Given that you have a data for load and electricity prices, you can use CORRCOEF function in Matlab to compute the correlation coefficient. You may also CORR function. Both function will return the same correlation matrix (please note that the result might differ due to low p-values depending on your Matlab release).
For example: if load values are x1 and electricity price values are x2 then CORRCOEF (x1,x2) will return the desired result for you.
Follow this link for the comprehensive detail and examples of correlation coefficient calculation.