corr2cov (Financial Toolbox)

Convert standard deviation and correlation to covariance.

Syntax

ExpCovariance = corr2cov(ExpSigma, ExpCorrC)

Arguments


`ExpSigma`	Vector of length `N` with the standard deviations of each process.
`ExpCorrC`	`N`-by-`N` correlation coefficient matrix. If `ExpCorrC` is not specified, the processes are assumed to be uncorrelated, and the identity matrix is used.

Description

corr2cov

converts standard deviation and correlation to covariance.

ExpCovariance is an N-by-N covariance matrix, where N is the number of processes.

ExpCov(i,j) = ExpCorrC(i,j)*(ExpSigma(i)*ExpSigma(j)

Example

ExpSigma = [0.5  2.0];
ExpCorrC = [1.0 -0.5
           -0.5  1.0];
[ExpCovariance] = corr2cov(ExpSigma, ExpCorrC)

Expected results:

ExpCovariance = 
                    0.25  -0.5
                   -0.5    4.0