Pendle Spark Linear Discount Oracle

Overview

PendleSparkLinearDiscountOracle is a simple, deterministic feed that returns a discount factor for a given PT. The factor increases linearly as time passes and converges to 1.0 at maturity, so integrators can price PT conservatively without relying on external market data.

The contract exposes familiar read functions (latestRoundData, decimals) so money markets can plug it in like a Chainlink-compatible feed. The returned value is a multiplier in 18 decimals, not a USD price.

Please see the Choosing Linear Discount Parameters documentation for guidance on selecting appropriate linear discount parameters.

How to price PT

The oracle provides the PT price denominated in the accounting asset staked in the underlying protocol (indicated in brackets within the PT name). To convert this value to USD, you need to account for the SY-to-accounting-asset exchange rate using the PY Index.

Formula

Price of PT (USD) = (Oracle discount factor) / (PYIndex) × (Yield Token USD Price)

The yield token price can be sourced from market data or derived from exchange rate to accounting asset - the choice depends on your requirements.

Where to get the PYIndex

The PYIndex can be retrieved from the YT (Yield Token) contract:

• pyIndexCurrent(): Returns the most up-to-date PY index. This is a state-changing function.
• pyIndexStored(): Returns the cached PY index without updating. This is a view function.

See the Yield Tokenization documentation for more details on PY index behavior.

Simplified Formula

If your use case does not require accounting for yield token depeg risks, you can ignore the PYIndex and use this simplified version:

Price of PT (USD) = (Oracle discount factor) × (Accounting Asset USD Price)

Pricing Examples

• PT-kHYPE (HYPE): The oracle returns the price in HYPE staked in Kinetiq. To convert to USD:

  PT-kHYPE USD price = (Oracle discount factor) / (kHYPE PYIndex) × (kHYPE USD price)

  Assuming kHYPE can always be redeemed fully for HYPE (no exchange rate depeg), you can use the simplified formula:

  PT-kHYPE USD price = (Oracle discount factor) × (HYPE USD price)

• PT-sUSDe (USDe): The oracle returns the price in USDe staked in the sUSDe contract. To convert to USD:

  PT-sUSDe USD price = (Oracle discount factor) / (sUSDe PYIndex) × (sUSDe USD price)

  Assuming sUSDe can always be redeemed fully for USDe (no exchange rate depeg), you can use the simplified formula:

  PT-sUSDe USD price = (Oracle discount factor) × (USDe USD price)

• PT-USDe (USDe): The oracle returns the price directly in USDe. Since the PYIndex is always 1, we can simplify the formula to:

  PT-USDe USD price = (Oracle discount factor) × (USDe USD price)

Use cases

For money markets listing PTs as collateral or borrowable assets, the oracle provides a stable, predictable valuation path. Integrators can use the discount factor to calculate conservative PT valuations without relying on AMM prices. Because the factor converges linearly to 1.0 at expiry, LTVs and liquidation thresholds behave smoothly instead of whipsawing with AMM volatility.

Usage

Deployment

The oracle can be deployed using the sparkLinearDiscountOracleFactory. The address of the factory can be found in the Deployments on GitHub, under the "sparkLinearDiscountOracleFactory" field. The factory has two methods to help with oracle deployment:

function createWithPt(address pt, uint256 baseDiscountPerYear) external returns (address);
function createWithMarket(address market, uint256 baseDiscountPerYear) external returns (address);

The second method will automatically derive the PT address from the market, which is useful for Pendle markets where the PT is derived from the underlying asset.

Feed retrieval

function latestRoundData()
    external
    view
    returns (uint80 roundId, int256 answer, uint256 startedAt, uint256 updatedAt, uint80 answeredInRound)

Since the oracle is deterministic, all fields except answer are returned as 0.

Feed properties

• Decimals: The oracle returns values in 18 decimals. Integrators should multiply this discount factor by the PT's redemption value (in 18 decimals) to calculate the PT's current value.
• Deterministic: The oracle is deterministic, meaning the same inputs will always yield the same output. This allows for predictable valuation paths.
• Linear Discount: The discount factor increases linearly over time, converging to 1.0 at maturity. This means the factor is always between 0 and 1, and it never goes negative.
• No External Calls: The oracle does not make any external calls during reads, ensuring minimal liveness or manipulation surface. It relies solely on block.timestamp for time calculations.
• Clamping: The oracle clamps the discount factor to never exceed 100% (1e18), ensuring it remains a valid multiplier.

Here is a graphic showing how different baseDiscountPerYear values affect the discount factor over time, with the x-axis representing time left until maturity in years and the y-axis showing the discount factor (1.0 = 100%):

How answer is deterministically calculated

The answer relies on two parameters:

• baseDiscountPerYear - the annual discount slope, expressed in wad (1e18 = 100%/year).
• maturity - the PT maturity timestamp in seconds (PT.expiry()).

The answer at a given time t (in seconds) is calculated as follows:

$$\text{answer} = \min\left( 10^{18}, 10^{18} - \frac{(\text{maturity} - t) \cdot \text{baseDiscountPerYear}}{365 \cdot 24 \cdot 60 \cdot 60} \right)$$