Clean & dirty price

A bond quotes one price but a buyer pays another. The difference is accrued interest. This page explains why, with a worked example.

The clean price

The clean price is what the bond is quoted at — a percent of par (face value). Caravan returns it as clean_price_micros, where 100000000 micros = 100.000% of par. A clean price of 97250000 means 97.25% of par. It excludes any interest that has built up since the last coupon, so the quote moves with the market, not with the calendar.

Accrued interest

A bond pays a coupon on a schedule (say, twice a year). Between coupon dates, interest is steadily "building up" for whoever holds the bond. When you buy partway through a coupon period, you owe the seller the interest accrued so far:

accrued ≈ face_value × (coupon_rate_bps / 10000) × (days_since_last_coupon / day_count_basis)

The day_count_convention (e.g. ACT/365) sets the basis. A zero-coupon bill has coupon_rate_bps = 0, so accrued is always zero.

The dirty price

The dirty price — the actual consideration — is the clean price plus accrued:

dirty = clean + accrued

Worked example

A bond with:

• face value 1000000000 micros (1,000 EGP par),
• coupon_rate_bps = 1200 (12.00% annual),
• semi-annual coupons,
• 90 days since the last coupon on an ACT/365 basis,
• a clean price of 100000000 micros (100.000% of par).

Accrued ≈ 1000000000 × 0.12 × (90 / 365) ≈ 29,589,041 micros (≈ 29.59 EGP).

So a clean quote of 100% par becomes a dirty consideration of roughly 1,029,589,041 micros (≈ 1,029.59 EGP) per unit. The clean price is what's displayed; the dirty price is what's reserved and charged.

Where this shows up

/v1/bonds returns the clean price and the bond terms needed to compute accrued. When the bond money path opens, a fill will itemize accrued_micros and the dirty consideration so the buyer sees both. The figures are copied from the bond's terms — Caravan does no hidden arithmetic.

Clean vs. dirty is mechanics, not merit. A higher coupon means more accrued, not a "better" bond — yield is disclosure, not a ranking.