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Introduction to Financial Risk Management (with R) Returns on the Swiss Franc US Dollar exchange rate

Overview The goal of this quiz is to test your understanding of R to retrieve data from FRED and calculate their log returns and discrete returns for the Swiss Franc US Dollar exchange rate. You should be able to do all the calculations after completing Exercises 1-4.

Data from FRED Retrieve the data on the Swiss Franc US Dollar exchange rate from FRED: DEXSZUS Remove the NA observations of this series. Restrict the dates of this series from 1979-12-31 to 2017-12-31.

Special note: This series gives the number of Swiss Francs per US Dollar, which is the convention for quoting this exchange rate in the foreign exchange market. However, to make this series comparable to the Wilshire 5000 Index and price of Gold, we need to change the exchange rate to be the number of US Dollars per Swiss Franc, i.e., replace the series by its inverse, 1 / DEXSZUS after removing the NA observations.

Calculate the daily log returns and discrete returns of the index. Then calculate weekly, monthly, quarterly, and year log returns and discrete returns. Below are the questions to be answered: W1-Q3

Question 1 Follow the instructions in the attached PDF and use the results to complete the quiz. What is the date of the first observation of the daily log returns that is not NA? Enter the answer using the format YYYY-MM-DD. __________.

Question 2 What is the value of the first observation of the daily log returnsthat is not NA? Enter the answer using six decimal places, i.e., n.nnnnnn (where n is an integer). If this is a negative number, please add a minus (-) sign in front. If this is a positive number, there is no need to add a plus sign in front. __________.

Question 3 What is the date of the first observation of the monthly discrete returns ? Enter the answer using the format YYYY-MM-DD. __________.

Question 4 What is the value of the first observation of the monthly discrete returns ? Enter the answer using six decimal places, i.e., n.nnnnnn (where n is an integer). If this is a negative number, please add a minus (-) sign in front. If this is a positive number, there is no need to add a plus sign in front. __________.

Question 5 What is the date of the last observation of the quarterly log returns ? Enter the answer using the format YYYY-MM-DD. __________.

Question 6 What is the value of the last observation of the quarterly log returns? Enter the answer using six decimal places, i.e., n.nnnnnn (where n is an integer). If this is a negative number, please add a minus (-) sign in front. If this is a positive number, there is no need to add a plus sign in front. __________.

Question 7 What is the date of the last observation of the yearly discrete returns ? Enter the answer using the format YYYY-MM-DD. __________.

Question 8 What is the value of the last observation of the yearly discrete returns? Enter the answer using six decimal places, i.e., n.nnnnnn (where n is an integer). If this is a negative number, please add a minus (-) sign in front. If this is a positive number, there is no need to add a plus sign in front. __________.