feat(itofin-py): add SwaptionVolatilityMatrix Python bindings#618
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This adds Python bindings for the at-the-money swaption volatility grid, bilinear over an option-tenor x swap-tenor lattice. **New surface class:** * Added `PySwaptionVolatilityMatrix` in `swaptionvol.rs`, extending `PySwaptionVolatilityStructure` and exposing two constructors: a pinned reference-date grid over fixed volatilities and a `moving` grid that floats off the evaluation date, reading each node from a live quote so a later `set_value` rebuilds the interpolation and notifies observers. * Both constructors accept optional per-node shifts and a `flat_extrapolation` flag that clamps out-of-grid queries to the nearest edge or corner vol. **Grid validation helpers:** * Added `check_grid` to reject empty or ragged `list[list[...]]` inputs before they reach the core dimension checks, and `matrix_from_rows` to convert a `list[list[float]]` into a core `Matrix`. **Registration and stubs:** * Registered `PySwaptionVolatilityMatrix` in `lib.rs` under the `termstructures` module and added the corresponding type stub in `termstructures.pyi`.
Add a new test file for the swaption volatility matrix functionality in the itofin-py crate. Closes #613
Add a test covering flat extrapolation behavior for both the fixed and moving `SwaptionVolatilityMatrix` constructors. Past the 30Y option tenor, the plain grid extends the boundary surface while the flat one clamps to the 30Y x 30Y corner vol exactly. Pinning both constructors guards against an inverted flag or a route that ignores it, which would otherwise be invisible. close #613
benbenbang
enabled auto-merge (rebase)
July 27, 2026 03:22
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close #613