Fast Fourier Transform w.r.t. CreditRisk+
Hello, You have a link on the subject here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1122844 The author has extra literature and code on the subject. Also, there was a thread in R-SIG-Finance list on the subject a few months ago. Best regards, Carlos J. Gil Bellosta http://www.datanalytics.com
On Thu, 2009-03-05 at 03:48 -0800, Maithili Shiva wrote:
Dear R Helpers, Is there any literaure available (including R code) on Fast Fourier Transform being used in CreditRisk+? I need to learn how to apply the Fast Fourier Transform. I agree I am too vaue in my question and sincerely apologize for the same, but I am not able to understand as to where do I start for this particular assignment. I tried to search google for CRAN and Fast Fourier Transform, but I got something for FFT image. Basically I need to understand what is Fast Fourier Transform is and its use in CreditRisk+? With regards and tahnking in advance Maithili
______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.