Risk Free Interest Rate
Supported Models
Introduction
This page describes all of the pre-built risk free interest rate models in LEAN. If none of these models perform exactly how you want, create a custom risk free interest rate model.
Constant Model
The ConstantRiskFreeRateInterestRateModel returns a constant rate across time. It's the default risk free interest rate model.
SetRiskFreeInterestRateModel(new ConstantRiskFreeRateInterestRateModel(0.02m));
self.set_risk_free_interest_rate_model(ConstantRiskFreeRateInterestRateModel(0.02))
The following table describes the arguments the model accepts:
| Argument | Data Type | Description | Default Value |
|---|---|---|---|
riskFreeRaterisk_free_rate | decimalfloat | The risk free interest rate |
For more information about this model, see the class reference and implementation.
For more information about this model, see the class reference and implementation.
Function Model
The FuncRiskFreeRateInterestRateModel calls a function you provide to get the risk free interest rate. The function you pass to the constructor effectively replaces the GetInterestRate method.
SetRiskFreeInterestRateModel(new FuncRiskFreeRateInterestRateModel(getInterestRateFunc));
self.set_risk_free_interest_rate_model(FuncRiskFreeRateInterestRateModel(self.get_interest_rate_func))
The following table describes the arguments the model accepts:
| Argument | Data Type | Description | Default Value |
|---|---|---|---|
getInterestRateFuncget_interest_rate_func | Func<DateTime, decimal>Callable[[datetime], float] | A function that returns the risk free interest rate for a given date |
For more information about this model, see the class reference and implementation.
For more information about this model, see the class reference and implementation.
Interest Rate Provider Model
The InterestRateProvider returns the primary credit rate from the Federal Open Market Committee (FOMC).
SetRiskFreeInterestRateModel(new InterestRateProvider());
self.set_risk_free_interest_rate_model(InterestRateProvider())
For more information about this model, see the class reference and implementation.
For more information about this model, see the class reference and implementation.
You can also see our Videos. You can also get in touch with us via Discord.
Did you find this page helpful?
