CONVERTING ABSOLUTE DATA TO
CHANGE IN LOG OF PRICE
Sidebar Figure 1 is a sample of weekly interest rate and S&P 500 index data and the formula used to convert
absolute interest rate data to changes in logs. Formulas first calculate the log of price and then subtract the
week-earlier value from the current week value. Change in log of interest rates and the S&P index is the data
1. Divide the range of data into five to 10 equally sized bins so that each observation falls into a bin. The two
bins at the upper and lower extremes of the range should be defined so they are unbounded on the side of the
bin away from the mean.