Created
July 20, 2013 03:36
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$USDX or $USD:IND, the USD index basket. #forex #currency #oanda #FRED
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| # This computes the USD index which is the "broad measure of the US Dollar against a BASKET of currencies" rather than against a particular pair | |
| getFX(c("USD/EUR", "USD/JPY", "USD/GBP", "USD/CAD", "USD/SEK", "USD/CHF")) | |
| # The formula comes from ICE markets https://www.theice.com/publicdocs/futures_us/ICE_Dollar_Index_FAQ.pdf | |
| e <- .576 | |
| y <- .136 | |
| s <- .119 | |
| l <- .091 | |
| k <- .042 | |
| f <- .036 | |
| # basket weights should sum to 1 | |
| sum(c(e,y,s,l,k,f))==1 | |
| USDX <- 50.14348112 * USDEUR^e * USDJPY^y * USDGBP^s * USDCAD^l * USDSEK^k * USDCHF^f |
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@jaredwoodard Sterling