Accrued interest

A bond pays its coupon on fixed dates, but the entitlement to it builds up every day in between. When a bond changes hands between two coupon dates, the buyer pays the quoted price plus the interest that has accumulated since the last payment, so that the seller is not deprived of the days already held and the buyer is not enriched by them. The quoted figure is called the clean price and the amount actually paid is the dirty price.

The calculation is the coupon for the period, scaled by the fraction of the period elapsed. What that fraction means is set by a day count convention, and conventions differ by market: government issues in some jurisdictions count actual days over the actual days in the period, while many corporate and money markets treat every month as thirty days over a year of three hundred and sixty. Two systems calculating the same trade under different conventions arrive at different amounts, and neither is wrong.

The same idea appears outside bonds wherever a charge accumulates by the day rather than by the transaction. A financing adjustment on a position held past the daily cut off accrues in exactly this way, which is why a position closed intraday carries none and a position held over a weekend can carry several days of it. The trap in both cases is the same: the price on the screen is the clean number, and the cash actually required includes what has quietly accrued behind it.