diff --git a/analysis.log b/analysis.log index 78bd814..693e96a 100644 --- a/analysis.log +++ b/analysis.log @@ -1025,3 +1025,553 @@ INFO:root:The suggested premium_redeem threshold is 115% DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of vdot/usd over 7 days is: 146.856% DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of vdot/usd over 7 days is: 133.972% INFO:root:The suggested safe_mint threshold is 150% +INFO:root:Date of the analysis: 2024-02-20 18:52:23.946225 +INFO:root:==================================================================== +INFO:root:Start running the collateral analysis with the following parameters: +INFO:root: + Debt currency: usd + Confidence level (alpha): 99.0% + Number of path simulations: 100000 + Historical sample period: 365 + Threshold period in days: + Safe Mint: 21 + Premium Redeem: 14 + Liquidations: 7 + +INFO:root:==================================================================== +INFO:root:Start analysing ibtc... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/interlay-btc/market_chart?vs_currency=usd&days=365 HTTP/1.1" 404 None +INFO:root:Error 'prices': could not get price data... +INFO:root:No sufficient historic prices for ibtc/usd +INFO:root:Trying to get prices for btc/usd as proxy pair +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/bitcoin/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for ibtc used to compute the liquidation threshold is: 1.0526315789473684 +DEBUG:root:Partial analytical VaR (before risk adjustment) for ibtc is: -0.19386464345117116 +DEBUG:root:The analytical VaR (after risk adjustment) for ibtc is: 0.7658285887213875 +DEBUG:root:Total risk adjustment for ibtc used to compute the liquidation threshold is: 1.0526315789473684 +DEBUG:root:Partial historical VaR (before risk adjustment) for ibtc is: -0.11882896371074858 +DEBUG:root:The historical VaR (after risk adjustment) for ibtc is: 0.8371124844747889 +DEBUG:root:Total risk adjustment for ibtc used to compute the premium_redeem threshold is: 1.0526315789473684 +DEBUG:root:Partial analytical VaR (before risk adjustment) for ibtc is: -0.16258268961832578 +DEBUG:root:The analytical VaR (after risk adjustment) for ibtc is: 0.7955464448625905 +DEBUG:root:Total risk adjustment for ibtc used to compute the premium_redeem threshold is: 1.0526315789473684 +DEBUG:root:Partial historical VaR (before risk adjustment) for ibtc is: -0.1376693905265829 +DEBUG:root:The historical VaR (after risk adjustment) for ibtc is: 0.8192140789997463 +DEBUG:root:Total risk adjustment for ibtc used to compute the safe_mint threshold is: 1.0526315789473684 +DEBUG:root:Partial analytical VaR (before risk adjustment) for ibtc is: -0.11645119264113013 +DEBUG:root:The analytical VaR (after risk adjustment) for ibtc is: 0.8393713669909264 +DEBUG:root:Total risk adjustment for ibtc used to compute the safe_mint threshold is: 1.0526315789473684 +DEBUG:root:Partial historical VaR (before risk adjustment) for ibtc is: -0.11161616832518595 +DEBUG:root:The historical VaR (after risk adjustment) for ibtc is: 0.8439646400910734 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.029717856141203036 +DEBUG:root:The summed increments for the historical liquidation threshold are: -0.017898405475042622 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.07354277826953892 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: 0.006852155616284494 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.23417141127861252 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.16288751552521108 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of ibtc/usd over 21 days is: 103.063% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of ibtc/usd over 21 days is: 98.242% +INFO:root:The suggested liquidation threshold is 105% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of ibtc/usd over 14 days is: 107.938% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of ibtc/usd over 14 days is: 100.69% +INFO:root:The suggested premium_redeem threshold is 110% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of ibtc/usd over 7 days is: 130.578% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of ibtc/usd over 7 days is: 119.458% +INFO:root:The suggested safe_mint threshold is 135% +INFO:root:Start analysing dot... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/polkadot/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for dot used to compute the liquidation threshold is: 1.0 +DEBUG:root:Partial analytical VaR (before risk adjustment) for dot is: -0.3007553182301096 +DEBUG:root:The analytical VaR (after risk adjustment) for dot is: 0.6992446817698904 +DEBUG:root:Total risk adjustment for dot used to compute the liquidation threshold is: 1.0 +DEBUG:root:Partial historical VaR (before risk adjustment) for dot is: -0.1978305026378142 +DEBUG:root:The historical VaR (after risk adjustment) for dot is: 0.8021694973621858 +DEBUG:root:Total risk adjustment for dot used to compute the premium_redeem threshold is: 1.0 +DEBUG:root:Partial analytical VaR (before risk adjustment) for dot is: -0.24943916931033971 +DEBUG:root:The analytical VaR (after risk adjustment) for dot is: 0.7505608306896603 +DEBUG:root:Total risk adjustment for dot used to compute the premium_redeem threshold is: 1.0 +DEBUG:root:Partial historical VaR (before risk adjustment) for dot is: -0.21105438372879537 +DEBUG:root:The historical VaR (after risk adjustment) for dot is: 0.7889456162712046 +DEBUG:root:Total risk adjustment for dot used to compute the safe_mint threshold is: 1.0 +DEBUG:root:Partial analytical VaR (before risk adjustment) for dot is: -0.1751665484687488 +DEBUG:root:The analytical VaR (after risk adjustment) for dot is: 0.8248334515312512 +DEBUG:root:Total risk adjustment for dot used to compute the safe_mint threshold is: 1.0 +DEBUG:root:Partial historical VaR (before risk adjustment) for dot is: -0.15190361151510823 +DEBUG:root:The historical VaR (after risk adjustment) for dot is: 0.8480963884848918 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.05131614891976988 +DEBUG:root:The summed increments for the historical liquidation threshold are: -0.01322388109098116 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.1255887697613608 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: 0.04592689112270598 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.3007553182301096 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.1978305026378142 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of dot/usd over 21 days is: 105.409% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of dot/usd over 21 days is: 98.695% +INFO:root:The suggested liquidation threshold is 110% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of dot/usd over 14 days is: 114.363% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of dot/usd over 14 days is: 104.814% +INFO:root:The suggested premium_redeem threshold is 115% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of dot/usd over 7 days is: 143.011% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of dot/usd over 7 days is: 124.662% +INFO:root:The suggested safe_mint threshold is 145% +INFO:root:Start analysing hdx... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/hydradx/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for hdx used to compute the liquidation threshold is: 1.0412328196584757 +DEBUG:root:Partial analytical VaR (before risk adjustment) for hdx is: -0.44806612522716416 +DEBUG:root:The analytical VaR (after risk adjustment) for hdx is: 0.5300772933318315 +DEBUG:root:Total risk adjustment for hdx used to compute the liquidation threshold is: 1.0412328196584757 +DEBUG:root:Partial historical VaR (before risk adjustment) for hdx is: -0.37461960425130747 +DEBUG:root:The historical VaR (after risk adjustment) for hdx is: 0.6006153320770443 +DEBUG:root:Total risk adjustment for hdx used to compute the premium_redeem threshold is: 1.0412328196584757 +DEBUG:root:Partial analytical VaR (before risk adjustment) for hdx is: -0.3841380288803298 +DEBUG:root:The analytical VaR (after risk adjustment) for hdx is: 0.5914738370633312 +DEBUG:root:Total risk adjustment for hdx used to compute the premium_redeem threshold is: 1.0412328196584757 +DEBUG:root:Partial historical VaR (before risk adjustment) for hdx is: -0.31097102965166856 +DEBUG:root:The historical VaR (after risk adjustment) for hdx is: 0.6617434231225374 +DEBUG:root:Total risk adjustment for hdx used to compute the safe_mint threshold is: 1.0412328196584757 +DEBUG:root:Partial analytical VaR (before risk adjustment) for hdx is: -0.2842498411921146 +DEBUG:root:The analytical VaR (after risk adjustment) for hdx is: 0.687406452519093 +DEBUG:root:Total risk adjustment for hdx used to compute the safe_mint threshold is: 1.0412328196584757 +DEBUG:root:Partial historical VaR (before risk adjustment) for hdx is: -0.2573187766134952 +DEBUG:root:The historical VaR (after risk adjustment) for hdx is: 0.7132710469403991 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.06139654373149972 +DEBUG:root:The summed increments for the historical liquidation threshold are: 0.061128091045493105 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.15732915918726154 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: 0.1126557148633548 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.4699227066681685 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.3993846679229557 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of hdx/usd over 21 days is: 106.541% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of hdx/usd over 21 days is: 106.511% +INFO:root:The suggested liquidation threshold is 110% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of hdx/usd over 14 days is: 118.67% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of hdx/usd over 14 days is: 112.696% +INFO:root:The suggested premium_redeem threshold is 120% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of hdx/usd over 7 days is: 188.652% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of hdx/usd over 7 days is: 166.496% +INFO:root:The suggested safe_mint threshold is 190% +INFO:root:Start analysing usdt... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/tether/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for usdt used to compute the liquidation threshold is: 1.0869565217391304 +DEBUG:root:Partial analytical VaR (before risk adjustment) for usdt is: -0.012342172220716985 +DEBUG:root:The analytical VaR (after risk adjustment) for usdt is: 0.9086452015569404 +DEBUG:root:Total risk adjustment for usdt used to compute the liquidation threshold is: 1.0869565217391304 +DEBUG:root:Partial historical VaR (before risk adjustment) for usdt is: -0.006322530539417892 +DEBUG:root:The historical VaR (after risk adjustment) for usdt is: 0.9141832719037356 +DEBUG:root:Total risk adjustment for usdt used to compute the premium_redeem threshold is: 1.0869565217391304 +DEBUG:root:Partial analytical VaR (before risk adjustment) for usdt is: -0.00985442767862077 +DEBUG:root:The analytical VaR (after risk adjustment) for usdt is: 0.910933926535669 +DEBUG:root:Total risk adjustment for usdt used to compute the premium_redeem threshold is: 1.0869565217391304 +DEBUG:root:Partial historical VaR (before risk adjustment) for usdt is: -0.006270676776963469 +DEBUG:root:The historical VaR (after risk adjustment) for usdt is: 0.9142309773651937 +DEBUG:root:Total risk adjustment for usdt used to compute the safe_mint threshold is: 1.0869565217391304 +DEBUG:root:Partial analytical VaR (before risk adjustment) for usdt is: -0.006642191011110521 +DEBUG:root:The analytical VaR (after risk adjustment) for usdt is: 0.9138891842697784 +DEBUG:root:Total risk adjustment for usdt used to compute the safe_mint threshold is: 1.0869565217391304 +DEBUG:root:Partial historical VaR (before risk adjustment) for usdt is: -0.0058299370227856695 +DEBUG:root:The historical VaR (after risk adjustment) for usdt is: 0.9146364579390373 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.0022887249787285624 +DEBUG:root:The summed increments for the historical liquidation threshold are: 4.770546145804744e-05 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.005243982712837991 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: 0.0004531860353016448 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.0913547984430596 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.0858167280962644 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of usdt/usd over 21 days is: 100.229% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of usdt/usd over 21 days is: 100.005% +INFO:root:The suggested liquidation threshold is 105% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of usdt/usd over 14 days is: 100.527% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of usdt/usd over 14 days is: 100.045% +INFO:root:The suggested premium_redeem threshold is 105% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of usdt/usd over 7 days is: 110.054% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of usdt/usd over 7 days is: 109.387% +INFO:root:The suggested safe_mint threshold is 115% +INFO:root:Start analysing usdc... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/usd-coin/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for usdc used to compute the liquidation threshold is: 1.1494252873563218 +DEBUG:root:Partial analytical VaR (before risk adjustment) for usdc is: -0.027089990687580223 +DEBUG:root:The analytical VaR (after risk adjustment) for usdc is: 0.8464317081018052 +DEBUG:root:Total risk adjustment for usdc used to compute the liquidation threshold is: 1.1494252873563218 +DEBUG:root:Partial historical VaR (before risk adjustment) for usdc is: -0.004435118661283988 +DEBUG:root:The historical VaR (after risk adjustment) for usdc is: 0.866141446764683 +DEBUG:root:Total risk adjustment for usdc used to compute the premium_redeem threshold is: 1.1494252873563218 +DEBUG:root:Partial analytical VaR (before risk adjustment) for usdc is: -0.021691077400611047 +DEBUG:root:The analytical VaR (after risk adjustment) for usdc is: 0.8511287626614684 +DEBUG:root:Total risk adjustment for usdc used to compute the premium_redeem threshold is: 1.1494252873563218 +DEBUG:root:Partial historical VaR (before risk adjustment) for usdc is: -0.0063967016715404945 +DEBUG:root:The historical VaR (after risk adjustment) for usdc is: 0.8644348695457599 +DEBUG:root:Total risk adjustment for usdc used to compute the safe_mint threshold is: 1.1494252873563218 +DEBUG:root:Partial analytical VaR (before risk adjustment) for usdc is: -0.014549873323862483 +DEBUG:root:The analytical VaR (after risk adjustment) for usdc is: 0.8573416102082397 +DEBUG:root:Total risk adjustment for usdc used to compute the safe_mint threshold is: 1.1494252873563218 +DEBUG:root:Partial historical VaR (before risk adjustment) for usdc is: -0.006003028282976608 +DEBUG:root:The historical VaR (after risk adjustment) for usdc is: 0.8647773653938104 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.004697054559663183 +DEBUG:root:The summed increments for the historical liquidation threshold are: -0.0017065772189230888 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.0109099021064345 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: -0.0013640813708725164 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.15356829189819476 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.13385855323531703 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of usdc/usd over 21 days is: 100.472% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of usdc/usd over 21 days is: 99.83% +INFO:root:The suggested liquidation threshold is 105% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of usdc/usd over 14 days is: 101.103% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of usdc/usd over 14 days is: 99.864% +INFO:root:The suggested premium_redeem threshold is 105% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of usdc/usd over 7 days is: 118.143% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of usdc/usd over 7 days is: 115.455% +INFO:root:The suggested safe_mint threshold is 120% +INFO:root:Start analysing glmr... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/moonbeam/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for glmr used to compute the liquidation threshold is: 1.0 +DEBUG:root:Partial analytical VaR (before risk adjustment) for glmr is: -0.42312054450336745 +DEBUG:root:The analytical VaR (after risk adjustment) for glmr is: 0.5768794554966326 +DEBUG:root:Total risk adjustment for glmr used to compute the liquidation threshold is: 1.0 +DEBUG:root:Partial historical VaR (before risk adjustment) for glmr is: -0.2829492659817744 +DEBUG:root:The historical VaR (after risk adjustment) for glmr is: 0.7170507340182256 +DEBUG:root:Total risk adjustment for glmr used to compute the premium_redeem threshold is: 1.0 +DEBUG:root:Partial analytical VaR (before risk adjustment) for glmr is: -0.3549362165096197 +DEBUG:root:The analytical VaR (after risk adjustment) for glmr is: 0.6450637834903803 +DEBUG:root:Total risk adjustment for glmr used to compute the premium_redeem threshold is: 1.0 +DEBUG:root:Partial historical VaR (before risk adjustment) for glmr is: -0.26803352498190436 +DEBUG:root:The historical VaR (after risk adjustment) for glmr is: 0.7319664750180956 +DEBUG:root:Total risk adjustment for glmr used to compute the safe_mint threshold is: 1.0 +DEBUG:root:Partial analytical VaR (before risk adjustment) for glmr is: -0.2557169588192122 +DEBUG:root:The analytical VaR (after risk adjustment) for glmr is: 0.7442830411807878 +DEBUG:root:Total risk adjustment for glmr used to compute the safe_mint threshold is: 1.0 +DEBUG:root:Partial historical VaR (before risk adjustment) for glmr is: -0.1880187287878099 +DEBUG:root:The historical VaR (after risk adjustment) for glmr is: 0.8119812712121901 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.06818432799374774 +DEBUG:root:The summed increments for the historical liquidation threshold are: 0.01491574099987003 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.16740358568415525 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: 0.09493053719396449 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.42312054450336745 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.2829492659817744 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of glmr/usd over 21 days is: 107.317% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of glmr/usd over 21 days is: 101.514% +INFO:root:The suggested liquidation threshold is 110% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of glmr/usd over 14 days is: 120.106% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of glmr/usd over 14 days is: 110.489% +INFO:root:The suggested premium_redeem threshold is 125% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of glmr/usd over 7 days is: 173.346% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of glmr/usd over 7 days is: 139.46% +INFO:root:The suggested safe_mint threshold is 175% +INFO:root:Start analysing vdot... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/voucher-dot/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +INFO:root:No sufficient historic prices for vdot/usd +INFO:root:Trying to get prices for dot/usd as proxy pair +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/polkadot/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for vdot used to compute the liquidation threshold is: 1.0204081632653061 +DEBUG:root:Partial analytical VaR (before risk adjustment) for vdot is: -0.30139755872919416 +DEBUG:root:The analytical VaR (after risk adjustment) for vdot is: 0.6846303924453897 +DEBUG:root:Total risk adjustment for vdot used to compute the liquidation threshold is: 1.0204081632653061 +DEBUG:root:Partial historical VaR (before risk adjustment) for vdot is: -0.1978305026378142 +DEBUG:root:The historical VaR (after risk adjustment) for vdot is: 0.786126107414942 +DEBUG:root:Total risk adjustment for vdot used to compute the premium_redeem threshold is: 1.0204081632653061 +DEBUG:root:Partial analytical VaR (before risk adjustment) for vdot is: -0.2494291221443138 +DEBUG:root:The analytical VaR (after risk adjustment) for vdot is: 0.7355594602985724 +DEBUG:root:Total risk adjustment for vdot used to compute the premium_redeem threshold is: 1.0204081632653061 +DEBUG:root:Partial historical VaR (before risk adjustment) for vdot is: -0.21105438372879537 +DEBUG:root:The historical VaR (after risk adjustment) for vdot is: 0.7731667039457806 +DEBUG:root:Total risk adjustment for vdot used to compute the safe_mint threshold is: 1.0204081632653061 +DEBUG:root:Partial analytical VaR (before risk adjustment) for vdot is: -0.17505669488315911 +DEBUG:root:The analytical VaR (after risk adjustment) for vdot is: 0.808444439014504 +DEBUG:root:Total risk adjustment for vdot used to compute the safe_mint threshold is: 1.0204081632653061 +DEBUG:root:Partial historical VaR (before risk adjustment) for vdot is: -0.15190361151510823 +DEBUG:root:The historical VaR (after risk adjustment) for vdot is: 0.8311344607151939 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.05092906785318274 +DEBUG:root:The summed increments for the historical liquidation threshold are: -0.012959403469161468 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.12381404656911432 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: 0.04500835330025188 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.3153696075546103 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.21387389258505796 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of vdot/usd over 21 days is: 105.366% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of vdot/usd over 21 days is: 98.721% +INFO:root:The suggested liquidation threshold is 110% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of vdot/usd over 14 days is: 114.131% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of vdot/usd over 14 days is: 104.713% +INFO:root:The suggested premium_redeem threshold is 115% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of vdot/usd over 7 days is: 146.064% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of vdot/usd over 7 days is: 127.206% +INFO:root:The suggested safe_mint threshold is 150% +INFO:root:Date of the analysis: 2024-02-20 22:12:54.596238 +INFO:root:==================================================================== +INFO:root:Start running the collateral analysis with the following parameters: +INFO:root: + Debt currency: usd + Confidence level (alpha): 99.0% + Number of path simulations: 100000 + Historical sample period: 365 + Threshold period in days: + Safe Mint: 21 + Premium Redeem: 14 + Liquidations: 7 + +INFO:root:==================================================================== +INFO:root:Start analysing ibtc... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/interlay-btc/market_chart?vs_currency=usd&days=365 HTTP/1.1" 404 None +INFO:root:Error 'prices': could not get price data... +INFO:root:No sufficient historic prices for ibtc/usd +INFO:root:Trying to get prices for btc/usd as proxy pair +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/bitcoin/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for ibtc used to compute the liquidation threshold is: 1.0526315789473684 +DEBUG:root:Partial analytical VaR (before risk adjustment) for ibtc is: -0.1937696373577975 +DEBUG:root:The analytical VaR (after risk adjustment) for ibtc is: 0.7659188445100924 +DEBUG:root:Total risk adjustment for ibtc used to compute the liquidation threshold is: 1.0526315789473684 +DEBUG:root:Partial historical VaR (before risk adjustment) for ibtc is: -0.11882896371074858 +DEBUG:root:The historical VaR (after risk adjustment) for ibtc is: 0.8371124844747889 +DEBUG:root:Total risk adjustment for ibtc used to compute the premium_redeem threshold is: 1.0526315789473684 +DEBUG:root:Partial analytical VaR (before risk adjustment) for ibtc is: -0.16236502006098286 +DEBUG:root:The analytical VaR (after risk adjustment) for ibtc is: 0.7957532309420663 +DEBUG:root:Total risk adjustment for ibtc used to compute the premium_redeem threshold is: 1.0526315789473684 +DEBUG:root:Partial historical VaR (before risk adjustment) for ibtc is: -0.1376693905265829 +DEBUG:root:The historical VaR (after risk adjustment) for ibtc is: 0.8192140789997463 +DEBUG:root:Total risk adjustment for ibtc used to compute the safe_mint threshold is: 1.0526315789473684 +DEBUG:root:Partial analytical VaR (before risk adjustment) for ibtc is: -0.11592673585443447 +DEBUG:root:The analytical VaR (after risk adjustment) for ibtc is: 0.8398696009382873 +DEBUG:root:Total risk adjustment for ibtc used to compute the safe_mint threshold is: 1.0526315789473684 +DEBUG:root:Partial historical VaR (before risk adjustment) for ibtc is: -0.11161616832518595 +DEBUG:root:The historical VaR (after risk adjustment) for ibtc is: 0.8439646400910734 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.02983438643197389 +DEBUG:root:The summed increments for the historical liquidation threshold are: -0.017898405475042622 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.07395075642819493 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: 0.006852155616284494 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.2340811554899076 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.16288751552521108 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of ibtc/usd over 21 days is: 103.075% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of ibtc/usd over 21 days is: 98.242% +INFO:root:The suggested liquidation threshold is 105% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of ibtc/usd over 14 days is: 107.986% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of ibtc/usd over 14 days is: 100.69% +INFO:root:The suggested premium_redeem threshold is 110% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of ibtc/usd over 7 days is: 130.562% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of ibtc/usd over 7 days is: 119.458% +INFO:root:The suggested safe_mint threshold is 135% +INFO:root:Start analysing dot... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/polkadot/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for dot used to compute the liquidation threshold is: 1.0 +DEBUG:root:Partial analytical VaR (before risk adjustment) for dot is: -0.30044135964240093 +DEBUG:root:The analytical VaR (after risk adjustment) for dot is: 0.6995586403575991 +DEBUG:root:Total risk adjustment for dot used to compute the liquidation threshold is: 1.0 +DEBUG:root:Partial historical VaR (before risk adjustment) for dot is: -0.1978305026378142 +DEBUG:root:The historical VaR (after risk adjustment) for dot is: 0.8021694973621858 +DEBUG:root:Total risk adjustment for dot used to compute the premium_redeem threshold is: 1.0 +DEBUG:root:Partial analytical VaR (before risk adjustment) for dot is: -0.24802024429334169 +DEBUG:root:The analytical VaR (after risk adjustment) for dot is: 0.7519797557066583 +DEBUG:root:Total risk adjustment for dot used to compute the premium_redeem threshold is: 1.0 +DEBUG:root:Partial historical VaR (before risk adjustment) for dot is: -0.21105438372879537 +DEBUG:root:The historical VaR (after risk adjustment) for dot is: 0.7889456162712046 +DEBUG:root:Total risk adjustment for dot used to compute the safe_mint threshold is: 1.0 +DEBUG:root:Partial analytical VaR (before risk adjustment) for dot is: -0.17456316026120822 +DEBUG:root:The analytical VaR (after risk adjustment) for dot is: 0.8254368397387918 +DEBUG:root:Total risk adjustment for dot used to compute the safe_mint threshold is: 1.0 +DEBUG:root:Partial historical VaR (before risk adjustment) for dot is: -0.15190361151510823 +DEBUG:root:The historical VaR (after risk adjustment) for dot is: 0.8480963884848918 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.052421115349059244 +DEBUG:root:The summed increments for the historical liquidation threshold are: -0.01322388109098116 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.1258781993811927 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: 0.04592689112270598 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.30044135964240093 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.1978305026378142 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of dot/usd over 21 days is: 105.532% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of dot/usd over 21 days is: 98.695% +INFO:root:The suggested liquidation threshold is 110% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of dot/usd over 14 days is: 114.401% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of dot/usd over 14 days is: 104.814% +INFO:root:The suggested premium_redeem threshold is 115% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of dot/usd over 7 days is: 142.947% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of dot/usd over 7 days is: 124.662% +INFO:root:The suggested safe_mint threshold is 145% +INFO:root:Start analysing hdx... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/hydradx/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for hdx used to compute the liquidation threshold is: 1.0204081632653061 +DEBUG:root:Partial analytical VaR (before risk adjustment) for hdx is: -0.4506016571936412 +DEBUG:root:The analytical VaR (after risk adjustment) for hdx is: 0.5384103759502316 +DEBUG:root:Total risk adjustment for hdx used to compute the liquidation threshold is: 1.0204081632653061 +DEBUG:root:Partial historical VaR (before risk adjustment) for hdx is: -0.37461960425130747 +DEBUG:root:The historical VaR (after risk adjustment) for hdx is: 0.6128727878337187 +DEBUG:root:Total risk adjustment for hdx used to compute the premium_redeem threshold is: 1.0204081632653061 +DEBUG:root:Partial analytical VaR (before risk adjustment) for hdx is: -0.3840156215808155 +DEBUG:root:The analytical VaR (after risk adjustment) for hdx is: 0.6036646908508008 +DEBUG:root:Total risk adjustment for hdx used to compute the premium_redeem threshold is: 1.0204081632653061 +DEBUG:root:Partial historical VaR (before risk adjustment) for hdx is: -0.31097102965166856 +DEBUG:root:The historical VaR (after risk adjustment) for hdx is: 0.6752483909413648 +DEBUG:root:Total risk adjustment for hdx used to compute the safe_mint threshold is: 1.0204081632653061 +DEBUG:root:Partial analytical VaR (before risk adjustment) for hdx is: -0.28101142463881834 +DEBUG:root:The analytical VaR (after risk adjustment) for hdx is: 0.704608803853958 +DEBUG:root:Total risk adjustment for hdx used to compute the safe_mint threshold is: 1.0204081632653061 +DEBUG:root:Partial historical VaR (before risk adjustment) for hdx is: -0.2573187766134952 +DEBUG:root:The historical VaR (after risk adjustment) for hdx is: 0.7278275989187747 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.06525431490056921 +DEBUG:root:The summed increments for the historical liquidation threshold are: 0.062375603107646116 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.1661984279037264 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: 0.11495481108505601 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.46158962404976844 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.3871272121662813 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of hdx/usd over 21 days is: 106.981% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of hdx/usd over 21 days is: 106.653% +INFO:root:The suggested liquidation threshold is 110% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of hdx/usd over 14 days is: 119.933% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of hdx/usd over 14 days is: 112.989% +INFO:root:The suggested premium_redeem threshold is 120% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of hdx/usd over 7 days is: 185.732% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of hdx/usd over 7 days is: 163.166% +INFO:root:The suggested safe_mint threshold is 190% +INFO:root:Start analysing usdt... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/tether/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for usdt used to compute the liquidation threshold is: 1.0869565217391304 +DEBUG:root:Partial analytical VaR (before risk adjustment) for usdt is: -0.012306166295299348 +DEBUG:root:The analytical VaR (after risk adjustment) for usdt is: 0.9086783270083246 +DEBUG:root:Total risk adjustment for usdt used to compute the liquidation threshold is: 1.0869565217391304 +DEBUG:root:Partial historical VaR (before risk adjustment) for usdt is: -0.006322530539417892 +DEBUG:root:The historical VaR (after risk adjustment) for usdt is: 0.9141832719037356 +DEBUG:root:Total risk adjustment for usdt used to compute the premium_redeem threshold is: 1.0869565217391304 +DEBUG:root:Partial analytical VaR (before risk adjustment) for usdt is: -0.009824120335971354 +DEBUG:root:The analytical VaR (after risk adjustment) for usdt is: 0.9109618092909064 +DEBUG:root:Total risk adjustment for usdt used to compute the premium_redeem threshold is: 1.0869565217391304 +DEBUG:root:Partial historical VaR (before risk adjustment) for usdt is: -0.006270676776963469 +DEBUG:root:The historical VaR (after risk adjustment) for usdt is: 0.9142309773651937 +DEBUG:root:Total risk adjustment for usdt used to compute the safe_mint threshold is: 1.0869565217391304 +DEBUG:root:Partial analytical VaR (before risk adjustment) for usdt is: -0.006570394469582297 +DEBUG:root:The analytical VaR (after risk adjustment) for usdt is: 0.9139552370879843 +DEBUG:root:Total risk adjustment for usdt used to compute the safe_mint threshold is: 1.0869565217391304 +DEBUG:root:Partial historical VaR (before risk adjustment) for usdt is: -0.0058299370227856695 +DEBUG:root:The historical VaR (after risk adjustment) for usdt is: 0.9146364579390373 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.0022834822825817946 +DEBUG:root:The summed increments for the historical liquidation threshold are: 4.770546145804744e-05 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.005276910079659691 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: 0.0004531860353016448 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.09132167299167537 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.0858167280962644 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of usdt/usd over 21 days is: 100.229% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of usdt/usd over 21 days is: 100.005% +INFO:root:The suggested liquidation threshold is 105% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of usdt/usd over 14 days is: 100.53% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of usdt/usd over 14 days is: 100.045% +INFO:root:The suggested premium_redeem threshold is 105% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of usdt/usd over 7 days is: 110.05% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of usdt/usd over 7 days is: 109.387% +INFO:root:The suggested safe_mint threshold is 115% +INFO:root:Start analysing usdc... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/usd-coin/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for usdc used to compute the liquidation threshold is: 1.1494252873563218 +DEBUG:root:Partial analytical VaR (before risk adjustment) for usdc is: -0.027055683484981996 +DEBUG:root:The analytical VaR (after risk adjustment) for usdc is: 0.8464615553680657 +DEBUG:root:Total risk adjustment for usdc used to compute the liquidation threshold is: 1.1494252873563218 +DEBUG:root:Partial historical VaR (before risk adjustment) for usdc is: -0.004435118661283988 +DEBUG:root:The historical VaR (after risk adjustment) for usdc is: 0.866141446764683 +DEBUG:root:Total risk adjustment for usdc used to compute the premium_redeem threshold is: 1.1494252873563218 +DEBUG:root:Partial analytical VaR (before risk adjustment) for usdc is: -0.02165812673846923 +DEBUG:root:The analytical VaR (after risk adjustment) for usdc is: 0.8511574297375318 +DEBUG:root:Total risk adjustment for usdc used to compute the premium_redeem threshold is: 1.1494252873563218 +DEBUG:root:Partial historical VaR (before risk adjustment) for usdc is: -0.0063967016715404945 +DEBUG:root:The historical VaR (after risk adjustment) for usdc is: 0.8644348695457599 +DEBUG:root:Total risk adjustment for usdc used to compute the safe_mint threshold is: 1.1494252873563218 +DEBUG:root:Partial analytical VaR (before risk adjustment) for usdc is: -0.01443369488479418 +DEBUG:root:The analytical VaR (after risk adjustment) for usdc is: 0.8574426854502292 +DEBUG:root:Total risk adjustment for usdc used to compute the safe_mint threshold is: 1.1494252873563218 +DEBUG:root:Partial historical VaR (before risk adjustment) for usdc is: -0.006003028282976608 +DEBUG:root:The historical VaR (after risk adjustment) for usdc is: 0.8647773653938104 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.004695874369466169 +DEBUG:root:The summed increments for the historical liquidation threshold are: -0.0017065772189230888 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.010981130082163504 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: -0.0013640813708725164 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.15353844463193433 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.13385855323531703 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of usdc/usd over 21 days is: 100.472% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of usdc/usd over 21 days is: 99.83% +INFO:root:The suggested liquidation threshold is 105% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of usdc/usd over 14 days is: 101.11% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of usdc/usd over 14 days is: 99.864% +INFO:root:The suggested premium_redeem threshold is 105% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of usdc/usd over 7 days is: 118.139% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of usdc/usd over 7 days is: 115.455% +INFO:root:The suggested safe_mint threshold is 120% +INFO:root:Start analysing glmr... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/moonbeam/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for glmr used to compute the liquidation threshold is: 1.0 +DEBUG:root:Partial analytical VaR (before risk adjustment) for glmr is: -0.421823412957963 +DEBUG:root:The analytical VaR (after risk adjustment) for glmr is: 0.578176587042037 +DEBUG:root:Total risk adjustment for glmr used to compute the liquidation threshold is: 1.0 +DEBUG:root:Partial historical VaR (before risk adjustment) for glmr is: -0.2829492659817744 +DEBUG:root:The historical VaR (after risk adjustment) for glmr is: 0.7170507340182256 +DEBUG:root:Total risk adjustment for glmr used to compute the premium_redeem threshold is: 1.0 +DEBUG:root:Partial analytical VaR (before risk adjustment) for glmr is: -0.35496456116035613 +DEBUG:root:The analytical VaR (after risk adjustment) for glmr is: 0.6450354388396439 +DEBUG:root:Total risk adjustment for glmr used to compute the premium_redeem threshold is: 1.0 +DEBUG:root:Partial historical VaR (before risk adjustment) for glmr is: -0.26803352498190436 +DEBUG:root:The historical VaR (after risk adjustment) for glmr is: 0.7319664750180956 +DEBUG:root:Total risk adjustment for glmr used to compute the safe_mint threshold is: 1.0 +DEBUG:root:Partial analytical VaR (before risk adjustment) for glmr is: -0.2528409813958784 +DEBUG:root:The analytical VaR (after risk adjustment) for glmr is: 0.7471590186041216 +DEBUG:root:Total risk adjustment for glmr used to compute the safe_mint threshold is: 1.0 +DEBUG:root:Partial historical VaR (before risk adjustment) for glmr is: -0.1880187287878099 +DEBUG:root:The historical VaR (after risk adjustment) for glmr is: 0.8119812712121901 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.06685885179760687 +DEBUG:root:The summed increments for the historical liquidation threshold are: 0.01491574099987003 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.1689824315620846 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: 0.09493053719396449 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.421823412957963 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.2829492659817744 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of glmr/usd over 21 days is: 107.165% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of glmr/usd over 21 days is: 101.514% +INFO:root:The suggested liquidation threshold is 110% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of glmr/usd over 14 days is: 120.334% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of glmr/usd over 14 days is: 110.489% +INFO:root:The suggested premium_redeem threshold is 125% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of glmr/usd over 7 days is: 172.958% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of glmr/usd over 7 days is: 139.46% +INFO:root:The suggested safe_mint threshold is 175% +INFO:root:Start analysing vdot... +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/voucher-dot/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +INFO:root:No sufficient historic prices for vdot/usd +INFO:root:Trying to get prices for dot/usd as proxy pair +DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): api.coingecko.com:443 +DEBUG:urllib3.connectionpool:https://api.coingecko.com:443 "GET /api/v3/coins/polkadot/market_chart?vs_currency=usd&days=365 HTTP/1.1" 200 None +DEBUG:root:Total risk adjustment for vdot used to compute the liquidation threshold is: 1.0204081632653061 +DEBUG:root:Partial analytical VaR (before risk adjustment) for vdot is: -0.30111393603797476 +DEBUG:root:The analytical VaR (after risk adjustment) for vdot is: 0.6849083426827847 +DEBUG:root:Total risk adjustment for vdot used to compute the liquidation threshold is: 1.0204081632653061 +DEBUG:root:Partial historical VaR (before risk adjustment) for vdot is: -0.1978305026378142 +DEBUG:root:The historical VaR (after risk adjustment) for vdot is: 0.786126107414942 +DEBUG:root:Total risk adjustment for vdot used to compute the premium_redeem threshold is: 1.0204081632653061 +DEBUG:root:Partial analytical VaR (before risk adjustment) for vdot is: -0.24884742304560503 +DEBUG:root:The analytical VaR (after risk adjustment) for vdot is: 0.7361295254153071 +DEBUG:root:Total risk adjustment for vdot used to compute the premium_redeem threshold is: 1.0204081632653061 +DEBUG:root:Partial historical VaR (before risk adjustment) for vdot is: -0.21105438372879537 +DEBUG:root:The historical VaR (after risk adjustment) for vdot is: 0.7731667039457806 +DEBUG:root:Total risk adjustment for vdot used to compute the safe_mint threshold is: 1.0204081632653061 +DEBUG:root:Partial analytical VaR (before risk adjustment) for vdot is: -0.17527355170362857 +DEBUG:root:The analytical VaR (after risk adjustment) for vdot is: 0.808231919330444 +DEBUG:root:Total risk adjustment for vdot used to compute the safe_mint threshold is: 1.0204081632653061 +DEBUG:root:Partial historical VaR (before risk adjustment) for vdot is: -0.15190361151510823 +DEBUG:root:The historical VaR (after risk adjustment) for vdot is: 0.8311344607151939 +DEBUG:root:The summed increments for the analytical liquidation threshold are: 0.05122118273252241 +DEBUG:root:The summed increments for the historical liquidation threshold are: -0.012959403469161468 +DEBUG:root:The summed increments for the analytical premium_redeem threshold are: 0.12332357664765936 +DEBUG:root:The summed increments for the historical premium_redeem threshold are: 0.04500835330025188 +DEBUG:root:The summed increments for the analytical safe_mint threshold are: 0.31509165731721533 +DEBUG:root:The summed increments for the historical safe_mint threshold are: 0.21387389258505796 +DEBUG:root:The liquidation threshold based on the analytical VaR for a confidence level of 99.0% of vdot/usd over 21 days is: 105.399% +DEBUG:root:The liquidation threshold based on the historic VaR for a confidence level of 99.0% of vdot/usd over 21 days is: 98.721% +INFO:root:The suggested liquidation threshold is 110% +DEBUG:root:The premium_redeem threshold based on the analytical VaR for a confidence level of 99.0% of vdot/usd over 14 days is: 114.067% +DEBUG:root:The premium_redeem threshold based on the historic VaR for a confidence level of 99.0% of vdot/usd over 14 days is: 104.713% +INFO:root:The suggested premium_redeem threshold is 115% +DEBUG:root:The safe_mint threshold based on the analytical VaR for a confidence level of 99.0% of vdot/usd over 7 days is: 146.005% +DEBUG:root:The safe_mint threshold based on the historic VaR for a confidence level of 99.0% of vdot/usd over 7 days is: 127.206% +INFO:root:The suggested safe_mint threshold is 150% diff --git a/config.yaml b/config.yaml index 67f8646..5a83c74 100644 --- a/config.yaml +++ b/config.yaml @@ -26,6 +26,12 @@ collateral: liquidity_adjustment: 0 depeg_adjustment: 0 supply_cap: 2_450_000 + hdx: + name: "hydradx" + risk_adjustment: + liquidity_adjustment: 0.02 + depeg_adjustment: 0 + supply_cap: 10_000_000 usdt: name: "tether" risk_adjustment: