feat(volatility): add year-on-year inflation optionlet volatility - #852
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Add a new `inflation` module under the volatility term structures with year-on-year optionlet volatility surfaces. This introduces support for inflation-linked option pricing volatility. **New volatility structures:** * Added `ConstantYoYOptionletVolatility` for a flat year-on-year optionlet volatility term structure. * Added `YoYOptionletVolatilitySurface` for a full year-on-year optionlet volatility surface. * Wired the new `inflation` module into the volatility module and re-exported the new public types.
This pull request adds a test module for the constant YoY inflation optionlet volatility surface, verifying the date arithmetic and behaviour described in QuantLib's `inflationcapfloor.cpp`. **Test coverage:** * Verifies the base date snaps to the start of the publication period when the index is not interpolated, and stays on the exact lagged date when it is. * Checks that total variance accrues over the lag handed to `time_from_base` rather than the surface's own lag. * Confirms the volatility is flat across dates and strikes and stays live to its underlying quote, firing observers on relink. * Ensures dates before the base date and strikes off the domain are rejected, and that enabling extrapolation lifts the strike bound.
Extend `YoYInflationCouponPricer` with default-erroring `caplet_rate` and `floorlet_rate` methods, so a swaplet-only pricer refuses every optionlet while a `CappedFlooredYoYInflationCoupon` can query them from a pricer that carries an optionlet volatility surface. Add the `yoyinflationoptionletpricer` module and export `YoYInflationOptionletCouponPricer` and `YoYOptionletDistribution`, the vol-dependent pricer that prices the intrinsic case and knows the surface whose base date decides whether a coupon is determined. Update the module docs to reflect that the vol-dependent pricers landed with `#838` rather than being deferred.
Introduce a new `CappedFlooredYoYInflationCoupon` type in the cashflows module and expose it through the module's public API.
This adds cap and floor support to the year-on-year inflation leg builder, completing the deferred `CappedFlooredYoYInflationCoupon` branch. **Builder cap and floor support:** * Added `with_caps`, `with_caps_per_coupon`, `with_floors`, and `with_floors_per_coupon` to `YoYInflationLeg`, storing per-coupon cap and floor rates that broadcast the last entry over remaining coupons. * Split coupon construction into a shared `raw_coupons` helper, exposing plain coupons through `coupons` and wrapped ones through the new `capped_floored_coupons`, with `build` erasing whichever the cap and floor lists select. * Withheld the default swaplet pricer once a cap or floor is set, since a capped coupon needs a pricer carrying an optionlet volatility that the caller installs. * Validated that cap and floor lists do not exceed the schedule periods. **Pricer installation:** * Added the `AttachYoYInflationPricer` trait and `set_yoy_coupon_pricer` free function so a plain or capped/floored leg can be priced the same way without downcasting an erased `Leg`. **Tests:** * Added coverage for a capped leg withholding the default pricer and broadcasting its caps, installing a pricer across a capped leg, and rejecting an oversized cap list.
Added a new test module `capflooredyoyinflationcoupon_oracle` and registered it in the cashflows module under `#[cfg(test)]` to validate the capped/floored year-on-year inflation coupon behavior.
Add oracle tests for the capped/floored YoY inflation coupon pricer, verifying its behavior across every optionlet distribution. * A determined coupon (fixing on or before the surface base date) pays its exact intrinsic optionlet with no volatility read. * A live coupon prices under its own distribution, routing to the matching Black, unit-displaced, or Bachelier formula with the surface implied standard deviation, and each distribution yields a distinct rate so the fixture can tell them apart. * A negative gearing floors a capped coupon, striking the floorlet at the de-spread, de-geared level swapped in from the cap argument rather than the argument itself. close #838
Explain in the constant YoY optionlet vol surface why the C++ `VolatilityType` and `displacement` constructor arguments are omitted rather than accepted and ignored. The coupon pricer names its own distribution, so omitting these prevents a caller from silently quoting a normal volatility and being priced lognormally. They return with the optionlet strippers and cap/floor engines that read them (#851).
Extend the negative-gearing floor test to check that the capped/floored YoY inflation coupon wrapper exposes the underlying's nominal, accrual dates and payment date, and that `amount` accrues the capped rate over them - the path an erased `Leg` reaches, previously untested. Also clarify the inflation volatility module docs on why the trait carries no time-based queries, citing the C++ source lines and noting the unused raw `volatility(Time, Rate)` the port omits.
benbenbang
enabled auto-merge (rebase)
August 11, 2026 07:48
benbenbang
changed the title
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close #838