02rigging
Rigging Board
Model a deposit against the carry that actually exists, and find the rate at which the position stops being worth holding.
Inputs
Every output is a model, not a quote. Live inputs are marked with their source and their age, and the assumption starts at the live trailing carry rather than at a scenario someone selected.
Deposit amount
The size to model. Nothing is deposited here.
Holding period30 days
Days to carry the position. Carry accrues over this window with its sign.
Carry assumption0.0%
Defaults to the live trailing rate when the protocol publishes one. Override it to test a regime that is not the current one, including a positive one.
Venue mixAuto
The router split is not being published right now, so Auto models a single blended rate rather than assuming a split.
Auto follows the live router split. Manual pins a share per venue to test concentration and capacity limits.
Model assumptions+
Protocol fee on funding revenue10.0%
Delta band0.50%
Assumed daily volatility5.0%
Round-trip cost per correction8 bps
Correction frequency uses the standard driftless random-walk result for crossings of a band: expected crossings over a period are the period times the square of volatility over band width. A correction resizes about the band's worth of notional, so its cost is the band times the round-trip cost.
The line is held because the modelled path is paying
Modelling
The book the model is set against
Collateral, venue split, and the deviation as it stands right now.
The figures below are read from the protocol, not modelled. They are what the inputs on the board default to, and any of them that is not being published is left out rather than filled in.
Open the full live bookReading the book