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# There are three latent factors corresponding to the ''level'', ''slope'', and ''curvature'' of the [[yield curve]]
# The latent factors evolve according to multivariate [[Ornstein–Uhlenbeck process|Ornstein-Uhlenbeck processes]].
##<math>dx = K^{\mathbb{P}}(\theta-x)dt + \Sigma dW^{\mathbb{P}}</math> (Real-world measure <math>\mathbb{P}</math>)
##<math>dx = -K^{\mathbb{Q}}xdt + \Sigma dW^{\mathbb{Q}}</math> (Risk-neutral measure <math>\mathbb{Q}</math>)
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