predict: value knocked-out orders at liquidated worth in the NAV correction (DBU-605)#1153
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… (DBU-605) The pool flush's NAV mark previously carried liquidatable-but-unswept leveraged orders (gross in (floor, floor/ltv]) at holder value, understating recoverable value by up to the LTV buffer and diluting incumbent LPs on a same-flush supply (open-item P-10, previously accept-and-disclose). The flush valuation lane now enforces the mark invariant directly: every active leveraged order at or below its knock-out threshold at the valuation prices is liquidated in the same pass, so the mark never prices a claim the protocol would not honor. - liquidation_book: is_under_liquidation_floor (single-sourced knock-out test) and scan_compact — one fused visit of the active leveraged book that accumulates the survivor floor correction and compacts killed orders out in place, preserving page sort order. - strike_payout_tree: walk_linear_cached — re-walks the pruned tree reading prices from the flush's memo (no re-pricing), with exactly walk_linear's rounding and clamp. - pricing: cached_up_price promoted to package visibility for the re-walk; the finite-tick miss-abort is unchanged. - strike_exposure: revalue_with_liquidations (walk -> scan -> settle each kill via the extracted settle_liquidation shared with the close flow and ambient sweep -> cached re-walk), returning the main-style clamped liability. Zero-kill books return the first walk directly, bit-identical to exact_live_liability. - expiry_market: package-only current_nav_with_liquidations mirrors current_nav over the liquidating liability; public current_nav unchanged. - plp: value_expiry switches to the liquidating lane; quotes and devInspect reads stay on current_nav. Docs: response-policies RP-17 (resolves P-10), P-10 removed from open-items, risks.md updated to the enforced-exactness framing. Tests: unit boundary pins on scan_compact (exact-threshold kill, one-unit survivor, correction_value equivalence, page compaction), walk_linear_cached bit-identity/prune/miss-abort/clamp pins, and flow pins for kill-during-flush (mark exclusion, book+tree removal, events, Liquidated holder close), zero-liquidatable bit-identity with current_nav, and 1x immunity. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_013eRQH66BjxwTdajJ4qnbem
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_013eRQH66BjxwTdajJ4qnbem
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…ection (DBU-605) The pool flush marks each expiry market's NAV from one frozen value that fills both LP supply and withdraw queues. A leveraged order at or below its knock-out threshold (gross <= floor/ltv) will be liquidated by the ambient sweep and then owes nothing above its separately reserved floor, but the live NAV valuation was still marking it at holder value (range_value - floor) — a conservative band (P-10) that understates recoverable value and dilutes incumbent LPs on a same-flush supply. Value the knock-out at its liquidated worth directly in the existing read-only NAV correction: liquidation_book::correction_value now credits a knocked-out order's full range_value (the same threshold the close flow and ambient sweep apply) instead of the min(range_value, floor) floor cap, so its live liability marks at zero. current_nav — and the flush through plp::value_expiry — inherit the fix; valuation stays a pure read, and the order is liquidated by the ambient sweep on its own cadence rather than mutated in the valuation pass. A book with zero knocked-out orders is unchanged. Resolves P-10 via response-policies RP-17. Supersedes the earlier liquidate-during-flush approach (scan_compact / settle_liquidation / walk_linear_cached), which mutated the book inside the valuation pass; the read-only correction produces the same NAV within the accepted P-13 boundary-aggregation residual, with no tree mutation, event, or per-flush kill pass. Predict build warning-strict green; 438/438 tests; predeploy check.py clean. Follow-up: a band-case unit pin on a high-variance surface, and the flush gas measurement. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_013eRQH66BjxwTdajJ4qnbem
0xaslan
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…loy open items compute_nd2 forms the SVI variance increment as mul(b, inner) = (b·inner)/1e9, truncating the sub-unit fraction. At the low total variance of short-dated markets that fraction is a material share of total variance, biasing total_var down and mispricing the digital up_price (one-minute worst 1.12%, five-minute — the dominant cadence — worst 3.28%, measured vs a 30-digit reference on real Block Scholes surfaces). up_price feeds entry price, the NAV mark, and liquidation thresholds. Not covered by the R1–R3 rounding policy or the pricing-safe input envelope. The fix (carry variance/sqrt(w)/d2 at u128/1e18) lands as the PR stacked on this one. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_013eRQH66BjxwTdajJ4qnbem
…review items Ratify the accepted accuracy ceilings — a contract price within 0.1% of true, a produced NAV within 1% — as a response-policy, enforced by the independent- reference tests (pricing reference for price, current_nav_flow oracle for NAV), and reframe open item P-14 as a breach of the 0.1% price bound on short-dated surfaces that went undetected because the reference dataset lacks short-dated scenarios. Review fixes: - Band regression: current_nav_flow_tests::knocked_out_leveraged_order_marks_at_ liquidated_value prices a leveraged order into the knock-out band (floor, floor/ltv] on a high-variance surface and asserts current_nav credits it to zero live liability. reference_nav becomes a knock-out-aware independent oracle, modelling the read-only correction rather than the old floor-capped liability. - risks.md: the flush marks knocked-out orders at their liquidated worth in a read-only correction; the ambient sweep performs the liquidation. No longer claims in-pass mutation. - Move formatting: ran the pinned prettier-move (printWidth 100). Predict build warning-strict green; 439/439 tests; predeploy check.py clean. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_013eRQH66BjxwTdajJ4qnbem
…per line) prettier-move breaks the `exposure.liquidation.correction_value(...)` chain onto one segment per line when it exceeds printWidth 100. Matches CI's format:move:check. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_013eRQH66BjxwTdajJ4qnbem
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pei-mysten
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Jul 22, 2026
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Summary
gross <= floor / liquidation_ltv) is liquidated by the ambient sweep and owes nothing above its reserved floor, but the live valuation still marked it at holder value (range_value - floor) — P-10's conservative band.liquidation_book::correction_valuenow credits a knocked-out order's fullrange_valueinstead of themin(range_value, floor)floor cap, so its live liability marks at zero.current_navand the flush (plp::value_expiry) inherit it; valuation stays a pure read and the ambient sweep still performs the liquidation. Resolves P-10 via RP-17.up_pricebreaches the 0.1% bound; the fix lands in the stacked precision PR.Why
Key decisions
current_nav(quotes / devInspect) is knock-out-aware too — one NAV definition everywhere, no wrapper.current_nav_floworacle), not model judgment; the pricing reference must be extended to short-dated scenarios (P-14) or the bound is unenforced where1/sqrt(w)conditioning makes it tightest.Test plan
--warnings-are-errorsknocked_out_leveraged_order_marks_at_liquidated_value) verified against a knock-out-aware independent oraclepredeploy/check.pycleanprettier-move, printWidth 100)🤖 Generated with Claude Code
https://claude.ai/code/session_013eRQH66BjxwTdajJ4qnbem