RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve Equation (B4)

d P i = ( ∂ P i ∂ t + μ r ∂ P i ∂ r + 1 2 σ r 2 ∂ 2 P i ∂ r 2 ) d t + σ r ∂ P i ∂ r d W t MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=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@66F5@