Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / financial-0.4.0 / corr2cov.m

diff --git a/octave_packages/financial-0.4.0/corr2cov.m b/octave_packages/financial-0.4.0/corr2cov.m
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+## Copyright (C) 2011 Hong Yu <hyu0401@hotmail.com>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {@var{cov} =} corr2cov (@var{sigma}, @var{corr})
+## Convert standard deviation @var{sigma} and correlation coefficients @var{corr}
+## to covariance @var{cov}.
+##
+## Note that the rate @var{r} is specified as a fraction (i.e., 0.05,
+## not 5 percent).
+## @seealso{corrcoef, cov, cov2corr, std}
+## @end deftypefn
+
+function ret = corr2cov (sigma, corr)
+
+  if ( nargin != 2 )
+    print_usage ();
+  elseif ( rows(corr) != columns(corr) || ndims(corr) != 2 )
+    error("correlation coefficients must be a NxN matrix");
+  elseif ( rows(sigma) != 1 || ndims(sigma) != 2 )
+    error("sigma must be a 1xN vector (single row) with the standard deviation values");
+  elseif ( columns(sigma) < columns(1) )
+    error("sigma: must be 1xN \ncorr: must be NxN"); 
+  endif
+
+  sigma = sigma(:);
+  ret   = corr .* (sigma * sigma');
+
+endfunction
+
+%!demo
+%! 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
+
+%!test
+%! sigma = [0.5 2.0];
+%! corr = [1.0 -0.5; -0.5 1.0];
+%! cov = corr2cov( sigma, corr );
+%! assert( cov, [ 0.25 -0.5; -0.5 4.0 ] )