Exercise 25.2.4 (Affine Models) For any short rate model dr = (r, t) dt +(r, t) dW

Exercise 25.2.4 (Affine Models) For any short rate model dr = μ(r, t) dt +σ(r, t)

dW that produces zero-coupon bond prices of the form P(t, T) = A(t, T) e−B(t,T) r (t), show that the spot rate volatility structure is the curve σ(r, t) B(t, T)/(T −t).