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RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve
Equation (B7)
d
V
t
=
d
P
A
−
h
d
P
B
=
(
μ
A
−
h
μ
B
)
d
t
+
(
σ
A
−
h
σ
B
)
d
W
t
.
MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGceaqabeaacaqGKbGaamOvamaaBaaaleaacaWG0baabeaakiabg2da9iaabsgacaWGqbWaaWbaaSqabeaacaWGbbaaaOGaeyOeI0IaamiAaiaabsgacaWGqbWaaWbaaSqabeaacaWGcbaaaaGcbaGaeyypa0ZaaeWaaeaacqaH8oqBdaahaaWcbeqaaiaadgeaaaGccqGHsislcaWGObGaeqiVd02aaWbaaSqabeaacaWGcbaaaaGccaGLOaGaayzkaaGaaeizaiaadshacqGHRaWkdaqadaqaaiabeo8aZnaaCaaaleqabaGaamyqaaaakiabgkHiTiaadIgacqaHdpWCdaahaaWcbeqaaiaadkeaaaaakiaawIcacaGLPaaacaqGKbGaam4vamaaBaaaleaacaWG0baabeaakiaac6caaaaa@5A59@