feat(itofin-py): expose SabrSmileSection to Python#620
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Add a new `SabrSmileSection` class that evaluates one option expiry's volatility smile from the closed-form Hagan SABR formula at fixed parameters, with no calibration. It exposes `volatility` and `variance` queries and read-only accessors for the exercise time, ATM level, and SABR parameters. * Add `smilesection.rs` and register `PySabrSmileSection` under the `termstructures` module in `lib.rs`. * Add hand-written stubs for `SabrSmileSection` in `termstructures.pyi` and note the new source file in the sync comment. * Make `PyVolatilityType::inner` crate-visible so the smile section can reuse it. * Update the deferred-work issue reference in `swaptionengine.rs`.
This pull request adds a Python facade for the calibrated SABR swaption volatility cube, wiring it through the module registration and type stubs. **New SABR cube facade:** * Added `PySabrSwaptionVolatilityCube` in `swaptionvol.rs`, a smile cube whose every node is a SABR smile fitted to the at-the-money volatility plus the market vol spreads, calibrated by Levenberg-Marquardt on construction. * The constructor validates that `vol_spreads` and `parameters_guess` are row-major over the `(option tenor, swap tenor)` nodes and that `is_parameter_fixed` carries one flag per SABR parameter, erroring ahead of the core's dimension checks. * Exposed `atm_strike_from_tenor`, returning the strike the fitted smile is centred on for a given option and swap tenor. * Added a shared `node_grid` helper that checks the node row count and the fixed column count before converting a quote grid to core handles. **Registration and stubs:** * Registered `PySabrSwaptionVolatilityCube` in the `termstructures` module in `lib.rs`. * Added the `SabrSwaptionVolatilityCube` class definition to `termstructures.pyi`.
Add a new test module for the SABR swaption cube in the itofin-py crate to verify its behavior. Closes #615
… cube Clarify the scope of the SABR swaption vol cube bindings in both the Rust docstring and the Python stub. Note that ZABR and the generic XABR cube are a separate core track (#597) and are not bound here, and that the section-recalibration API is unported in the core, so callers must re-fit by bumping the guess or vol-spread quotes. close #615
benbenbang
enabled auto-merge (rebase)
July 27, 2026 03:27
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close #615