[Quantlib-users] 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



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[Luigi Ballabio]

Not that I know of, sorry.

Luigi

Post by 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
--
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.
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