Attribute VB_Name = "Module2"
Public Function mccirbp(rt, a, b, sigma, lamda, t, n, m)
Dim r()
ReDim r(n - 1)
r(0) = rt
dt = t / n
bpsum = 0
For j = 1 To m
cum = rt * dt
For i = 1 To n - 1
r(i) = r(i - 1) + (a * (b - r(i - 1)) - lamda * sigma * Sqr(r(i - 1))) * dt + (sigma * Sqr(r(i - 1)) * Application.WorksheetFunction.NormInv(Rnd(), 0, 1) * Sqr(dt))
cum = cum + r(i) * dt
Next i
bpsum = bpsum + Exp(-cum)
Next j
mccirbp = bpsum / m
End Function

Public Function vasicektree(r0, a, b, sg, t, n)
dt = t / n
Dim p()
ReDim p(n)
u = sg * Sqr(dt)
d = -u
For i = 0 To n
p(i) = 1
Next
For j = n - 1 To 0 Step -1
For i = 0 To j
node_r = r0 + (j - 2 * i) * u
pb = (a * (b - node_r) * Sqr(dt) - d) / (u - d)
If pb > 1 Then
pb = 1
End If
If pb < 0 Then
pb = 0
End If
p(i) = (pb * p(i) + (1 - pb) * p(i + 1)) / Exp(node_r * dt)
Next i
Next j
vasicektree = p(0)
End Function
Public Function cirtree(r0, a, b, sg, t, n)
dt = t / n
Dim p()
ReDim p(n)
u = sg * Sqr(dt)
x = 2 * Sqr(r0)
For i = 0 To n
p(i) = 1
Next
For j = n - 1 To 0 Step -1
For i = 0 To j
node_x = x + (j - 2 * i) * u
node_r = node_x ^ 2 / 4
node_rp = (node_x + u) ^ 2 / 4
node_rm = (node_x - u) ^ 2 / 4
pb = (node_r + a * (b - node_r) * dt - node_rm) / (node_rp - node_rm)
If pb > 1 Then
pb = 1
End If
If pb < 0 Then
pb = 0
End If
p(i) = (pb * p(i) + (1 - pb) * p(i + 1)) / Exp(node_r * dt)
Next i
Next j
cirtree = p(0)
End Function