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Key rate exposures Tuckman Chapter 7 - Error in Table 7.1?
I have created a spreadsheet that outlines my recalculation of Table 7.1 Hopefully somebody is able to find my error...- evijlbri
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- Forum: P2.T5. Market Risk (25%)
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Key rate exposures Tuckman Chapter 7 - Error in Table 7.1?
I am having serious difficulty in reproducing Table 7.1 from Tuckman on key rate exposures If I completely recalculate the table, I come up with different values after the 2, 5, 10 and 30 year shifts e.g. if I calculate the 2-year shift, I calculate a value of 100,449.53 (Table in tuckman...- evijlbri
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- Replies: 2
- Forum: P2.T5. Market Risk (25%)