wehub-resource-sync
65 lines
2.5 KiB
C#
65 lines
2.5 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 System;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Data
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{
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/// <summary>
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/// Represents a model that provides risk free interest rate data
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/// </summary>
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public interface IRiskFreeInterestRateModel
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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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decimal GetInterestRate(DateTime date);
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}
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/// <summary>
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/// Provide extension and static methods for <see cref="IRiskFreeInterestRateModel"/>
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/// </summary>
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public static class RiskFreeInterestRateModelExtensions
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{
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/// <summary>
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/// Gets the average risk free annual return rate
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/// </summary>
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/// <param name="model">The interest rate model</param>
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/// <param name="startDate">Start date to calculate the average</param>
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/// <param name="endDate">End date to calculate the average</param>
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public static decimal GetRiskFreeRate(this IRiskFreeInterestRateModel model, DateTime startDate, DateTime endDate)
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{
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return model.GetAverageRiskFreeRate(Time.EachDay(startDate, endDate));
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}
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/// <summary>
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/// Gets the average Risk Free Rate from the interest rate of the given dates
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/// </summary>
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/// <param name="model">The interest rate model</param>
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/// <param name="dates">
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/// Collection of dates from which the interest rates will be computed and then the average of them
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/// </param>
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public static decimal GetAverageRiskFreeRate(this IRiskFreeInterestRateModel model, IEnumerable<DateTime> dates)
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{
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var interestRates = dates.Select(x => model.GetInterestRate(x)).DefaultIfEmpty(0);
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return interestRates.Average();
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}
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}
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}
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