Calculate clean and dirty bond prices from coupon rate, yield, and maturity with accrued interest and settlement date adjustment.
Enter a bond's face value, coupon rate, coupon frequency, yield to maturity, maturity date, and settlement date, and the calculator discounts every remaining coupon plus the redemption value back to the settlement date to obtain the dirty price, then subtracts accrued interest for the stub period since the last coupon to obtain the clean price. What trips people up: the clean price it shows is not what you pay. The dirty price - clean price plus accrued interest - is the actual cash settlement amount, and the gap between the two can be several points on a bond settling mid-coupon.
A concrete input and expected output from the current implementation.
Input
Face value $1,000; annual coupon rate 5% paid semiannually ($25 every 6 months); yield to maturity 6% annual (3% per semiannual period); 2 years to maturity (4 coupon periods remaining); settlement date falls exactly on a coupon payment date.
Expected output
Clean price: $981.41 (98.141% of par). Accrued interest: $0.00. Dirty price: $981.41.
The four remaining $25 coupons and the $1,000 redemption are each discounted at 3% per period; the annuity of coupons is worth $92.93 and the discounted redemption is worth $888.49, summing to $981.41. Because settlement coincides with a coupon date, no interest has accrued, so clean and dirty price are identical.
The tool counts the coupon periods remaining between settlement and maturity, converts the annual yield to a periodic rate using the coupon frequency, and discounts each future coupon plus the final redemption of face value back to the settlement date. Summing those discounted cash flows gives the dirty price; subtracting accrued interest gives the clean price, quoted as a dollar amount or as a percentage of face value.
Using the settlement date and the date of the last coupon, the tool computes the fraction of the current coupon period that has elapsed and multiplies it by the coupon amount to get accrued interest. Adding that to the clean price produces the dirty price, which is the amount actually exchanged at settlement.
Brokers and market data feeds almost always quote the clean price. The dirty price adds accrued interest since the last coupon, which is what you actually pay at settlement, so the two will differ by the accrued interest amount unless settlement lands exactly on a coupon date.
Not reliably. The discounting assumes evenly spaced coupon periods between settlement and maturity, so a bond with a short or long stub coupon at issuance or call will need a manual adjustment; verify the period count and any stub interest separately before trusting the output.
The example and behavioral notes were checked against the browser implementation. Standards and primary references below define the relevant format, formula, or platform behavior.
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