Comment #21 on issue 1816 by asmeurer: Adding partial derivatives and taking derivatives with respect to functions
http://code.google.com/p/sympy/issues/detail?id=1816
I don't think you're interpreting WolframAlpha's output correctly. See http://www.wolframalpha.com/input/?i=Frechet+derivative+of+cos%28x%29+wrt+x. I don't know if you can make it compute arbitrary Fréchet derivatives.
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