Time-inhomogeneous extension of Vasicek that exactly calibrates to the initial yield curve via a time-varying mean: dr_t = (θ(t) - a,r_t),dt + σ,dW_t, with θ(t) chosen so the model reproduces P(0,T) for all T. Affine term structure: P(t,T) = A(t,T),e^-B(t,T),r_t. Trinomial-tree (Hull-White-1996) and PDE implementations are standard; the one-factor restriction is its key limitation for non-parallel curve moves, motivating two-factor G2++ and HJM.
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