In MGS5: The Phantom Pain, if you search wide across the map you will notice hundreds of diamonds are scattered, some can be found on your Mother Base as well. Some are worth 10,000 GMP whereas some are worth more than 1,00,000 GMP. So you better start collecting them. Here is the Guide to Find the Rough Diamond in Spugmay Keep.
You Start the game with the first mission 'Phantom Limbs' in Metal Gear Solid V: The Phantom Pain which takes place in a southwestern part of Northern Kabul, Afghanistan. The Mission Objective is to Rescue your old partner, Kazuhira Miller, who has been captured by the Soviets at Ghwandai Town.
As you progress in the mission there is a part where you need to secure the rough diamond which is hidden in Spugmay Keep. The Spugmay keep is the area where you start the mission. And you can easily locate the Diamond which is on the Cliff overlooking the ruins. Check the Image Below for More exact location.
Note: There are 35 Rough Diamonds hidden at your Mother Base. Interrogate with your Fellow Diamond Dog members onboard to know the location.