INNER CODE UNIT · Python
kappaT0
AlexShakaev/backtesting_and_algotrading_options_with_Interactive_Brokers_API · utils/bocd.py:33
kappaT0 = np.concatenate((self.kappa0, self.kappa + 1.))
alphaT0 = np.concatenate((self.alpha0, self.alpha + 0.5))
betaT0 = np.concatenate((self.beta0, self.beta + (self.kappa * (data -
self.mu)**2) / (2. * (self.kappa + 1.))))
self.mu = muT0
self.kappa = kappaT0
self.alpha = alphaT0
self.beta = betaT0
class BOCD:
def __init__(self, hazard_function, observation_likelihood, length):
self.t = 0
self.R = np.zeros((length, length))
self.H = hazard_function
self.observation_likelihood = observation_likelihood
self.R[0, 0] = 1