Explanation

B is correct. The clean price is calculated as the dirty price minus accrued interest.

Step 1: Calculate the number of days from last coupon to settlement date

• Total coupon period (T): 184 days
• Days from settlement to next coupon: 37 days
• Days from last coupon to settlement (t): 184 - 37 = 147 days

Step 2: Calculate the semi-annual coupon payment

• Face value: USD 100
• Annual coupon rate: 3%
• Semi-annual coupon payment (c): (100 × 3%) / 2 = USD 1.5

Step 3: Calculate accrued interest

Using the formula: $i_a = c \frac{t}{T}$

• $i_a = 1.5 × \frac{147}{184} = USD\ 1.1984$

Step 4: Calculate clean price

• Dirty price: USD 98.13
• Clean price = Dirty price - Accrued interest
• Clean price = 98.13 - 1.1984 = USD 96.9316 ≈ USD 96.93

The clean price represents the quoted price of the bond excluding accrued interest, which is what option B correctly provides.