Core Contracts

Summary

The calculateTimeWeightedAverage function in the TimeWeightedAverage library applies weights incorrectly, resulting in mathematically inaccurate time-weighted averages. The function applies weights to the value component but fails to apply corresponding weights to the duration component.

Vulnerability Details

The function applies weights to values but not to durations:

This creates a mathematical inconsistency in the final calculation:

The numerator (totalWeightedSum) includes weights while the denominator (totalDuration) does not, breaking the mathematical principles of weighted averages.

Impact

1. The function returns mathematically incorrect time-weighted averages

2. All calculations involving different weights produce wrong results

3. The error magnitude increases with greater disparity between period weights

4. Applications relying on this function receive incorrect data for decision-making

Tools Used

Manual code review

Recommendations

1. Apply weights to duration calculations:

1. Remove the 1e18 scaling factor from the final calculation as both numerator and denominator will be weighted: