Hello,I understand an intial yield curve implicitly gives future short rates.Furthermore I understand the existence of short rate models, such as, say, Hull White.However, I am not quite clear on how the two are combined to produce a projected future yield curve.i.e., Let us suppose we have the time 0 information, and want to know the distribution of the yields at time 1. It is easy to see the distribution of the short rate at time 1, however how do we then go from this to finding the price of a term T ZCB, since this requires us to integrate the short rate up to time T+1?Presumably we have to involve the short rates implied by the initial yield curve else we may as well not have that information, but these rates are inconsistent with the time 1 rate? (i.e. the time 1+delta rate implied at time 0 need not be close to the time 1 rate at time 1... what should the 1+delta rate at time 1 be?)regards,chewwy

Oh, I think I see.In models that allow for it, the IYC information will be contained in the variable usually called theta? And in those that don't, like Vasicek, they just don't do anything about this - so really we'd only use this type of model when we're interested ONLY the short rate (say if we want to model dividends or something...)