/* O-U Process */
new; cls;
gam=0.5;
sig=0.1;
X0=0.2;
T=1;
n=252;
X=X0|ou(gam,sig,X0,T,n);

library pgraph;
graphset;
xy(seqa(0,T/n,n+1),X);




proc ou(gam,sig,X0,T,n);
   local delt,Z,X,i;
   delt=T/n;
   Z=rndn(n,1);
   X=zeros(n,1);
   X[1]=X0-gam*(X0-0)*delt+sig*sqrt(delt)*Z[1];
   i=1;
   do while i<=n-1;
      X[i+1]=X[i]-gam*(X[i]-0)*delt+sig*sqrt(delt)*Z[i+1];
      i=i+1;
   endo;
   retp(X);
endp;