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List:       r-sig-finance
Subject:    Re: [R-SIG-Finance] xts Correl on subset
From:       Michael Weylandt <michael.weylandt () gmail ! com>
Date:       2013-10-29 12:12:50
Message-ID: A4657535-5A25-49B5-A3A7-39BAF0D49A04 () gmail ! com
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Something like:

cor(tail(merge(ret.SPY, lag(ret.MDY)), 10))

would work. 

Merge your series into a single object, take the last ten obs (tail(x, 10)) and get \
the correlation matrix thereof.

MW

On Oct 29, 2013, at 7:49, "Martin Bauer" <Bauermartin@gmx.at> wrote:

> hi,
> 
> How can I calculate the correlation on a subset of ie 10d Correl 
> 
> library(quantmod)
> indexes<-c("SPY","MDY")
> sym=getSymbols(indexes,from="2012-01-01",to=Sys.Date())
> ret.SPY=ROC(SPY[,6],type="discrete",n=1)
> ret.MDY=ROC(MDY[,6],type="discrete",n=1)
> now the part which is missing
> something like this 
> Pseudo Code
> Correlation(ret.SPY,lag(ret.MDY,1),10)
> 
> thanks for sharing your knowledge
> 
> 
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