Does there exist an efficient FFT based convolution method in Quantlib?

classic Classic list List threaded Threaded
2 messages Options
Reply | Threaded
Open this post in threaded view
|  
Report Content as Inappropriate

Does there exist an efficient FFT based convolution method in Quantlib?

vgdev
I am looking for an efficient method for calculating the covolution of two real functions/vectors. I know Quantlib has a method for the FFT and the inverse FFT, but I was wondering if there already exist code for convolution, taking care of zero-padding etc...

Br/
Vegard Devold
Reply | Threaded
Open this post in threaded view
|  
Report Content as Inappropriate

Re: Does there exist an efficient FFT based convolution method in Quantlib?

Luigi Ballabio
Not that I know of, sorry.

Luigi


On Wed, Jun 14, 2017 at 10:45 AM vgdev <[hidden email]> wrote:
I am looking for an efficient method for calculating the covolution of two
real functions/vectors. I know Quantlib has a method for the FFT and the
inverse FFT, but I was wondering if there already exist code for
convolution, taking care of zero-padding etc...

Br/
Vegard Devold



--
View this message in context: http://quantlib.10058.n7.nabble.com/Does-there-exist-an-efficient-FFT-based-convolution-method-in-Quantlib-tp18346.html
Sent from the quantlib-users mailing list archive at Nabble.com.

------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Loading...