Hey Joe,
I guess Luigi's book or the courses he teaches from time to time are
the best entry points. The book covers the interplay between pricing
engines and instruments quite detailed if I remember correctly.
If you start from scratch you would derive from GenericEngine (or
GenericModelEngine if a "model" is involved) and implement the
calculate() method. That's it. :-)
Although I would recommend to use an existing engine as a template,
that is always a good way to get started. Choose an engine that prices
the same instrument (if possible), then you already have a lot.
Maybe it would be helpful if you describe the kind of instrument you
plan to price and give a rough picture of the methodology.
Best regards
Peter
> ------------------------------------------------------------------------------
On 26 September 2015 at 12:21, Joe FitzGerald <[hidden email]> wrote:
> 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
>
>
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