Re: QuantLib-dev Digest, Vol 4, Issue 8

[Mark joshi]

surely the standard library complex class and the stl valarray class
should be sufficient and will have no licensing issues

mark


On 26/09/06, [hidden email]
<[hidden email]> wrote:

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>    1. Implementing complex arrays (Joseph Wang)
>    2. One more thing about fft and complex classes.... (Joseph Wang)
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> ----------------------------------------------------------------------
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> Message: 1
> Date: Mon, 25 Sep 2006 00:20:21 -0500
> From: Joseph Wang <[hidden email]>
> Subject: [Quantlib-dev] Implementing complex arrays
> To: [hidden email]
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>
> I'm in the process of adding some functionality to deal with Levy processes
> which involves implementing fast fourier transforms and the ability to deal
> with characteristic functions and PIDE's.
>
> The question I have is that these functions require complex arrays and I was
> wondering the best way of implementing those.  The thought occurs to me that
> we can create an ArrayTemplate class and then
>
> typedef ArrayTemplate<Real> Array
> typedef ArrayTemplate<complex<Real> > ComplexArray
>
> Alternatively one can to
>
> class ComplexArray {
>    Array real;
>    Array imaginary;
> }
>
> Or perhaps
>
> template <class T>
> class ComplexTemplate {
>     T real;
>     T imaginary;
> };
>
> typedef ComplexTemplate<Array> ComplexArray;
>
> Thoughts?
>
>
>
>
>
>
> ------------------------------
>
> Message: 2
> Date: Mon, 25 Sep 2006 00:27:24 -0500
> From: Joseph Wang <[hidden email]>
> Subject: [Quantlib-dev] One more thing about fft and complex
>         classes....
> To: [hidden email]
> Message-ID: <[hidden email]>
> Content-Type: text/plain;  charset="us-ascii"
>
> If anyone knows of any fft classes or complex classes that are BSD compatible
> let me know.  I'm having to do some wheel reinvention because all of the
> fft's I've found (namely fftw) are GPL'ed and hence incompatible with BSD.
>
> The stub for the fft was code that I'm using was explicitly marked public
> domain.
>
> I've also found that there is surprisingly little fft code that actually tries
> to do something that is object oriented.  Most of the code I've seen is in C
> or Fortran and is very procedural.
>
> Once I get a basic FFT working, the next step is to start implementing PIDE
> code, and to do some experiments with non-uniform FFT's.
>
>
>
>
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> End of QuantLib-dev Digest, Vol 4, Issue 8
> ******************************************
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--
Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com