Consider a two-factor short rate model described by dx t = where t,T is the HJM

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Consider a two-factor short rate model described by dxt = -Kr(t) xidt + oz(t)dWF, dyt -Ky(t)yidt + oy(t)dW, rt = y(t) + x + yt and dWdW? = p(t)dt. Find corr(dft,T, where ƒt,T is the HJM instantaneous forward rate.

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