# QuantLib_MfStateProcess man page

MfStateProcess — Markov functional state process class.

## Synopsis

`#include <ql/processes/mfstateprocess.hpp>`

Inherits StochasticProcess1D.

### Public Member Functions

MfStateProcess (Real reversion, const Array &times, const Array &vols)

StochasticProcess interface

Real x0 () const
returns the initial value of the state variable
Real drift (Time t, Real x) const
returns the drift part of the equation, i.e. \$ mu(t, x_t) \$
Real diffusion (Time t, Real x) const
returns the diffusion part of the equation, i.e. \$ sigma(t, x_t) \$
Real expectation (Time t0, Real x0, Time dt) const
Real stdDeviation (Time t0, Real x0, Time dt) const
Real variance (Time t0, Real x0, Time dt) const

## Detailed Description

Markov functional state process class.

This class describes the process governed by [ dx = sigma(t) e^{at} dW(t) ]

## Member Function Documentation

### Real expectation (Time t0, Real x0, Time dt) const [virtual]

returns the expectation \$ E(x_{t_0 + Delta t} | x_{t_0} = x_0) \$ of the process after a time interval \$ Delta t \$ according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from StochasticProcess1D.

### Real stdDeviation (Time t0, Real x0, Time dt) const [virtual]

returns the standard deviation \$ S(x_{t_0 + Delta t} | x_{t_0} = x_0) \$ of the process after a time interval \$ Delta t \$ according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from StochasticProcess1D.

### Real variance (Time t0, Real x0, Time dt) const [virtual]

returns the variance \$ V(x_{t_0 + Delta t} | x_{t_0} = x_0) \$ of the process after a time interval \$ Delta t \$ according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

Reimplemented from StochasticProcess1D.

## Author

Generated automatically by Doxygen for QuantLib from the source code.

## Referenced By

The man page MfStateProcess(3) is an alias of QuantLib_MfStateProcess(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib