/* Brownian Bridge */
new; cls;
a=0;           /* at tt=0 */
b=1;           /* at tt=T */
T=1;
n=252;
W=bbridge(a,b,T,n);

library pgraph;
graphset;
xy(seqa(0,T/n,n+1),W~a*ones(n+1,1)~b*ones(n+1,1));



proc bbridge(a,b,T,n);
   local delt,Z,W,tt,BB,i;
/* Standard Wiener */
   delt=T/n;
   Z=sqrt(delt)*rndn(n,1);
   W=cumsumc(Z);
/* main */
   tt=seqa(1,1,n)/n*T;
   BB=zeros(n,1);
   i=1;
   do while i<=n;
      BB[i]=a*(1-tt[i]/T)+b*tt[i]/T+(W[i]-tt[i]/T*W[n]);
      i=i+1;
   endo;
   BB=a|BB;
   retp(BB);
endp;