Login  Register

Fast Fourier Transform conventions

classic Classic list List threaded Threaded
1 message Options Options
Embed post
Permalink
Reply | Threaded
Open this post in threaded view
| More
Print post
Permalink

Fast Fourier Transform conventions

Joseph Wang-2
I've started coding up an FFT algorithm in QuantLib, and I was wondering what
are the standard conventions in finance for the constants (i.e. factors of
pi) in front of the transforms.