UK/US and UK/Canada Exchange Rates

Source: R/datasets.R

The exchange data frame has 975 rows and 2 columns. The columns contain daily exchange rates; UK sterling against the US dollar (first column) and UK sterling against the Canadian dollar (second column). The rownames contain the corresponding dates in a character string with the format "2000/05/26". This can be converted into a POSIXct or POSIXlt object using as.POSIXct or as.POSIXlt.

exchange

Format

This data frame contains the following columns:

  • USD.GBP:US against UK exchange rate.

  • CAD.GBP:Canada against UK exchange rate.

Source

Coles, S. G. (2001) An Introduction to Statistical Modelling of Extreme Values. London: Springer.

Examples

# This produces a plot like Figure 10.1 of the STAT0002 notes
plot(exchange)


# The produces a plot like Figure 10.2 of the STAT0002 notes
# Calculate the log-returns
USDlogr <- diff(log(exchange$USD.GBP))
CADlogr <- diff(log(exchange$CAD.GBP))
plot(USDlogr, CADlogr)