Assert depends on type of calibration.
@@ -184,7 +184,7 @@ public class LIBORMarketModelCalibrationTest {
// testProperties.put("maxRunTime", (long) (30 * /*min->sec*/ 60 * /*sec->millis*/ 1E3));
- testProperties.put("stepSize", 0.0001);
+ testProperties.put("stepSize", 0.00001);
}
@@ -420,7 +420,8 @@ public class LIBORMarketModelCalibrationTest {
evaluateCalibration(liborMarketModelCalibrated, brownianMotion,
calibrationItemNames, calibrationItemsVALUE, calibrationItemsVOLATILITYNORMAL,
- 2E-4 /*assertTrueVALUE*/, 2E-4 /*assertTrueVOLATILITYNORMAL*/,
+ valueUnit == ValueUnit.VALUE ? 1E-4 : 1E-2 /*assertTrueVALUE*/,
+ valueUnit == ValueUnit.VOLATILITYNORMAL ? 2E-4 : 1E-2 /*assertTrueVOLATILITYNORMAL*/,
"ATM" + "-" + derivativeType + "-" + optimizerType + "-" + valueUnit + "-" + numberOfPaths);
}
