Re: [Quantlib-dev] (no subject)

[Bojan N. <bo...@bn...>]

Hi Simon,

"Simon Ibbotson" <Sim...@fs...> writes:

> I was hoping to use Fractional Fourier Transform to perform the integral
> (as in Chourdakis '08).
> Are there any issues with linking QuantLib to FFTW (perhaps through a
> late-time binding to avoid licensing problems)?

Since FFTW is released publicly under the GPL I believe it would indeed
create a licensing problem. With GPL I think it does not matter if is
statically or dynamically linked, it still requires the whole of the
program to be licensed under GPL.

There is a simple FFT implementation in:

 ql/experimental/math/fastfouriertransform.hpp

That should probably be enough to get you going and than if find that
speed is a big issue you can look to a specialised library.

Best,
Bojan

-- 
Bojan Nikolic          ||          http://www.bnikolic.co.uk/ql