yen and us10y

yen and us10y.r

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)