CAT Bond valuation
Posted by
Grześ Andruszkiewicz on
Jul 26, 2012; 12:25pm
URL: http://quantlib.414.s1.nabble.com/CAT-Bond-valuation-tp13511.html
Hi,
As part of a bigger project we are planning to implement valuation of
CAT (Catastrophe) Bonds, and we were thinking to do it as part of
QuantLib to leverage all the functionality that is not specific for
these products (like term structure, etc.). The bigger project will
produce the distribution of the losses of the underlying insurance
contract (against CAT events), so we will assume this as an input.
Does anyone have any experience with CAT Bonds? Or at least could give
us hints on where to start?
Kind regards,
Grzegorz
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