Re: Does there exist an efficient FFT based convolution method in Quantlib?

Posted by Luigi Ballabio on Jun 30, 2017; 9:16am
URL: http://quantlib.414.s1.nabble.com/Does-there-exist-an-efficient-FFT-based-convolution-method-in-Quantlib-tp18346p18371.html

Not that I know of, sorry.

Luigi

On Wed, Jun 14, 2017 at 10:45 AM vgdev <[hidden email]> wrote:

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



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