Last summer, our nasturtiums were the home of several caterpillars. We got one to pupate on a stick and kept it around to see it hatch. We already knew that it would be a Common Brimstone (Gonepteryx rhamni) and that it would take between six and eight weeks. Common Brimstones spend the winter as adults and will be active even in cold weather, they just look for shelter when it's freezing.
Two months went by and nothing happened. We thought that the caterpillar had died and we took the jar with its stick inside. Then we pretty much forgot about it until this morning when the butterfly hatched.
We took it outside, it's fairly warm at the moment and it should be able to survive until spring.
I take this as advice for this year: don't give up hope. Even things that look like they didn't work out have a chance of coming out alright in the end.