RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve
Equation
μ
A
−
σ
A
σ
B
μ
B
=
r
t
(
P
A
−
σ
A
σ
B
P
B
)
μ
A
−
r
t
P
A
σ
A
=
μ
B
−
r
t
P
B
σ
B
.
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