[R-SIG-Finance] How to produce vector of correlation matrices

[Murali Menon]

Folks,

I have a matrix of equity returns with rownames as dates and colnames as 
stock codes. I'd like to compute
a rolling vector of correlation matrices, one matrix for each date. Is there 
a nifty way to accomplish this?

E.g if my matrix is

		AAA	BBB	CCC	DDD	EEE
01/01/2007	10%	60%	49%	99%	99%
02/01/2007	42%	91%	72%	57%	79%
03/01/2007	25%	100%	76%	40%	17%
04/01/2007	99%	98%	81%	100%	13%
05/01/2007	74%	49%	85%	24%	69%
06/01/2007	9%	43%	57%	57%	1%
07/01/2007	77%	53%	84%	70%	57%
08/01/2007	98%	66%	24%	28%	77%
09/01/2007	1%	43%	72%	82%	1%
10/01/2007	14%	22%	18%	43%	27%
11/01/2007	15%	5%	62%	34%	3%
12/01/2007	70%	63%	59%	92%	57%
13/01/2007	27%	58%	12%	31%	68%
14/01/2007	15%	90%	48%	16%	66%
15/01/2007	86%	6%	52%	95%	3%

and I take a roll period of 10 days, my vector of correlation matrices might 
look like:

10/01/2007:

	AAA	BBB	CCC	DDD	EEE
AAA	1.00	0.38	0.19	-0.17	0.29
BBB	0.38	1.00	0.44	0.16	0.10
CCC	0.19	0.44	1.00	0.26	-0.15
DDD	-0.17	0.16	0.26	1.00	-0.11
EEE	0.29	0.10	-0.15	-0.11	1.00

11/01/2007:

	AAA	BBB	CCC	DDD	EEE
AAA	1.00	0.47	0.14	0.07	0.61
BBB	0.47	1.00	0.37	0.32	0.30
CCC	0.14	0.37	1.00	0.41	-0.06
DDD	0.07	0.32	0.41	1.00	-0.38
EEE	0.61	0.30	-0.06	-0.38	1.00

etc.

I looked at the fMultivar and fPortfolio packages which do funky stuff with 
return series,
but they (as far as I can tell) produce an overall covariance matrix, not a 
rolling one as I need.

Thanks,

Murali
PS: Of course, if my equity returns looked as they do above, I'd have 
retired aeons ago :-)

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