Python implementation not correct

AI & Machine learning
1

Course Name: Options Volatility Trading: Concepts and Strategies, Section No: 12, Unit No: 19, Unit type: Exercise

Hi, this code is correct. You cannot simply add volatility to one another - you need to square it before applying the weights. Onyl in certain circumstances can you then add the weighted variances together. If you want to arrive at the resulting 'weighted' volatlity', you muist then take the square root of the total RHS of the eqn.

2

Hi Alun,

Thanks for pointing this out. We will check this and get back to you. 

3

Hello Alun, 



We have updated the notebook, IE and the downloadable resources by taking the square root of RHS while calculating the total volatility. 



Thanks for raising this issue and happy learning!