Treasury clean and dirty settlement price
How much does accrued coupon interest add to a quoted clean price at Treasury settlement?
This experiment lets you change financial assumptions and inspect the resulting calculation. The starting values are illustrative, and no live market feed is required. Compare an alternative, search a stated range for a failure condition, and inspect the assumptions behind the result. The calculation describes the selected model, rather than predicting markets or recommending a transaction. You can run this experiment without signing in and preserve a replayable receipt.
Run this experimentStarting assumptions.
| Treasury note or bond face value | 100000 USD |
|---|---|
| Clean price per USD 100 face | 99.5 USD/100 face |
| Annual coupon rate | 4 % |
| Actual days in full coupon period | 182 days |
| Accrued days at settlement | 91 days |
What the result establishes.
The result is conditional on the input values, financial conventions and model version. Calculations are performed by the same Go engine in the browser and local service.
- Illustrative user assumptions; no live market data or calibrated forecast.
- Results apply only to the declared mechanisms, horizon and search bounds.
- Regular semiannual coupon: accrued interest is half the annual coupon times actual accrued days divided by actual full-period days. The user supplies day counts; short/long coupons, ex-coupon trading and holidays are not inferred.
- The two-point timeline repeats the settlement-cost snapshot; it is not a mark-to-market or available-cash path. Source: https://www.ecfr.gov/current/title-31/subtitle-B/chapter-II/subchapter-A/part-306/subpart-E/section-306.35
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