Changed assert tolerance to cope with reduced number of paths.
@@ -420,7 +420,7 @@ public class LIBORMarketModelCalibrationTest {
evaluateCalibration(liborMarketModelCalibrated, brownianMotion,
calibrationItemNames, calibrationItemsVALUE, calibrationItemsVOLATILITYNORMAL,
- 2E-4 /*assertTrueVALUE*/, 1E-4 /*assertTrueVOLATILITYNORMAL*/,
+ 2E-4 /*assertTrueVALUE*/, 2E-4 /*assertTrueVOLATILITYNORMAL*/,
"ATM" + "-" + derivativeType + "-" + optimizerType + "-" + valueUnit + "-" + numberOfPaths);
}
