I've been playing with this for a couple of days but I can't seem to make the factors balance. Unfortunately, the calculations are extremely tedious so it's sometimes difficult to distinguish a careless error from a conceptual error...A random variable X is a normal N(mu, sigma^2) under measure P if and only ifEquation 1: E_p(exp(theta * X)) = exp(theta * mu + 0.5*theta^2*sigma^2)The price of a bond is Equation 2: P(t,T) = E_p{exp(-Int r(s) ds)}In the Vasicek model, what is the correct expansion of the stochastic portion of the rate expectation?Vasicek:r(t) = ... + sigma * Integral(s,t) exp(-k(t-u))dW(u)I know that W = N(0,t), so can I use Equation 1 to square everything in the integral and multiply by 0.5 sigma^2--which, in this case is 0.5 t?