[R] Fast Fourier Transform w.r.t. CreditRisk+

[Carlos J. Gil Bellosta]

Hello,

You have a link on the subject here:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1122844

The author has extra literature and code on the subject. 

Also, there was a thread in R-SIG-Finance list on the subject a few
months ago.

Best regards,

Carlos J. Gil Bellosta
http://www.datanalytics.com

On Thu, 2009-03-05 at 03:48 -0800, Maithili Shiva wrote:
> Dear R Helpers,
> 
> Is there any literaure available (including R code) on Fast Fourier Transform being used in CreditRisk+? I need to learn how to apply the Fast Fourier Transform. I agree I am too vaue in my question and sincerely apologize for the same, but I am not able to understand as to where do I start for this particular assignment. I tried to search google for CRAN and Fast Fourier Transform, but I got something for FFT image. Basically I need to understand what is Fast Fourier Transform is and its use in CreditRisk+?
> 
> With regards and tahnking in advance
> 
> Maithili
> 
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