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yen and us10y
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require(quantmod) | |
#get Japanese Yen daily from Fred http://research.stlouisfed.org/fred2 | |
getSymbols("DEXJPUS",src="FRED") | |
#get US 10y Yield from Fred | |
getSymbols("DGS10", src="FRED") | |
Yen10y <- na.omit(merge(DEXJPUS,DGS10)) | |
#define colors | |
#use derivative of indianred4 with alpha for Yen | |
rgbnum <- col2rgb("indianred4") | |
col.yen <- rgb(rgbnum[1],rgbnum[2],rgbnum[3],alpha=180,maxColorValue=255) | |
#use derivative of steelblue4 with alpha for US 10y | |
rgbnum <- col2rgb("steelblue4") | |
col.10y <- rgb(rgbnum[1],rgbnum[2],rgbnum[3],alpha=180,maxColorValue=255) | |
#2 rows and 1 column of graphs | |
par(mfrow=c(2,1)) | |
par(oma=c(0,1,0,0)) | |
opar <- par(mai = c(0, 0.8, 0.5, 0.8)) | |
#plot the Japanese Yen | |
plot.zoo(Yen10y[,1], type="l", | |
xaxt="n", xlab=NA, ylab="Yen (US$/JPY)", | |
col=col.yen, col.lab=col.yen, col.axis=col.yen, | |
lwd=3,bty="n",fg = "gray70") | |
#do grid for y | |
for (i in seq(par("yaxp")[1],par("yaxp")[2],by=(par("yaxp")[2]-par("yaxp")[1])/par("yaxp")[3])) { | |
abline(h=i, col="gray70") | |
} | |
title(main="Japanese Yen and US 10y Yield %",adj=0,outer=TRUE,line=-2) | |
par(new=TRUE) | |
plot.zoo(Yen10y[,2], type="l", | |
xaxt="n", yaxt="n", xlab=NA, ylab=NA, | |
col=col.10y, col.lab=col.10y, | |
lwd=3,bty="n",fg = "gray70") | |
axis(side=4,col.axis=col.10y,fg="gray70") | |
usr <- par("usr") | |
text(usr[2] + .12 * diff(usr[1:2]), mean(usr[3:4]), "US 10y Yield %", | |
srt = 90, xpd = TRUE, col = "steelblue4") | |
par(opar) | |
opar <- par(mai = c(0.8,0.8,0.2,0.8)) | |
#plot running correlation between yen and US 10y | |
plot.zoo(runCor(Yen10y[,1],Yen10y[,2],n=500), | |
xlab=NA, ylab = NA, | |
lwd=3,bty="n", | |
col.axis="gray30",col.lab="gray30",col="gray30",fg="gray30") | |
title(main="Rolling 2 Year Correlation", cex.main=0.9, adj=0, col.main="gray30") | |
for (i in seq(-1,1,by=1)) { | |
abline(h=i, col="gray70") | |
} | |
axis(side=4,labels=FALSE,fg="gray70") | |
par(opar) |
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When I run the second line of code: getSymbols("DEXJPUS",src="FRED"), I encounter an error warning:
error as.POSIXlt.character(x, tz, ...) :
character string is not in a standard unambiguous format