feat(itofin-py): add MakeVanillaSwap builder facade - #628
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This pull request exposes the market-convention swap builder to Python so callers can state conventions instead of hand-building two schedules. The builder derives both schedules, the fixed-leg tenor and day count, and the discounting engine from a swap tenor and an Ibor index. **New MakeVanillaSwap facade:** * Added `PyMakeVanillaSwap` in `swap.rs`, a `#[pyclass]` wrapping the core `MakeVanillaSwap`. Since the core `with_*` chain consumes the builder by value, overrides are taken as constructor keywords and the chain is assembled inside `build`. * Exposed the four overrides the pass-A swaption fixture needs (`effective_date`, `nominal`, `fixed_leg_tenor`, `fixed_leg_day_count`); every other core override keeps its default. * `fixed_rate=None` builds a par swap; `build` returns a `PyVanillaSwap` that already carries its `DiscountingSwapEngine`, and added `PyVanillaSwap::from_inner` to wrap the lowered swap. **Registration and stubs:** * Registered `PyMakeVanillaSwap` under the `instruments` module in `lib.rs`. * Added the `MakeVanillaSwap` class stub to `instruments.pyi`. * Added `tests/test_make_vanilla_swap.py` covering the new builder.
Add a `BlackVolTimeExtrapolation` enum (`FlatVolatility`, `UseInterpolator`, `LinearVariance`) and a `time_extrapolation` parameter to `BlackVarianceCurve`, letting callers pick the rule applied past the curve's last node. The parameter defaults to `FlatVolatility` to match the C++ default, and construction now goes through `with_interpolator` to thread the choice into the core. `UseInterpolator` builds and answers in-range queries but errors on any extrapolating query rather than silently substituting another rule, surfacing an `ItofinError` from the query itself. Tests cover the flat default, linear variance continuation, and the deferred `UseInterpolator` failure. Closes #531 close #531
benbenbang
enabled auto-merge (rebase)
July 27, 2026 05:04
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close #531