_bond_value(
+        utxo_value=100000000,
+        confirmation_time=0,
+        locktime=y*YEAR,
+        current_time=0,
+        interest_rate=0.01
+        )
+        for y in range(5)
+    ]
+    value_ratio = [values[i] / values[i+1] for i in range(len(values)-1)]
+    value_ratio_diff = [value_ratio[i] - value_ratio[i+1] for i in range(len(value_ratio)-1)]
+    for vrd in value_ratio_diff:
+        assert vrd < 0
+
+    #value of a bond locked into the far future is constant, clamped at the value of burned coins
+    values = [FidelityBondMixin.calculate_timelocked_fidelity_bond_value(
+        utxo_value=100000000,
+        confirmation_time=0,
+        locktime=(200+y)*YEAR,
+        current_time=0,
+        interest_rate=0.01
+        )
+        for y in range(5)
+    ]
+    value_diff = [values[i] - values[i+1] for i in range(len(values)-1)]
+    for vd in value_diff:
+        assert abs(vd) < EPSILON
+
 @pytest.mark.parametrize('password, wallet_cls', [
     ["hunter2", SegwitLegacyWallet],
     ["hunter2", SegwitWallet],