There’s a fourier transform in
QuantLib – in the “ql/experimental/math” directory.
From:
simone pilozzi [mailto:[hidden email]]
Sent: 17 October 2010 10:14
To:
[hidden email]
Subject: [Quantlib-users]
Autocorrelation function/Spectral density
Hi all,
does anyone have any suggestion / example on how to compute the
spectral density of a time series (e/ o the autocorrelation function)?
The ideal benchmark is the discrete fourier transform of R or Matlab.
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