impermanent_loss: Impermanent Loss Calculator for Weighted AMM Pools

In impermanentlosscalc: Calculate Impermanent Loss in Automated Market Maker (AMM) Liquidity Pools

Impermanent Loss Calculator for Weighted AMM Pools

Description

Calculates the Nominal Impermanent Loss (IL), Percentage IL, and Net Profit and Loss (PnL) for a liquidity position in a weighted Automated Market Maker (AMM) pool. This function is crucial for assessing the performance of liquidity provider positions in protocols like Balancer and Uniswap.

Usage

impermanent_loss(
  prices_old,
  prices_new,
  weights,
  investment,
  fees,
  plot = FALSE
)

Arguments

prices_old	A numeric vector of initial prices for each asset.
prices_new	A numeric vector of new prices for each asset.
weights	A numeric vector of weights (must sum to 1) corresponding to the assets.
investment	The initial total dollar value invested in the pool.
fees	The total dollar value of trading fees earned by the LP during the period.
plot	A logical value. If TRUE, generates a bar chart comparing the value if held, value in the pool, and the net value (pool + fees).

Value

A list containing the core metrics:

• Value if held: Total current value if assets were held outside the pool.

• Value in pool: Total current value of the tokens in the pool.

• impermanent_loss_percent: The IL as a percentage of the held portfolio value.

• Nominal impermanent loss: The IL as a dollar-value opportunity loss.

• Fee offset ($): The total dollar fees earned.

• Net gain: The LP's net PnL (Fees MINUS Nominal IL) relative to holding.

References

Tiruviluamala, N., Port, A., & Lewis, E. (2022). A general framework for impermanent loss in automated market makers. arXiv preprint arXiv:2203.11352.

Examples

library(impermanentlosscalc)
library(ggplot2)
# Example 1: 3-Asset Unbalanced Pool (Weights: 30/20/50)
impermanent_loss(
prices_old = c(10, 20, 40),
prices_new = c(9, 22, 35),
weights = c(0.3, 0.2, 0.5),
investment = 1000,
fees = 10,
plot = TRUE
)


# Example 2: No price change, demonstrating IL is zero.
impermanent_loss(
  prices_old = c(3, 3),
  prices_new = c(3, 3),
  weights = c(0.5, 0.5),
  investment = 500,
  fees = 0
)

impermanentlosscalc documentation built on Dec. 11, 2025, 5:08 p.m.