Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / financial-0.4.0 / cov2corr.m

diff --git a/octave_packages/financial-0.4.0/cov2corr.m b/octave_packages/financial-0.4.0/cov2corr.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{sigma}, @var{corr}] =} cov2corr (@var{cov})
+## Convert covariance @var{cov} from input to standard deviation @var{sigma} and
+## correlation coefficients @var{corr}.
+##
+## @seealso{corr2cov, corrcoef, cov, std}
+## @end deftypefn
+
+function [sigma, corr] = cov2corr (cov_m)
+
+  if ( nargin != 1 )
+    print_usage ();
+  elseif ( ndims (cov_m) != 2 || rows(cov_m) != columns(cov_m) )
+    error("covariances must be a NxN matrix");
+  endif
+
+  sigma = diag(cov_m);
+  if ( min(sigma) <= 0 )
+    error("covariance: must have all positive values along the diagonal")
+  endif
+
+  sigma = sqrt(sigma)';
+  corr  = cov_m ./ ( sigma' * sigma );
+
+endfunction
+
+%!demo
+%! cov = [ 0.25 -0.5; -0.5 4.0 ];
+%! [ sigma, corr ] = cov2corr( cov )
+%! %--------------------------------------------------
+%! % Input covariance matrix, output standard deviations and correlation 
+%! % matrix 
+
+%!test
+%! cov = [ 0.25 -0.5; -0.5 4.0 ];
+%! [sigma, corr] = cov2corr( cov );
+%! assert( sigma, [0.5 2.0] )
+%! assert( corr, [1.0 -0.5; -0.5 1.0] );