R Code Snippet: Read Historical Daily Exchange Rates

This post shows how to read daily exchange rates given symbols as a string.

Read historical exchange rates

Source: I collected the symbols of exchange rates at https://finance.yahoo.com/currencies.

R code

The following R code retrieves historical daily exchange rates given their symbols as of 2022-08-14.

#========================================================#
# Quantitative ALM, Financial Econometrics & Derivatives 
# ML/DL using R, Python, Tensorflow by Sang-Heon Lee 
#
# https://kiandlee.blogspot.com
#--------------------------------------------------------#
# read historical exchange rates
#========================================================#
 
graphics.off(); rm(list = ls())
 
library(quantmod)
library(stringr) # trim
 
#-------------------------------------------------
# Symbols of exchange rates, as of 2022-08-14
#-------------------------------------------------
vstr_symbol <- "
    Symbol  ,    Name
    EURUSD=X,    EUR/USD   
    JPY=X   ,    USD/JPY  
    GBPUSD=X,    GBP/USD
    AUDUSD=X,    AUD/USD
    NZDUSD=X,    NZD/USD
    EURJPY=X,    EUR/JPY
    GBPJPY=X,    GBP/JPY
    EURGBP=X,    EUR/GBP
    EURCAD=X,    EUR/CAD
    EURSEK=X,    EUR/SEK
    EURCHF=X,    EUR/CHF
    EURHUF=X,    EUR/HUF
    CNY=X   ,    USD/CNY
    HKD=X   ,    USD/HKD
    SGD=X   ,    USD/SGD
    INR=X   ,    USD/INR
    MXN=X   ,    USD/MXN
    PHP=X   ,    USD/PHP
    IDR=X   ,    USD/IDR
    THB=X   ,    USD/THB
    MYR=X   ,    USD/MYR
    ZAR=X   ,    USD/ZAR
    RUB=X   ,    USD/RUB
    "
 
#-------------------------------------------
# split symbols and make vector
#-------------------------------------------
df <- read.table(text = str_trim(vstr_symbol), 
                 sep = ",", header = TRUE)
df <- as.data.frame(df); df
 
df$Symbol <- str_trim(gsub("[\t\r\n,]", "", df$Symbol))
df$Name   <- str_trim(gsub("[\t\r\n,]", "", df$Name))
df
nc <- nrow(df) # number of exchange rate
 
#-------------------------------------------
# read price information
#-------------------------------------------
sdate <- as.Date("2004-01-01")
edate <- as.Date("2022-07-31")
getSymbols(df$Symbol, from=sdate, to=edate)
 
#-------------------------------------------
# collect only adjusted prices
#-------------------------------------------
price <- NULL
for(i in 1:nc) {
    eval(parse(text=paste0(
        "price <- cbind(price,`",
        gsub("\\^","",df$Symbol[i]),"`[,6])")))
}
 
# modify column Name as only symbol
colnames(price) <- gsub(".X.Adjusted", "", colnames(price))
 
# convert to data.frame with the first column as Date
df.price <- cbind(time=time(price), as.data.frame(price))
rownames(df.price) <- NULL
 
#-------------------------------------------
# print time series of daily prices
#-------------------------------------------
head(df.price,3)
tail(df.price,3)

Running the above R code displays the status of data reading process as follows.

Finally, we can get the collection of individual exchange rates.

For additional insight on this topic and to download the R script, visit https://kiandlee.blogspot.com/2022/08/r-code-snippet-read-historical-daily.html.

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Disclosure: Forex

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