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So they are broadcast, as a channel-open usually is, but you don't have to wait for the 3 block confirmation before using them. I'm guessing the wrapped invoice includes the channel open fee, paid for by the sender?

Yes, in Olympus case is 10k sats (channel lease) + opening onchain fees + reserve channel
https://docs.zeusln.app/lsp/fees

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It feels too easy for the receiver. They get all the privacy advantages and the sender pays for it?

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Yes, you practically can transact over LN without any trace onchain from your wallet.

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