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Subject: ODFF: RECEIVED function (2)
ODFF 28Jun08: "TODO: I do not know if the above formula applies to the condition that the maturity date is more than one year after the settlement date." http://en.wikipedia.org/wiki/Bond_valuation seems to suggest that compounding is important in valuing a discounted bond, as you would expect. The formula employed in the function takes no account of compounding of course, so I submit it would be unwise to suggest its use for periods over a year. It may have been intended for some short term US Treasury bills? The formula is fine if you use an equivalent uncompounded rate, but I suspect that doesn't happen in practice. Caveat: this is not my field of expertise. D
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