Do fixed income desks/financial data companies quote clean or dirty bond yields?

johnnycash · 10/6/14

I'm having trouble finding any information about the convention for quoting bond yields clean or dirty, both for banks' fixed income desks and data companies like Reuters and Bloomberg. Does anyone know of a PDF or document outlining this convention? Many thanks!

yetanotherquant · 10/6/14

Have a look at this paper, probably it is what you are looking for
http://developers.opengamma.com/quantitative-research/Bond-Pricing-OpenGamma.pdf

johnnycash · 10/6/14

yetanotherquant said:
Have a look at this paper, probably it is what you are looking for
http://developers.opengamma.com/quantitative-research/Bond-Pricing-OpenGamma.pdf

this is helpful. thank you!

Do fixed income desks/financial data companies quote clean or dirty bond yields?

johnnycash

yetanotherquant

johnnycash