Module rate_vol 

Rate volatility surfaces: at-the-money vols on an expiry × tenor grid, as a market-data store.

A swaption market quotes one vol per (option expiry, underlying tenor) under an explicit VolConvention — normal (Bachelier) or lognormal (Black-76) — and the convention is authoritative: the engine that prices off the surface is chosen by the data, never inferred from the rate level. Both axes are year fractions, not dates, because the same grid serves a second reader: a bond option queries the tenor axis at the underlying’s forward modified duration, which has no date. The surface is unit-agnostic on purpose; the reader decides what it passes.

Like the FX vol store this one holds passive f64 node vols and lifts them: a view interpolates in the pricing mode, so a queried vol carries the adjoints of the nodes it read and vega per node arrives on its own risk axis from the ordinary risk pass.

Interpolation (the named rule): linear in vol across the tenor axis, then linear in total variance σ²·T across the expiry axis, with flat vol extrapolation beyond either grid edge. A uniform bump of every node therefore does not move an interpolated vol by the same amount — node vega is what a desk hedges with, and the sum of node vegas is not the vega of the interpolated vol.

Structs

RateVolSurface

A rate vol surface over (expiry_years, tenor_years), optionally carrying a smile in absolute rate strikes.

RateVolView

A surface lifted into mode R.

Enums

RateSmile

A rate smile as a registry holds it: a grid, or a SABR surface beside it.

RateSmileRef

A rate smile as a registry holds it, borrowed.

RateSmileView

A rate smile lifted into mode R, whichever representation it is.

RateVolError

A surface that cannot be built or cannot answer.

StrikeAxis

What the numbers on a surface’s strike axis measure.

VolConvention

The quoting convention a rate vol is expressed in.

Functions

ascending_axis 🔒

Strictly ascending, finite, non-empty.

interpolate 🔒

Linear interpolation of vals over nodes at x, flat outside, in the mode. The coordinate is passive: the segment and the weight are plain arithmetic and only the node vols carry derivatives.

interpolate_in 🔒

interpolate with the coordinate itself in the mode: the segment is chosen on the passive value, the weight is mode arithmetic, so a query at a market-dependent coordinate (a bond option’s forward duration) carries the coordinate’s adjoints as well as the nodes’.

rate_basis_points

A rate strike as basis points — the exactly comparable form a risk key carries, signed because a cap market quotes a strike below zero. Strikes are small rates, so the product is a modest integer and the cast can neither truncate nor overflow.

years_basis_points

A year fraction as basis points of a year — the exactly comparable form a risk key carries. Grid pillars are small positive year counts, so the product is a modest positive integer and the cast can neither truncate nor lose a sign.