R help - Mar 2009 - Fast Fourier Transform w.r.t. CreditRisk+

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

schmway and morgan time series analysis with R examples is a good
intro to fourier analysis.  Also there are probably references in the
help for
?fft

Stephen

On Thu, Mar 5, 2009 at 5:48 AM, Maithili Shiva <maithili_shiva at
yahoo.com> 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 at 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.
>


-- 
Stephen Sefick

Let's not spend our time and resources thinking about things that are
so little or so large that all they really do for us is puff us up and
make us feel like gods.  We are mammals, and have not exhausted the
annoying little problems of being mammals.

								-K. Mullis

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 at 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.