Dear all,
I am interested in hearing from anyone who downloads historical FX
spot and options data from a public (i.e. free) source on the web. I
know the Fed and the BOE supply hist FX spot data, however, in the
former, daily close rates are supplied on a weekly frequency only - a
recent change as of 1 Jan 2009.

Regarding options data, I know of some
clearing houses that supply this information without charge. In both
cases, I don't see any easy way of downloading the data into a
database/spreadsheet without writing some kind of python script to
skim the relevant information. I'm interested in something that can be
invoked from R, similar to functions to get stock quotes from Yahoo,
but for FX. One solution would be to manually download hist spot data
(which I can source) and then call Yahoo to get daily FX close data (a
new service they now supply), but it would be good to have the
flexibility to download histories in case I cannot download every day.

To summarise: I would like to i) find a free source of historical FX
options data; and ii) retrieve historical daily spot prices via R.

Has anyone done something similar?

Thanks,

Michael

	[[alternative HTML version deleted]]

