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 > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.