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 QuantConnect.Data;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Securities.Option
+{
+    /// <summary>
+    /// Class implements Fed's US primary credit rate as risk free rate, implementing <see cref="IQLRiskFreeRateEstimator"/>.
+    /// </summary>
+    /// <remarks>
+    /// Board of Governors of the Federal Reserve System (US), Primary Credit Rate - Historical Dates of Changes and Rates for Federal Reserve District 8: St. Louis [PCREDIT8]
+    /// retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/PCREDIT8
+    /// </remarks>
+    public class FedRateQLRiskFreeRateEstimator : IQLRiskFreeRateEstimator
+    {
+        private readonly InterestRateProvider _interestRateProvider = new ();
+
+        /// <summary>
+        /// Returns current flat estimate of the risk free rate
+        /// </summary>
+        /// <param name="security">The option security object</param>
+        /// <param name="slice">The current data slice. This can be used to access other information
+        /// available to the algorithm</param>
+        /// <param name="contract">The option contract to evaluate</param>
+        /// <returns>The estimate</returns>
+        public decimal Estimate(Security security, Slice slice, OptionContract contract)
+        {
+            return slice == null
+                ? InterestRateProvider.DefaultRiskFreeRate
+                : _interestRateProvider.GetInterestRate(slice.Time.Date);
+        }
+    }
+}