Posted by
Luigi Ballabio on
Aug 24, 2012; 9:24am
URL: http://quantlib.414.s1.nabble.com/CAT-Bond-valuation-tp13511p13512.html
Hi,
apologies for the delay; I was on vacation without email (yes, it
felt nice).
I don't have experience with CAT bonds, but I might give hints on the
library side.
What model would you implement? And are you familiar with QuantLib already?
Luigi
On Thu, Jul 26, 2012 at 2:25 PM, Grześ Andruszkiewicz
<
[hidden email]> wrote:
> 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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