[ quantlib-Patches-2315587 ] Fast Fourier Transform changes.

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[ quantlib-Patches-2315587 ] Fast Fourier Transform changes.

SourceForge.net
Patches item #2315587, was opened at 2008-11-19 20:32
Message generated for change (Comment added) made by lballabio
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315587&group_id=12740

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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
Assigned to: Nobody/Anonymous (nobody)
Summary: Fast Fourier Transform changes.

Initial Comment:
I propose the following changes to ql/math/fastfouriertransform.hpp and related files:

1. Enabled it (ifdef changed to ifndef)

2. Made number of frequencies a run time parameter, which
is passed as a parameter of class ctor. Very often the frequency of FT is determined at run time, so it's better
to have it this way.

3. Improved performance. Sines and cosines for a given frequency are calculated ones at object construction. This also allows for reuse the same object for different transformations.

4. Changed interface of fft method. Additional template parameter added to distinguish between the types of input and output sequences. End of output sequence added to allow for different input and output length.

5. Added check on consistency of size of the input sequence. Replaced [] by *-type dereference, which is more appropriate for iterators.

6. Added operator () to make the class a functor.

7. Minor changes to bit_reverse method.

8. Added a test to the test suite (separate patch).

The differences between proposed changes and the current trunk version are attached.

Regards,

Slava Mazur

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2008-12-15 09:38

Message:
yes, we do care. We're just slow.


----------------------------------------------------------------------

Comment By: Slava Mazur (shlagbaum)
Date: 2008-12-12 16:29

Message:
Anybody cares about this?

----------------------------------------------------------------------

You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315587&group_id=12740

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