I found the piggybank.jar in /opt/cloudera/parcels/CDH/lib/pig/.
The problem was in fact that when I called register piggybank, the grunt shell gave me this exception:
grunt> REGISTER piggybank.jar 2015-02-19 12:38:49,841 [main] INFO org.apache.hadoop.conf.Configuration.deprecation - fs.default.name is deprecated. Instead, use fs.defaultFS
2015-02-19 12:38:49,849 [main] ERROR org.apache.pig.tools.grunt.Grunt - ERROR 101: file 'piggybank.jar' does not exist.
after changing the directory into the lib path the register worked well..
or use:
REGISTER /opt/cloudera/parcels/CDH/lib/pig/piggybank.jar
Tomas