Past exam of the mathematics course of the University of Cambridge / 2016 / iii / Paper 211 / 2 / a

The short rate is the limiting instantaneous forward rate at the present maturity. The continuously compounded zero-coupon bond price is obtained by integrating the instantaneous forward rate curve in its maturity variable. Both requested relations areIn particular $P(T,T)=1$, and $f(t,T)=-{\partial }_T\log P(t,T)$. The short rate here is instantaneous, rather than the one-period rate used in a discrete-time bank account.