chore: import upstream snapshot with attribution

Common/Data/InterestRateProvider.cs

@@ -0,0 +1,172 @@
+/*
+ * 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 QuantConnect.Interfaces;
+using QuantConnect.Logging;
+using QuantConnect.Util;
+using System;
+using System.Collections.Generic;
+using System.Globalization;
+using System.IO;
+using System.Linq;
+
+namespace QuantConnect.Data
+{
+    /// <summary>
+    /// Fed US Primary Credit Rate at given date
+    /// </summary>
+    public class InterestRateProvider : IRiskFreeInterestRateModel
+    {
+        private static readonly DateTime _firstInterestRateDate = new DateTime(1998, 1, 1);
+        private static DateTime _lastInterestRateDate;
+        private static Dictionary<DateTime, decimal> _riskFreeRateProvider;
+        private static readonly object _lock = new();
+
+        /// <summary>
+        /// Default Risk Free Rate of 1%
+        /// </summary>
+        public static readonly decimal DefaultRiskFreeRate = 0.01m;
+
+        /// <summary>
+        /// Lazily loads the interest rate provider from disk and returns it
+        /// </summary>
+        private IReadOnlyDictionary<DateTime, decimal> RiskFreeRateProvider
+        {
+            get
+            {
+                // let's not lock if the provider is already loaded
+                if (_riskFreeRateProvider != null)
+                {
+                    return _riskFreeRateProvider;
+                }
+
+                lock (_lock)
+                {
+                    _riskFreeRateProvider ??= GetInterestRateProvider();
+                    return _riskFreeRateProvider;
+                }
+            }
+        }
+
+        /// <summary>
+        /// Get interest rate by a given date
+        /// </summary>
+        /// <param name="date">The date</param>
+        /// <returns>Interest rate on the given date</returns>
+        public decimal GetInterestRate(DateTime date)
+        {
+            if (!RiskFreeRateProvider.TryGetValue(date.Date, out var interestRate))
+            {
+                return date < _firstInterestRateDate
+                    ? RiskFreeRateProvider[_firstInterestRateDate]
+                    : RiskFreeRateProvider[_lastInterestRateDate];
+            }
+
+            return interestRate;
+        }
+
+        /// <summary>
+        /// Generate the daily historical US primary credit rate
+        /// </summary>
+        protected static Dictionary<DateTime, decimal> GetInterestRateProvider()
+        {
+            var directory = Path.Combine(Globals.DataFolder, "alternative", "interest-rate", "usa",
+                "interest-rate.csv");
+            var riskFreeRateProvider = FromCsvFile(directory, out var previousInterestRate);
+
+            _lastInterestRateDate = DateTime.UtcNow.Date;
+
+            // Sparse the discrete data points into continuous credit rate data for every day
+            for (var date = _firstInterestRateDate; date <= _lastInterestRateDate; date = date.AddDays(1))
+            {
+                if (!riskFreeRateProvider.TryGetValue(date, out var currentRate))
+                {
+                    riskFreeRateProvider[date] = previousInterestRate;
+                    continue;
+                }
+
+                previousInterestRate = currentRate;
+            }
+
+            return riskFreeRateProvider;
+        }
+
+        /// <summary>
+        /// Reads Fed primary credit rate file and returns a dictionary of historical rate changes
+        /// </summary>
+        /// <param name="file">The csv file to be read</param>
+        /// <param name="firstInterestRate">The first interest rate on file</param>
+        /// <returns>Dictionary of historical credit rate change events</returns>
+        public static Dictionary<DateTime, decimal> FromCsvFile(string file, out decimal firstInterestRate)
+        {
+            var dataProvider = Composer.Instance.GetPart<IDataProvider>();
+
+            var firstInterestRateSet = false;
+            firstInterestRate = DefaultRiskFreeRate;
+
+            // skip the first header line, also skip #'s as these are comment lines
+            var interestRateProvider = new Dictionary<DateTime, decimal>();
+            foreach (var line in dataProvider.ReadLines(file).Skip(1)
+                         .Where(x => !string.IsNullOrWhiteSpace(x)))
+            {
+                if (TryParse(line, out var date, out var interestRate))
+                {
+                    if (!firstInterestRateSet)
+                    {
+                        firstInterestRate = interestRate;
+                        firstInterestRateSet = true;
+                    }
+
+                    interestRateProvider[date] = interestRate;
+                }
+            }
+
+            if (interestRateProvider.Count == 0)
+            {
+                Log.Error($"InterestRateProvider.FromCsvFile(): no interest rates were loaded, please make sure the file is present '{file}'");
+            }
+
+            return interestRateProvider;
+        }
+
+        /// <summary>
+        /// Parse the string into the interest rate date and value
+        /// </summary>
+        /// <param name="csvLine">The csv line to be parsed</param>
+        /// <param name="date">Parsed interest rate date</param>
+        /// <param name="interestRate">Parsed interest rate value</param>
+        public static bool TryParse(string csvLine, out DateTime date, out decimal interestRate)
+        {
+            var line = csvLine.Split(',');
+
+            if (!DateTime.TryParseExact(line[0], "yyyy-MM-dd", CultureInfo.InvariantCulture, DateTimeStyles.None, out date))
+            {
+                Log.Error($"Couldn't parse date/time while reading FED primary credit rate file. Line: {csvLine}");
+                interestRate = DefaultRiskFreeRate;
+                return false;
+            }
+
+            if (!decimal.TryParse(line[1], NumberStyles.Any, CultureInfo.InvariantCulture, out interestRate))
+            {
+                Log.Error($"Couldn't parse primary credit rate while reading FED primary credit rate file. Line: {csvLine}");
+                return false;
+            }
+
+            // Unit conversion from %
+            interestRate /= 100;
+            return true;
+        }
+    }
+}