Lido Take-Home Assignment

This repository contains implementations for on-chain Curve interactions (Part 2) and a historical VaR analysis of the stETH/ETH basis (Part 3). All components are fully reproducible and designed to run without touching mainnet.

Table of Contents

• Prerequisites
• Environment Setup
• Part 2 - Curve USDC/crvUSD Interaction
• Part 3 - stETH/ETH Basis VaR Analysis
• Project Structure

Prerequisites

• Python 3.8+
• Virtual environment (recommended)
• Alchemy API key for mainnet RPC access
• Dune Analytics API key

Environment Setup

Create your .env file:

cp .env.example .env

Fill in at minimum:

ALCHEMY_MAINNET_URL=YOUR_MAINNET_RPC_URL
LOCAL_FORK_URL=http://127.0.0.1:8545

DUNE_API_KEY=your_dune_api_key
DUNE_QUERY_ID=6324708

Dune query used for price data:
https://dune.com/queries/6324708

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Part 2 — Curve USDC/crvUSD Interaction

This part implements on-chain interactions with the Curve USDC/crvUSD pool using a local Anvil mainnet fork. This enables:

• account impersonation
• simulated withdrawals
• reproducible state-changing calls
• safe experimentation without touching mainnet

Implementation Locations

• src/lido_takehome/curve.py
• notebooks/Part2_curve.ipynb
• CLI scripts in scripts/

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Running the Local Fork (Anvil)

Terminal 1 — start the fork

source .env
anvil --fork-url "$ALCHEMY_MAINNET_URL"

Keep this terminal open.

Terminal 2 — run scripts

source .venv/bin/activate
python -m scripts.curve_withdraw_usdc

Or use the Jupyter notebook.

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ABI Requirements

All ABI files are stored in abi/:

abi/ curve_usdc_crvusd_pool.json erc20.json

Curve pool ABI (implementation ABI required)

Proxy: https://etherscan.io/address/0x4DEcE678ceceb27446b35C672dC7d61F30bAD69E
Implementation (copy ABI from here):
https://etherscan.io/address/0x67fe41a94e779ccfa22cff02cc2957dc9c0e4286

Save to:

abi/curve_usdc_crvusd_pool.json

ERC20 ABI (USDC, crvUSD, LP token)

Use ABI from USDC implementation:
https://etherscan.io/address/0x43506849d7c04f9138d1a2050bbf3a0c054402dd

Save to:

abi/erc20.json

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Included CLI Scripts

scripts/curve_inspect_pool.py

Connects to the fork, loads the Curve pool, prints balances.

Run:

python -m scripts.curve_inspect_pool

scripts/curve_withdraw_usdc.py

Main simulation script:

• impersonates LP whale
• burns LP tokens
• withdraws USDC via remove_liquidity_one_coin
• prints amount withdrawn

Run:

python -m scripts.curve_withdraw_usdc

Underlying logic is in src/lido_takehome/curve.py.

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Part 3 — stETH/ETH Basis 14-Day 99% VaR (720-Day Lookback)

This part computes and visualizes the 14-day historical 99% Value-at-Risk (VaR) of the stETH/ETH basis using a 720-day rolling window.

Implementation Files

• src/lido_takehome/market_data.py
• src/lido_takehome/risk.py
• scripts/steth_eth_var.py
• notebooks/part3_var_steth_eth.ipynb

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Data Source (Dune)

Daily median USD prices for ETH and stETH are loaded from:

https://dune.com/queries/6324708

Your .env must include:

DUNE_API_KEY=your_api_key
DUNE_QUERY_ID=6324708

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Running Part 3

Option A — Run the CLI Script (recommended)

1. Activate the virtual environment

source .venv/bin/activate

2. Run the VaR generator

python -m scripts.steth_eth_var

This will:

1. Load ETH & stETH prices from Dune
2. Compute basis = stETH/ETH − 1
3. Compute 14-day absolute basis changes
4. Compute 720-day rolling 99% VaR
5. Save interactive Plotly chart to:

charts/steth_eth_basis_var.html

Example console output:

=== stETH/ETH 14-Day 99% Historical VaR (720d lookback) ===
Latest date: YYYY-MM-DD
Current basis: +X.XX%
14d 99% VaR (magnitude): Y.YY%
Interactive chart saved to: charts/steth_eth_basis_var.html

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Option B — Explore in Jupyter Notebook

Open:

notebooks/part3_var_steth_eth.ipynb

The notebook includes:

• ETH/stETH price diagnostics
• comparison of pct_change vs diff
• reasoning for using absolute 14-day changes
• full VaR computation
• final interactive visualization
• brief interpretation

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Notes on the Visualization

• VaR is shown on the primary axis (main output).
• Basis is shown on a secondary axis for context.
• Full basis history is plotted even when VaR is initially undefined.
• This explains why VaR collapses when crisis-era data roll out of the lookback window.
• Tooltips are rounded for readability.

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Project Structure

Lido_QuantAnalytics_TakeHome/ │ ├── abi/ │ ├── curve_usdc_crvusd_pool.json │ └── erc20.json │ ├── notebooks/ │ ├── Part2_curve.ipynb │ └── part3_var_steth_eth.ipynb │ ├── scripts/ │ ├── curve_inspect_pool.py │ ├── curve_withdraw_usdc.py │ └── steth_eth_var.py │ ├── src/ │ └── lido_takehome/ │ ├── curve.py │ ├── market_data.py │ ├── risk.py │ └── init.py │ ├── charts/ # generated output ├── .env.example ├── README.md └── requirements.txt