At the risk of tooting my own horn, chapter 2 of Implementing QuantLib
(included in the free sample at <https://leanpub.com/implementingquantlib>)
describes the design of instruments and pricing engines and has an example
of one with a closed pricing formula. Other chapters go into available
frameworks for Monte Carlo etc. Feedback is welcome.
Luigi
Post by Nivel EgresIs there a good tutorial on adding a new product/payoff in QuantLib?
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