From 458ba18bbbf58057095b7ef65c71d511c3172348 Mon Sep 17 00:00:00 2001
From: Siddharth <siddharth_qs@outlook.com>
Date: Sat, 28 Oct 2023 18:28:35 -0400
Subject: [PATCH] serialize vol term structure

---
 derivatives/Cargo.lock                  | 1 +
 derivatives/Cargo.toml                  | 2 +-
 derivatives/src/equity/vanila_option.rs | 2 --
 derivatives/src/equity/vol_surface.rs   | 3 ++-
 derivatives/src/rates/utils.rs          | 2 +-
 derivatives/src/utils/parse_json.rs     | 7 +++++--
 6 files changed, 10 insertions(+), 7 deletions(-)

diff --git a/derivatives/Cargo.lock b/derivatives/Cargo.lock
index 8b3a1be..b4e55de 100644
--- a/derivatives/Cargo.lock
+++ b/derivatives/Cargo.lock
@@ -98,6 +98,7 @@ dependencies = [
  "js-sys",
  "num-integer",
  "num-traits",
+ "serde",
  "time",
  "wasm-bindgen",
  "winapi",
diff --git a/derivatives/Cargo.toml b/derivatives/Cargo.toml
index 9f50892..e0bcda7 100644
--- a/derivatives/Cargo.toml
+++ b/derivatives/Cargo.toml
@@ -10,7 +10,7 @@ rand = "0.8.4"
 rand_distr = "0.4.3"
 probability = "0.18.0"
 libm = "0.2.1"
-chrono = "0.4.22"
+chrono = {version = "0.4.22",features = ["serde"]}
 csv = "1.1"
 rand_chacha = "0.3.1"
 rand_pcg = " 0.3.1"
diff --git a/derivatives/src/equity/vanila_option.rs b/derivatives/src/equity/vanila_option.rs
index 56bef21..a9a44ea 100644
--- a/derivatives/src/equity/vanila_option.rs
+++ b/derivatives/src/equity/vanila_option.rs
@@ -126,8 +126,6 @@ impl EquityOption {
             }
         }
         option.set_risk_free_rate();
-        println!("{:?}", option);
-        //option.volatility = option.imp_vol(option.current_price.value);
         return Box::new(option);
     }
 }
diff --git a/derivatives/src/equity/vol_surface.rs b/derivatives/src/equity/vol_surface.rs
index 582f09e..c6b8025 100644
--- a/derivatives/src/equity/vol_surface.rs
+++ b/derivatives/src/equity/vol_surface.rs
@@ -1,7 +1,8 @@
+use serde::{Deserialize, Serialize};
 use std::collections::{BTreeMap, HashMap};
 use crate::rates::utils::{DayCountConvention};
 use chrono::{NaiveDate};
-#[derive(Clone,Debug)]
+#[derive(Clone,Debug,Serialize,Deserialize)]
 pub struct VolSurface{
     pub term_structure: BTreeMap<NaiveDate, Vec<(f64,f64)>>,
     pub spot: f64,
diff --git a/derivatives/src/rates/utils.rs b/derivatives/src/rates/utils.rs
index 6d6541b..e362269 100644
--- a/derivatives/src/rates/utils.rs
+++ b/derivatives/src/rates/utils.rs
@@ -42,7 +42,7 @@ fn adjust_for_weekend(mut date: NaiveDate) -> NaiveDate {
     }
     date
 }
-#[derive(Clone,Debug)]
+#[derive(Clone,Debug,Serialize,Deserialize)]
 pub enum DayCountConvention{
     Act365,
     Act360,
diff --git a/derivatives/src/utils/parse_json.rs b/derivatives/src/utils/parse_json.rs
index 02c659f..b78fdf4 100644
--- a/derivatives/src/utils/parse_json.rs
+++ b/derivatives/src/utils/parse_json.rs
@@ -43,10 +43,13 @@ pub fn build_curve(mut file: &mut File,output_filename: &str)->() {
         if !vol_dir.exists() {
             let _ = fs::create_dir(vol_dir);
         }
-        dir.push("vol_surface.csv");
+        dir.push("vol_surface.json");
         //Todo write Vol Surface to file
-        println!("{:?}",vol_surface);
 
+        let mut file = File::create(dir).expect("Failed to create file");
+        let mut output: String = String::new();
+        let serialized_vol_surface = serde_json::to_string(&vol_surface).unwrap();
+        file.write_all(serialized_vol_surface.as_bytes()).expect("Failed to write to file");
 
     }
     else if list_contracts.asset=="CO"{