I'll bet he wasn't crazy about it. He wouldn't admit that now, but I'd guess he was teased a lot as a kid. He's a politician; he probably figures that saying he wishes he'd been called "Bob" would be a sign of weakness.
My parents named me after the child of a cousin of my father's, a girl called Janice who died of leukemia when she was thirteen. It never occurred to them that I really really didn't appreciate that.
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