Asset swap bindings

C, Go and Python expose the existing Rust par, full-maturity AssetSwap. The API is additive. It does not implement market swaps, amortizing or callable bonds, overnight indexes, custom final repayments or a complete QuantLib facade. Only existing plain fixed-rate and zero-coupon bullet bonds are accepted.

Terms and results

Item	Contract
pay_bond_coupon	Pay the bond leg and receive floating when true; reverse both signs when false
Clean price	Quote per 100 at the floating schedule start, not currency NPV
Spread	Absolute floating spread in decimal rate units
Floating schedule	Optional; defaults to backwards generation from bond settlement to full maturity using index tenor/calendar/convention, without EOM
Floating day counter	Optional; defaults to the index day counter
Engine	Live discount curve, identical bond/index/engine Settings, native date and flow defaults
NPV and leg NPVs	Signed currency amounts at the engine NPV date
Floating BPS	Signed currency change for a one-basis-point spread increase
Fair spread	Absolute spread zeroing NPV, not an incremental spread correction

An explicit floating schedule must end at convention-adjusted full bond maturity. Floating payments are Following-adjusted. The floating leg includes a dirty-price upfront payment and final notional exchange. Nonpar bullet redemptions are retained.

Fair clean price caveat: the native formula zeroes NPV only when the upfront payment is included in valuation. With upfront excluded on the reference date it still returns the native formula, not a zero-NPV reconstruction. A seasoned deal whose upfront predates the curve reference date fails rather than fabricating a fair clean price.

Python

from itofin.instruments import AssetSwap

swap = AssetSwap(True, bond, 97.25, index, 0.0017, floating_schedule)
swap.set_engine(discount_curve, settings)
value = swap.npv()
fair_spread = swap.fair_spread()

Inspectors include clean price, spread, upfront date, payer direction and the always-true par flag. Signed bond/floating NPVs, floating BPS, fair clean price, calculate/recalculate, freeze/unfreeze, cached state and expiry are available. Python classes are unsendable and retain their native inputs after wrapper deletion.

Go and C

Go uses Session.NewAssetSwap(AssetSwapConfig{...}) and AssetSwap.SetEngine(discount, settings). Pass the existing bond's *Bond, for example &fixedBond.Bond. A nil FloatingSchedule generates the native default; a nil FloatingDayCounter selects the index counter.

C uses ItofinAssetSwapConfig and itofin_asset_swap_new. Zero schedule/counter handles select their respective defaults. itofin_asset_swap_value selects the scalar query documented in the generated header. Outputs are written only after success. Generic handle release and context/thread ownership rules apply.

Bond terms are captured by an unpriced structural snapshot sharing the exact original cashflows and Settings. Source bond engine/cache/freeze changes remain independent. Swap pricing retains the live index forwarding curve, discount curve, fixings and Settings. Silent flow/fixing policy changes invalidate the swap directly. Freeze pins cached values; explicit recalculate reprices while frozen. Distinct Settings allocations or mixed Go sessions are rejected.

See the Go binding contract for session/thread, Close and pointer requirements. This bounded facade adds no core pricing math.

Numerical evidence

The asset_swap_native.tsv fixtures are independently generated scalar outputs from the separately installed QuantLib 1.43 Python wheel. They are not copied QuantLib source tests and do not identify that wheel with the local 1.43-dev source revision. Eight profiles cover fixed/zero bonds, payer reversal, negative rates, scaled notional, nonpar redemption and upfront inclusion/exclusion. Behavior tests also check signed BPS, fair-spread reconstruction and lifecycle.