Abstract
I explain accrued interest, all-in price, cash price, clean price, dirty price, flat price, full price, invoice price, issue price, price plus accrued, and yield-based quote (many of which are different names for the same things). I discuss some international differences and some related topics (e.g., day-count conventions, ex-coupon dates, Macaulay duration, negative accrued interest, and taxes). I give numerical examples and exercises accompanied by MATLAB code and Excel formulae. I also give more than a half-dozen challenge questions.
I wrote this teaching note because I consulted dozens of bond pricing web sites and roughly 10 textbooks on this topic. However, no single source answered all (or even most) of my simple questions, and every web-based source (and some of the textbooks) included statements that were at best frustratingly confusing and at worse absurd or patently false.