Is HAVE_DECL_ISINF defined in pyconfig.h? PyLong_FromDouble() uses Py_IS_INFINITY(x):
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/* Py_IS_INFINITY(X)
 * Return 1 if float or double arg is an infinity, else 0.
 * Caution:
 *    X is evaluated more than once.
 *    This implementation may set the underflow flag if |X| is very small;
 *    it really can't be implemented correctly (& easily) before C99.
 *    Override in pyconfig.h if you have a better spelling on your platform.
 *  Py_FORCE_DOUBLE is used to avoid getting false negatives from a
 *    non-infinite value v sitting in an 80-bit x87 register such that
 *    v becomes infinite when spilled from the register to 64-bit memory.
 * Note: PC/pyconfig.h defines Py_IS_INFINITY as _isinf
 */
#ifndef Py_IS_INFINITY
#  if defined HAVE_DECL_ISINF && HAVE_DECL_ISINF == 1
#    define Py_IS_INFINITY(X) isinf(X)
#  else
#    define Py_IS_INFINITY(X) ((X) &&                                   \
                               (Py_FORCE_DOUBLE(X)*0.5 == Py_FORCE_DOUBLE(X)))
#  endif
#endif
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main() in Modules/python.c starts with:
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    /* 754 requires that FP exceptions run in "no stop" mode by default,
     * and until C vendors implement C99's ways to control FP exceptions,
     * Python requires non-stop mode.  Alas, some platforms enable FP
     * exceptions by default.  Here we disable them.
     */
#ifdef __FreeBSD__
    fp_except_t m;

    m = fpgetmask();
    fpsetmask(m & ~FP_X_OFL);
#endif
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You may try to enable this code on OpenBSD, replace "#ifdef __FreeBSD__" by "#if 1".

Can you also please try the following code?

$ python
>>> import struct
>>> struct.pack("f", float("inf"))
b'\x00\x00\x80\x7f'