Lead/Lag Cross Correlation between XTS objects

llxc.R

llxc = function( a, ll=-12:12, legend.loc="topleft", displayLegend=T, legend.cex=1.0, overplot=F )
{
	if ( ncol(a) < 2 )
	{
		print( "Not enough columns")
		return;
	}
	
	a = na.omit(a)
	
	b = a[,1]
	firstplot = T
	
	colours = RColorBrewer::brewer.pal(length(names(a)), "Dark2")
	colours[1] = "black"
	count = 1
	
	s = {}
	
	ylim = c(0, 0)

	d = c()
	for ( x in names(a)[2:length(names(a))] )
	{
		print(x)
		c = a[,x]
		for ( y in ll )
		{
			z = na.omit(merge(lag(b, k=y), c))
			r = cor(z)[2]
			d = c( d, r )
		}
	}	
	
	ylim = c(min(d), max(d))
	
	for ( x in names(a)[2:length(names(a))] )
	{
		print(x)
		c = a[,x]
		d = c()
		for ( y in ll )
		{
			z = na.omit(merge(lag(b, k=y), c))
			r = cor(z)[2]
			d = c( d, r )
		}
		
		s[x] = d
		print(paste("Max correlation:", max(abs(d))))
		
		if ( firstplot == T )
		{
			if ( overplot == T )
			{
				par(yaxt="n")
			}
			periodicityOfData = cat( periodicity(a)$label, "s", sep="" )
			print(periodicityOfData)
			plot(ll, d, type="l", col=colours[count], ylim=ylim, xlab=periodicityOfData, ylab="Correlation Coefficient")
			firstplot = F
		}
		else
		{
			if ( overplot == T )
			{
				par(new=T, xaxt="n", yaxt="n")
				plot(ll, d, col=colours[count], type="l")				
			}
			else
			{
				lines(ll, d, col=colours[count], type="l")
			}
		}
		count = count + 1
	}
	print (s)
	
	if ( displayLegend == T )
	{
		legend(legend.loc, names(a)[2:length(names(a))], col=colours, lty=1, cex=legend.cex)	
	}
	grid()
	par(xaxt="s", yaxt="s")
}