Building a Benchmark Rate and Interest Rate Derivatives in DeFi
summary
An on-chain benchmark rate samples lending protocols (initially Aave and Compound) and publishes a mid-market index block-over-block publication used as a public-good oracle. A live instrument is a 28-day pool-cancelable swap priced by an AMM that embeds interest-rate models — Hull‑White + jump-to-diffusion + Longstaff‑Schwartz — and runs cheaply on-chain (comparable gas to a Uniswap swap). Models are stress-tested with Hawkes-based backtests in an internal ITF; IPOR DAO governs index membership and cross‑chain ingestion.
AI-written summary · about
chapters (7)
- 0:00Introduction to IPOR
- 2:02Benchmark rate architecture
- 4:19IPOR as a public good
- 5:45Decentralized governance
- 7:14Automated market makers
- 10:18Testing and validation
- 11:40Future and team overview
