public void Update(double prev, double curr) { _linearFilter.Update(prev, curr - prev); Period = _linearFilter.Slope == 0 ? Decimal.MaxValue : Convert.ToDecimal(-Math.Log(2) / _linearFilter.Slope); }
public void Update(double fstPrice, double sndPrice) { _linearFilter.Update(sndPrice, fstPrice); Spread = Convert.ToDecimal(fstPrice - _linearFilter.Predict(sndPrice)); }