a rudimentary version of what you want is part of the RLim package, but it
would be nice to release it as a separate package.

svn checkout *http*://rlim.googlecode.com/svn/trunk/ rlim


-Whit

On Sat, Mar 22, 2008 at 6:37 PM, David-Michael Lincke <dlincke@lincke.net>
wrote:

> Before I reinvent the wheel, I was wondering if anybody is aware of a
> preexisting R or Matlab package for the assembly of of continuous
> commodity
> futures contracts? For my purposes this would have to support construction
> of ratio-adjusted time series based on a configurable roll calendar.
>
> David
>
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