[R-SIG-Finance] Backing out a portfolio snapshot?

[matt at considine.net]

Hi,
Let's say I have a snapshot of a portfolio's holdings on a given day, as 
well as the trades covering the two years up to that date.  Does anyone 
know of an already-made module or toolchain that would allow me to back 
out the portfolio's holdings on any given day up to that point (but that 
is obviously covered by the trading data)?  While it is a pretty 
straightforward - and tedious - mechanical exercise, I can see that 
there might be a twist in that one needs to create the implied cash 
balance, as all the cash positions are not included (just the ending 
balance).

So I recognize that the result might only be a close approximation.  But 
under the assumption that the portfolio was always effectively fully 
invested I think the results would be robust.

If anyone is aware of a solution out there that is based in R, I'd be 
appreciative.

Regards,
Matt Considine