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 Apr7 awarded Popular Question Jul2 accepted Musiela parameterization Jul1 comment Musiela parameterization As I wrote that last comment, I realized that I don't think I can write $dT$ as a differential since T is a function. So that explains the second term. For the first term though, your answer is implying that $\frac{\partial F}{\partial t}dt = dF(t,T)$. If that's correct, that's where I'm getting lost. Thanks again for your help with this. Jul1 comment Musiela parameterization T is a function of t, $T=t+\tau$, so applying the chain rule on the second term yields: $$dF(t,T)=\frac{\partial F}{\partial t} dt + \frac{\partial F}{\partial T} \frac{\partial T}{\partial t} dT$$ with $\frac{\partial T}{\partial t}=1$ Jul1 comment Musiela parameterization Thanks for the revision. That's along the lines of what I was thinking, but I think I'm mis-interpreting the notation somehow. Here's how I understand breaking up the total differential into the sum of partials: $$dF(t,T)=\frac{\partial F}{\partial t} dt + \frac{\partial F}{\partial T} dT$$ Jul1 comment Musiela parameterization Thanks for the response. I think I follow your explanation, but I'm looking for more of a mathematical derivation of the first and second terms for $d\bar{F}(t;\tau)$. Mathematically, how would you explain going from the first equation I've listed in the original post to the second? Thanks for your time. Jun28 asked Musiela parameterization Jun21 awarded Supporter Jun21 awarded Scholar Jun21 accepted Bootstrapping spot rates from treasury yield curve Jun21 comment Bootstrapping spot rates from treasury yield curve Thanks. I'll check it out. Jun21 comment Bootstrapping spot rates from treasury yield curve John - It would be great to hear the industry standard method as well as the best method. Thanks. Jun21 awarded Student Jun21 asked Bootstrapping spot rates from treasury yield curve