I would like to ask Q13.17 from the textbook. How can I know KR01 for five-year key rate would need to use the figure 0.6, but not 0.4? Thanks a lot.

Question:

Suppose par yield KR01s are calculated using five- and ten-year shifts in par yields. A portfolio has an exposure of +20 to a one-basis-point change in the seven-year par yield. Use linear interpolation to determine its par yield KR01s.

Answer:

The KR01 for the five-year key rate is 0.6 X 20 = 12.

The KR01 for the ten-year key rate is 0.4 X 20 = 8.