feat(swaption): expose discrete option/swap grid on vol structures#610
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Add a `discrete_grid` method to `SwaptionVolatilityStructure` so a consumer can read the underlying option/swap node set. This stands in for QuantLib's `dynamic_pointer_cast<SwaptionVolatilityDiscrete>`, which the SABR cube's dense ATM-calibration fill relies on to widen its node set. **Trait default:** * Introduce the `SwaptionVolatilityGrid` type holding index-aligned option times/dates and swap lengths/tenors. * Provide a default `discrete_grid` that returns `Err`, since only a grid-backed structure can answer; this surfaces an error exactly where the C++ cast would null-deref. **Matrix implementation:** * Override `discrete_grid` in `SwaptionVolatilityMatrix` to delegate to the embedded discrete structure. **Tests:** * Verify the default returns `Err` for a non-grid structure and that the matrix delegates its grid to the embedded discrete.
This change ports the `isAtmCalibrated` dense arm of the SABR volatility cube (previously deferred to #603), wiring the ATM-anchored cube widening and re-fit into `perform_calculations`. **Dense calibration arm:** * Added a `dense_parameters` cube, populated during `perform_calculations` when `is_atm_calibrated` by building sparse smiles, widening the market vol cube with ATM-anchored points, and re-fitting SABR over the widened grid. * Implemented `fill_volatility_cube` to merge the ATM structure's grid (read via `discrete_grid`, the downcast-equivalent for C++'s `dynamic_pointer_cast<SwaptionVolatilityDiscrete>`) with the cube's axes and set ATM vol plus interpolated per-strike spreads on new nodes. * Implemented `create_sparse_smiles` and `smile_section_from_cube` to build per-node `SabrSmileSection`s from the parameter cube. * Implemented `spread_vol_interpolation` to bracket the ATM node between the four surrounding sparse nodes and bilinearly blend corner spreads. * Added `dense_parameter_values` accessor for the calibrated dense params. * Added sorted-union axis helpers (`union_sorted_times`, `union_sorted_dates`, `union_sorted_tenors`) and `sorted_contains` / `lower_bound` for the C++ binary-search equivalents. **Tests:** * Replaced the #603 deferral test with a check that a non-grid ATM surface errors at `discrete_grid`, where the C++ cast would null-deref. A non-grid ATM handle now errors instead of silently deferring, and the `smileSectionImpl` query still defers to #604.
Adds a test that verifies the SABR swaption volatility cube recovers the
matrix ATM vol over a grid strictly denser than the cube's own. The ATM
surface is a real SwaptionVolatilityMatrix on {1Y,2Y,3Y} x {2Y,5Y,10Y}
while the cube covers {1Y,3Y} x {2Y,10Y}, so fillVolatilityCube must
genuinely insert the 2Y-option and 5Y-swap nodes.
**Testing improvements:**
* Added SABR-consistent matrix helpers so each ATM vol matches the DENSE_PARAMS SABR ATM vol at the node forward.
* Seeded cube smiles so the market smile is an exact SABR smile at every cube node, then asserted sparse node params match DENSE_PARAMS.
* Asserted dense parameter values reconstruct the matrix ATM vol within tolerance across the widened grid.
Closes #603
close #603
benbenbang
enabled auto-merge (rebase)
July 26, 2026 14:14
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close #603