Gamma Swap by Deri Protocol

Introduction

In the previous paper, we introduced a new type of derivative, Gamma Swap. As discussed, the trading of Gamma swap depends on a composite trading venue consisting of two (virtual) primitive trading venues for power perps and perpetual futures. This paper explains the implementation of such a composite trading venue by the DPMM of Deri Protocol.

Composite DPMM of Gamma Swap

And the mark price of power is:

Funding Calculation

1 unit of Gamma swap has composite funding based on the power funding and the perp funding:

Approximation Method 1

Approximation Method 2

With this approximation, the power funding component can be calculated similarly:

Summary

The previous paper introduces the concept of Gamma Swap, a new type of derivative depending on a composite trading venue consisting of two primitive trading venues for power perps and perpetual futures. This paper explains the implementation of such a composite trading venue by the DPMM of Deri Protocol. With the DPMM for Gamma Swap constructed, now we are ready to roll out a comprehensive solution for Gamm Swap.

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