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: BondCoupon BondZeroCoupon BondZeroCouponHPP

 Quantlet: BondOnlyCoupon Description: computes price of the CAT bond paying only coupons for the given claim amount distribution and the 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 = BondOnlyCoupon(C,D,T,r,lambda,parlambda,distr,params,Tmax,N) Input: 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")
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=BondOnlyCoupon(C,D,T,r,lambda,parlambda,distr,params,Tmax,N)
d1

```
Result:
```Contents of d1
[1,]        1    1e+09  0.059265
[2,]        1    2e+09  0.059265
[3,]        2    1e+09  0.11709
[4,]        2    2e+09  0.11709
```

Author: G. Kukla, 20041123 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006