mafipy.function.d_fprime_by_strike

mafipy.function.d_fprime_by_strike(underlying, strike, rate, maturity, vol)

derivative of \(d_{1}\) with respect to \(K\) where \(K\) is strike. See func_d1().

\[\frac{\partial }{\partial K} d_{1}(K) = \frac{K}{\sigma S \sqrt{T}}.\]

Obviously, derivative of \(d_{1}\) and \(d_{2}\) is same. That is

\[\frac{\partial }{\partial K} d_{1}(K) = \frac{\partial }{\partial K} d_{2}(K).\]

Parameters:

• underlying (float) –
• strike (float) –
• rate (float) –
• maturity (float) – must be non-negative.
• vol (float) –

Returns:

value of derivative.

Return type:

float