During lunch I was given a - fairly obvious :)- hint (thanks to Roger Bergande) which I want to share with the list:
One can simply create a connection for each periodicity in the fashion of

conn.weekly <- blpConnect(periodicity = "weekly")
conn.monthly <- blpConnect(periodicity = "monthly")

Inspecting R-forge is seems that 'RBloomberg' is rapidly growing and improving, though let me mention a shortcoming in the current CRAN release 0.1-11 of RBloomberg.
blpConnect creates an assignment of 'conn' into the global environment (fixed in the current version on R-forge).
blpDisconnect then removes 'conn' from the global environment (also in current R-forge version). 
If instead of 'conn' another name is chosen the user does not see the shortcoming when connecting and disconnecting because careless of the name of the connectiong the global variable 'conn' is created and removed.

As blpConnect is already corrected on R-forge I propose to modify 'blpDisconnect' from

blpDisconnect <- function(conn){
  ## Garbage collection needed, otherwise COM object is not really
  ## released, preventing any new Bloomberg connection.
  rm(conn, envir=.GlobalEnv);
  gc(verbose=FALSE);
}

to something like

blpDisconnect <- function(x)
{
    ## Garbage collection needed, otherwise COM object is not really
    ## released, preventing any new Bloomberg connection.
    do.call("rm", list(deparse(substitute(x)), envir = .GlobalEnv))
    gc(verbose=FALSE);
}

Cheers, David
David Lüthi
Quant Asset Allocation / Global Investment Solutions
Clariden Leu Ltd 
Claridenstrasse 19
CH - 8002 Zürich
Tel: +41 (0)58 205 6165
david.luethi@claridenleu.com
http://www.claridenleu.com/
This message is for the named person's use only. It may contain confidential, proprietary or legally privileged information. No confidentiality or privilege is waived or lost by any transmission errors. If you receive this message in error, please immediately delete it and all copies of it from your system, destroy any hard copies of it and notify the sender. You must not, directly or indirectly, use, disclose, distribute, print, or copy any part of this message if you are not the intended recipient. CLARIDEN LEU and each of its affiliates each reserve the right to intercept and monitor all e-mail communications through its networks if legally allowed. Message transmission is not guaranteed to be secure.


> _____________________________________________ 
> From: 	Lüthi David (XICD 1)  
> Sent:	Tuesday, February 23, 2010 10:05 AM
> To:	r-sig-finance@stat.math.ethz.ch
> Subject:	RBloomberg: Switch 'periodicity' without disconnect and reconnect
> 
> Dear list
> 
> I'd like to switch between daily, weekly, and monthly frequencies without disconnect and reconnect, i.e. without evaluating something like
> conn <- blpConnect(periodicity = "weekly")
> # fetch some weekly data
> blpDisconnect(conn)
> and 
> conn <- blpConnect(periodicity = "daily")
> # fetch some daily data
> blpDisconnect(conn)
> 
> Passing  the periodicity argument to 'blpGetData' via the '...' argument does not have any impact. See example below.
> Clearly, I could always download daily data and call 'to.period'. But this is neither efficient nor elegant...
> 
> Does anybody have a solution?
> 
> Thanks, David
> 
> > library(RBloomberg)
> Loading required package: RDCOMClient
> Loading required package: zoo
> Loading required package: chron
> Warning messages:
> 1: package 'RDCOMClient' was built under R version 2.9.1 and help will not work correctly
> Please re-install it 
> 2: In file(file, "rt") :
>   cannot open file 'C:/blp/API/bbfields.tbl': No such file or directory
> 3: In f(libname, pkgname) :
>   I can't find your bbfields file.. see ?blpReadFields
> > .bbfields <- blpReadFields("C:/Program Files/Bloomberg/API")
> conn <- blpConnect(periodicity = "weekly")> 
> > (edb <- blpGetData(conn, "ED1 Comdty", "PX_LAST",start=as.chron(Sys.time() - 86400 * 30)))
> (edb <- blpGetData(conn, "ED1 Comdty", "PX_LAST",start=as.chron(Sys.time() - 86400 * 30), periodicity = "daily"))
> blpDisconnect(conn)
> conn <- blpConnect(periodicity = "daily")
> > (edb <- blpGetData(conn, "ED1 Comdty", "PX_LAST",start=as.chron(Sys.time() - 86400 * 5)))
> (edb <- blpGetData(conn, "ED1 Comdty", "PX_LAST",start=as.chron(Sys.time() - 86400 * 5), periodicity = "weekly"))
>          PX_LAST
> 01/29/10  99.710
> 02/05/10  99.700
> 02/12/10  99.710
> 02/19/10  99.715
> > blpDisconnect(conn)
>          PX_LAST
> 01/29/10  99.710
> 02/05/10  99.700
> 02/12/10  99.710
> 02/19/10  99.715
> > sessionInfo()
>          used (Mb) gc trigger (Mb) max used (Mb)
> Ncells 354042  9.5     667722 17.9   405902 10.9
> Vcells 762687  5.9    1463436 11.2  1303897 10.0
> > >          PX_LAST
> 02/17/10 99.7225
> 02/18/10 99.7225
> 02/19/10 99.7150
> 02/22/10 99.7200
> >          PX_LAST
> 02/17/10 99.7225
> 02/18/10 99.7225
> 02/19/10 99.7150
> 02/22/10 99.7200
> >          used (Mb) gc trigger (Mb) max used (Mb)
> Ncells 354042  9.5     667722 17.9   431994 11.6
> Vcells 762687  5.9    1463436 11.2  1303897 10.0
> > R version 2.10.1 (2009-12-14) 
> i386-pc-mingw32 
> 
> locale:
> [1] LC_COLLATE=German_Switzerland.1252  LC_CTYPE=German_Switzerland.1252   
> [3] LC_MONETARY=German_Switzerland.1252 LC_NUMERIC=C                       
> [5] LC_TIME=English_Switzerland.1252   
> 
> attached base packages:
> [1] stats     graphics  grDevices utils     datasets  methods   base     
> 
> other attached packages:
> [1] RBloomberg_0.1-11  chron_2.3-33       zoo_1.6-2          RDCOMClient_0.92-0
> 
> loaded via a namespace (and not attached):
> [1] grid_2.10.1     lattice_0.17-26
> > 
> 
> David Lüthi
> Quant Asset Allocation / Global Investment Solutions
> Clariden Leu Ltd 
> Claridenstrasse 19
> CH > ->  8002 Zürich
> Tel: +41 (0)58 205 6165
> david.luethi@claridenleu.com
> http://www.claridenleu.com/
> This message is for the named person's use only. It may contain confidential, proprietary or legally privileged information. No confidentiality or privilege is waived or lost by any transmission errors. If you receive this message in error, please immediately delete it and all copies of it from your system, destroy any hard copies of it and notify the sender. You must not, directly or indirectly, use, disclose, distribute, print, or copy any part of this message if you are not the intended recipient. CLARIDEN LEU and each of its affiliates each reserve the right to intercept and monitor all e-mail communications through its networks if legally allowed. Message transmission is not guaranteed to be secure.
> 

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