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Would anyone happen to know where I can find historical forward exchange rate data between the yen and dollar?

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  • $\begingroup$ Would that be the same thing as a currency future? $\endgroup$ – barrycarter Oct 18 '14 at 14:43
  • $\begingroup$ yeah, I am looking for same thing but eur/usd. I could find 30 min timeframe but I need like minutes. whoever share information gets my point too :) $\endgroup$ – Mert Oct 18 '14 at 16:08
  • $\begingroup$ Yes, I believe currency futures and forward exchange rates are the same thing. $\endgroup$ – Zslice Oct 18 '14 at 19:58
  • $\begingroup$ You might get in trouble if you believe that. investopedia.com/terms/c/currencyforward.asp $\endgroup$ – Yugmorf Oct 19 '14 at 15:14
  • $\begingroup$ While futures and forwards prices for the same date should be fairly close, they will not be the same generally for a number of reasons. Also, forward prices will tend to have more dates of data so can be more useful for quantitative analysis. $\endgroup$ – rhaskett Nov 17 '14 at 23:56
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Actually for the forward rates you would need to subscribe to a financial datafeed like Bloomberg, Thomson Reuters Datastream or Interactive Data.

For the current forward rates you could look it up at here http://www.fxstreet.com/rates-charts/forward-rates/?id=usd%2fjpy, the data are provided by Interactive Data.

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You can export it here from QUANDL which also has an R package. I don't have too much experience with it but I guess you have to open a (free) account.

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