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Get Savvysoft's white paper "Are Interest Rate Changes Normal or Lognomal? " to learn the answer to this vital question.

The most basic assumption behind all option models is what type of stochastic process is followed by the underlying asset. For interest rates, the two leading candidates are normal and lognormal, and with the advent of negative rates it's more important than ever to know which of these is better explained by actual historical data. Beyond that, risk measurement and risk management, as well as CVA and xVA calculations, are all vitally affected by the choice of stochastic process. This white paper compares lognormal to normal to answer the question conclusively, once and for all. It does so using basic statistical tests which the reader can easily try for themselves in a spreadsheet. So, which one do you think won? Get the white paper to find out.

What they're saying about "Var Doesn't Have To Be Hard": "Great article... A common sense approach to a real world issue. Don't overcomplicate when you don't have to." -John Patrick (Jack) Fahey III

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