RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve Equation

d r t = ( μ r λ r σ r ) d t + σ r d W t ; d W t = d W t + λ r d t MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaaeizaiaadk hadaWgaaWcbaGaaeiDaaqabaGccqGH9aqpcaGGOaGaeqiVd02aaSba aSqaaiaadkhaaeqaaOGaeyOeI0Iaeq4UdW2aaSbaaSqaaiaadkhaae qaaOGaeq4Wdm3aaSbaaSqaaiaadkhaaeqaaOGaaiykaiaabsgaieGa caWF0bGaey4kaSIaeq4Wdm3aaSbaaSqaaiaadkhaaeqaaOGaaeizai aadEfadaqhaaWcbaGaamiDaaqaaiabgEHiQaaakiaacUdacaaMc8Ua aeizaiaadEfadaqhaaWcbaGaamiDaaqaaiabgEHiQaaakiabg2da9i aabsgacaWGxbWaaSbaaSqaaiaabshaaeqaaOGaey4kaSIaeq4UdW2a aSbaaSqaaiaadkhaaeqaaOGaaeizaiaa=rhaaaa@5E5D@