feat(itofin-py): expose moving cap/floor surfaces and extrapolation - #631
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This adds the floating-reference-date constructors and extrapolation controls needed by the optionlet stripping pipeline. Partially discharges #627: the `capfloortermvol.rs` / `CapFloorTermVolSurface` site listed there is done here. It was not optional polish - without it the #623 pass is unbuildable, since the adapter reads its settlement days back off the term-vol surface. What remains under #627 is the two `ConstantSwaptionVolatility` and two `ConstantOptionletVolatility` moving forms. **Moving CapFloorTermVolSurface constructors:** * Added `moving` and `moving_with_quotes` static methods to `CapFloorTermVolSurface`, whose reference date floats `settlement_days` off the evaluation date, over fixed volatilities or the caller's quotes. * These carry the settlement days `StrippedOptionletAdapter` reads back off the stripper; a fixed-reference surface has none and fails the adapter with "settlement days not provided for this instance" (`strippedoptionletadapter.rs:87` -> `optionletstripper.rs:241` -> `termstructures/mod.rs:227`). * Updated the type stubs and module docs to reflect that all four core constructors are now exposed; the stale "not exposed" claims are gone rather than re-pointed. **Optionlet volatility extrapolation:** * Added `allows_extrapolation`, `enable_extrapolation`, and `disable_extrapolation` to the optionlet volatility surface, since a stripped surface ends at its last optionlet fixing and a cap whose own last caplet fixes there queries the boundary. **Docs:** * The deferred moving constant optionlet constructors keep their deferral and now cite #627.
This pull request adds Python bindings for the cap/floor optionlet stripping stack, closing the volatility loop from market cap term volatilities to a caplet surface. **New optionlet stripping facades:** * Added `PyOptionletStripper1` that bootstraps caplet volatilities out of a `CapFloorTermVolSurface` and an `Euribor` index, exposing `switch_strike` and `atm_optionlet_rates` queries. Stripping is lazy and cached, and the `Normal` volatility type fails at the strip. * Added `PyStrippedOptionletAdapter`, extending `PyOptionletVolatilityStructure`, which serves the stripper's caplet grid as an interpolated volatility surface so a `BlackCapFloorEngine` reprices the quoted caps. * Registered both classes in the `termstructures` module and dropped the now-used `dead_code` allow on `PyCapFloorTermVolSurface::inner`. **Type stubs:** * Added `OptionletStripper1` and `StrippedOptionletAdapter` definitions to `termstructures.pyi`, documenting the moving-surface requirement, discount and frequency fallbacks, and the extrapolation caveat.
Add a new test file `crates/itofin-py/tests/test_optionlet_stripping.py` to validate optionlet stripping behavior. Closes #623
Extend the cap/floor term vol tests to exercise the two moving constructors alongside the pinned ones, so a transposed grid cannot hide behind the flat fixture the stripping oracle relies on. **Cap/floor term vol surface**: * Add `_moving_matrix_surface` and `_moving_quote_surface` fixtures at zero settlement days, pinning their reference date to the evaluation date via a shared `SETTINGS` on `REFERENCE`. * Parametrize node recovery over all four constructors and the quote bump test over both quote forms. **Optionlet stripping**: * Thread an `optionlet_frequency` argument through `_stripper` and add a test proving a 1Y override on a 6M index halves the caplet count, confirming the argument reaches the core rather than being dropped by the facade. * Strengthen the anti-tautology guard assertion message to explain why a non-zero worst round-trip error proves the stripped vols differ from the flat input. close #623
benbenbang
enabled auto-merge (rebase)
July 27, 2026 05:27
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close #623