Initial fixing for inflation swaps

[marc-henrard]

Inflation swaps are based on the return of a price index between a start date and an end date. Typically the index at the start of the period is known when the trade is entered into. There are two ways to describe the payment: start and end date and the index, with the pricer responsible to retrieve the start index with time series or start index, end date and index. In the latter case, the start index is present in the trade description and the time series associated to the start date of the deal is not required.
In Strata the first approach to the description of payment is "InflationInterpolatedRateComputation" and the second one is "InflationEndInterpolatedRateComputation".
In some case, one would like to transfrom the first description into the second one. This can be the case when the trade is passed to a different valuation system that does not offer the flexibility to retrieve the start index value from data base. It can also be useful if the data available at the pricer level contains only recent index data and not the full history. Inflation swap are usually traded as zero-coupon and can have long maturity. The time series would typically require 10 to 20 years of history to price some trades.
Add a mechanism in Strata to convert a payment/trade with unknown start index (InflationInterpolatedRateComputation) and the time series of the index into a payment/trade with known start index value (InflationEndInterpolatedRateComputation).