Risk-Free Interest Rate Model (#7594)

* Implement risk free interest rate as an algorithm model * Use risk free insterest rate model in Sharpe Ratio indicator * Address peer review Also added python wrapper * Take pyobject as interest rate model in Sharpe Ratio indicator * Minor fix * Minor fix * Address peer review
2023-11-22 16:17:34 -04:00
parent 4c034bd40f
commit f8ca85cb5d
23 changed files with 543 additions and 86 deletions
@@ -1148,6 +1148,16 @@ namespace QuantConnect.Algorithm
            SetBrokerageModel(brokerageModel);
        }

+        /// <summary>
+        /// Sets the risk free interest rate model to be used in the algorithm
+        /// </summary>
+        /// <param name="model">The risk free interest rate model to use</param>
+        [DocumentationAttribute(Modeling)]
+        public void SetRiskFreeInterestRateModel(PyObject model)
+        {
+            SetRiskFreeInterestRateModel(RiskFreeInterestRateModelPythonWrapper.FromPyObject(model));
+        }
+
        /// <summary>
        /// Sets the security initializer function, used to initialize/configure securities after creation
        /// </summary>