We can associate the Competitor to the Product using the below code.
var xrm = new XrmServiceContext("Xrm");
Guid competitorId = new Guid();
EntityReferenceCollection relatedEntitiesCompetitor = new EntityReferenceCollection();
relatedEntitiesCompetitor.Add(new EntityReference(CompetitorProduct.EntityLogicalName, competitorId));
Relationship relationshipCompetitor = new Relationship("competitorproduct_association");
xrm.Associate("product", newProduct.Id, relationshipCompetitor, relatedEntitiesCompetitor);
Here the competitorproduct_association is the relationship between the Price List and the Product. We can see the relationship in the CRM portal. The steps are
Settings->Customizations->Customize the System->Entities->Select the Entity ->Click on Relationship.