R/chart.rollingCorrelation2.R

In bplloyd/Core:

chart.RollingCorrelation2 = function (Ra, Rb, width = 12, xaxis = TRUE, legend.loc = NULL,
          colorset = (1:12), ..., fill = NA)
{
  Ra = checkData(Ra)
  Rb = checkData(Rb)
  columns.a = ncol(Ra)
  columns.b = ncol(Rb)
  columnnames.a = colnames(Ra)
  columnnames.b = colnames(Rb)
  for (column.a in 1:columns.a) {
    for (column.b in 1:columns.b) {
      merged.assets = merge(Ra[, column.a, drop = FALSE],
                            Rb[, column.b, drop = FALSE])
      column.calc = rollapply(na.omit(merged.assets[, , drop = FALSE]),
                              width = width,
                              FUN = function(x) cor(x[, 1, drop = FALSE],
                                                    x[, 2, drop = FALSE]),
                              by = 1,
                              by.column = FALSE, fill = fill, align = "right")
      column.calc.tmp = xts(column.calc)
      colnames(column.calc.tmp) = paste(columnnames.a[column.a],
                                        columnnames.b[column.b], sep = " to ")
      column.calc = xts(column.calc.tmp, order.by = time(column.calc))
      if (column.a == 1 & column.b == 1)
        Result.calc = column.calc
      else Result.calc = merge(Result.calc, column.calc)
    }
  }
  Result.chart = xts(replicate(rep(NA, nrow(lp)), n = ncol(Result.calc)), order.by = index(lp))
  Result.chart[index(Result.calc),] = Result.calc
  names(Result.chart) = names(Result.calc)

  chart.TimeSeries(Result.chart, xaxis = xaxis, colorset = colorset,
                   legend.loc = legend.loc, ylim = c(-1, 1), ...)
}