feat(itofin-py): expose swaption volatility structures to Python#617
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This change adds Python bindings for swaption volatility surfaces via the new `swaptionvol` module, making them available under the `termstructures` submodule. **New Python bindings:** * Added `crates/itofin-py/src/swaptionvol.rs` and registered the new module in `lib.rs`, wiring `SwaptionVolatilityStructure`, `VolatilityType`, and `ConstantSwaptionVolatility` into the `termstructures` submodule. * `SwaptionVolatilityStructure` provides the shared `volatility`, `black_variance`, and `shift` accessors addressed by option and swap tenor. * `ConstantSwaptionVolatility` exposes fixed-reference-date constructors, including a `with_quote` form that reads volatility from a caller's quote. **Stub updates:** * Added hand-written stubs in `termstructures.pyi` for the new classes and updated the submodule-to-source maps in `__init__.pyi` and `termstructures.pyi` to include `src/vol.rs`, `src/helpers.rs`, and `src/swaptionvol.rs`.
This adds Python bindings for pricing swaptions off a swaption volatility surface instead of a short-rate model. **New pricing engine module:** * Added `swaptionengine.rs` exposing `PyBlackSwaptionEngine` and `PyCashAnnuityModel`, registered under a new `pricingengines` submodule on `itofin`. * Wired the new submodule into `lib.rs` so it is importable as `itofin.pricingengines` alongside the existing eight submodules. **Swaption pricing update:** * Added `set_black_engine` to `PySwaption`, letting a swaption price off a swaption volatility surface. The engine can be shared across swaptions and must carry the same `Settings` object the swaption was built with. **Type stubs:** * Added `pricingengines.py` and `pricingengines.pyi`, and updated the `__init__.pyi` and `instruments.pyi` stubs to expose the new module and the `set_black_engine` method.
benbenbang
enabled auto-merge (rebase)
July 27, 2026 03:13
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close #612