EIL Uniswap V3

This code implements concepts introduced in recent research papers on Uniswap V3 such as :

• Analytical computation of expected impermanent loss (EIL) [1]
• Analytical computation of unit impermanent loss per liquidity (UIL) and static replication with options [2]

This work is part of the research conducted while designing the Haptic protocol and is made available for educational purposes.

Requirements

• R

Installation

• Install R from here (Ubuntu)
• Clone this repository

Usage

• Open a terminal and navigate to the repository
• Check that gen_pdf has executable permissions and grant them with chmod +x gen_report.r
• Run ./gen_report.r

The necessary dependencies will be installed and a pdf file will be generated in the pdf/ folder. The simulation parameters can be found in the config.r file.

References

• [1] Concentrated Liquidity Analysis in Uniswap V3 from DeFi'22: Proceedings of the 2022 ACM CCS Workshop on Decentralized Finance and Security November 2022, pages 63–70, available at https://doi.org/10.1145/3560832.3563438
• [2] Static Replication of Impermanent Loss for Concentrated Liquidity Provision in Decentralised Markets, available at https://arxiv.org/abs/2205.12043