Before revision: In a previous paper it was shown that a Markov-functional model with log-normally distributed rates in the terminal measure displays nonanalytic behaviour as a function of the volatility, which is similar to a phase transition in condensed matter physics.
After revision: We consider an interest rate model with log-normally distributed rates in the terminal measure displays nonanalytic behaviour as a function of the volatility, which is similar to a phase transition in condensed matter physics.