finlib 0.0.10

Quant finance functions implemented in Rust
Documentation 
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use crate::derivatives::options::blackscholes::option_surface::{
    OptionSurfaceParameters, OptionsSurface,
};
use crate::derivatives::options::blackscholes::OptionVariables;
use crate::derivatives::options::{OptionContract, OptionStyle, OptionType};
use crate::price::enums::Side;
use crate::price::payoff::{Payoff, Profit};
use core::ops::Range;
use wasm_bindgen::prelude::*;

#[wasm_bindgen]
impl OptionVariables {
    #[wasm_bindgen(constructor)]
    pub fn init_wasm(
        option_type: OptionType,
        underlying_price: f64,
        strike_price: f64,
        volatility: f64,
        risk_free_interest_rate: f64,
        dividend: f64,
        time_to_expiration: f64,
    ) -> Self {
        OptionVariables::builder()
            .option_type(option_type)
            .underlying_price(underlying_price)
            .strike_price(strike_price)
            .volatility(volatility)
            .risk_free_interest_rate(risk_free_interest_rate)
            .dividend(dividend)
            .time_to_expiration(time_to_expiration)
            .build()
    }
}

#[wasm_bindgen]
impl OptionSurfaceParameters {
    #[wasm_bindgen(constructor)]
    pub fn init_wasm(
        underlying_price: Vec<isize>,
        underlying_price_bounds: Vec<f64>,
        strike_price: Vec<isize>,
        strike_price_bounds: Vec<f64>,
        volatility: Vec<isize>,
        volatility_bounds: Vec<f64>,
        risk_free_interest_rate: Vec<isize>,
        risk_free_interest_rate_bounds: Vec<f64>,
        dividend: Vec<isize>,
        dividend_bounds: Vec<f64>,
        time_to_expiration: Vec<isize>,
        time_to_expiration_bounds: Vec<f64>,
    ) -> Self {
        OptionSurfaceParameters::from(
            Range {
                start: underlying_price[0],
                end: underlying_price[1],
            },
            (underlying_price_bounds[0], underlying_price_bounds[1]),
            Range {
                start: strike_price[0],
                end: strike_price[1],
            },
            (strike_price_bounds[0], strike_price_bounds[1]),
            Range {
                start: volatility[0],
                end: volatility[1],
            },
            (volatility_bounds[0], volatility_bounds[1]),
            Range {
                start: risk_free_interest_rate[0],
                end: risk_free_interest_rate[1],
            },
            (
                risk_free_interest_rate_bounds[0],
                risk_free_interest_rate_bounds[1],
            ),
            Range {
                start: dividend[0],
                end: dividend[1],
            },
            (dividend_bounds[0], dividend_bounds[1]),
            Range {
                start: time_to_expiration[0],
                end: time_to_expiration[1],
            },
            (time_to_expiration_bounds[0], time_to_expiration_bounds[1]),
        )
    }

    #[wasm_bindgen(js_name = "walk")]
    pub fn walk_wasm(&self) -> Result<OptionsSurface, JsValue> {
        let c = self.clone();
        match c.walk() {
            Ok(s) => Ok(s),
            Err(_) => Err(JsValue::from("failed to construct matrix")),
        }
    }
}

#[wasm_bindgen]
impl OptionsSurface {
    #[wasm_bindgen(getter = length)]
    pub fn len_wasm(&self) -> usize {
        self.len()
    }

    #[wasm_bindgen(js_name = "generate")]
    pub fn generate_wasm(&mut self) -> Result<usize, JsValue> {
        match self.generate() {
            Ok(_) => Ok(self.len()),
            Err(_) => Err(JsValue::from("failed to construct matrix")),
        }
    }

    #[wasm_bindgen(js_name = "par_generate")]
    pub fn par_generate_wasm(&mut self) -> Result<usize, JsValue> {
        match self.par_generate() {
            Ok(_) => Ok(self.len()),
            Err(_) => Err(JsValue::from("failed to construct matrix")),
        }
    }
}

#[wasm_bindgen]
impl OptionContract {
    #[wasm_bindgen(constructor)]
    pub fn init_wasm(
        option_type: OptionType,
        option_style: OptionStyle,
        side: Side,
        strike: f64,
        premium: f64,
    ) -> Self {
        Self::from(option_type, option_style, side, strike, premium)
    }

    #[wasm_bindgen(js_name = "payoff")]
    pub fn payoff_wasm(&mut self, underlying: f64) -> f64 {
        self.payoff(underlying)
    }

    #[wasm_bindgen(js_name = "profit")]
    pub fn profit_wasm(&mut self, underlying: f64) -> f64 {
        self.profit(underlying)
    }

    #[wasm_bindgen(js_name = "willBeExercised")]
    pub fn will_be_exercised_wasm(&self, underlying: f64) -> bool {
        self.will_be_exercised(underlying)
    }
}