XploRe Help : BondCoupon

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	finance
See also:	BondOnlyCoupon BondZeroCoupon BondZeroCouponHPP

Quantlet:		BondCoupon
Description:		computes price of the coupon-bearing CAT bond for the given claim amount distribution and non-homogeneous Poisson process governing the flow of losses

Reference(s):

K. Burnecki, G. Kukla, D. Taylor (2005) "Pricing of catastrophe bonds ", in “Statistical Tools for Finance and Insurance”, eds. P. Cizek, W. Härdle, R. Weron, Springer.

Usage:	`y = BondCoupon(Z,C,D,T,r,lambda,parlambda,distr,params,Tmax,N)`
Input:
	`Z`	scalar, payment at maturity
	`C`	scalar, coupon payments (cease at the threshold time or Tmax)
	`D`	n1 x 1 vector, threshold level
	`T`	n2 x 1 vector, time to expiry
	`r`	scalar, continuously-compounded discount rate
	`lambda`	scalar, intensity function, if lambda=0, a sine function, if lambda=1, a linear function, if lambda=2, a sine square function
	`parlambda`	n x 1 vector, parameters of the intensity function lambda (n=2 for lambda=1, n=3 otherwise)
	`distrib`	string, claim size distribution
	`params`	n x 1 vector, parameters of the claim size distribution, n=1 (exponential), n=2 (gamma, lognormal, Pareto, Weibull), n=3 (Burr, mixofexps)
	`Tmax`	scalar, time horizon
	`N`	scalar, number of trajectories
Output:
	`y`	m x 3 matrix, the first column are times to bond's expiration, the second threshold levels and the third corresponding prices of the bond

Example:

library("finance") Z=1 C=0.06 D=1e9|2e9 T= 1|2 r=log(1.025) lambda=0 parlambda=#(39,14,-0.2) distr="Burr" params=#(0.5,4*1e16,5) Tmax=max(T) N= 20 ; d1=BondCoupon(Z,C,D,T,r,lambda,parlambda,distr,params,Tmax,N) d1

Result:

Contents of d1
[1,]        1    1e+09   1.0349
[2,]        1    2e+09   1.0349
[3,]        2    1e+09   1.0689
[4,]        2    2e+09   1.0689

Author: G. Kukla, 20041123 license MD*Tech