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seen Jul 27 '12 at 14:36

Apr
7
awarded  Popular Question
Jul
2
accepted Musiela parameterization
Jul
1
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.
Jul
1
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 $\frac{\partial T}{\partial t}=1$
Jul
1
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: $$dF(t,T)=\frac{\partial F}{\partial t} dt + \frac{\partial F}{\partial T} dT$$
Jul
1
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.
Jun
28
asked Musiela parameterization
Jun
21
awarded  Supporter
Jun
21
awarded  Scholar
Jun
21
accepted Bootstrapping spot rates from treasury yield curve
Jun
21
comment Bootstrapping spot rates from treasury yield curve
Thanks. I'll check it out.
Jun
21
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.
Jun
21
awarded  Student
Jun
21
asked Bootstrapping spot rates from treasury yield curve