I finished a spreadsheet for calculating historical correlations on forward curves.
It gives the correlation matrix for contracts going out an arbritary number of months out.
I think it might be a handy tool for some of you.
You may get that on O:\RESEARCH\CUSTOM\CORRELMATRIX\  It demands that you have access to our EGSPROD32 database.
You must have that configured in your ODBC.
It is a large spreadsheet, so it may take some computing resorces.
Let me know if you find any problem.
Thanks.

Historical Correlation Calculator