Calculator inputs
Yield sensitivity graph
The chart compares clean price against nearby yield scenarios.
Example data table
| Face | Coupon % | Yield % | Frequency | Basis | Settlement | Clean Price | Dirty Price | Accrued Interest |
|---|---|---|---|---|---|---|---|---|
| 1,000.00 | 5.00 | 5.60 | Semiannual | Actual/Actual | 2026-04-15 | 972.94 | 985.37 | 12.43 |
Formula used
Coupon per period: C = Face × Coupon Rate ÷ Frequency.
Accrued interest: Accrued = Coupon per Period × Accrued Fraction. The accrued fraction uses your selected day count basis.
Dirty price: Dirty Price = Present value of remaining coupons + Present value of redemption value.
Clean price: Clean Price = Dirty Price − Accrued Interest.
Discount timing: Each future cash flow is discounted by (1 + Yield ÷ Frequency)t, where t is the fractional number of periods from settlement.
How to use this calculator
- Enter the bond face value and annual coupon rate.
- Add the market yield and redemption value.
- Select coupon frequency and a day count basis.
- Enter last coupon, settlement, next coupon, and maturity dates.
- Click calculate to see clean price, dirty price, and accrued interest.
- Review the cash flow table and price sensitivity graph.
- Use CSV or PDF export for reporting needs.
FAQs
1. What is accrued interest on a bond?
Accrued interest is the coupon interest earned since the last payment date. Buyers usually compensate sellers for this earned portion at settlement.
2. What is the difference between clean and dirty price?
Clean price excludes accrued interest. Dirty price includes accrued interest. Many market quotes show clean price, while settlement money typically uses dirty price.
3. Why does the day count basis matter?
Different bonds count coupon days differently. That changes the accrued fraction, which affects accrued interest, dirty price, and sometimes yield comparisons.
4. Can this calculator handle premium bonds?
Yes. If coupon rate exceeds market yield, the clean price can rise above face value. The result section also labels the bond as premium, discount, or at par.
5. What does coupon frequency change?
Frequency changes coupon size, discounting periods, and accrual timing. Semiannual frequency is common, but some bonds pay annually, quarterly, or monthly.
6. Why is settlement date important?
Settlement date determines how much interest has accrued and how far the next coupon is. Both directly influence clean and dirty prices.
7. Does the graph show market risk?
The graph shows how clean price changes when yield shifts around your chosen rate. It helps visualize bond price sensitivity to yield movement.
8. Can I use this for zero coupon bonds?
Yes. Enter a zero coupon rate. Accrued interest becomes zero, and pricing depends only on discounting the redemption value to settlement.