[R-SIG-Finance] Free download for USD Spot Index

[Frank]

As Eric pointed out, the FRED data is not what you want, all the US$ Index data is trade weighted. I’ve asked for the historical cash index values from ICE. It may take a day or two. 

Since the weights are constant, I think you can come close by downloading the components from FRED. I’ve modified the script to collect first 'DTWEXM' from FRED and then ‘DEXUSEU’ the Euro dollar exchange rate. I’m lost as to how to combine the other currencies into one getSymbols call.

library(quantmod)
library(chron)


##
## Get DTWEXM Trade Weighted U.S. Dollar Index: Major Currencies from FRED
##
getSymbols('DTWEXM',src='FRED')
DTWEXM<-na.locf(DTWEXM,na.rm = TRUE)
tail(DTWEXM)
file_name <- "DTWEXM.csv"
write.zoo(DTWEXM, file = file_name, append = FALSE, quote = TRUE, sep = ",")

##
## Get DEXUSEU U.S. / Euro Foreign Exchange Rate
##
getSymbols('DEXUSEU',src='FRED')
DEXUSEU<-na.locf(DEXUSEU,na.rm = TRUE)
tail(DEXUSEU)
file_name <- "DEXUSEU.csv"
write.zoo(DEXUSEU, file = file_name, append = FALSE, quote = TRUE, sep = ",")
quit()

From: Christofer Bogaso <bogaso.christofer using gmail.com> 
Sent: Monday, October 08, 2018 11:42 AM
To: Eric Berger <ericjberger using gmail.com>
Cc: frankm60606 using gmail.com; r-sig-finance using r-project.org
Subject: Re: [R-SIG-Finance] Free download for USD Spot Index

Thank you Eric and Frank for such details. Regards,

On Mon, Oct 8, 2018 at 8:17 PM Eric Berger <mailto:ericjberger using gmail.com> wrote:
Frank was suggesting to get the data from the Federal Reserve (FRED) and he supplied code that showed how to do it for the series DGS3MO.
However, he pointed out that in that code you would need to replace the string 'DGS3MO' by the string 'DTWEXM' to get what (he thought) you want.

The FRED series 'DTWEXM' refers to the "Trade Weighted U.S. Dollar Index: Major Currencies".
As far as I can tell, this is not the same as the series you asked about, namely the "U.S. Dollar Index" which is apparently computed by ICE US.
Per Bloomberg, the index you want has ticker DXY and involves "rates supplied by some 500 banks."

HTH,
Eric


On Mon, Oct 8, 2018 at 5:32 PM, Christofer Bogaso <mailto:bogaso.christofer using gmail.com> wrote:
I could not relate DGS3MO to Dollar Index Spot values - any explanation?

On Mon, Oct 8, 2018 at 5:17 PM Frank <mailto:frankm60606 using gmail.com> wrote:

> Use DTWEXM instead of DGS3MO:
>
> library(quantmod)
> library(chron)
>
>
> ##
> ## Get DGS3MO Treasury yield from FRED
> ##
>
> getSymbols('DGS3MO',src='FRED')
> DGS3MO<-na.locf(DGS3MO/100.0,na.rm = TRUE)
> tail(DGS3MO)
> file_name <- "DGS3MO.csv"
> write.zoo(DGS3MO, file = file_name, append = FALSE, quote = TRUE, sep =
> ",")
> quit()
>
>
> -----Original Message-----
> From: R-SIG-Finance <mailto:r-sig-finance-bounces using r-project.org> On Behalf Of
> Christofer Bogaso
> Sent: Monday, October 08, 2018 4:57 AM
> To: mailto:r-sig-finance using r-project.org
> Subject: [R-SIG-Finance] Free download for USD Spot Index
>
> Hi,
>
> I was looking for some way to download daily historical quotes of USD Spot
> Index (as in https://www.fxstreet.com/rates-charts/dollarindexspot) to be
> downloaded using R.
>
> Any pointer will be highly appreciated.
>
> Thanks,
>
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>
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