mafipy.function.payoff_bull_spread_fprime

mafipy.function.payoff_bull_spread_fprime(underlying, lower_strike, upper_strike, gearing=1.0)

calculate value of derivative of payoff of bull spread option with respect to underlying.

Parameters:

• underlying –
• lower_strike –
• upper_strike –
• gearing (float) – coefficient of this option. Default value is 1.

Returns:

derivative of bull spread option. If lower_strike >= upper_strike, then return 0.

Return type:

float