| To: | s-news@lists.biostat.wustl.edu, s-news-owner@lists.biostat.wustl.edu |
|---|---|
| Subject: | Re: corr2cov |
| From: | TzamouranisY@LouisDreyfus.com |
| Date: | Wed, 17 Aug 2005 15:40:51 -0400 |
|
Sorry, I figured out my answer: (Vol %*% t(Vol)) * Corr YT
Hi, Is there a function in SPLUS that does the same thing as corr2cov in Matlab (i.e. turn the correlation to covariance, given the volatilities?) Thanks, Yannis |
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