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QuantLib_FastFourierTransform

NAME

QuantLib::FastFourierTransform -

FFT implementation.

SYNOPSIS

#include <ql/experimental/math/fastfouriertransform.hpp>

Public Member Functions

FastFourierTransform (std::size_t order)

std::size_t output_size () const
The required size for the output vector.
template<typename InputIterator , typename RandomAccessIterator > void transform (InputIterator inBegin, InputIterator inEnd, RandomAccessIterator out) const
FFT transform.
template<typename InputIterator , typename RandomAccessIterator > void inverse_transform (InputIterator inBegin, InputIterator inEnd, RandomAccessIterator out) const
Inverse FFT transform.

Static Public Member Functions

static std::size_t min_order (std::size_t inputSize)
the minimum order required for the given input size

Detailed Description

FFT implementation.

Member Function Documentation

void transform (InputIterator inBegin, InputIterator inEnd, RandomAccessIterator out) const

FFT transform. The output sequence must be allocated by the user

void inverse_transform (InputIterator inBegin, InputIterator inEnd, RandomAccessIterator out) const

Inverse FFT transform. The output sequence must be allocated by the user.

Author

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