http://quantlib.414.s1.nabble.com/On-integrating-a-new-numerical-method-into-QL-tp16927.html
Very new to QuantLib. Very comfortable with C++.
I want to replicate some results from the following paper: "Psuedospectral methods for pricing options", Sangwon Suh (2009), Quantitative Finance, 9:6, 705-715
QL looks ideal as I can very quickly/easily compare results with the more traditional means (MC simulation, FDM, etc). The SpectralMethod technique per the paper is relatively straightforward and I think I can exploit much of what QL already offers to achieve it. As an added bonus, if done right, it's potentially another feather in QL's cap as regards option pricing engines.
I'm really at ground-zero with QL & need good advice on the best approach here wrt where to start and any recommended texts (bought Luigi's book already) &/or links taking me through QL's internal architecture in as much painstaking detail as possible.
At first glance it looks like I'd want to derive from GenericEngine (or even PricingEngine) and implement what I need for Euro/American/Bermudans in a selft-contained way therein. Looking a little deeper, I might instead want to follow as a template what's been done in the FDEuropeanEngine, FDAmericanEngine, FDBermudanEngine classes - although obviously altering the implementation etc to fit my purposes.
Hence I'm confused as to the best/correct approach.
Advice / explanations gratefully received!
Joe