Thanks. He gets them in the same way he computed KR01 for the mortgage bond; each KR01 is the change in dollar price of the hedging instrument given the shock to the specific key rate. But I disagree with zeros in the matrix, I think they should all have values.
This post is helpful. I am though having doubt on hedging using key rate exposure as shown on page 138 in Tuckman's book. Specifically how are the figures of 0.01881, 0.00122, 0.4375 etc arrived at. Grateful if you can ellaborate.
thank you very much, my prof talk about key rate duration for 50 minutes and most of my classmates still did not get it
xuchen1892 4 hours ago
Thanks. He gets them in the same way he computed KR01 for the mortgage bond; each KR01 is the change in dollar price of the hedging instrument given the shock to the specific key rate. But I disagree with zeros in the matrix, I think they should all have values.
bionicturtledotcom 3 years ago
This post is helpful. I am though having doubt on hedging using key rate exposure as shown on page 138 in Tuckman's book. Specifically how are the figures of 0.01881, 0.00122, 0.4375 etc arrived at. Grateful if you can ellaborate.
sumitsage 3 years ago