 Forward-curve calibration of a shifted Brownian short rate

To match a prescribed initial instantaneous forward rate curve $F_0(T)$ in the Gaussian short-rate model with a deterministic shift, chooseSince $W_0^Q=0$, its model forward rate is then $f_0(T)=g(T)-{\sigma }^2{T}^2/2=F_0(T)$. Moreover,so the initial zero-coupon bond curve matches as well. A continuous initial forward curve gives pointwise calibration; a locally integrable curve gives the corresponding almost-everywhere interpretation of the instantaneous forward rate.