Jhonathan Abreu
f8ca85cb5d
* 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
65 lines
2.6 KiB
C#
65 lines
2.6 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using Python.Runtime;
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using QuantConnect.Data;
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namespace QuantConnect.Python
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{
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/// <summary>
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/// Wraps a <see cref="PyObject"/> object that represents a risk-free interest rate model
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/// </summary>
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public class RiskFreeInterestRateModelPythonWrapper : IRiskFreeInterestRateModel
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{
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private readonly dynamic _model;
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/// <summary>
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/// Constructor for initializing the <see cref="RiskFreeInterestRateModelPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Represents a security's model of buying power</param>
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public RiskFreeInterestRateModelPythonWrapper(PyObject model)
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{
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_model = model.ValidateImplementationOf<IRiskFreeInterestRateModel>();
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}
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/// <summary>
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/// Get interest rate by a given date
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/// </summary>
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/// <param name="date">The date</param>
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/// <returns>Interest rate on the given date</returns>
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public decimal GetInterestRate(DateTime date)
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{
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using var _ = Py.GIL();
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return (_model.GetInterestRate(date) as PyObject).GetAndDispose<decimal>();
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}
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/// <summary>
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/// Converts a <see cref="PyObject"/> object into a <see cref="IRiskFreeInterestRateModel"/> object, wrapping it if necessary
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/// </summary>
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/// <param name="model">The Python model</param>
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/// <returns>The converted <see cref="IRiskFreeInterestRateModel"/> instance</returns>
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public static IRiskFreeInterestRateModel FromPyObject(PyObject model)
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{
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if (!model.TryConvert(out IRiskFreeInterestRateModel riskFreeInterestRateModel))
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{
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riskFreeInterestRateModel = new RiskFreeInterestRateModelPythonWrapper(model);
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}
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return riskFreeInterestRateModel;
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}
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}
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}
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