Re: [Quantlib-dev] (no subject)

[Simon I. <Sim...@fs...>]

Does anyone know which version of FFT is in QL? Is it the standard
FT(1,1) or another version of the Fourier Transform? 

Alternatively, if someone could direct me to a good explanation of the
FFT algorithm - I can work it out for myself... 

Thanks,
Simon


-----Original Message-----
From: Bojan Nikolic [mailto:bo...@bn...] 
Sent: 30 September 2010 09:59
To: Simon Ibbotson
Cc: qua...@li...
Subject: Re: [Quantlib-dev] (no subject)


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



This communication and any attachments contains information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority. If you have received this email in error please notify pos...@fs... immediately and delete the email from your computer.

The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards.
This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from

The Financial Services Authority (FSA)
25 The North Colonnade,
Canary Wharf,
London
E14 5HS
United Kingdom

Registered as a Limited Company in England and Wales No.1920623.
Registered Office as above

Switchboard: 020 7066 1000
Web Site: http://www.fsa.gov.uk
*****************************************************************