feat(itofin-py): add SwapIndex Python binding - #619
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This pull request exposes the core swap index to Python, so the volatility cubes can read the at-the-money forward from a vanilla swap's fair rate. **New SwapIndex binding:** * Added `crates/itofin-py/src/swapindex.rs` defining `PySwapIndex`, assembled from the index tenor, forecasting Euribor index, and fixed-leg conventions. * Registered `PySwapIndex` in the `indexes` module in `src/lib.rs`. * Supports both the default constructor (forecasting and discounting off the ibor index's forwarding curve) and `with_exogenous_discount` (discounting off a separate curve), plus `fixing`, `fixed_leg_tenor`, and `exogenous_discount` inspectors. **Supporting changes:** * Added a `PyPeriod::from_inner` helper in `src/time.rs` for inspectors that return a `Period`. * Extended the hand-written stubs in `indexes.pyi` with the `SwapIndex` type and its new imports.
This adds a Python binding for the smile cube that layers bilinearly-interpolated volatility spreads over an at-the-money surface. **New volatility cube facade:** * Added `PyInterpolatedSwaptionVolatilityCube` in `swaptionvol.rs`, extending `PySwaptionVolatilityStructure` so the inherited `volatility` query takes a real strike, reading the at-the-money forward and vol off the base swap indexes and `atm_vol` and adding the interpolated spread. * Validated the `vol_spreads` grid shape here, enforcing one row per `(option tenor, swap tenor)` node and one column per strike spread, and wired the quotes into the core cube. * Exposed `atm_strike_from_tenor` on the concrete cube to serve the at-the-money strike a caller needs to place a smile query. **Registration and supporting changes:** * Registered the new class in the `termstructures` module in `lib.rs`. * Dropped the `dead_code` allowance on `PySwapIndex::inner`, now consumed by the cube facade. * Added hand-written stubs for `InterpolatedSwaptionVolatilityCube` in `termstructures.pyi`.
benbenbang
enabled auto-merge (rebase)
July 27, 2026 03:24
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close #614