Does there exist an efficient FFT based convolution method in Quantlib?
Posted by vgdev on Jun 13, 2017; 3:43pm
URL: http://quantlib.414.s1.nabble.com/Does-there-exist-an-efficient-FFT-based-convolution-method-in-Quantlib-tp18346.html
I am looking for an efficient method for calculating the covolution of two real functions/vectors. I know Quantlib has a method for the FFT and the inverse FFT, but I was wondering if there already exist code for convolution, taking care of zero-padding etc...
Br/
Vegard Devold