isomorphisms

# 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

joshuaulrich

library(quantmod)

# we're pulling the Google VIX index (VXGOG) but this also works for VXAPL, VXGS etc.
# see http://www.cboe.com/micro/equityvix/introduction.aspx
url <- "http://www.cboe.com/publish/ScheduledTask/mktdata/datahouse/VXGOGDailyPrices.csv"

# use read.zoo to read the data directly into a zoo object
z <- read.zoo(url, header=TRUE, sep=",", skip=1, FUN=as.Date, format="%m/%d/%Y")

# convert to xts