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Help on HJM maths
Dear jonath024,I am afraid to say you seem to misunderstand what Ito's fomula tells us.df(B,t)=(&f/&t)dt+(&f/&B)dB+0.5*(&^2f/&B^2)[dBxdB] a.s.In your case, the function is nothing but f(B), not f(B,t). So there should not exist (&f/&t)dt term.