Algorithm's Risk-Free Interest Rate Model

[jhonabreul]

Expected Behavior

A risk-free interest rate model can now be set to the algorithm for it's usage in indicators, statistics and potentially other calculations: https://github.com/QuantConnect/Lean/pull/7594

• RiskFreeInterestRateModel interface and implementing classes:
  • InterestRateProvider.
  • ConstantRiskFreeInterestRateModel.
  • FuncRiskFreeInterestRateModel.
• QCAlgorithm.RiskFreeInterestRateModel property and QCAlgorithm.SetRiskFreeInterestRateModel setter

Actual Behavior

N/A

Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues

[AlexCatarino]

Under Writing Algorithm > Reality Models:

• Interest Rate

  • Key Concepts

  • Introduction It is used in Algorithm Statistics. E.g. Sharpe and Sortino ratios https://www.quantconnect.com/docs/v2/writing-algorithms/statistics/algorithm-statistics It is used in QCAlgorithm helpers for Sharpe and Sortino ratios

  • Set Models

  • Default Behavior (It is the InterestRateProvider: primary credit rate from the Federal Open Market Committee (FOMC))

  • Model Structure

  • Disable Interest Rate (self.SetRiskFreeInterestRateModel(ConstantRiskFreeRateInterestRateModel(0)))

  • Examples:

    • Get Current Value: self.interest_rate = self.RiskFreeInterestRateModel.GetInterestRate(self.Time)
    • Get Average in a Period: risk_free_rate = self.RiskFreeInterestRateModel.GetRiskFreeRate(self.Time - timedelta(365), self.Time)

  • Supported Models

  • Introduction

  • ConstantRiskFreeRateInterestRateModel

  • FuncRiskFreeRateInterestRateModel (it doesn't have a Python overload for now) var interestRateModel= new FuncRiskFreeRateInterestRateModel((datetime) => Func(datetime));

  • InterestRateProvider

On Writing Algorithms > Statistics. In the Introduction, refer that some metrics depend on the Interest Rate, and link to the new reality model page

On Differences From Third-Party Indicators, add an H4 for Interest Rate and list Sharpe and Sortino as dependent of our modeling if we don't provide a value.

We must fix the Indicator script to add this information to SR and SORTINO.