A one year bond of principle 100, coupon 6% with half year paying and yield 11%. Suppose the beginning day of bond is 1.1 and today is 3.1, then I want to ask that, the price $$c = \dfrac{3}{e^{0.11 * 0.25}} + \dfrac{103}{e^{0.11 * 0.75}}$$ is the dirty price or clean price?

  • $\begingroup$ What does the beginning day is 1.1 mean? $\endgroup$ – Gordon Aug 9 '17 at 18:12
  • $\begingroup$ @Gordon Jun 1st $\endgroup$ – A.Oreo Aug 10 '17 at 1:08

It is the dirty price, since it includes accrued interest, as represented by the first part of the equation.

  • $\begingroup$ Where is the accrued interest term, I don't see it. I only see a term for the first half-coupon and a term for the face value plus second half coupon. $\endgroup$ – Alex C Aug 8 '17 at 0:23
  • $\begingroup$ so, the quote in the market is always the clean price i.e this result - accrued interest term? $\endgroup$ – A.Oreo Aug 8 '17 at 1:12
  • $\begingroup$ And the delivery price is always dirty price in the real trading? $\endgroup$ – A.Oreo Aug 8 '17 at 1:21

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