Q:

Can I make my own malt? 

The malt that I found in the store is barley malt. 
I have a bread recipe that calls for rye malt. 
I have whole rye grain.  What do I have to do to make rye malt?  Would it be the same with any malted grain? 
** edit **
Related to this answer:
https://cooking.stackexchange.com/a/21691/2001 
I have sprouted and then dried wheat to use as a sweetener in bread.  What process should I use to produce diastatic malt at home?  What temperatures should be used? 

A:

I don't see why not, it's the same process
Many commercial brewers make a barley and rye malt for beer (< 10% rye).  A good brewers supply shop should have rye malt too
Rye is around ~40% carbohydrate, while barley is ~45% carbohydrate, so rye is not as sweet, but has a more interesting taste (IMHO)
The differences for making malt rye over malt barley, assuming you have hulled rye:

Rye absorbs water faster, so steep for less time (~30% less)
Do not let it go mushy or it will not germinate
Rye is more fragile with no hull and a thin "skin".  So must be handled more carefully once steeped.  If it is damaged it wont germinate
Lower germination rate (due to above), so less conversion, so less sugars and flavour

Otherwise just follow the normal malt barley process, which is well documented

