Posted by
Grześ Andruszkiewicz on
Aug 24, 2012; 3:08pm
URL: http://quantlib.414.s1.nabble.com/CAT-Bond-valuation-tp13511p13513.html
Hi Luigi,
Thanks for your reply! I personally can't claim to be proficient with
Quantlib, but my colleague Lorenzo (CC'd) did the 3-day course in
London with yourself, so he must be an expert ;)
I don't think there are any established models for CAT bonds. We are
actually part of one of these academic-industry projects and one of
the goals is to come up with a model and implementation for these
instruments. We thought it might be a good idea to make this
implementation part of quantlib, to make it potentially useful for
someone.
To start with, I would be grateful for any hints on where to start,
e.g. what would be your first guess on the place in the class
hierarchy where this instrument would fit?
Kind regards,
Grzegorz
On 24 August 2012 11:24, Luigi Ballabio <
[hidden email]> wrote:
> 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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