I just booted up CentOS 5 (RHEL without direct RH support). I saw nothing about COBOL from the standard repositories.
I most often use Debian, and there is an OpenCOBOL
in the standard Debian (Lenny
A website for OpenCOBOL can be found at http://www.opencobol.org/
-- of course, you'd need to do some system work to get it, install and configure it, etc. It looks like they have a forum there, so perhaps you could get help there if you needed it. The blurb says that it compiles COBOL to C, so I expect the compiler would not be very large, but you'd need a C compiler and libraries.
There may be other compilers available. Google could help you there.
Best wishes ... cheers, makyo