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Implied Black volatility term structure

ImpliedVolTermStructure is an additive Rust-core wrapper over a live Handle<dyn BlackVolTermStructure>. It rebases Black variance to a fixed future reference date. No C, Go or Python facade is added.

Contract

  • Original forward variance: W(shift + t, strike) - W(shift, strike).
  • shift uses the current original day counter and reference date on every query. The implied reference date stays fixed after evaluation-date changes.
  • Volatility is sqrt(variance(t) / t). At exactly t = 0, both variance and denominator use 1e-5; positive times smaller than 1e-5 are not clamped.
  • Maximum date, strike bounds and day counter follow the live original link. Maximum time is measured from the implied reference date.
  • The wrapper has no calendar or settlement days. Its business-day convention is Following, matching the upstream fixed-date constructor.
  • The wrapper's extrapolation starts disabled and is independent of the original curve. Public date/time/strike checks run before the original's internally extrapolating forward-variance query.
  • Existing parent checks reject nonfinite or negative times, nonfinite strikes, invalid variance and nonfinite volatility. Decreasing forward variance is an error, not a NaN result. There is no monotonicity repair.

Use time-dependent original curves for financial interpretation. QuantLib warns that rebasing an asset-dependent smile is not financially meaningful. Strike-dependent tests exercise numerical forwarding only.

Ownership and updates

The original handle owns its current curve and forwards quote changes, relinks and moving-reference notifications. Registration uses the retained base updater and existing weak observer graph, without caches or additional listeners. Dropping the wrapper releases its curve ownership and updater.

Construction permits an empty handle for later linking. Numerical queries return errors when the current link, day counter or valid reference date is missing. Empty-link inspectors return no day counter, the null maximum date and unbounded strike sentinels, following existing parent conventions.

Validation and limits

  • Inspected source: QuantLib 9863b578af0caa4cecabf697196533e84a8308b6.
  • Compiled numerical reference: PyPI QuantLib==1.43, a distinct revision. Its wheel lacks the implied wrapper. Fixtures use compiled original forward variance with the inspected rebasing/zero-time-adapter laws, not a claimed compiled wrapper execution.
  • Reproducible generator and provenance: crates/libitofin/tests/fixtures/medium_implied_vol/.
  • Tests include nonflat curves, a different-day-counter relink, live settings and quotes, bounded strikes, extrapolation, zero/tiny time and lifecycle.

Very short forward intervals can lose relative accuracy when subtracting two near-equal total variances, as in the original forward-variance contract. This wrapper does not substitute a numerical derivative or stabilize the original curve's variance subtraction.

No new process, pricing engine, mutable calibration API or release is included.