Identifying Clean and Dirty Bond Prices from Yield and Price History

Summary

The document describes ways to determine whether a bond price is quoted clean or dirty when the convention is unknown. Clean price excludes accrued interest; dirty price includes it. One approach is to use the available yield to calculate a theoretical price and compare it with the quoted value. If accrued interest is known, another check is to subtract it from the price and compare the adjusted value with the yield-implied price.

Price history can also provide clues: accrued interest causes characteristic movement around coupon dates, so examining a price series or its duration behavior may help distinguish the conventions. The answers say clean quoting is common, while dirty quoting is rarer, and mention regional practices. These are general indicators rather than a universal rule; the document does not specify a bond pricing model or address complications from instrument-specific conventions. Market convention and contract details should therefore be checked alongside the proposed comparisons.

Key ideas

• Dirty price equals clean price plus accrued interest.
• Compare the quoted price with a price calculated from the available yield to test the convention.
• Subtract accrued interest and repeat the yield-based price check when the initial comparison does not match.
• Coupon-related changes in historical prices or duration may offer clues about the quoting basis.
• Regional practices can guide an initial guess but do not establish the convention for every bond.

Tags

# Determining if a bond is quoted dirty or clean


# Determining if a bond is quoted dirty or clean












Assume we have all available information and contract specifications for a fixed income instrument, except if the price is quoted as a dirty or clean price. How can we determine if the price given is a dirty price or clean price?

## Answer by Helin (score 8)

https://quant.stackexchange.com/a/32457

It is extremely rare for a bond to be quoted on a dirty-price basis. Off the topic of my head, I can only think of Chilean & Korean bonds...

If you have yield, you can calculate the price from yield and see whether they match. If you have the history of prices, try calculating mod duration and see whether the time series jumps every few months.

## Answer by user219626 (score 0)

https://quant.stackexchange.com/a/32462

Dirty Price = Clean Price + Accrued Interest

When bond prices are quoted on a Bloomberg Terminal or Reuters they are quoted using the clean price. The clean price is mostly quoted in the US bond markets. The dirty price is mostly quoted in the European bond markets.

Now, if you want to find out whether a price is clean or dirty, you can take that price as an input and find out the corresponding yield from BBG YA (or YAS) page. If the yield matches, then it's a clean price. If not, then try deducting the Accrued Interest (available on YAS page) from your price and then do the same P2Y check, if it matches then it's the dirty price.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.