Zaros Part 1

Summary

Incorrect calculation of funding velocity for both positive and negative market skews.

Vulnerability Details

The unary function typically returns the negative of its input. So unary(SD_UNIT) is equivalent to -1 in the context of SD59x18 numbers.

• The intention seems to be to bound the proportionalSkew between -1 and 1, but the current implementation bounds it between -1 and 1 for positive values, and between 1 and 1 for negative values.

• This means that for any negative proportionalSkew, the function will always return SD_UNIT (which is 1 in SD59x18 format), leading to incorrect funding velocity calculations for markets with negative skew.

• The lower bound should be negative one (-SD_UNIT) instead of unary(SD_UNIT)

Impact

Incorrect funding velocity calculations for markets with negative skew.

Tools Used

Manual Review

Recommendations

SD59x18 proportionalSkewBounded = Math.min(Math.max(SD_UNIT.neg(), proportionalSkew), SD_UNIT);

OR

SD59x18 proportionalSkewBounded = Math.min(Math.max(unary(SD_UNIT), proportionalSkew), SD_UNIT);