Function File: cov = corr2cov (sigma, corr)

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.

Demonstration 1

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