1. Nicole Seaman

    YouTube T3-23: Full versus flat bond price (aka, cash vs. quoted or dirty vs. clean price

    The bond's present value (DCF) at any given point in time is called its "full price" (aka, cash, dirty). This full price is discontinuous because coupons pay discontinuously. If we subtract the accrued interest (AI) from the full price, we get the "flat price" (aka, quoted, clean). It is the...
  2. Nicole Seaman

    P1.T4.901. Exploiting arbitrage opportunities with a replicating bond portfolio (also: clean versus dirty, and day-count conventions) (Tuckman Ch.1)

    Learning objectives: Construct a replicating portfolio using multiple fixed income securities to match the cash flows of a given fixed income security. Identify arbitrage opportunities for fixed income securities with certain cash flows. Differentiate between “clean” and “dirty” bond pricing and...
  3. Nicole Seaman

    P1.T3.719. Quoted versus cash bond prices (Hull Chapter 6)

    Learning objectives: Identify the most commonly used day count conventions, describe the markets that each one is typically used in, and apply each to an interest calculation. Calculate the conversion of a discount rate to a price for a US Treasury bill. Differentiate between the clean and dirty...
  4. S

    Dirty Price

    I have issues understanding the result of the following question: A $1,000 par corporate bond carries a coupon rate of 6%, pays coupons semiannually, and has ten coupon payments remaining to maturity. Market rates are currently 5%. There are 90 days between settlement and the next coupon...