feat(instruments): add YoY inflation cap floor instrument - #855
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Introduce a new `inflationcapfloor` module exposing the `YoYInflationCapFloor` instrument and its `YoYInflationCapFloorArguments`, and re-export them from the instruments module for public use.
Add a test module for `inflationcapfloor.rs` covering the behaviour the pricing oracle's flat-gearing fixture cannot observe: strike padding, constructor refusals, and strike de-gearing. **Testing improvements:** * Verify a cap pads a single strike to the full leg length and leaves the floor side empty. * Verify constructor refusals: a collar cannot be built from one strike vector, and a cap requires at least one rate. * Verify `setup_arguments` de-gears the strike to `(rate - spread) / gearing` and leaves the unused side as `None`. * Verify an optionlet carries a single coupon with its own strike and keeps the parent's type, and that out-of-range indices are rejected. * Verify `validate` rejects a per-coupon nominal vector that has desynced from the leg.
Move the YoY inflation optionlet price computation out of the optionlet pricer and into a shared `yoy_optionlet_price` helper in the new `pricingengines::inflation` module, so it can be reused by the cap/floor engines. * Added `pricingengines/inflation/mod.rs` and `inflationcapfloorengines.rs`, exposing `YoYInflationCapFloorEngine` and `yoy_optionlet_price`. * Replaced the private `optionlet_price_imp` method in the YoY optionlet pricer with a call to the shared `yoy_optionlet_price`. * Registered the new `inflation` module in `pricingengines/mod.rs`.
This adds a comprehensive oracle test module for the year-on-year inflation cap/floor pricing engines, ported from the QuantLib `inflationcapfloor.cpp` test suite. **Bootstrapped market fixture:** * Builds a `PiecewiseYoYInflationCurve<Linear>` from real UK RPI history and a 5% nominal curve, bootstrapped off fifteen year-on-year swap quotes. * Deliberately reproduces two `CommonVars` fixture quirks: the RPI history overruns by two months with `-999.0` sentinels that move the curve base date to 1 August 2007, and the shadowed observation lag that leaves the leg, surface, and parity swap observing zero days. **Test coverage:** * Pins the curve base date to August 2007 so a change names the sentinel fixings as its cause rather than surfacing as drifting cached values. * Verifies put/call parity (cap - floor == swap) across all three distributions, three lengths, three strikes, and two volatilities.
…loor This pull request adds two new tests for the YoY inflation cap/floor pricing engine, covering the collar identity and QuantLib's cached values. **Collar consistency test:** * Added `a_collar_is_a_cap_less_a_floor_and_each_is_its_optionlets`, verifying that cap minus floor equals collar within `1e-6` across all distributions, lengths, strikes, and volatilities. * Un-nested the per-optionlet recomposition so it runs unconditionally, giving the `optionlet(n)` accessor real coverage by rebuilding each instrument's NPV from its optionlets. **Cached value test:** * Added `a_two_year_cap_and_floor_match_the_cached_values`, pinning a two-year cap and floor struck at 2.95% on 1% volatility against QuantLib's cached values for the Black, UnitDisplaced, and Bachelier distributions. * Uses a 1e6 nominal to reproduce the cached figures, matching QuantLib's `CommonVars` rather than the stale 10e6 comments in the C++ source. close #851
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close #851