Re: [Quantlib-dev] QuEP 5

[Luigi B. <lui...@gm...>]

On Mon, Jan 9, 2012 at 7:41 PM, Animesh Saxena
<ani...@co...> wrote:
> I was looking through this document "http://quantlib.org/quep/quep005.html"
> and found it very interesting. It mentions that a proof of concept is
> already present. I couldn't locate the files in the svn dump i downloaded.
> There are no files like argsandresults.hpp

That was quite a few years ago. It's no longer a proof of concept,
it's a staple of the library. For the current implementation, start
from <ql/instrument.hpp> and <ql/pricingengine.hpp>; the available
engines are in the <ql/pricingengines> folder, while the corresponding
instruments are in the <ql/instruments> folder.  For an updated
discussion of the architecture, see chapter 2 at
<https://sites.google.com/site/luigiballabio/>.

Luigi