... and other informationof the financial products.Since the party with the short position may decide which bond to deliver, he chooses the Cheapest -to- Deliver bond (CTD). The basket of bonds to choose ... percent, the conversion factors are equal to one. If the bondshave a yield larger than six percent, then the conversion factors are larger than one, but the shorter the maturity, the closer the factor ... predeces sor and therefore only depends on that node. For the no des at the bottom (s = 0) the elementary prices are:P0(k + 1, 0) =12d(k, 0)P0(k, 0), for the nodes at the top of the lattice...