feat(itofin-py): expose CapFloor instrument to Python - #629
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Add Python bindings for cap and floor instruments built through the standard MakeCapFloor market builder. The new `CapFloor` and `CapFloorType` classes are registered in the `instruments` module. **New instrument bindings:** * Added `crates/itofin-py/src/capfloor.rs` implementing `PyCapFloor` and `PyCapFloorType`, registered in `lib.rs` under the `instruments` module. * The `Collar` variant is intentionally not exposed since it has no construction path from Python yet. **Stubs and tests:** * Updated `instruments.pyi` with hand-written stubs for `CapFloor` and `CapFloorType`, documenting the unit-nominal single-strike leg and the zero forward-start behavior that avoids a historical index fixing. * Added `tests/test_capfloor.py` covering the new instrument.
This change adds Python bindings for caplet/floorlet volatility surfaces, making them available under the `termstructures` module. **New optionlet volatility bindings:** * Added `crates/itofin-py/src/optionletvol.rs` implementing `PyOptionletVolatilityStructure` and `PyConstantOptionletVolatility`. * Registered both classes in the `termstructures` module in `lib.rs`. * `OptionletVolatilityStructure` exposes `volatility`, `volatility_date`, `black_variance`, and `displacement` on a single option axis. * `ConstantOptionletVolatility` provides a fixed-reference constructor and a quote-backed `with_quote` factory that tracks its `SimpleQuote`. **Stubs and tests:** * Extended `termstructures.pyi` with hand-written stubs for the new classes. * Added tests covering constant volatility queries, Black variance, and quote-backed surfaces reacting to `set_value`.
Expose the shifted-lognormal Black cap/floor engine to Python and wire it into cap/floor instruments so each optionlet prices off an optionlet volatility surface. * Add the `PyBlackCapFloorEngine` binding with a surface-handle constructor and a `with_flat_vol` builder, registered under `pricingengines`. * Add `set_black_engine` on `CapFloor` to attach the engine, requiring it to resolve dates against the same `Settings` object as the instrument. * Reject normal-volatility surfaces and displacements that disagree with the surface's own shift. * Add Python tests covering finite/positive NPVs, strike sensitivity, volatility sensitivity, constructor equivalence, and validation errors. * Update the `instruments` and `pricingengines` type stubs. Closes #621
benbenbang
enabled auto-merge (rebase)
July 27, 2026 05:14
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close #621