The Financial Crisis on Tape Part I - Correlation Computation

FinCrisisPartI_CorrelComp.R

#now use Hadley's great plyr library and a simple function to compute the 
#rolling correlation matrix
library(plyr)

DataFrameCorOutput<-function(hist.returns){
  require(reshape2)
	correls = melt(cor(as.matrix(na.omit(hist.returns))))
	colnames(correls) = c("Var1","Var2","Correl")
	correls
}

rolling.correlmatrix = 
ddply(hist.returns,
	.(year,quarter),
	.fun = function(x){
			DataFrameCorOutput(
				x[,grep("Adjusted",colnames(x))]
			)}
)

#rename some of the series to make obtain a pretty plot a little easier!
rolling.correlmatrix$Var1 = factor(gsub(".Adjusted","",rolling.correlmatrix$Var1),symbols)
rolling.correlmatrix$Var2 = factor(gsub(".Adjusted","",rolling.correlmatrix$Var2),symbols)