Well, the simple answer is to use spdiags. If you want the matrix to be full when you use it, then just add a call to full afterwards.
Or use diag for each diagonal, then sum the resulting matrices. Each call to diag will let you create a diagonal matrix with one of those diagonals. So this will require only 5 calls to diag.
Or, you could use subsindex.
Or, you could use sparse. Again, if your goal is a full matrix, then make it so as the last step.
To be honest, a simple set of loops would work too, though not nearly do pretty, or as fast.
None of the above solutions are difficult, although the last three of them will take a bit more work. I'd suggest either spdiags or diag. With diag for example, see if first you can create a diagonal matrix with your main diagonal. Then try making a matrix with the proper sub and super diagonals, etc. Then see how you might combine them all into your goal.
Why not try one of those methods, and then if you have a further problem with it (like something went wrong) then add a comment here showing what you tried, and I'll help you more. The point is, you will learn more by making a stab at it than by me doing it directly for you.
