søn, 11 09 2011 kl. 17:34 -0700, skrev YuHong:
> I wish to add new functions to the financial package in Octave. The
> base is MatLab’s financial toolbox manual. Attached is my first try
> of coding the ‘corr2cov’ function. Basically corr2cov() calculates
> and returns covariance matrix from standard deviation and correlations
> input.
>
> Wish for suggestions. Thanks a lot!
Can't you write
ret = corr .* (sigma * sigma.');
instead of
ret = corr;
csize = size(corr);
for i = 1:csize(1)
for j = 1:csize(2)
ret(i,j) *= sigma(i) * sigma(j);
endfor
endfor
(or something like that) ?
Søren
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