fix: add syIndex / pyIndex into price computation

contracts/interfaces/pendle/IPendleTokens.sol

@@ -0,0 +1,14 @@
+// SPDX-License-Identifier: MIT
+// Gearbox Protocol. Generalized leverage for DeFi protocols
+// (c) Gearbox Foundation, 2024.
+pragma solidity ^0.8.17;
+
+interface IPendleYT {
+    function doCacheIndexSameBlock() external view returns (bool);
+    function pyIndexLastUpdatedBlock() external view returns (uint256);
+    function pyIndexStored() external view returns (uint256);
+}
+
+interface IPendleSY {
+    function exchangeRate() external view returns (uint256);
+}

contracts/oracles/pendle/PendleTWAPPTPriceFeed.sol

@@ -9,6 +9,7 @@ import {WAD, SECONDS_PER_YEAR} from "@gearbox-protocol/core-v3/contracts/librari
 
 import {IPriceFeed} from "@gearbox-protocol/core-v3/contracts/interfaces/base/IPriceFeed.sol";
 import {IPendleMarket} from "../../interfaces/pendle/IPendleMarket.sol";
+import {IPendleYT, IPendleSY} from "../../interfaces/pendle/IPendleTokens.sol";
 import {PriceFeedValidationTrait} from "@gearbox-protocol/core-v3/contracts/traits/PriceFeedValidationTrait.sol";
 import {SanityCheckTrait} from "@gearbox-protocol/core-v3/contracts/traits/SanityCheckTrait.sol";
 import {PriceFeedParams} from "../PriceFeedParams.sol";
@@ -33,6 +34,12 @@ contract PendleTWAPPTPriceFeed is IPriceFeed, PriceFeedValidationTrait, SanityCh
     /// @notice Address of the pendle market where the PT is traded
     address public immutable market;
 
+    /// @notice Address of the Pendle SY connected to the PT
+    address public immutable sy;
+
+    /// @notice Address of the Pendle YT connected to the YT
+    address public immutable yt;
+
     /// @notice Timestamp of the market (and PT) expiry
     uint256 public immutable expiry;
 
@@ -52,7 +59,9 @@ contract PendleTWAPPTPriceFeed is IPriceFeed, PriceFeedValidationTrait, SanityCh
         skipCheck = _validatePriceFeed(priceFeed, stalenessPeriod);
         twapWindow = _twapWindow;
 
-        (, address pt,) = IPendleMarket(_market).readTokens();
+        address pt;
+
+        (sy, pt, yt) = IPendleMarket(_market).readTokens();
 
         string memory ptName = IERC20Metadata(pt).name();
 
@@ -77,6 +86,18 @@ contract PendleTWAPPTPriceFeed is IPriceFeed, PriceFeedValidationTrait, SanityCh
         return FixedPoint.divDown(WAD, assetToPTRate);
     }
 
+    /// @dev Retrieves the current SY and YT indices
+    function _getSYandPYIndex() internal view returns (uint256 syIndex, uint256 pyIndex) {
+        syIndex = IPendleSY(sy).exchangeRate();
+        uint256 pyIndexStored = IPendleYT(yt).pyIndexStored();
+
+        if (IPendleYT(yt).doCacheIndexSameBlock() && IPendleYT(yt).pyIndexLastUpdatedBlock() == block.number) {
+            pyIndex = pyIndexStored;
+        } else {
+            pyIndex = syIndex >= pyIndexStored ? syIndex : pyIndexStored;
+        }
+    }
+
     /// @notice Returns the USD price of the PT token with 8 decimals
     function latestRoundData() external view override returns (uint80, int256, uint256, uint256, uint80) {
         int256 answer = _getValidatedPrice(priceFeed, stalenessPeriod, skipCheck);
@@ -85,6 +106,12 @@ contract PendleTWAPPTPriceFeed is IPriceFeed, PriceFeedValidationTrait, SanityCh
             answer = int256(FixedPoint.mulDown(uint256(answer), _getPTToAssetRate()));
         }
 
+        (uint256 syIndex, uint256 pyIndex) = _getSYandPYIndex();
+
+        if (syIndex < pyIndex) {
+            answer = int256(uint256(answer) * syIndex / pyIndex);
+        }
+
         return (0, answer, 0, 0, 0);
     }
 }