I am not getting the $f(t,t)dt$ term in the last equality when we have $df(t,T)=\alpha(t,T) dt +\sigma(t,T) dW$ and $f(0,t)=f^{*}(0,T)$. Instead I have an additional $\int_{t}^{T}f(0,u)du$ in the expression for $X_{t}$. Can someone see whats up here?

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  • $\begingroup$ Does this answer your question:quant.stackexchange.com/questions/49140/… $\endgroup$ – Magic is in the chain Oct 31 '19 at 12:15
  • $\begingroup$ @Magicisinthechain not really, since $f$ is a stochastic process. $\endgroup$ – user1 Oct 31 '19 at 12:25
  • $\begingroup$ I think my answer below for your another question already has it. $\endgroup$ – Gordon Oct 31 '19 at 12:26
  • $\begingroup$ @Gordon I tried coping it but dont get what I want. $\endgroup$ – user1 Oct 31 '19 at 13:21

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