Halcyon

Quant math that fits on-chain.

On-chain structured products on Solana. Every coupon, every delta, every risk surface computed by a Rust program — not by an off-chain pricing service.

The flagship product

Equity Autocall — an 18-month worst-of-3 autocallable note on SPY, QQQ, and IWM (tokenized via Backed Finance). You buy it in USDC; the program pays you a monthly coupon targeting roughly 15% annualised while the worst performer stays above its entry level; the note calls you out early every quarter if the basket is healthy; at maturity you get your principal back unless the worst performer has fallen past a 20% knock-in barrier.

What's new: the coupon you see is the coupon you get, and anyone can re-run the pricer. No market-maker quote feed. No custodial oracle. No trust.

Two companion products live in the same kernel:

• IL Protection — 30-day impermanent-loss cover for Raydium SOL/USDC LPs, priced with a NIG-distribution model.
• SOL Autocall — 16-day principal-backed note on SOL with 8 observations.

All three share one underwriting vault and one kernel program.

Why this is different

Every previous on-chain structured-products protocol — Ribbon, Cega, Friktion — died from the same failure mode: the pricing lived off-chain, buyers had to trust a quote oracle or a market-maker intent, and the mechanism collapsed the moment that trust evaporated. Halcyon's pricing runs inside the Solana program in fixed-point integer arithmetic, deterministic across every validator. You can verify any quote by calling simulateTransaction against the program yourself.

See halcyon_whitepaper_v9.md for the model, integration_architecture.md for how it maps to programs and accounts, and ARCHITECTURE.md for the kernel shape.

Repo layout

• solmath-core/ — fixed-point math library (ln, exp, sqrt, Bessel K₁, bivariate normal CDF, NIG density).
• crates/halcyon_flagship_quote/, halcyon_il_quote/, halcyon_sol_autocall_quote/ — per-product pricing crates.
• programs/halcyon_kernel/ — shared vault, policy, and fee-ledger program.
• programs/halcyon_flagship_autocall/, halcyon_il_protection/, halcyon_sol_autocall/ — product programs.
• keepers/ — off-chain processes that write oracle / regression / aggregate-delta state and execute hedges.
• frontend/ — Next.js app; the surface Colosseum judges see.
• app/ — earlier WASM demo; useful as a wallet-free showcase.
• samples/ — JSON payloads for the CLI smoke tests.
• docs/ — audit notes, runbooks, product specs.

Run

make test              # pricing-crate smoke tests
make il-hedge          # run the IL CLI against a sample
make sol-autocall      # run the SOL Autocall CLI against a sample
make frontend-build    # build the Next.js app
make frontend-e2e      # run Playwright tests

The IL and SOL Autocall CLIs each emit a JSON diagnostics file that includes the quote, the settlement path, and a replay result. These are the smallest end-to-end exercises of the on-chain pricing that don't require a running validator.

Status

• Devnet: deployed, demoable.
• Mainnet: programs are audit-frozen; flagship stays paused to public issuance until the hedge keeper completes a successful devnet rebalance cycle end-to-end (see docs/audit/OPEN_QUESTIONS.md).