semplicecorr.m

统计工具软件

function [delta,dev,cor,C] = semplicecorr(DX,DR,legame)

%SEMPLICECORR	correlation between risk factors and assets (normal method).
%
%	[delta,dev,cor,C] = semplicecorr(DX,DR,legame) calculates the vector
%   of delta coefficients, the standard deviation of risk factors, the
%   correlation matrix and the variance-covariance matrix with unit
%   ponderation of data. DX is the matrix of asset yields, DR is the matrix
%   of risk factors yields.
%   The vector legame set the relations between assets and risk factors.
%   Given 2 risk factors and 4 assets the vector (1 1 1 2) means that the
%   first three assets are related with the first risk factors, the fourth
%   asset with the second risk factor.
%
%	All data must be in columns.
%
%	See RENDIMENTI
%

%	Copyright (c) 2004 by Flavio Bazzana
%   Department of Computer and Management Sciences
%   University of Trento
%   38100 - Trento ITALY
%   [e-mail]


% calculation of the correlation matrix and standard deviations
% of risk factors with null average

n = size(DR,1);
C = DR'*DR/(n-1);
dev = sqrt(diag(C));
cor = C./(dev*dev');

% calculation of delta coefficients

n = size(DX,2);
for i=1:n
	h = legame(i);
	p = polyfit(DR(:,h),DX(:,i),1);
	delta(i) = p(1);
end
delta = delta';