Cheyette model क्या है?

A Cheyette model (1992) is an HJM model whose forward volatility factorises as $\sigma_f(t,T) = \sigma_r(t,x_t,y_t)\,e^{-\kappa(T-t)}$. Then $f(t,T) = f(0,T)+e^{-\kappa(T-t)}\bigl(x_t+B(t,T)y_t\bigr)$ with two state variables, $dx = (y-\kappa x)\,dt+\sigma_r\,dW$ and $dy = (\sigma_r^2-2\kappa y)\,dt$. With deterministic $\sigma_r$ it is Hull–White; letting $\sigma_r$ depend on $x$ gives a local-volatility (skewed) short-rate model that is still Markov in $(x,y)$.