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By definition of the $T$-forward measure $P_T$, the process $\Big\{\frac{P(t,S)}{P(t,T)} \mid t\geq 0\Big\}$ is a martingale under the measure $P_T$, without assuming any specific models of the short rate $r_t$. That is, this martingale property is model independent. However, as a good exercise, you can also do the following: Given the CIR interest rate ...