Fixed unit test for low precision random variables.
@@ -463,7 +463,7 @@ public class BachelierModelMonteCarloValuationTest {
"\t" + numberFormatDeviation.format((delta-deltaAnalytic)) +
"\t" + numberFormatDeviation.format((deltaFiniteDiffAnalytic-deltaAnalytic)));
- Assert.assertTrue(Math.abs(delta-deltaFiniteDiffAnalytic) < 1E-02);
+ Assert.assertTrue(Math.abs(delta-deltaFiniteDiffAnalytic) < 2E-02);
}
System.out.println("__________________________________________________________________________________________\n");
}
