mafipy.function.black_payers_swaption_vega_fprime_by_strike

mafipy.function.black_payers_swaption_vega_fprime_by_strike(init_swap_rate, option_strike, swap_annuity, option_maturity, vol)

calculates derivative of vega with respect to strike under black model. This is required for sabr_pdf().

Parameters:

• init_swap_rate (float) – initial swap rate.
• option_strike (float) – swaption strike.
• swap_annuity (float) – annuity of referencing swap
• option_maturity (float) – swaption maturity.
• vol (float) – volatilty. this must be positive.

Returns:

derivative of vega w.r.t. strike.

Return type:

float.

Raises:

AssertionError – if volatility is not positive.