01
Vault Share Pricing
Each vault is an ERC-4626 tokenized vault. Shares are minted proportionally to the assets deposited. The share price evolves as the vault earns yield from pool fees and router spreads.
$$\text{shares} = \frac{\text{assets} \times \text{totalSupply}}{\text{totalAssets}}$$
When you deposit a assets into a vault with T total assets and S total shares, you receive shares proportional to your contribution. As the vault earns yield, totalAssets grows while totalSupply stays fixed — so each share becomes redeemable for more assets.
02
Atomic Routing
The router executes two legs atomically: sourcing stock inventory, then executing the token purchase. It compares the vault buffer spread against external pool fees to find the optimal path.
$$\text{output} = \min\left(\frac{\text{input} \times (1 - s_v)}{p_s}, \frac{\text{input} \times (1 - f_p)}{p_p}\right)^{-1}$$
Where sv is the vault spread, fp is the pool fee, ps is the stock price, and pp is the pool price. The router selects the path maximizing output tokens. Unused input is returned — the transaction either completes fully or reverts.
INPUT
→
SOURCE
→
EXECUTE
→
DELIVER
03
Gap Pricing
When equity markets close, onchain inventory carries overnight risk. Gap markets price this as the percentage move between the closing reference and the reopening reference.
$$\text{gap}_{\text{bps}} = \frac{P_{\text{open}} - P_{\text{close}}}{P_{\text{close}}} \times 10{,}000$$
The oracle computes a time-weighted average price (TWAP) over the closing window (30 min) and reopening window (15 min) using registered price adapters. The median across adapters is used to resist single-source manipulation.
$$\text{TWAP} = \frac{\sum_{i} P_i \times \Delta t_i}{\sum_{i} \Delta t_i}$$
04
Automatic Hedging
Vaults automatically hedge a governance-set ratio of their gap exposure. The hedger opens protection proportional to vault inventory before the market closes.
$$\text{hedge}_{\text{size}} = \text{inventory} \times \rho$$
Where ρ (rho) is the hedge ratio in basis points (currently 5,000 = 50%). When the gap resolves, the payout offsets vault losses:
$$\text{payout} = \text{hedge}_{\text{size}} \times \frac{\text{gap}_{\text{bps}}}{10{,}000}$$
A negative gap (price drops overnight) triggers a positive payout to the vault, cushioning the loss. The hedge is not free — its cost is the market price of protection.
05
Tranche Waterfall
Each vault issues senior and junior tranches. Senior holders receive a fixed coupon first; junior holders receive residual yield but absorb losses first.
$$Y_{\text{senior}} = \min(Y_{\text{total}}, C \times A_{\text{senior}})$$
$$Y_{\text{junior}} = Y_{\text{total}} - Y_{\text{senior}} - F_{\text{perf}}$$
Where Y is yield, C is the senior coupon rate, A is senior assets, and Fperf is the performance fee. In a loss scenario, junior capital is depleted before senior is touched:
$$L_{\text{junior}} = \min(L_{\text{total}}, A_{\text{junior}}) \quad ; \quad L_{\text{senior}} = L_{\text{total}} - L_{\text{junior}}$$
06
Session-Aware Deployment
Vault inventory deployment adjusts to the equity market session. During regular hours, tight ranges capture maximum fees. When markets close, inventory withdraws to idle or widens ranges.
$$D(s) = D_{\max} \times \alpha(s)$$
Where D(s) is the deployed fraction in session s, Dmax is the maximum deployment, and α(s) is the session multiplier:
$$\alpha = \begin{cases} 1.0 & \text{regular} \\ 0.7 & \text{extended} \\ 0.4 & \text{overnight} \\ 0.15 & \text{closed} \end{cases}$$
The SessionEngine tracks real market hours. DeploymentPolicy reads the current session and adjusts pool ranges accordingly — all onchain, all automatic.
