Hi all, I'm currently working through chapter 12 of the notes, specifically looking at the section on Tresury futures. I found the Q&A section at the end of the chapter very useful at explaining how long-bond futures prices are calculated in practice. I like the idea that the futures price is usually determined by using the market price of the cheapest bond in the relveant market that satisifes the necessary criteria (i.e. over 15 years and non-callable) divided by the conversion factor (assuming my understanding of the circular argument is correct here). I wondered whether there would ever be a case where the short party would choose not to deliver the cash amount corresponding to the cheapest to deliver bond? I'm assuming here that the actual amount delivered is just reduced/increased to account for the (bond price - futures price * c.f) in each case and this would be stated in the terms of the futures contract? Assuming the CTD bond is used to value the futures contract presumably the 'cost of delivery' will be close to zero in the majority of cases. I find it quite strange why the short party would ever choose to deliver anything other than the cash amount for the short bond (+/- 'cost of delivery' where appropraite of course). I did consider actual delivery problems (i.e. if the short party couldn't actually purchse the bond to then deliver it) but as these appear to be 'cash settled' I don't believe this should present a problem in deciding on the amount delivered. Following on from my initial question I wondered whether a more appropriate measure to calcualte conversion factors would be to use a current yield curve each day and then value each bond based on their stream of coupon payments? Presumbably this isn't done due to the work required and different providers using different mathematical procedures to construct yield curves?