/* General Variance Gamma Process */
new; cls;
mu=0.1;
sig=0.3;
beta=0.01;
X0=50;
T=1;
n=252;
X=X0|vargamp(mu,sig,beta,X0,T,n);

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




proc vargamp(mu,sig,beta,X0,T,n);
   local delt,Y,Z,X,i;
   delt=T/n;
   Y=rndgamma(delt/beta,beta,n);
   Z=rndn(n,1);
   X=zeros(n,1);
   X[1]=X0+mu*Y[1]+sig*sqrt(Y[1])*Z[1];
   i=1;
   do while i<=n-1;
      X[i+1]=X[i]+mu*Y[i+1]+sig*sqrt(Y[i+1])*Z[i+1];
      i=i+1;
   endo;
   retp(X);
endp;

proc rndgamma(alpha,beta,nn);
   local x;
   if alpha<=0 or beta<=0;
      errorlog "ERROR: Parameter alpha and beta must be positive.";
      retp(".");
   endif;
   x=rndu(nn,1);
/* U(0,1) to Gamma(alpha,beta) */
   x=beta*gammaii(alpha*ones(nn,1),x);
   retp(x);
endp;