Historical Exchange Rates via FinancialData

You can get exchange rates from the Federal Reserve using their data download package maker at:- http://www.federalreserve.gov/datadownload/

See the link for Exchange Rates and International Data.

The package maker produces a download link that can be used as shown.

startdate = "12/31/1995";
enddate = DateString[{"Month", "/", "Day", "/", "Year"}];

fxdownload = Import@StringJoin[
    "http://www.federalreserve.gov/datadownload/Output.aspx?rel=H10&series=91c3fa18b51a37d6c8bb96f5263c9409&lastObs=&from=",
    startdate, "&to=", enddate,
    "&filetype=csv&label=include&layout=seriescolumn"];
fxdata = Drop[fxdownload, 6];
datelistfx = Cases[fxdata, {_, _?NumberQ}];
datelistfx[[All, 1]] = Join[ToExpression@StringSplit[#, "-"],
      {0, 0, 0.}] & /@ datelistfx[[All, 1]];

DateListPlot[datelistfx, Joined -> True,
 PlotLabel -> StringJoin["Daily AUD/USD from ",
   DateString[datelistfx[[1, 1]], {"Day", "/", "Month", "/", "Year"}], " to ",
   DateString[datelistfx[[-1, 1]], {"Day", "/", "Month", "/", "Year"}]]]

Mathematica 10 has a way to do this: http://www.wolfram.com/mathematica/new-in-10/dimensional-variables/convert-currencies-using-historical-exchange-rates.html

The relevant new functions in Mathematica 10 are DatedUnit[] and InflationAdjust[]. If I wanted to convert 1 USD to EUR using the January 1, 2015 exchange rate, for example, I would execute:

InflationAdjust[
  Quantity[1, DatedUnit["USDollars", {2015, 1, 1}]],
  DatedUnit["Euros", {2015, 1, 1}]
]

Then I could run QuantityMagnitude[] on the result to get just the numeric value.

Mathematica's FinancialData (and the economic data in CountryData, for that matter) promise much but for serious work you are often better off going to other sources. That way you are more likely to get more detailed metadata so you know what you re looking at.

In your specific case you are better off going to the Reserve Bank of Australia’s web site, and using Import to extract their historical data in XLS format: http://www.rba.gov.au/statistics/hist-exchange-rates/index.html

While you are there, have a look at http://www.rba.gov.au/publications/rdp/2011/2011-05.html and http://www.rba.gov.au/foi/disclosure-log/rbafoi-131412.html