Function File: [sigma, corr] = cov2corr (cov)

Convert covariance cov from input to standard deviation sigma and correlation coefficients corr.

See also: corr2cov, corrcoef, cov, std.

Demonstration 1

The following code

 cov = [ 0.25 -0.5; -0.5 4.0 ];
 [ sigma, corr ] = cov2corr( cov );
 %--------------------------------------------------
 % Input covariance matrix, output standard deviations and correlation
 % matrix

gives an example of how 'cov2corr' is used.

Package: financial