Normal and lattice cap/floor pricing

Version 0.27.0 adds BachelierCapFloorEngine, TreeCapFloorEngine, and CapHelper in Rust, Python and Go.

Use the Bachelier engine for normal volatility, including negative rates and strikes. Volatility is expressed in absolute rate units: 0.01 means 100 basis points. Construct it from a normal optionlet surface or an observable flat quote. The engine returns NPV and aggregate vega; a collar is long the cap and short the floor. Live quotes, curves and evaluation dates invalidate cached valuations.

from itofin.pricingengines import BachelierCapFloorEngine
from itofin.quotes import SimpleQuote

normal_vol = SimpleQuote(0.01)
engine = BachelierCapFloorEngine.with_flat_vol(
    discount_curve, normal_vol, day_counter, settings
)
cap.set_bachelier_engine(engine)
value = cap.npv()
vega = cap.results().additional_results["vega"]

TreeCapFloorEngine(model, time_steps) prices through a retained HullWhite model. Its fixed-grid constructor accepts the complete mandatory time list, sorts and deduplicates it, and inserts zero without subdivision. Missing coupon reset or payment nodes return an error. A moving reference date can invalidate a fixed grid; rebuild the grid from the helper's current mandatory times.

from itofin.pricingengines import TreeCapFloorEngine

tree = TreeCapFloorEngine(model, 100)
cap.set_tree_engine(tree)
value = cap.npv()

The tree engine requires the first accrual start to be at or after the model curve's reference date. Rust's DiscretizedCapFloor also supports known historical fixings when initialized on a suitable lattice. Other short-rate models and engine-level fallback curves are outside this concrete Hull-White API.

CapHelper accepts a retained SimpleQuote, an Ibor index, a discount curve, fixed leg conventions, a first-swaplet flag, an error type and a volatility type. Normal quotes use Bachelier prices; shifted-lognormal quotes preserve the existing Black path. mandatory_times() supplies reset and payment times; set_tree_engine() selects model pricing. HullWhite.calibrate_caps() fits these helpers on a tree and optionally fixes mean reversion. Model queries rebuild the ATM strike and schedule so curve and date changes are reflected.

Go uses Session.NewBachelierCapFloorEngineFlat, Session.NewTreeCapFloorEngine, Session.NewCapHelper, and HullWhite.CalibrateCaps. Inputs must share a session. Native engines and helpers retain their dependencies after input wrappers close; closing the session ends all access.

Independent QuantLib 1.43 fixtures pin cap/floor/collar prices, normal vegas, negative-rate and zero-volatility cases, and the calibrated Hull-White sigma. Rust also checks lattice refinement against the analytic cap price.