Module: Quant::Mixins::ButterworthFilters

Included in:
Filters
Defined in:
lib/quant/mixins/butterworth_filters.rb

Instance Method Summary collapse

Instance Method Details

#three_pole_butterworth(source, period:, previous: :bw) ⇒ Object

Raises:

  • (ArgumentError) 


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# File 'lib/quant/mixins/butterworth_filters.rb', line 26

def three_pole_butterworth(source, period:, previous: :bw)
  raise ArgumentError, "source must be a Symbol" unless source.is_a?(Symbol)

  v0 = p0.send(source)
  v1 = p1.send(previous)
  v2 = p2.send(previous)
  v3 = p3.send(previous)

  radians = Math.sqrt(3) * Math::PI / period
  a = Math.exp(-radians)
  b = 2 * a * Math.cos(radians)
  c = a**2

  d4 = c**2
  d3 = -(c + (b * c))
  d2 = b + c
  d1 = 1.0 - d2 - d3 - d4

  (d1 * v0) + (d2 * v1) + (d3 * v2) + (d4 * v3)
end

#two_pole_butterworth(source, period:, previous: :bw) ⇒ Object

Raises:

  • (ArgumentError) 


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# File 'lib/quant/mixins/butterworth_filters.rb', line 6

def two_pole_butterworth(source, period:, previous: :bw)
  raise ArgumentError, "source must be a Symbol" unless source.is_a?(Symbol)

  v0 = p0.send(source)

  v1 = 0.5 * (v0 + p1.send(source))
  v2 = p1.send(previous)
  v3 = p2.send(previous)

  radians = Math.sqrt(2) * Math::PI / period
  a = Math.exp(-radians)
  b = 2 * a * Math.cos(radians)

  c2 = b
  c3 = -a**2
  c1 = 1.0 - c2 - c3

  (c1 * v1) + (c2 * v2) + (c3 * v3)
end