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                                            Erik Wong

The market convention in Canada is to quote a money market equivalent yield on bonds that are in their last coupon period

USD corporate bonds with less than 14 months till maturity are quoted using a similar convention. We use the same formula described in section 10.10.3 of [this document](https://iiac.ca/wp-content/uploads/Canadian-Conventions-in-FI-Markets-Release-1.3.pdf) (see page...