libitofin 0.14.0

//! Interpolated (spread) swaption volatility cube.
//!
//! Port of `ql/termstructures/volatility/swaption/interpolatedswaptionvolatilitycube.{hpp,cpp}`:
//! `class InterpolatedSwaptionVolatilityCube : public SwaptionVolatilityCube`.
//! The simpler of the two concrete cubes: it interpolates the market
//! volatility spreads directly (no SABR fit). It embeds the
//! [`SwaptionVolatilityCube`] framework (#594) and holds one
//! [`BilinearInterpolation`] per strike spread, each over the
//! option-time by swap-length grid of that strike's spreads.
//!
//! ## Composition, not inheritance
//!
//! C++ derives from `SwaptionVolatilityCube`; Rust embeds it. The concrete cube
//! supplies the [`SwaptionCubeSmileSection`] smile hook and implements the
//! [`SwaptionVolatilityStructure`] trait, routing `volatility_impl` through the
//! base's provided [`cube_volatility_impl`](SwaptionCubeSmileSection::cube_volatility_impl).
//!
//! ## Lazy refresh
//!
//! C++ rebuilds `volSpreadsInterpolator_` in `performCalculations`, aliasing the
//! spread matrices by reference so a quote bump is seen for free. The Rust
//! [`BilinearInterpolation`] owns its `z`, so - exactly as
//! [`SwaptionVolatilityMatrix`](super::SwaptionVolatilityMatrix) does - the
//! per-strike interpolators live behind a [`RefCell`] and every query routes
//! through [`calculate`](InterpolatedSwaptionVolatilityCube::calculate) first;
//! `perform_calculations` re-reads the vol-spread quotes and rebuilds all
//! interpolators. A [`CubeUpdater`] registered on the base observable invalidates
//! the lazy state on a quote bump (the #594 base already registers every
//! vol-spread quote into the discrete base updater chain) or an evaluation-date
//! move.
//!
//! ## The smile section
//!
//! `smileSectionImpl` has two layers (interpolatedswaptionvolatilitycube.cpp:68-108):
//! the time-based hook converts `(option_time, swap_length)` back to
//! `(option_date, swap_tenor)`, adjusting the option date to a valid fixing date
//! on the relevant base index's calendar; the date-based body reads the ATM
//! forward and vol from the ATM surface, adds each strike's interpolated spread,
//! and returns an [`InterpolatedSmileSection`] (#593) over the resulting
//! `(strike, std_dev)` grid.
//!
//! ## Divergences from QuantLib
//!
//! - The `smileSection`/`volSpreads(i)` matrix inspectors are not exposed; the
//!   only consumer is the smile hook, which reads the interpolators directly.
//! - `referenceDate()` follows the #594 base: the Rust cube grid anchors to the
//!   moving reference (evaluation date + 0 settlement), whereas C++ delegates to
//!   `atmVol_->referenceDate()`. They agree for the expected settlement-0 moving
//!   ATM surface, which the oracle asserts.

use std::cell::RefCell;

use crate::errors::QlResult;
use crate::handle::Handle;
use crate::indexes::{Index, InterestRateIndex, SwapIndex};
use crate::math::interpolations::Interpolation2D;
use crate::math::interpolations::bilinear::BilinearInterpolation;
use crate::patterns::lazyobject::LazyObject;
use crate::patterns::observable::{AsObservable, Observable, Observer};
use crate::quotes::Quote;
use crate::settings::Settings;
use crate::shared::{Shared, SharedMut, shared, shared_mut};
use crate::termstructures::volatility::interpolatedsmilesection::InterpolatedSmileSection;
use crate::termstructures::volatility::{SmileSection, VolatilityTermStructure, VolatilityType};
use crate::termstructures::{TermStructure, TermStructureBase};
use crate::time::businessdayconvention::BusinessDayConvention;
use crate::time::date::Date;
use crate::time::daycounters::actual365fixed::Actual365Fixed;
use crate::time::period::Period;
use crate::time::timeunit::TimeUnit;
use crate::types::{Integer, Rate, Real, Time, Volatility};

use super::{SwaptionCubeSmileSection, SwaptionVolatilityCube, SwaptionVolatilityStructure};

/// Invalidates the cube's lazy state when a vol-spread quote bumps or the
/// reference date moves, so the next
/// [`calculate`](InterpolatedSwaptionVolatilityCube::calculate) rebuilds the
/// per-strike interpolators.
struct CubeUpdater {
    lazy: SharedMut<LazyObject>,
}

impl Observer for CubeUpdater {
    fn update(&mut self) {
        self.lazy.borrow_mut().invalidate_silently();
    }
}

/// Interpolated swaption volatility cube: bilinear per strike over the vol
/// spreads, added to the ATM surface's vol.
pub struct InterpolatedSwaptionVolatilityCube {
    cube: SwaptionVolatilityCube,
    interpolators: RefCell<Vec<BilinearInterpolation>>,
    lazy: SharedMut<LazyObject>,
    _updater: SharedMut<CubeUpdater>,
}

impl InterpolatedSwaptionVolatilityCube {
    /// Builds the interpolated cube off the ATM surface, the strike/vol-spread
    /// grid and the two base swap indexes (C++'s single constructor,
    /// interpolatedswaptionvolatilitycube.cpp:31-46).
    ///
    /// `vol_spreads` is row-major over the `(option tenor, swap tenor)` nodes:
    /// row `i*nSwapTenors + j` holds one quote per strike spread. `settings` is
    /// the D5 handle the moving discrete grid needs.
    ///
    /// # Errors
    ///
    /// Propagates [`SwaptionVolatilityCube::new`] (empty ATM handle, missing
    /// calendar or day counter, too few or non-increasing strike spreads, a
    /// mis-shaped vol-spread grid, or a short index longer than the long one) and
    /// the initial interpolator build.
    #[allow(clippy::too_many_arguments)]
    pub fn new(
        atm_vol: Handle<dyn SwaptionVolatilityStructure>,
        option_tenors: Vec<Period>,
        swap_tenors: Vec<Period>,
        strike_spreads: Vec<Real>,
        vol_spreads: Vec<Vec<Handle<dyn Quote>>>,
        swap_index_base: Shared<SwapIndex>,
        short_swap_index_base: Shared<SwapIndex>,
        vega_weighted_smile_fit: bool,
        settings: Shared<Settings<Date>>,
    ) -> QlResult<InterpolatedSwaptionVolatilityCube> {
        let cube = SwaptionVolatilityCube::new(
            atm_vol,
            option_tenors,
            swap_tenors,
            strike_spreads,
            vol_spreads,
            swap_index_base,
            short_swap_index_base,
            vega_weighted_smile_fit,
            settings,
        )?;
        let interpolators = build_interpolators(&cube)?;
        let lazy = shared_mut(LazyObject::new(true));
        let updater = shared_mut(CubeUpdater {
            lazy: SharedMut::clone(&lazy),
        });
        cube.observable()
            .register_observer(&(SharedMut::clone(&updater) as SharedMut<dyn Observer>));
        Ok(InterpolatedSwaptionVolatilityCube {
            cube,
            interpolators: RefCell::new(interpolators),
            lazy,
            _updater: updater,
        })
    }

    /// The embedded cube framework, for the ATM surface, strike spreads and base
    /// swap indexes.
    pub fn cube(&self) -> &SwaptionVolatilityCube {
        &self.cube
    }

    /// Rebuilds the per-strike interpolators if a vol-spread quote or the
    /// reference date has changed since they were last computed. Every query
    /// calls this first, as C++'s `smileSectionImpl` calls `calculate()`.
    ///
    /// # Errors
    ///
    /// Propagates the interpolator rebuild.
    pub fn calculate(&self) -> QlResult<()> {
        if !self.lazy.borrow_mut().start_calculation() {
            return Ok(());
        }
        let result = self.perform_calculations();
        self.lazy.borrow_mut().finish_calculation(&result);
        result
    }

    fn perform_calculations(&self) -> QlResult<()> {
        self.cube.calculate()?;
        let interpolators = build_interpolators(&self.cube)?;
        *self.interpolators.borrow_mut() = interpolators;
        Ok(())
    }

    /// The smile section for an option date and swap tenor (C++'s
    /// `smileSectionImpl(const Date&, const Period&)`,
    /// interpolatedswaptionvolatilitycube.cpp:85-108).
    fn smile_section_from_date(
        &self,
        option_date: Date,
        swap_tenor: Period,
    ) -> QlResult<Shared<dyn SmileSection>> {
        let atm = self.cube.atm_vol().current_link()?;
        let atm_forward = self.cube.atm_strike(option_date, swap_tenor)?;
        let length = self.swap_length_tenor(swap_tenor)?;
        let atm_vol = atm.volatility(option_date, length, atm_forward, false)?;
        let option_time = self.time_from_reference(option_date)?;
        let exercise_time_sqrt = option_time.sqrt();

        let strike_spreads = self.cube.strike_spreads();
        let interpolators = self.interpolators.borrow();
        let mut strikes = Vec::with_capacity(strike_spreads.len());
        let mut std_devs = Vec::with_capacity(strike_spreads.len());
        for (i, &spread) in strike_spreads.iter().enumerate() {
            strikes.push(atm_forward + spread);
            let vol_spread = interpolators[i].value(length, option_time)?;
            std_devs.push(exercise_time_sqrt * (atm_vol + vol_spread));
        }

        let shift = atm.shift_time(option_time, length, false)?;
        let section = InterpolatedSmileSection::with_exercise_time(
            option_time,
            strikes,
            std_devs,
            atm_forward,
            Actual365Fixed::new(),
            self.cube.volatility_type()?,
            shift,
        )?;
        Ok(shared(section) as Shared<dyn SmileSection>)
    }
}

/// Rebuilds one [`BilinearInterpolation`] per strike spread. Matches the base
/// matrix axis convention: `z[option_row][swap_col]`, built with `x =
/// swap_lengths`, `y = option_times`, so evaluation is `value(swap_length,
/// option_time)`.
fn build_interpolators(cube: &SwaptionVolatilityCube) -> QlResult<Vec<BilinearInterpolation>> {
    cube.calculate()?;
    let discrete = cube.discrete();
    let swap_lengths = discrete.swap_lengths()?;
    let option_times = discrete.option_times()?;
    let n_swaps = swap_lengths.len();
    let n_options = option_times.len();
    let n_strikes = cube.strike_spreads().len();
    let vol_spreads = cube.vol_spreads();

    let mut interpolators = Vec::with_capacity(n_strikes);
    #[allow(clippy::needless_range_loop)]
    for i in 0..n_strikes {
        let mut z = Vec::with_capacity(n_options);
        for j in 0..n_options {
            let mut row = Vec::with_capacity(n_swaps);
            for k in 0..n_swaps {
                let handle = &vol_spreads[j * n_swaps + k][i];
                row.push(handle.current_link()?.value()?);
            }
            z.push(row);
        }
        let interpolator =
            BilinearInterpolation::new(swap_lengths.clone(), option_times.clone(), z)?
                .with_extrapolation(true);
        interpolators.push(interpolator);
    }
    Ok(interpolators)
}

impl SwaptionCubeSmileSection for InterpolatedSwaptionVolatilityCube {
    fn smile_section_impl(
        &self,
        option_time: Time,
        swap_length: Time,
    ) -> QlResult<Shared<dyn SmileSection>> {
        self.calculate()?;
        let option_date = self.cube.discrete().option_date_from_time(option_time)?;
        let months = (swap_length * 12.0).round() as Integer;
        let swap_tenor = Period::new(months, TimeUnit::Months);
        let short_tenor = self.cube.short_swap_index_base().tenor();
        let branch_calendar = if swap_tenor > short_tenor {
            self.cube.swap_index_base().fixing_calendar()
        } else {
            self.cube.short_swap_index_base().fixing_calendar()
        };
        let option_date = branch_calendar.adjust(option_date, BusinessDayConvention::Following);
        self.smile_section_from_date(option_date, swap_tenor)
    }
}

impl AsObservable for InterpolatedSwaptionVolatilityCube {
    fn observable(&self) -> &Observable {
        self.cube.observable()
    }
}

impl TermStructure for InterpolatedSwaptionVolatilityCube {
    fn base(&self) -> &TermStructureBase {
        self.cube.base()
    }

    fn max_date(&self) -> Date {
        self.cube
            .atm_vol()
            .current_link()
            .map(|atm| atm.max_date())
            .unwrap_or_else(|_| Date::max_date())
    }
}

impl VolatilityTermStructure for InterpolatedSwaptionVolatilityCube {
    fn business_day_convention(&self) -> BusinessDayConvention {
        self.cube.business_day_convention()
    }

    fn min_strike(&self) -> Rate {
        Rate::MIN
    }

    fn max_strike(&self) -> Rate {
        Rate::MAX
    }
}

impl SwaptionVolatilityStructure for InterpolatedSwaptionVolatilityCube {
    fn volatility_impl(
        &self,
        option_time: Time,
        swap_length: Time,
        strike: Rate,
    ) -> QlResult<Volatility> {
        self.cube_volatility_impl(option_time, swap_length, strike)
    }

    fn max_swap_tenor(&self) -> Period {
        self.cube
            .atm_vol()
            .current_link()
            .map(|atm| atm.max_swap_tenor())
            .unwrap_or_else(|_| {
                self.cube
                    .discrete()
                    .swap_tenors()
                    .last()
                    .copied()
                    .expect("swap tenors are non-empty by construction")
            })
    }

    fn volatility_type(&self) -> VolatilityType {
        self.cube
            .volatility_type()
            .unwrap_or(VolatilityType::ShiftedLognormal)
    }

    fn shift_impl(&self, option_time: Time, swap_length: Time) -> QlResult<Real> {
        self.cube
            .atm_vol()
            .current_link()?
            .shift_time(option_time, swap_length, false)
    }
}

/// These tests mirror the two `swaptionvolatilitycube.cpp` cases the review gate
/// cites for the interpolated cube: `testAtmVols` (:194-211, `makeAtmVolTest`,
/// tolerance 1e-16) and `testSmile` (:214-231, `makeVolSpreadsTest`, tolerance
/// 1e-16). Both reuse the `swaptionvolstructuresutilities.hpp` `AtmVolatility`
/// 6x4 matrix (transcribed in [`SwaptionVolatilityMatrix`]'s tests) and the
/// `VolatilityCube` 3x3x5 strike/vol-spread grid, plus two hand-built
/// `EuriborSwapIsdaFixA`-convention swap indexes (long 2Y over 6M Euribor, short
/// 1Y over 3M Euribor). A third arm pins the RefCell rebuild and observer chain
/// end-to-end by bumping one vol-spread quote, and a reference-date assertion
/// pins the #594 anchoring-agreement case (both cube and ATM surface settlement-0
/// moving off the same `Settings`).
#[cfg(test)]
mod tests {
    use super::*;

    use crate::currency::Currency;
    use crate::indexes::Euribor;
    use crate::interestrate::Compounding;
    use crate::quotes::SimpleQuote;
    use crate::shared::shared;
    use crate::termstructures::volatility::SwaptionVolatilityMatrix;
    use crate::termstructures::yields::FlatForward;
    use crate::termstructures::yieldtermstructure::YieldTermStructure;
    use crate::time::calendars::target::Target;
    use crate::time::date::Month;
    use crate::time::daycounters::actual365fixed::Actual365Fixed;
    use crate::time::daycounters::thirty360::{Convention, Thirty360};
    use crate::time::frequency::Frequency;

    const BDC: BusinessDayConvention = BusinessDayConvention::ModifiedFollowing;
    const TOL: Real = 1e-16;

    fn today() -> Date {
        Date::new(15, Month::June, 2026)
    }

    fn settings_today() -> Shared<Settings<Date>> {
        let settings = shared(Settings::<Date>::new());
        settings.set_evaluation_date(today());
        settings
    }

    fn flat_curve() -> Handle<dyn YieldTermStructure> {
        Handle::new(shared(FlatForward::with_rate(
            today(),
            0.05,
            Actual365Fixed::new(),
            Compounding::Continuous,
            Frequency::Annual,
        )) as Shared<dyn YieldTermStructure>)
    }

    fn atm_option_tenors() -> Vec<Period> {
        vec![
            Period::new(1, TimeUnit::Months),
            Period::new(6, TimeUnit::Months),
            Period::new(1, TimeUnit::Years),
            Period::new(5, TimeUnit::Years),
            Period::new(10, TimeUnit::Years),
            Period::new(30, TimeUnit::Years),
        ]
    }

    fn atm_swap_tenors() -> Vec<Period> {
        vec![
            Period::new(1, TimeUnit::Years),
            Period::new(5, TimeUnit::Years),
            Period::new(10, TimeUnit::Years),
            Period::new(30, TimeUnit::Years),
        ]
    }

    /// The `AtmVolatility` 6x4 matrix (swaptionvolstructuresutilities.hpp:70-75).
    fn atm_vols() -> Vec<Vec<Real>> {
        vec![
            vec![0.1300, 0.1560, 0.1390, 0.1220],
            vec![0.1440, 0.1580, 0.1460, 0.1260],
            vec![0.1600, 0.1590, 0.1470, 0.1290],
            vec![0.1640, 0.1470, 0.1370, 0.1220],
            vec![0.1400, 0.1300, 0.1250, 0.1100],
            vec![0.1130, 0.1090, 0.1070, 0.0930],
        ]
    }

    fn cube_option_tenors() -> Vec<Period> {
        vec![
            Period::new(1, TimeUnit::Years),
            Period::new(10, TimeUnit::Years),
            Period::new(30, TimeUnit::Years),
        ]
    }

    fn cube_swap_tenors() -> Vec<Period> {
        vec![
            Period::new(2, TimeUnit::Years),
            Period::new(10, TimeUnit::Years),
            Period::new(30, TimeUnit::Years),
        ]
    }

    fn strike_spreads() -> Vec<Real> {
        vec![-0.020, -0.005, 0.000, 0.005, 0.020]
    }

    /// The `VolatilityCube` 9x5 spread grid (swaptionvolstructuresutilities.hpp:108-134),
    /// row-major over the `(option tenor, swap tenor)` nodes.
    fn vol_spreads() -> Vec<Vec<Real>> {
        vec![
            vec![0.0599, 0.0049, 0.0000, -0.0001, 0.0127],
            vec![0.0729, 0.0086, 0.0000, -0.0024, 0.0098],
            vec![0.0738, 0.0102, 0.0000, -0.0039, 0.0065],
            vec![0.0465, 0.0063, 0.0000, -0.0032, -0.0010],
            vec![0.0558, 0.0084, 0.0000, -0.0050, -0.0057],
            vec![0.0576, 0.0083, 0.0000, -0.0043, -0.0014],
            vec![0.0437, 0.0059, 0.0000, -0.0030, -0.0006],
            vec![0.0533, 0.0078, 0.0000, -0.0045, -0.0046],
            vec![0.0545, 0.0079, 0.0000, -0.0042, -0.0020],
        ]
    }

    fn atm_matrix(settings: &Shared<Settings<Date>>) -> Shared<SwaptionVolatilityMatrix> {
        let handles: Vec<Vec<Handle<dyn Quote>>> = atm_vols()
            .iter()
            .map(|row| {
                row.iter()
                    .map(|&v| Handle::new(shared(SimpleQuote::new(v)) as Shared<dyn Quote>))
                    .collect()
            })
            .collect();
        shared(
            SwaptionVolatilityMatrix::moving(
                Target::new(),
                BDC,
                atm_option_tenors(),
                atm_swap_tenors(),
                handles,
                Actual365Fixed::new(),
                VolatilityType::ShiftedLognormal,
                Vec::new(),
                Shared::clone(settings),
            )
            .unwrap(),
        )
    }

    /// The long base index: `EuriborSwapIsdaFixA(2Y)` conventions (2Y over 6M
    /// Euribor, annual 30/360 fixed leg) hand-built rather than porting the named
    /// family.
    fn long_base(
        curve: &Handle<dyn YieldTermStructure>,
        settings: &Shared<Settings<Date>>,
    ) -> Shared<SwapIndex> {
        let euribor6m = shared(Euribor::six_months(curve.clone(), Shared::clone(settings)));
        shared(SwapIndex::new(
            "EuriborSwapIsdaFixA".into(),
            Period::new(2, TimeUnit::Years),
            2,
            Currency::eur(),
            Target::new(),
            Period::new(1, TimeUnit::Years),
            BDC,
            Thirty360::with_convention(Convention::BondBasis),
            euribor6m,
            Shared::clone(settings),
        ))
    }

    /// The short base index: `EuriborSwapIsdaFixA(1Y)` conventions (1Y over 3M
    /// Euribor).
    fn short_base(
        curve: &Handle<dyn YieldTermStructure>,
        settings: &Shared<Settings<Date>>,
    ) -> Shared<SwapIndex> {
        let euribor3m = shared(Euribor::three_months(
            curve.clone(),
            Shared::clone(settings),
        ));
        shared(SwapIndex::new(
            "EuriborSwapIsdaFixA".into(),
            Period::new(1, TimeUnit::Years),
            2,
            Currency::eur(),
            Target::new(),
            Period::new(1, TimeUnit::Years),
            BDC,
            Thirty360::with_convention(Convention::BondBasis),
            euribor3m,
            Shared::clone(settings),
        ))
    }

    struct Fixture {
        atm: Shared<SwaptionVolatilityMatrix>,
        cube: InterpolatedSwaptionVolatilityCube,
        spread_quotes: Vec<Vec<Shared<SimpleQuote>>>,
    }

    fn fixture() -> Fixture {
        let settings = settings_today();
        let curve = flat_curve();
        let atm = atm_matrix(&settings);
        let atm_handle =
            Handle::new(Shared::clone(&atm) as Shared<dyn SwaptionVolatilityStructure>);

        let spread_quotes: Vec<Vec<Shared<SimpleQuote>>> = vol_spreads()
            .iter()
            .map(|row| row.iter().map(|&v| shared(SimpleQuote::new(v))).collect())
            .collect();
        let spread_handles: Vec<Vec<Handle<dyn Quote>>> = spread_quotes
            .iter()
            .map(|row| {
                row.iter()
                    .map(|q| Handle::new(Shared::clone(q) as Shared<dyn Quote>))
                    .collect()
            })
            .collect();

        let cube = InterpolatedSwaptionVolatilityCube::new(
            atm_handle,
            cube_option_tenors(),
            cube_swap_tenors(),
            strike_spreads(),
            spread_handles,
            long_base(&curve, &settings),
            short_base(&curve, &settings),
            false,
            settings,
        )
        .unwrap();

        Fixture {
            atm,
            cube,
            spread_quotes,
        }
    }

    #[test]
    fn cube_reference_matches_the_atm_surface_reference() {
        let f = fixture();
        assert_eq!(
            f.cube.reference_date().unwrap(),
            f.atm.reference_date().unwrap(),
            "settlement-0 moving cube and ATM surface must share a reference date"
        );
    }

    #[test]
    fn recovers_atm_vols_at_spread_zero() {
        let f = fixture();
        for &option in &cube_option_tenors() {
            for &swap in &cube_swap_tenors() {
                let strike = f.cube.cube().atm_strike_from_tenor(option, swap).unwrap();
                let exp_vol = f.atm.volatility_tenors(option, swap, strike, true).unwrap();
                let act_vol = f
                    .cube
                    .volatility_tenors(option, swap, strike, true)
                    .unwrap();
                assert!(
                    (exp_vol - act_vol).abs() <= TOL,
                    "atm recovery failed at ({option}, {swap}): exp {exp_vol}, act {act_vol}"
                );
            }
        }
    }

    #[test]
    fn recovers_input_vol_spreads_at_the_smile_nodes() {
        let f = fixture();
        let options = cube_option_tenors();
        let swaps = cube_swap_tenors();
        let spreads = strike_spreads();
        let inputs = vol_spreads();
        for (i, &option) in options.iter().enumerate() {
            for (j, &swap) in swaps.iter().enumerate() {
                let atm_strike = f.cube.cube().atm_strike_from_tenor(option, swap).unwrap();
                let atm_vol = f
                    .atm
                    .volatility_tenors(option, swap, atm_strike, true)
                    .unwrap();
                for (k, &strike_spread) in spreads.iter().enumerate() {
                    let vol = f
                        .cube
                        .volatility_tenors(option, swap, atm_strike + strike_spread, true)
                        .unwrap();
                    let spread = vol - atm_vol;
                    let expected = inputs[i * swaps.len() + j][k];
                    assert!(
                        (expected - spread).abs() <= TOL,
                        "spread recovery failed at ({option}, {swap}, spread {strike_spread}): \
                         exp {expected}, got {spread}"
                    );
                }
            }
        }
    }

    #[test]
    fn vol_spread_quote_bump_propagates_to_the_smile() {
        let f = fixture();
        let option = cube_option_tenors()[1];
        let swap = cube_swap_tenors()[1];
        let node = cube_swap_tenors().len() + 1;
        let strike_spread = strike_spreads()[0];

        let atm_strike = f.cube.cube().atm_strike_from_tenor(option, swap).unwrap();
        let atm_vol = f
            .atm
            .volatility_tenors(option, swap, atm_strike, true)
            .unwrap();
        let before = f
            .cube
            .volatility_tenors(option, swap, atm_strike + strike_spread, true)
            .unwrap()
            - atm_vol;
        assert!((before - vol_spreads()[node][0]).abs() <= TOL);

        let bumped = vol_spreads()[node][0] + 0.0100;
        f.spread_quotes[node][0].set_value(bumped);

        let after = f
            .cube
            .volatility_tenors(option, swap, atm_strike + strike_spread, true)
            .unwrap()
            - atm_vol;
        assert!(
            (after - bumped).abs() <= TOL,
            "bumped node spread must propagate: exp {bumped}, got {after}"
        );

        let neighbor_spread = strike_spreads()[3];
        let neighbor = f
            .cube
            .volatility_tenors(option, swap, atm_strike + neighbor_spread, true)
            .unwrap()
            - atm_vol;
        assert!(
            (neighbor - vol_spreads()[node][3]).abs() <= TOL,
            "untouched strike must be unchanged, got {neighbor}"
        );
    }
}