Pricing Curve

The price formula is:

$$\text{price}(t) = \frac{1}{\text{rateScalar}(t)} \times \ln\left(\frac{p(t)}{1 - p(t)}\right) + \text{rateAnchor}(t)$$

• p(t) = PT proportion in the virtual pool

• rateScalar(t) = dynamic scalar that keeps the curve efficient as time passes

• rateAnchor(t) = drifting anchor that reflects the expected discount between PT and BT

• Normalized time ( t ) ranges from 0 (maturity) to 1

This curve gives extremely tight spreads even at low liquidity and perfectly reflects market implied APY.

Implied APY is calculated as:

$$Implied APY= \text{Price}(t_0)^{\frac{1}{T_{\text{yearstoexpiry}}}} - 1$$