Key rate exposures Tuckman Chapter 7 - Error in Table 7.1?

[evijlbri]

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 states: 100,452.15)
5 year 100,442.49 (Table in tuckman states: 100,449.36)
10 year 100,399.75 (Table in tuckman states: 100,410.77)
30 year 100.406,41 (Table in tuckman states: 100,385.88)

Total shift is close 114.35 (Table in tuckman states: 114.38). But the dispersion over the various key rates is completely different. As a result I also calculate different Key Rate 01's and Key rate durations

Can someone please explain what I am doing wrong? Or whether this is just a mistake in the book of Tuckman?

I experience exactly the same problem for calculating the DV01s for the 10 year bond in Table 7.2, I get:
2year 0.00444 (table in tuckman states: 0.00122)
5 year 0.0131 (table in tuckman states: 0.00468)
10 year 0.07141 (table in tuckman states: 0.08308)

 

[evijlbri]

I have created a spreadsheet that outlines my recalculation of Table 7.1

Hopefully somebody is able to find my error...

 

[David Harper CFA FRM]

Hi Erik,

The difference is that Tuckman bootstraps par yields, which produce slightly different discount rates.
Here is example of Tuckman's recreated: http://www.business.hku.hk/~yhou/BUSI0056/PS5_ans.xls

My learning XLS produces same answer as yours: we both shock zero rates (spot rates). (although i am planning to update mine to show both and the reconciliation...)

Your answer is fine as it is a "design decision" to use spot or par or forward rates. Actually, I think forward rates are generally preferred (best IMO on this is: http://www.amazon.com/Interest-Rate-Risk-Modeling-Valuation/dp/0471427241/) for the smoother/less kinked curve (this is related to a theme in Tuckman that often helps with apparent discrepancies: "interest rates" is imprecise and can refer to spot or forward rate or yield [YTM] or par yield). David