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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)?


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