INNER CODE UNIT · Python

StudentT

AlexShakaev/backtesting_and_algotrading_options_with_Interactive_Brokers_API · utils/bocd.py:17

class StudentT:
    def __init__(self, alpha, beta, kappa, mu):
        self.alpha0 = self.alpha = np.array([alpha])
        self.beta0 = self.beta = np.array([beta])
        self.kappa0 = self.kappa = np.array([kappa])
        self.mu0 = self.mu = np.array([mu])

    def pdf(self, data):
        return stats.t.pdf(x=data, 
                           df=2*self.alpha,
                           loc=self.mu,
                           scale=np.sqrt(self.beta * (self.kappa+1) / (self.alpha *
                               self.kappa)))

    def update_theta(self, data):
        muT0 = np.concatenate((self.mu0, (self.kappa * self.mu + data) / (self.kappa + 1)))
        kappaT0 = np.concatenate((self.kappa0, self.kappa + 1.))
        alphaT0 = np.concatenate((self.alpha0, self.alpha + 0.5))

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