Treasury bond futures

[Edwin]

Suppose we have not yet received any coupon from a bond. Say we are to receive the coupon in 3 days. If the current Bond price is 120, when calculating the Spot price, do we add the accrued interest?

My hypothesis was we do not, but I would like to confirm if I'm right.

 

[David Hopkins]

The price quoted for a UK bond in the Financial Times or on a website is an artificial price called the "clean" price. The actual price you would pay or receive when trading the bond is the "dirty" price, which is the clean price adjusted for the proportion of the next coupon that has accrued.

In formulae such as the one for calculating the futures price, you need to use the dirty price, ie the "true" price.

 

[Edwin]

The price quoted for a UK bond in the Financial Times or on a website is an artificial price called the "clean" price. The actual price you would pay or receive when trading the bond is the "dirty" price, which is the clean price adjusted for the proportion of the next coupon that has accrued.

In formulae such as the one for calculating the futures price, you need to use the dirty price, ie the "true" price.

I think it's clear, does this mean we accrue interest from the past in the case of a past coupon and from the future in the case of an outstanding coupon?