feat(crates): port interpolated year-on-year swap helper branch - #862
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The interpolated path of YearOnYearInflationSwapHelper was previously refused rather than ported. It now widens the date window a month past the flat one, picks a pillar from the interpolation weight or the maturity, and enforces a whole index period of observation lag on top of the index's availability lag. The Flat arm now sets its pillar date explicitly where it previously set none, but pillar_date() returns fixing_period.0 either way, so there is no observable change and the_flat_helper_pins_one_date passes unchanged. This mirrors the zero side's documented choice. Closes #847
benbenbang
enabled auto-merge (squash)
August 12, 2026 10:40
The core helper now constructs `CpiInterpolationType.Linear` instead of refusing it (#847), so the tests are reworked to assert the interpolated behaviour rather than the old rejection. **Interpolated helper coverage:** * Replace `test_an_interpolated_helper_is_refused` with a test verifying that the interpolated swap widens its observation window one month past the flat collapse and pins its pillar to the dominant interpolation weight, contrasting `Pillar.LastRelevantDate` and `Pillar.MaturityDate`. * Add `test_an_interpolated_lag_short_of_an_index_period_is_rejected` to confirm the Linear path requires a full index period of observation lag on top of availability lag, while the flat path accepts the same lag. **Test helper:** * Add `_one_helper` to build a single front-quote helper parameterised by interpolation type, pillar, and observation lag for construction-level assertions the bootstrap fixture does not vary.
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The interpolated path of YearOnYearInflationSwapHelper was previously
refused rather than ported. It now widens the date window a month past
the flat one, picks a pillar from the interpolation weight or the
maturity, and enforces a whole index period of observation lag on top
of the index's availability lag.
The Flat arm now sets its pillar date explicitly where it previously
set none, but pillar_date() returns fixing_period.0 either way, so
there is no observable change and the_flat_helper_pins_one_date passes
unchanged. This mirrors the zero side's documented choice.
Closes #847