Comparing time and getting historical interest rates
Try ?fImport::Oanda for an automated solution. * Sent from my BlackBerry handheld device -----Original Message----- From: Marc Delvaux <mdelvaux at gmail.com> Date: Tue, 6 Jul 2010 14:47:29 To: <corey at coreygallon.com>; Aaditya Nanduri<aaditya.nanduri at gmail.com>; <r-sig-finance-bounces at stat.math.ethz.ch>; R-Finance<r-sig-finance at stat.math.ethz.ch> Reply-To: <mdelvaux at gmail.com> Subject: Re: [R-SIG-Finance] Comparing time and getting historical interest rates For the specific case of cost of carry in FX, you might want to also check oanda, that would provide you with real rates available from a FX broker. There is no automatic way to extract them that I know of, but it is not difficult to extract them from the information provided at http://fxtrade.oanda.com/tools/statistical_information/oanda_interest_rates, just cut and paste the interest table in a spreadsheet. I have some python code automating some but not all the processing if you are interested, with the ultimate result a list of interest rates in a file compatible with xts for R processing. The cost of carry for a pair will be given by the difference between ask and bid interest rates for the two components of the pair as defined in http://fxtrade.oanda.com/forex_trading/oanda_trading_practices/feature_trade_interest. This would be especially interesting if you want retail rates, other sources will generally be for institutional rates.
On Tue, Jul 6, 2010 at 2:09 PM, Corey Gallon <corey at coreygallon.com> wrote:
Re question #1, per the posting guidelines please submit sample code highlighting your issue. Re question #2, ?fImport::fredSeries or ?fImport::fredImport ought to provide some clarity.
Cheers,
Corey
* Sent from my BlackBerry handheld device
-----Original Message-----
From: Aaditya Nanduri <aaditya.nanduri at gmail.com>
Sender: <r-sig-finance-bounces at stat.math.ethz.ch>
Date: Tue, 6 Jul 2010 16:31:59
To: R-Finance<r-sig-finance at stat.math.ethz.ch>
Subject: [R-SIG-Finance] Comparing time and getting historical interest rates
Hello All,
Question 1 : How can we compare two time variables?
What I want to do is check to see if its 12:00 am and if it is, request fx
data from oanda and append the day's close to the csv file that I have.
So far, I cant even convert a variable using the strptime(). I keep getting
NA as the result.
Question 2 : Is there a way to get historical interest rate data?
Earlier, I asked how to get currency data and Wolfgang showed me a loop to
get 2500 days of data. I then modified it to fit my requirements and it has
worked without a hitch (Thank you Wolfgang).
However, I also need the interest rate data for my assignment (FX carry) and
I havent found any sources besides fxstreet (from whom I am searching for a
way to download the data).
Are there any other sources for this? Possibly automated (on the lines of
getFX() or getSymbols() )?
Sincerely,
Aaditya Nanduri
On a side note, I think I am relying too much on the mailing list. You guys
are very helpful and I am very grateful but I feel like Im not putting in
enough effort. Have to mend my ways now...cant be too reliant on you guys.
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