Re: [R] Fast Fourier Transform w.r.t. CreditRisk+

From: Carlos J. Gil Bellosta <cgb_at_datanalytics.com>
Date: Thu, 05 Mar 2009 16:45:02 +0100

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
>
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