chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Data
+{
+    /// <summary>
+    /// Represents a model that provides risk free interest rate data
+    /// </summary>
+    public interface IRiskFreeInterestRateModel
+    {
+        /// <summary>
+        /// Get interest rate by a given date
+        /// </summary>
+        /// <param name="date">The date</param>
+        /// <returns>Interest rate on the given date</returns>
+        decimal GetInterestRate(DateTime date);
+    }
+
+    /// <summary>
+    /// Provide extension and static methods for <see cref="IRiskFreeInterestRateModel"/>
+    /// </summary>
+    public static class RiskFreeInterestRateModelExtensions
+    {
+        /// <summary>
+        /// Gets the average risk free annual return rate
+        /// </summary>
+        /// <param name="model">The interest rate model</param>
+        /// <param name="startDate">Start date to calculate the average</param>
+        /// <param name="endDate">End date to calculate the average</param>
+        public static decimal GetRiskFreeRate(this IRiskFreeInterestRateModel model, DateTime startDate, DateTime endDate)
+        {
+            return model.GetAverageRiskFreeRate(Time.EachDay(startDate, endDate));
+        }
+
+        /// <summary>
+        /// Gets the average Risk Free Rate from the interest rate of the given dates
+        /// </summary>
+        /// <param name="model">The interest rate model</param>
+        /// <param name="dates">
+        /// Collection of dates from which the interest rates will be computed and then the average of them
+        /// </param>
+        public static decimal GetAverageRiskFreeRate(this IRiskFreeInterestRateModel model, IEnumerable<DateTime> dates)
+        {
+            var interestRates = dates.Select(x => model.GetInterestRate(x)).DefaultIfEmpty(0);
+            return interestRates.Average();
+        }
+    }
+}