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@fototo
Forked from timelyportfolio/currencyplot.r
Created July 26, 2012 06:26
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dendrogram grouped currency plot
require(quantmod)
require(fAssets)
#get asian currency data from the FED FRED data series
getSymbols("DEXKOUS",src="FRED") #load Korea
getSymbols("DEXMAUS",src="FRED") #load Malaysia
getSymbols("DEXSIUS",src="FRED") #load Singapore
getSymbols("DEXTAUS",src="FRED") #load Taiwan
getSymbols("DEXCHUS",src="FRED") #load China
getSymbols("DEXJPUS",src="FRED") #load Japan
getSymbols("DEXTHUS",src="FRED") #load Thailand
getSymbols("DEXBZUS",src="FRED") #load Brazil
getSymbols("DEXMXUS",src="FRED") #load Mexico
getSymbols("DEXINUS",src="FRED") #load India
getSymbols("DTWEXO",src="FRED") #load US Dollar Other Trading Partners
getSymbols("DTWEXB",src="FRED") #load US Dollar Broad
currencies<-merge(DEXKOUS,DEXMAUS,DEXSIUS,DEXTAUS,DEXCHUS,DEXJPUS,DEXTHUS,DEXBZUS,DEXMXUS,DEXINUS,DTWEXO,DTWEXB)
currencies<-na.omit(currencies)
currencies<-currencies/lag(currencies)-1
# try to do http://stackoverflow.com/questions/9747426/how-can-i-produce-plots-like-this
# Sample data
n <- NROW(currencies)
k <- NCOL(currencies)
d <- as.matrix(na.omit(currencies))
x <- apply(d+1,2,cumprod)
t <- assetsDendrogramPlot(as.timeSeries(currencies))
r <- t$hclust
# Plot
op <- par(mar=c(0,0,0,0),oma=c(0,2,0,0))
# set up plot area for the dendrogram
plot(NA,ylim=c(.5,k+.5), xlim=c(0,4),axes=FALSE)
# Dendogram. See ?hclust for details.
xc <- yc <- rep(NA,k)
o <- 1:k
o[r$order] <- 1:k
#separate into 4 groups for color classification
groups <- cutree(r, k=4)[r$order]
# loop through each to generate the dendrogram
# go from innermost to outermost
for(i in 1:(k-1)) {
a <- r$merge[i,1]
x1 <- if( a<0 ) o[-a] else xc[a]
y1 <- if( a<0 ) 0 else yc[a]
b <- r$merge[i,2]
x2 <- if( b<0 ) o[-b] else xc[b]
y2 <- if( b<0 ) 0 else yc[b]
#do the lines for the dendrogram
lines(
3+c(y1,i,i,y2)/k,
c(x1,x1,x2,x2),
lwd=k-i,
col=groups[colnames(d)[abs(a)]]
)
xc[i] <- (x1+x2)/2
yc[i] <- i
}
# Time series
axis(2,1:k,colnames(d)[r$order],las=0, cex.axis=0.6, line=-1, lwd=0, lwd.ticks=1)
u <- par()$usr
for(i in 1:k) {
f <- c(0,3,i-.5,i+.5)
f <- c(
(f[1]-u[1])/(u[2]-u[1]),
(f[2]-u[1])/(u[2]-u[1]),
(f[3]-u[3])/(u[4]-u[3]),
(f[4]-u[3])/(u[4]-u[3])
)
par(new=TRUE,fig=f)
plot(x[,r$order[i]],axes=FALSE,xlab="",ylab="",main="",type="l",col=groups[i],lwd=2)
box()
}
par(op)
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