I am currentyl reading Baxter&Rennie and I have a difficulty with understanding a derivation of formula for one function, $g(x,t,T)$ (this can be found on page 152 in the book). I know that there is a solution here Ho and lee derivation for short rates model. However, the authors say that the formula can be obtained by Ito, though I cannot see how I could use it in this case.
Thank you for your help
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