wehub-resource-sync
32 lines
1.6 KiB
Python
32 lines
1.6 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Asserts we can use a Python lambda function as a FuncRiskFreeRateInterestRateModel
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### </summary>
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class FuncRiskFreeRateInterestRateModelWithPythonLambda(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2020, 5, 28)
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self.set_end_date(2020, 6, 28)
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self.add_equity("SPY", Resolution.DAILY)
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self.model = FuncRiskFreeRateInterestRateModel(lambda dt: 1 if dt.date != datetime(2020, 5, 28) else 0)
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def on_data(self, slice):
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if self.time.date == datetime(2020, 5, 28) and self.model.get_interest_rate(self.time) != 0:
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raise AssertionError(f"Risk free interest rate should be 0, but was {self.model.get_interest_rate(self.time)}")
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elif self.time.date != datetime(2020, 5, 28) and self.model.get_interest_rate(self.time) != 1:
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raise AssertionError(f"Risk free interest rate should be 1, but was {self.model.get_interest_rate(self.time)}")
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