Created
June 10, 2020 13:52
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Preview of RatioFactor for Balancer pools (just add the pool weights to the assetWeights list)
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assetWeights = [ [ 0.5, 0.5 ] ] | |
assetWeights.append([ 0.6, 0.4 ]) | |
assetWeights.append([ 0.75, 0.25 ]) | |
assetWeights.append([ 0.8, 0.2 ]) | |
assetWeights.append([ 0.9, 0.1 ]) | |
assetWeights.append([ 0.98, 0.02 ]) | |
assetWeights.append([ 1.0/3.0, 1.0/3.0, 1.0/3.0 ]) | |
assetWeights.append([ 0.25, 0.25, 0.25, 0.25 ]) | |
assetWeights.append([ 0.2, 0.2, 0.2, 0.2, 0.2 ]) | |
assetWeights.append([ 0.49, 0.49, 0.02 ]) | |
assetWeights.append([ 0.45, 0.45, 0.1 ]) | |
assetWeights.append([ 0.4, 0.4, 0.2 ]) | |
assetWeights.append([ 0.4, 0.3, 0.3 ]) | |
assetWeights.append([ 0, 0.3, 0.3 ]) | |
assetWeights.append([ 0.4, 0.1, 0 ]) | |
assetWeights.append([ 0.2, 0.2, 0, 0.2, 0 ]) | |
assetWeights.append([ 0.9, 0.1 ]) | |
assetWeights.append([ 0.15, 0.15, 0.7 ]) | |
for assetWeight in assetWeights: | |
ratioFactorSum = 0 | |
pairWeightSum = 0 | |
n = len(assetWeight) | |
for i in range(0, n): | |
if assetWeight[i] != 0: | |
for j in range(i+1, n): | |
pairWeight = assetWeight[i] * assetWeight[j] | |
normalizedWeight1 = assetWeight[i] / (assetWeight[i] + assetWeight[j]) | |
normalizedWeight2 = assetWeight[j] / (assetWeight[i] + assetWeight[j]) | |
ratioFactorSum += (4 * normalizedWeight1 * normalizedWeight2) * pairWeight | |
pairWeightSum += pairWeight | |
ratioFactor = ratioFactorSum / pairWeightSum | |
print(str(assetWeight)+ ' => ' + str(round(ratioFactor,4))) |
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