Fama-Bliss discount bonds are defined through a straight forward calculation (Famma, Bliss 1987). For the purposes of a project I need to derive forward rates, yields &c. for periods not included in the CRSP bond file.
The problem is I cannot find the algorithm they use to select the bonds to be included in the calcuation. CRSP provides a description of the screening process
but it is vague enough that it would warrant a significant amount of guess and check.
Does anyone know precisely how the screening algorithm functions? Better yet, code (any language)?