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I am a co-author of that paper. You may want to check out FinancePy which is a beta version of a finance library where I have implemented the code for calculating the discount margin. Here is an example Jupyter notebook that reproduces (almost exactly) a Bloomberg example. https://github.com/domokane/FinancePy/blob/master/notebooks/products/bonds/...


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I think you mean this: Another DM variant is this: Source: This document has numerical examples.


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