  The Convolution and Master equations governing the time behavior of the term
structure of Interest Rates are set up both for continuous variables and for
their discretised forms. The notion of Seed is introduced. The discretised
theoretical distributions matching the empirical data from the Federal Reserve
System (FRS) are deduced from a discretised seed which enjoys remarkable
scaling laws. In particular the tails of the distributions are very well
reproduced. These results may be used to develop new methods for the
computation of the value-at-risk and fixed-income derivative pricing.
