wehub-resource-sync
58 lines
2.0 KiB
C#
58 lines
2.0 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 Python.Runtime;
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using System;
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namespace QuantConnect.Data
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{
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/// <summary>
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/// Constant risk free rate interest rate model
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/// </summary>
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public class FuncRiskFreeRateInterestRateModel : IRiskFreeInterestRateModel
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{
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private readonly Func<DateTime, decimal> _getInterestRateFunc;
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/// <summary>
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/// Create class instance of interest rate provider
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/// </summary>
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public FuncRiskFreeRateInterestRateModel(Func<DateTime, decimal> getInterestRateFunc)
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{
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_getInterestRateFunc = getInterestRateFunc;
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}
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/// <summary>
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/// Create class instance of interest rate provider with given PyObject
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/// </summary>
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public FuncRiskFreeRateInterestRateModel(PyObject getInterestRateFunc)
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{
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using (Py.GIL())
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{
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_getInterestRateFunc = getInterestRateFunc.SafeAs<Func<DateTime, decimal>>();
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}
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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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return _getInterestRateFunc(date);
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}
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}
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}
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