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Joint yield curves

JointYieldCurves fits two mutually coupled curves in one solve. Both members use Discount traits, LogLinear interpolation and GlobalBootstrap. Member 0 forecasts the base Ibor index; member 1 forecasts the other index. This API requires v0.27.0 or newer.

Prepare two plain helper lists and IborIborBasisSwapRateHelper templates. Each template retains its live quote, tenor, calendar/convention, settlement lag, end-of-month choice, both index prototypes and exogenous discount curve. bootstrap_base_curve=True contributes to member 0; False contributes to member 1. Both sides are required, with the same index objects and settings throughout. The assembler copies basis templates onto private forecast links; their original quote/date inspectors remain usable, but they are not rebound to the joint curves.

joint = JointYieldCurves(
    reference_date, fra_helpers, swap_helpers, basis_templates, day_counter,
)
curve3m, curve6m = joint.curve(0), joint.curve(1)
del joint
print(curve3m.discount(5.0))

joint, err := session.NewJointYieldCurves(itofin.JointYieldCurvesConfig{
    ReferenceDate: reference, FirstHelpers: fraHelpers,
    SecondHelpers: swapHelpers, BasisHelpers: basisTemplates,
    DayCounter: dayCounter, Accuracy: 1e-10,
})
if err != nil { return err }
defer joint.Close()
curve3m, err := joint.Curve(0)
if err != nil { return err }
defer curve3m.Close()

Every exported curve retains both contributors. Indices and instruments built from these curves can outlive the assembler and input wrappers. Plain helper lists must contain distinct helpers with no live curve owner; reserve them for this assembly. Solver failures remain ordinary errors on curve queries. FlatForward.from_quote / NewFlatForwardFromQuote supplies a live discount curve. IborIndex.add_fixing / AddFixing notifies retained and cloned indices; conflicting stored fixings are rejected.

The complete Python fixture and Go fixture reproduce QuantLib's testMultiCurveTwoPiecewiseYieldCurves: independent FRAs use 1e-12 relative tolerance and independent swap NPVs use 1e-10 absolute tolerance. Fixing-update cases retain future coupons; a fully fixed short basis instrument cannot independently constrain a new forecast node.