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Currency Heat Map

Heat Map of the G10 currencies returns(FX wrt USD)


Period of study : Jan 2007 till Dec 31 2008

Pink Diagonal represents perfect correlation of the currency with itself.

Deep blue shades : Negative correlation





            EUR          JPY           CHF         GBP          CAD          AUD         NZD          NOK         SEK
EUR  1.00000000  0.232250036 -0.0182779681  0.22449062  0.458694711  0.567454005 0.431979342 0.2642251550  0.68334286
JPY  0.23225004  1.000000000  0.0024913017  0.05916178 -0.007556009  0.012980464 0.033255786 0.0227664759  0.11623450
CHF -0.01827797  0.002491302  1.0000000000 -0.00402642 -0.037831212 -0.004113161 0.001627921 0.0006448854 -0.01295485
GBP  0.22449062  0.059161785 -0.0040264196  1.00000000  0.148245636  0.190834936 0.149657294 0.0747953165  0.18267706
CAD  0.45869471 -0.007556009 -0.0378312120  0.14824564  1.000000000  0.609374854 0.450332224 0.1699603114  0.44063655
AUD  0.56745401  0.012980464 -0.0041131614  0.19083494  0.609374854  1.000000000 0.689882355 0.2044316883  0.50901551
NZD  0.43197934  0.033255786  0.0016279215  0.14965729  0.450332224  0.689882355 1.000000000 0.2230586939  0.58544478
NOK  0.26422516  0.022766476  0.0006448854  0.07479532  0.169960311  0.204431688 0.223058694 1.0000000000  0.31895094
SEK  0.68334286  0.116234500 -0.0129548481  0.18267706  0.440636555  0.509015506 0.585444777 0.3189509383  1.00000000

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