After I got the probabilies and interest short rate tree fitting the yield curve, how do I construct a clean price tree and dirty price tree for a coupon bond option? I got messed up with the concepts. Should the dirty price tree build in the following ways: 1) regards every coupon and principal as a seperate zero coupon bond2) discounting them using probabilies and short rate previously sort out3) add them up to get dirty price at each state4) compare to the dirty strike with price and get payoffhow the treatment for clean price tree, how will this be adjusted, correct me if i am wrong.dan

dan mansounds to me like you are out of your tree !!clean price = dirty price - accrued interest ...you can choose which u want to evolve on your tree, but my guess that its the dirty price u want to deal with then convert back to clean price using the above identity