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

[Maithili Shiva]

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