From: Luigi B. <lui...@gm...> - 2012-08-24 09:24:59
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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 <gan...@gm...> 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 > > ------------------------------------------------------------------------------ > Live Security Virtual Conference > Exclusive live event will cover all the ways today's security and > threat landscape has changed and how IT managers can respond. Discussions > will include endpoint security, mobile security and the latest in malware > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev |