问题如下：
The yield curve is upward sloping. You have a short T-bond futures position. The following bonds are eligible for delivery:
The futures price is 103-17/32 and the maturity date of the contract is September 1. The bonds pay their coupon semiannually on June 30 and December 31. The cheapest to deliver bond is:
选项：
A.Bond A
B.Bond C
C.Bond B
D.Insufficient information
解释：
ANSWER: B
The cost of delivering each bond is the price divided by the conversion factor. This gives, respectively, (102+14/32)/0.98 = 104.53, 103.49, and 103.34. Hence the CTD is bond C. All other information is superfluous.
Or we can use the complete method: cost= Bond price - Future price* conversion factor, and we can find choice B is the answer.
看了之前同学的提问，追加问一下AI 相关的问题。
老师在另一个解答里说:
"在求最便宜交割债券时，AI是可以约掉、不用考虑的。因为short方在T时刻收到的钱是FP*CF + AI，然后short方挑选一个最便宜的债券给long方，这个最便宜的债券的价格是SP + AI，这个相当于是short方的成本。所以short方的收益时 FP*CF - SP。要挑选最便宜交割债券，即最大化这个收益。而这个收益表达式中不含AI。"
但是我理解是最便宜的债券和标的债券的AI 是不一样的，比方CTD的债券是100 16/32， 我的标的债券是101 1/32， 分别两个债券的AI 会有微小差别。这里是因为差距太小直接约掉了还是说AI都是算标的债券的AI呢？
