Risk-Free Interest Rate Model (QuantConnect#7594)

* Implement risk free interest rate as an algorithm model

* Use risk free insterest rate model in Sharpe Ratio indicator

* Address peer review

Also added python wrapper

* Take pyobject as interest rate model in Sharpe Ratio indicator

* Minor fix

* Minor fix

* Address peer review

Algorithm/QCAlgorithm.Indicators.cs

@@ -1500,19 +1500,26 @@ public SuperTrend STR(Symbol symbol, int period, decimal multiplier, MovingAvera
         }
 
         /// <summary>
-        /// Creates a new RollingSharpeRatio indicator.
+        /// Creates a new SharpeRatio indicator.
         /// </summary>
         /// <param name="symbol">The symbol whose RSR we want</param>
         /// <param name="sharpePeriod">Period of historical observation for sharpe ratio calculation</param>
-        /// <param name="riskFreeRate">Risk-free rate for sharpe ratio calculation</param>
+        /// <param name="riskFreeRate">
+        /// Risk-free rate for sharpe ratio calculation. If not specified, it will use the algorithms' <see cref="RiskFreeInterestRateModel"/>
+        /// </param>
         /// <param name="resolution">The resolution</param>
         /// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
-        /// <returns>The RollingSharpeRatio indicator for the requested symbol over the specified period</returns>
+        /// <returns>The SharpeRatio indicator for the requested symbol over the specified period</returns>
         [DocumentationAttribute(Indicators)]
-        public SharpeRatio SR(Symbol symbol, int sharpePeriod, decimal riskFreeRate = 0.0m, Resolution ? resolution = null, Func<IBaseData, decimal> selector = null)
+        public SharpeRatio SR(Symbol symbol, int sharpePeriod, decimal? riskFreeRate = null, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
         {
-            var name = CreateIndicatorName(symbol, $"SR({sharpePeriod},{riskFreeRate})", resolution);
-            var sharpeRatio = new SharpeRatio(name, sharpePeriod, riskFreeRate);
+            var baseBame = riskFreeRate.HasValue ? $"SR({sharpePeriod},{riskFreeRate})" : $"SR({sharpePeriod})";
+            var name = CreateIndicatorName(symbol, baseBame, resolution);
+            IRiskFreeInterestRateModel riskFreeRateModel = riskFreeRate.HasValue
+                ? new ConstantRiskFreeRateInterestRateModel(riskFreeRate.Value)
+                // Make it a function so it's lazily evaluated: SetRiskFreeInterestRateModel can be called after this method
+                : new FuncRiskFreeRateInterestRateModel((datetime) => RiskFreeInterestRateModel.GetInterestRate(datetime));
+            var sharpeRatio = new SharpeRatio(name, sharpePeriod, riskFreeRateModel);
             InitializeIndicator(symbol, sharpeRatio, resolution, selector);
 
             return sharpeRatio;

Algorithm/QCAlgorithm.Python.cs

@@ -1148,6 +1148,16 @@ public void SetBrokerageModel(PyObject model)
             SetBrokerageModel(brokerageModel);
         }
 
+        /// <summary>
+        /// Sets the risk free interest rate model to be used in the algorithm
+        /// </summary>
+        /// <param name="model">The risk free interest rate model to use</param>
+        [DocumentationAttribute(Modeling)]
+        public void SetRiskFreeInterestRateModel(PyObject model)
+        {
+            SetRiskFreeInterestRateModel(RiskFreeInterestRateModelPythonWrapper.FromPyObject(model));
+        }
+
         /// <summary>
         /// Sets the security initializer function, used to initialize/configure securities after creation
         /// </summary>

Algorithm/QCAlgorithm.cs

@@ -174,6 +174,7 @@ public QCAlgorithm()
             SignalExport = new SignalExportManager(this);
 
             BrokerageModel = new DefaultBrokerageModel();
+            RiskFreeInterestRateModel = new InterestRateProvider();
             Notify = new NotificationManager(false); // Notification manager defaults to disabled.
 
             //Initialise to unlocked:
@@ -337,6 +338,16 @@ public IBrokerageMessageHandler BrokerageMessageHandler
             set;
         }
 
+        /// <summary>
+        /// Gets the risk free interest rate model used to get the interest rates
+        /// </summary>
+        [DocumentationAttribute(Modeling)]
+        public IRiskFreeInterestRateModel RiskFreeInterestRateModel
+        {
+            get;
+            private set;
+        }
+
         /// <summary>
         /// Notification Manager for Sending Live Runtime Notifications to users about important events.
         /// </summary>
@@ -1278,6 +1289,16 @@ public void SetBrokerageMessageHandler(IBrokerageMessageHandler handler)
             BrokerageMessageHandler = handler ?? throw new ArgumentNullException(nameof(handler));
         }
 
+        /// <summary>
+        /// Sets the risk free interest rate model to be used in the algorithm
+        /// </summary>
+        /// <param name="model">The risk free interest rate model to use</param>
+        [DocumentationAttribute(Modeling)]
+        public void SetRiskFreeInterestRateModel(IRiskFreeInterestRateModel model)
+        {
+            RiskFreeInterestRateModel = model ?? throw new ArgumentNullException(nameof(model));
+        }
+
         /// <summary>
         /// Sets the benchmark used for computing statistics of the algorithm to the specified symbol
         /// </summary>

AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs

@@ -187,6 +187,11 @@ public IBrokerageMessageHandler BrokerageMessageHandler
         /// </summary>
         public BrokerageName BrokerageName => _baseAlgorithm.BrokerageName;
 
+        /// <summary>
+        /// Gets the risk free interest rate model used to get the interest rates
+        /// </summary>
+        public IRiskFreeInterestRateModel RiskFreeInterestRateModel => _baseAlgorithm.RiskFreeInterestRateModel;
+
         /// <summary>
         /// Debug messages from the strategy:
         /// </summary>

Common/Data/ConstantRiskFreeRateInterestRateModel.cs

@@ -0,0 +1,45 @@
+/*
+ * 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 System;
+
+namespace QuantConnect.Data
+{
+    /// <summary>
+    /// Constant risk free rate interest rate model
+    /// </summary>
+    public class ConstantRiskFreeRateInterestRateModel : IRiskFreeInterestRateModel
+    {
+        private readonly decimal _riskFreeRate;
+
+        /// <summary>
+        /// Instantiates a <see cref="ConstantRiskFreeRateInterestRateModel"/> with the specified risk free rate
+        /// </summary>
+        public ConstantRiskFreeRateInterestRateModel(decimal riskFreeRate)
+        {
+            _riskFreeRate = riskFreeRate;
+        }
+
+        /// <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)
+        {
+            return _riskFreeRate;
+        }
+    }
+}

Common/Data/FuncRiskFreeRateInterestRateModel.cs

@@ -0,0 +1,45 @@
+/*
+ * 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 System;
+
+namespace QuantConnect.Data
+{
+    /// <summary>
+    /// Constant risk free rate interest rate model
+    /// </summary>
+    public class FuncRiskFreeRateInterestRateModel : IRiskFreeInterestRateModel
+    {
+        private readonly Func<DateTime, decimal> _getInterestRateFunc;
+
+        /// <summary>
+        /// Create class instance of interest rate provider
+        /// </summary>
+        public FuncRiskFreeRateInterestRateModel(Func<DateTime, decimal> getInterestRateFunc)
+        {
+            _getInterestRateFunc = getInterestRateFunc;
+        }
+
+        /// <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)
+        {
+            return _getInterestRateFunc(date);
+        }
+    }
+}

Common/Data/IRiskFreeInterestRateModel.cs

@@ -0,0 +1,64 @@
+/*
+ * 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 System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Data
+{
+    /// <summary>
+    /// Represents a model that provides risk free interest rate data
+    /// </summary>
+    public interface IRiskFreeInterestRateModel
+    {
+        /// <summary>
+        /// Get interest rate by a given date
+        /// </summary>
+        /// <param name="date">The date</param>
+        /// <returns>Interest rate on the given date</returns>
+        decimal GetInterestRate(DateTime date);
+    }
+
+    /// <summary>
+    /// Provide extension and static methods for <see cref="IRiskFreeInterestRateModel"/>
+    /// </summary>
+    public static class RiskFreeInterestRateModelExtensions
+    {
+        /// <summary>
+        /// Gets the average risk free annual return rate
+        /// </summary>
+        /// <param name="model">The interest rate model</param>
+        /// <param name="startDate">Start date to calculate the average</param>
+        /// <param name="endDate">End date to calculate the average</param>
+        public static decimal GetRiskFreeRate(this IRiskFreeInterestRateModel model, DateTime startDate, DateTime endDate)
+        {
+            return model.GetAverageRiskFreeRate(Time.EachDay(startDate, endDate));
+        }
+
+        /// <summary>
+        /// Gets the average Risk Free Rate from the interest rate of the given dates
+        /// </summary>
+        /// <param name="model">The interest rate model</param>
+        /// <param name="dates">
+        /// Collection of dates from which the interest rates will be computed and then the average of them
+        /// </param>
+        public static decimal GetAverageRiskFreeRate(this IRiskFreeInterestRateModel model, IEnumerable<DateTime> dates)
+        {
+            var interestRates = dates.Select(x => model.GetInterestRate(x)).DefaultIfEmpty(0);
+            return interestRates.Average();
+        }
+    }
+}

Common/Data/InterestRateProvider.cs

@@ -28,38 +28,54 @@ namespace QuantConnect.Data
     /// <summary>
     /// Fed US Primary Credit Rate at given date
     /// </summary>
-    public class InterestRateProvider
+    public class InterestRateProvider : IRiskFreeInterestRateModel
     {
-        private static readonly DateTime FirstInterestRateDate = new DateTime(1998, 1, 1);
+        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 decimal DefaultRiskFreeRate { get; } = 0.01m;
-
-        private DateTime _lastInterestRateDate;
-        private Dictionary<DateTime, decimal> _riskFreeRateProvider;
+        public static readonly decimal DefaultRiskFreeRate = 0.01m;
 
         /// <summary>
-        /// Create class instance of interest rate provider
+        /// Lazily loads the interest rate provider from disk and returns it
         /// </summary>
-        public InterestRateProvider()
+        private IReadOnlyDictionary<DateTime, decimal> RiskFreeRateProvider
         {
-            LoadInterestRateProvider();
+            get
+            {
+                // let's not lock if the provider is already loaded
+                if (_riskFreeRateProvider != null)
+                {
+                    return _riskFreeRateProvider;
+                }
+
+                lock (_lock)
+                {
+                    if (_riskFreeRateProvider == null)
+                    {
+                        LoadInterestRateProvider();
+                    }
+                    return _riskFreeRateProvider;
+                }
+            }
         }
 
         /// <summary>
-        /// Get interest rate by a given datetime
+        /// Get interest rate by a given date
         /// </summary>
-        /// <param name="dateTime"></param>
-        /// <returns>interest rate of the given date</returns>
-        public decimal GetInterestRate(DateTime dateTime)
+        /// <param name="date">The date</param>
+        /// <returns>Interest rate on the given date</returns>
+        public decimal GetInterestRate(DateTime date)
         {
-            if (!_riskFreeRateProvider.TryGetValue(dateTime.Date, out var interestRate))
+            if (!RiskFreeRateProvider.TryGetValue(date.Date, out var interestRate))
             {
-                return dateTime < FirstInterestRateDate
-                    ? _riskFreeRateProvider[FirstInterestRateDate]
-                    : _riskFreeRateProvider[_lastInterestRateDate];
+                return date < _firstInterestRateDate
+                    ? RiskFreeRateProvider[_firstInterestRateDate]
+                    : RiskFreeRateProvider[_lastInterestRateDate];
             }
 
             return interestRate;
@@ -77,7 +93,7 @@ protected void LoadInterestRateProvider()
             _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))
+            for (var date = _firstInterestRateDate; date <= _lastInterestRateDate; date = date.AddDays(1))
             {
                 if (!_riskFreeRateProvider.TryGetValue(date, out var currentRate))
                 {
@@ -151,7 +167,7 @@ public static bool TryParse(string csvLine, out DateTime date, out decimal inter
                 return false;
             }
 
-            // Unit conversion from % 
+            // Unit conversion from %
             interestRate /= 100;
             return true;
         }

Common/Interfaces/IAlgorithm.cs

@@ -132,6 +132,14 @@ BrokerageName BrokerageName
             get;
         }
 
+        /// <summary>
+        /// Gets the risk free interest rate model used to get the interest rates
+        /// </summary>
+        IRiskFreeInterestRateModel RiskFreeInterestRateModel
+        {
+            get;
+        }
+
         /// <summary>
         /// Gets the brokerage message handler used to decide what to do
         /// with each message sent from the brokerage