Convert standard deviation sigma and correlation coefficients corr to covariance cov.
Note that the rate r is specified as a fraction (i.e., 0.05, not 5 percent).
See also: corrcoef, cov, cov2corr, std.
The following code
sigma = [ 0.5 2.0 ]; corr = [ 1.0 -0.5; -0.5 1.0 ]; cov = corr2cov( sigma, corr ); %-------------------------------------------------- % Input standard deviations and correlation matrix, output covariance % matrix
gives an example of how 'corr2cov' is used.
Package: financial