wienerbridge.m

Numerical Methods In_Finance And Economics Matlab Source Code

function WSamples = WienerBridge(T, NSteps)
NBisections = log2(NSteps);
if round(NBisections) ~= NBisections
    fprintf('ERROR in WienerBridge: NSteps must be a power of 2\n');
    return
end
WSamples = zeros(NSteps+1,1);
WSamples(1) = 0;
WSamples(NSteps+1) = sqrt(T)*randn;
TJump = T;
IJump = NSteps;
for k=1:NBisections
    left = 1;
    i = IJump/2 + 1;
    right = IJump + 1;
    for j=1:2^(k-1)
        a = 0.5*(WSamples(left) + WSamples(right));
        b = 0.5*sqrt(TJump);
        WSamples(i) = a + b*randn;
        right = right + IJump;
        left = left + IJump;
        i = i + IJump;
    end
    IJump = IJump/2;
    TJump = TJump/2;
end