defi-arbitrage/risk-control.service.ts

// Risk Control Service
// Enforces hard caps and validates deal parameters

import { Decimal } from '@prisma/client/runtime/library';
import { logger } from '@/infrastructure/monitoring/logger';
import { DEFAULT_RISK_PARAMS } from './config';
import { RiskCheckResult, CapitalBuckets, DealExecutionRequest } from './types';

export class RiskControlService {
  async validateDealRequest(
    request: DealExecutionRequest,
    currentNav: Decimal
  ): Promise<RiskCheckResult> {
    const errors: string[] = [];
    const maxLtv = new Decimal(request.maxLtv ?? DEFAULT_RISK_PARAMS.MAX_LTV);
    const maxUsdtzExposure = currentNav.mul(
      DEFAULT_RISK_PARAMS.MAX_USDTZ_EXPOSURE_PCT
    );

    if (maxLtv.gt(DEFAULT_RISK_PARAMS.MAX_LTV)) {
      errors.push(
        `Requested LTV ${maxLtv.toString()} exceeds maximum ${DEFAULT_RISK_PARAMS.MAX_LTV}`
      );
    }

    const totalEth = new Decimal(request.totalEthValue);
    const workingLiquidity = totalEth.mul(0.30);
    const estimatedBorrow = workingLiquidity.mul(maxLtv);
    const estimatedUsdtzPurchase = estimatedBorrow.div(
      new Decimal(1).minus(
        new Decimal(request.usdtzDiscountRate ?? DEFAULT_RISK_PARAMS.DEFAULT_USDTZ_DISCOUNT)
      )
    );

    if (estimatedUsdtzPurchase.gt(maxUsdtzExposure)) {
      errors.push(
        `Estimated USDTz exposure ${estimatedUsdtzPurchase.toString()} exceeds maximum ${maxUsdtzExposure.toString()}`
      );
    }

    return {
      passed: errors.length === 0,
      maxLtv: new Decimal(DEFAULT_RISK_PARAMS.MAX_LTV),
      maxUsdtzExposure,
      totalNav: currentNav,
      errors,
    };
  }

  async checkLtvCompliance(
    collateralValue: Decimal,
    borrowAmount: Decimal,
    maxLtv: Decimal = new Decimal(DEFAULT_RISK_PARAMS.MAX_LTV)
  ): Promise<RiskCheckResult> {
    const errors: string[] = [];
    const ltv = borrowAmount.div(collateralValue);

    if (ltv.gt(maxLtv)) {
      errors.push(
        `LTV ${ltv.mul(100).toFixed(2)}% exceeds maximum ${maxLtv.mul(100).toFixed(2)}%`
      );
    }

    logger.info('LTV Check', {
      collateralValue: collateralValue.toString(),
      borrowAmount: borrowAmount.toString(),
      ltv: ltv.mul(100).toFixed(2) + '%',
      maxLtv: maxLtv.mul(100).toFixed(2) + '%',
      passed: errors.length === 0,
    });

    return {
      passed: errors.length === 0,
      ltv,
      maxLtv,
      errors,
    };
  }

  async checkUsdtzExposure(
    usdtzAmount: Decimal,
    totalNav: Decimal
  ): Promise<RiskCheckResult> {
    const errors: string[] = [];
    const maxExposure = totalNav.mul(DEFAULT_RISK_PARAMS.MAX_USDTZ_EXPOSURE_PCT);

    if (usdtzAmount.gt(maxExposure)) {
      errors.push(
        `USDTz exposure ${usdtzAmount.toString()} exceeds maximum ${maxExposure.toString()}`
      );
    }

    return {
      passed: errors.length === 0,
      usdtzExposure: usdtzAmount,
      maxUsdtzExposure: maxExposure,
      totalNav,
      errors,
    };
  }

  async validateNoRehypothecation(
    usdtzAmount: Decimal,
    collateralAssets: string[]
  ): Promise<RiskCheckResult> {
    const errors: string[] = [];

    if (collateralAssets.includes('USDTz')) {
      errors.push('USDTz cannot be used as collateral (no rehypothecation)');
    }

    return {
      passed: errors.length === 0,
      errors,
    };
  }
}

export const riskControlService = new RiskControlService();