Integrated Rust & Wasm

* Created library in /wasm-lib with all wasm content

* Added script in package.json "build-wasm" which runs "cd wasm-lib && wasm-pack build --target web --out-dir pkg"

* Need to first import init from wasm-lib in index.js and run "index().then()" before any rendering due to async nature of Rust imported functions

Author: Sebastian-git

.DS_Store

@@ -4,7 +4,6 @@
   "homepage": "https://Sebastian-git.github.io/BinomialBeacon",
   "private": true,
   "dependencies": {
-    "@alpacahq/alpaca-trade-api": "^3.0.1",
     "@fortawesome/free-brands-svg-icons": "^6.4.2",
     "@fortawesome/free-solid-svg-icons": "^6.4.2",
     "@fortawesome/react-fontawesome": "^0.2.0",
@@ -23,11 +22,13 @@
     "react-tree-graph": "^8.0.1",
     "recharts": "^2.7.2",
     "typescript": "^4.9.5",
+    "wasm-lib": "file:wasm-lib/pkg",
     "web-vitals": "^2.1.4"
   },
   "scripts": {
     "start": "react-scripts start",
     "build": "react-scripts build",
+    "build-wasm": "cd wasm-lib && wasm-pack build --target web --out-dir pkg",
     "test": "react-scripts test",
     "eject": "react-scripts eject",
     "predeploy": "npm run build",

package-lock.json

@@ -1,3 +1,4 @@
+import { up_size, down_size, call_buy_payoff, put_buy_payoff, get_rnp } from "wasm-lib";
 import { BrowserRouter as Router, Route, Routes, useNavigate, useLocation } from 'react-router-dom';import { FontAwesomeIcon } from '@fortawesome/react-fontawesome'
 import { faArrowsToEye } from '@fortawesome/free-solid-svg-icons';
 import React, { useEffect, useState, useRef } from 'react';
@@ -11,16 +12,6 @@ function round(value, decimals) {
   return Number(Math.round(value+'e'+decimals)+'e-'+decimals);
 }
 
-const upSize = (stdDev, deltaT) => { return Math.exp((stdDev * 0.01) * Math.sqrt(deltaT)) };
-
-const downSize = (stdDev, deltaT) => { return 1.0/(Math.exp((stdDev * 0.01) * Math.sqrt(deltaT))) };
-
-const callBuyPayoff = (curPrice, strikePrice) => { return Math.max(curPrice - strikePrice, 0) };
-
-const putBuyPayoff = (curPrice, strikePrice) => { return Math.max(strikePrice - curPrice, 0) };
-
-const getRNP = (rfr, deltaT, downMove, upMove) => { return (Math.exp(rfr * deltaT) - downMove) / (upMove - downMove) };
-
 let rfr = 0.0375; 
 let totalTime = 20;
 
@@ -129,8 +120,8 @@ function Dashboard({
   const [steps, setSteps] = useState(1);
   const [deltaT, setDeltaT] =  useState(steps / steps);
   const [centerGraphTooltip, setCenterGraphTooltip] = useState(false);
-  const [upMove, setUpMove] = useState(() => upSize(stdDev, deltaT));
-  const [downMove, setDownMove] = useState(() => downSize(stdDev, deltaT));
+  const [upMove, setUpMove] = useState(() => up_size(stdDev, deltaT));
+  const [downMove, setDownMove] = useState(() => down_size(stdDev, deltaT));
   const [riskNeutralProbability, setRiskNeutralProbability] = useState(0);
   const [resetCount, setResetCount] = useState(0);
   const echartRef = useRef(null);
@@ -153,7 +144,7 @@ function Dashboard({
 
 
   useEffect(() => {
-    let RNP = getRNP(rfr, deltaT, downMove, upMove)
+    let RNP = get_rnp(rfr, deltaT, downMove, upMove)
     setRiskNeutralProbability(round(RNP, 4));
   }, [downMove, upMove, deltaT])
 
@@ -168,22 +159,22 @@ function Dashboard({
     // Just need to figure out if we want a fixed time till expiration or just deltaT always = 1 year vs 1 month, weigh options later
 
     // Size of up/down moves (functions return a %, stdDev whole number)
-    let newUpMove = upSize(stdDev, newDeltaT);
-    let newDownMove = downSize(stdDev, newDeltaT);
+    let newUpMove = up_size(stdDev, newDeltaT);
+    let newDownMove = down_size(stdDev, newDeltaT);
     setUpMove(newUpMove);
     setDownMove(newDownMove);
 
-    let RNP = getRNP(rfr, deltaT, downMove, upMove)
+    let RNP = get_rnp(rfr, deltaT, downMove, upMove)
     setRiskNeutralProbability(round(RNP, 4));
   }
 
   const createGraphData = (deltaT, curSteps, price, id = 0, parentId = null, optionType) => {
     let payoff;
     if (optionType === "call") {
-      payoff = callBuyPayoff(price, strikePrice);
+      payoff = call_buy_payoff(price, strikePrice);
     }
     else if (optionType === "put") {
-      payoff = putBuyPayoff(price, strikePrice);
+      payoff = put_buy_payoff(price, strikePrice);
     }
 
     let x = (steps - curSteps) * 100 * steps;

package.json

@@ -1,11 +1,14 @@
-import React from 'react';
+import init from "wasm-lib"
 import ReactDOM from 'react-dom/client';
-import './index.css';
+import React from 'react';
 import App from './App';
+import './index.css';
 
-const root = ReactDOM.createRoot(document.getElementById('root'));
-root.render(
-  <React.StrictMode>
-    <App />
-  </React.StrictMode>
-);
+init().then(() => {
+  const root = ReactDOM.createRoot(document.getElementById('root'));
+  root.render(
+    <React.StrictMode>
+      <App />
+    </React.StrictMode>
+  );
+});

src/App.js

@@ -0,0 +1,12 @@
+[package]
+name = "wasm-lib"
+version = "0.1.0"
+edition = "2021"
+
+# See more keys and their definitions at https://doc.rust-lang.org/cargo/reference/manifest.html
+
+[lib]
+crate-type = ["cdylib"]
+
+[dependencies]
+wasm-bindgen = "0.2.87"

src/index.js

@@ -0,0 +1,26 @@
+use wasm_bindgen::prelude::*;
+
+#[wasm_bindgen]
+pub fn up_size(std_dev: f64, delta_t: f64) -> f64 {
+    (std_dev * 0.01 * delta_t.sqrt()).exp()
+}
+
+#[wasm_bindgen]
+pub fn down_size(std_dev: f64, delta_t: f64) -> f64 {
+    1.0 / (std_dev * 0.01 * delta_t.sqrt()).exp()
+}
+
+#[wasm_bindgen]
+pub fn call_buy_payoff(cur_price: f64, strike_price: f64) -> f64 {
+    f64::max(cur_price - strike_price, 0.0)
+}
+
+#[wasm_bindgen]
+pub fn put_buy_payoff(cur_price: f64, strike_price: f64) -> f64 {
+    f64::max(strike_price - cur_price, 0.0)
+}
+
+#[wasm_bindgen]
+pub fn get_rnp(rfr: f64, delta_t: f64, up_move: f64, down_move: f64) -> f64 {
+    (((rfr * delta_t) - down_move) / (up_move - down_move)).exp()
+}

wasm-lib/Cargo.lock

@@ -0,0 +1 @@
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wasm-lib/Cargo.toml

@@ -0,0 +1,3 @@
+Signature: 8a477f597d28d172789f06886806bc55
+# This file is a cache directory tag created by cargo.
+# For information about cache directory tags see https://bford.info/cachedir/

wasm-lib/src/lib.rs

@@ -0,0 +1 @@
+This file has an mtime of when this was started.

wasm-lib/target/.rustc_info.json

@@ -0,0 +1 @@
+3b9f57917b0f92cb

wasm-lib/target/CACHEDIR.TAG

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wasm-lib/target/debug/.cargo-lock

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wasm-lib/target/debug/.fingerprint/bumpalo-48f3aff246bb733b/dep-lib-bumpalo

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wasm-lib/target/debug/.fingerprint/bumpalo-48f3aff246bb733b/lib-bumpalo

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wasm-lib/target/debug/.fingerprint/cfg-if-e712001a848d95f7/lib-cfg-if.json

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wasm-lib/target/debug/.fingerprint/log-b56018c3939b976a/dep-lib-log

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wasm-lib/target/debug/.fingerprint/log-b56018c3939b976a/lib-log

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