Module stores 

The market stores a Python caller pins — survival, inflation, base correlation, FX volatility — and the bond handle three products are written on.

Each class is a frozen handle over the core’s own type. The one accessor each store carries is the passive instantiation a pricer uses — the same trait method under f64 — so a number read here is a number the valuation would have read.

Structs

PyBaseCorrelation

A base-correlation skew across an index’s capital structure.

PyCmsSpreadCorrelationCurve

The market’s correlation between two swap indices’ rates by option expiry in years — linear between pillars, flat beyond them — or one flat mark with no pillar.

PyCpiVolSurface

A zero-coupon CPI option volatility surface over expiry × annualised zero-coupon strike — what a zero-coupon inflation cap, floor or collared CPI notional reads, pinned per price index. Lognormal is Black-76 on the forward index ratio I(T)/I(T0) at strike (1+k)^τ; normal is Bachelier on the same ratio, the vol in ratio units. Read at the time from the first of the month of (valuation − lag) to maturity − lag, ACT/365F.

PyCreditVolSurface

The Black volatility of a credit name’s forward CDS spread by option expiry, in years: linear in total variance between quoted expiries, flat beyond them.

PyFixedRateBond

A fixed-rate bullet bond — the underlying a callable, a forward and a total-return swap are written on. Not an instrument: the core values a plain bond only through the products written on it.

PyFutureOptionVolSurface

A listed bond future’s option vol surface over listed expiry dates × strikes per 100 face — what every option exercising into that contract reads, pinned per contract with MarketContext.with_future_option_vols. Lognormal is a Black-76 price vol; normal a Bachelier price vol in points per year. Sticky-strike: linear in vol between strikes, linear in total variance between expiries, flat beyond every edge; time is day_count (ACT/365F unless stated) from reference.

PyFxVolSmile

An FX volatility surface: one smile per expiry, quoted as market strangles under a delta convention. One expiry’s smile: (quote, vol) nodes, the quote spelled as the market spells it — "25P", "ATM", "25C" — held from the lowest strike’s quote to the highest’s. A value of its own, so a caller can build one from the market’s three quotes or from nodes, read its nodes back, and hand it to a surface.

PyFxVolSurface

An FX volatility surface: one smile per expiry.

PyInflationCurve

An inflation index-level curve.

PyRateVolSurface

A rate volatility surface on an expiry × tenor grid — the swaption vols a swaption reads, and the yield vols a bond option reads — optionally carrying a smile in absolute rate strikes, which a cap reads.

PyRepoSpreadCurve

A repo spread: the simple spreads a desk marks — GC against the overnight curve, a special against GC — at dated pillars, linear between them and flat outside, accruing on a money-market basis. Pinned with MarketContext.with_repo_spread over a base, it adds in simple-rate space, 1/P = 1/P_base + s·τ, and its pillars report risk on the repo axis.

PySpreadCurve

A spread curve: a continuously compounded spread over a date, applied on top of the discounting a security is priced on. Dated, its pillars are free parameters and report risk on the security_spread axis; flat, it is declared data and reports none.

PySurvivalCurve

A survival curve: an issuer’s or an index’s probability of surviving to a date.

PyYieldMoments 🔒

A bond’s dirty price and its first two yield derivatives at one yield, from one second-order pricing pass. Every yield-space measure is a ratio of these, so a caller wanting duration, convexity and DV01 together prices once and reads three.

PyYoyVolSurface

A year-on-year inflation optionlet volatility surface over expiry × absolute YoY strike — what a YoY cap, floor or collared YoY coupon reads, pinned per price index. Normal (Bachelier) or lognormal (Black), a lognormal one optionally displacement-shifted (a displacement of one prices on 1 + rate). Each optionlet reads it at the time from the first of the month of (valuation − lag) to its period end − lag, ACT/365F.

Enums

PyCmsSpreadCorrelationInput 🔒

A CMS spread correlation as a caller hands it to the market: a number (the flat mark) or a term structure.

PyDeltaConvention 🔒

How an FX delta is quoted: Spot or Fwd, each plain or premium-adjusted (PaSpot, PaFwd).

PyLevelInterpolation 🔒

How an inflation curve reads an index level between its nodes: Linear in the level, or LogLinear (linear in its logarithm).

PySmileInput 🔒

One smile of a surface as Python spells it: the market’s quote quadruple, or a built smile at its expiry.

PyStrikeAxis 🔒

What a cube’s strikes measure: an Absolute rate, or a SpreadToAtm over the forward.

PyVolConvention 🔒

How a rate volatility is quoted: Normal (basis-point) or Lognormal.

PyYieldConvention 🔒

The convention a quoted yield is stated under: a street convention (UsStreet, UkGilt, DeGovt, or the bond’s own Default), a fixed compounding (Annual … Monthly, Continuous, Simple), or one of the two conventions that are not a discounting relationship (Ise, JapaneseSimple). Every yield_convention parameter takes the member or its spelling ("ust", "semiannual", "jgb").

Functions

on_strike_axis 🔒

A surface moved onto the strike axis the caller named. Reading a smile at spreads to the at-the-money forward is the swaption market’s convention, so it is named at construction rather than derived from the numbers, which cannot tell a 1% strike from a 100bp spread.

parse_yield_basis 🔒

The yield basis a quote is stated on, from the convention a caller named.