Plain CPI cash flows

Rust, C, Go and Python support an explicit-base CPI coupon, plain swaplet pricer and CPI leg. These are additive APIs. Existing zero-coupon inflation swaps and year-on-year inflation instruments are unchanged.

Supported contract

• The coupon rate is fixed_rate * lagged_CPI(accrual_end) / base_CPI.
• Coupon amount is rate times nominal times its accrual year fraction.
• Accrued amount uses CPI observed at the requested settlement date, not the coupon end. Ex-coupon accrual can be negative.
• Flat and Linear CPI observation interpolation are supported. Base CPI is supplied explicitly and must be finite with absolute value greater than 1e-16. Its interpolation convention is the caller's responsibility.
• The plain pricer applies no convexity adjustment. Its discounted swaplet price is per unit nominal and requires a nominal discount curve. Rate and accrued-rate queries do not need that curve.
• Every CPI leg has a terminal indexed principal payment. growth_only=true subtracts the uninflated principal; false pays the full indexed principal. The observation follows the unadjusted contract end, not its adjusted payment.
• A zero fixed rate creates a fixed zero coupon that needs no inflation fixing. The terminal principal still needs its own CPI fixing or forecast curve.
• Nonnegative Days, Weeks, Months and Years observation lags are accepted. Invalid dates, missing fixings, missing curves and non-finite results fail.

Language entry points

Layer	Entry points
Rust	CpiCoupon, CpiCouponPricer, CpiCashFlow, CpiLeg
C	itofin_cpi_coupon_*, itofin_cpi_pricer_value, itofin_cpi_leg_*
Go	Session.NewCPICoupon, NewCPICouponPricer, NewCPILeg
Python	itofin.cashflows.CPICoupon, CPICouponPricer, CPILeg

Attach a plain pricer before querying a directly constructed coupon's rate or amount. Leg construction attaches its default plain pricer automatically. The resulting generic Leg supports existing cash-flow inspection and NPV functions. Use the same Settings object as the CPI index when pricing that leg, including spread analytics. Separate objects with equal dates are not the same settings. Go also requires every object to belong to the same Session.

C and Python leg facades materialize their payment and ex-coupon dates at construction. Build()/build() clones this fixed-date cash-flow graph; subsequent calendar holiday edits do not rebuild its dates. CPI histories, linked inflation curves and discount curves remain live and retained after input wrappers are released. Reconstruct the builder to adopt changed dates. The Rust builder materializes dates on each build() call.

Boundaries

For additive live base-date constructors, see the live base-date CPI guide. Capped/floored individual CPI coupons, optionlet volatility models and convexity adjustments remain outside this plain cash-flow path. The cumulative single-payoff CPICapFloor instrument is a separate pricing path, not a clamp on these coupons. Vectors carry their last value forward; leg notionals have at most one entry per coupon plus terminal payment, and rates at most one entry per coupon. Irregular schedule reference periods and optional ex-coupon periods follow the schedule/payment calendars supplied.

Independent fixtures in sdk/go/testdata/cpi-oracle-*.json are produced by scripts/generate_cpi_oracle.py using QuantLib 1.43. The recorded pinned C++ source is a separate reference, not a claim that it built the Python wheel. Fixture agreement covers the listed scenarios, not full QuantLib parity.

Runnable examples: example/python/cpi_cashflows.py and sdk/go/examples/cpi_cashflows/main.go. Both use published historical CPI and a nominal discount curve, so no inflation forecast curve is needed for their short maturity.