Since the price includes accrued interest, it is the full price so to get the quoted future price we would gave to remove the accrued interest among other adjustments right? But why does Kaplan not subtract the accrued interest?
The quoted futures price of a bond requires us to include the accrued price at time of purchase, demonstrated by the formula below. The only accrued price that we subtract is the amount accrued at expiration. (Full price = clean price + accrued interest.)
