All That Glitters - Correlation

AllThatGlitters_Correl.R

#Extract the correlation of gold to other assets
gold_data = rolling.correlmatrix[((rolling.correlmatrix$Var1=="GLD") * (rolling.correlmatrix$Var2 !="GLD")) == 1,]

#plot the evolution of the correlation of gold
ggplot(gold_data, aes(y = Var2, x = quarter, fill = Correl))+
  geom_tile() + 
  scale_fill_gradientn(colours = mycolvec_2
                       ,limits = c(-1,1))+
  facet_grid(.~year)+theme_bw()   +
  theme(panel.grid.major.x = element_blank(),
                                        panel.grid.major.y = element_blank(),
                                        axis.title.x = element_blank(),
                                        axis.title.y = element_blank(),
                                        axis.text.x=element_text(angle=90))