93 lines
2.5 KiB
JSON
93 lines
2.5 KiB
JSON
{
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"$schema": "https://json-schema.org/draft/2020-12/schema",
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"description": "Simulation-only capital efficiency policy for Chain 138/cW PMM treasury risk modeling. This is not a live leverage or mint/redemption contract configuration.",
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"version": "1.0.0",
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"updated": "2026-04-27",
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"defaults": {
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"paths": 1000,
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"epochs": 365,
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"seed": 138001,
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"initialCapital": 1000000,
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"alpha": 0.7,
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"leverage": 2,
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"spreadBps": 35,
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"volumeEfficiency": 2,
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"pmmK": 0.1,
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"liquidityTargetUnits": 1000000
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},
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"parameterBands": {
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"alphaBalanced": [0.65, 0.75],
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"alphaYieldDominant": [0.75, 0.9],
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"leverageSafe": [1, 1],
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"leverageTarget": [2, 3],
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"leverageUnstableAbove": 4,
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"spreadCompetitiveBps": 10,
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"spreadTargetBps": [30, 50],
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"spreadVolumeRiskCeilingBps": 100,
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"volumeEfficiencyPassive": 1,
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"volumeEfficiencyActive": [2, 4],
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"volumeEfficiencyHighlyOptimizedAbove": 5
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},
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"treasury": {
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"yieldRatePerEpoch": 0.00035,
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"volatilityDragLambda": 0.35,
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"marketMakingScale": 0.04
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},
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"volatilityProcess": {
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"sigma0": 0.03,
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"sigmaBar": 0.03,
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"kappa": 0.08,
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"eta": 0.01
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},
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"pegDynamics": {
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"p0": 1,
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"beta": 0.25,
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"imbalanceStd": 0.01,
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"arbLiquidityCoefficient": 0.65
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},
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"risk": {
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"minExternalLiquidityPct": 0.2,
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"maxLtvBps": 6500,
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"hardMaxLtvBps": 7500,
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"liquidationLtvBps": 8000,
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"hardMaxLeverage": 4,
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"liquidationLossFraction": 0.08,
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"sigmaCrit": 0.08,
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"throttleLeverageMultiplier": 0.7,
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"throttleAlphaMultiplier": 0.9,
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"throttleSpreadBps": 50,
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"maxSpreadBps": 100,
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"circuitBreakerSpreadBps": 100,
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"pegCircuitBreakerBps": 200,
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"collateralVolatilityHaircut": 0.5,
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"bankRunRedemptionFeeBps": 100
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},
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"gates": {
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"maxDeployableLeverage": 3,
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"maxLiquidationProbability": 0.02,
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"maxDrawdownP95": 0.25,
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"maxPegDeviationFrequency": 0.05,
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"maxExternalLiquidityFloorViolations": 0
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},
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"optimizer": {
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"paths": 250,
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"maxCandidates": 250,
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"topN": 10
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},
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"liveExecutionGuard": {
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"status": "simulation_only",
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"requiresBeforeContractWork": [
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"smart_contract_audit_engagement",
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"governance_approval",
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"risk_dashboard",
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"operator_runbook",
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"treasury_liquidity_commitments"
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],
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"auditEngagementEvidence": null,
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"governanceApprovalEvidence": null,
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"riskDashboardEvidence": null,
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"operatorRunbookEvidence": null,
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"treasuryLiquidityCommitmentEvidence": null
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}
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}
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