Changed vega / vol config to avoid instable finite differences.
@@ -315,7 +315,7 @@ public class LIBORMarketModelNormalAADSensitivitiesTest {
// Use smaller volatility discretization.
TimeDiscretization timeDiscretizationVolatility;
if(isUseReducedVolatilityMatrix) {
- timeDiscretizationVolatility = new TimeDiscretization(0.0, 8, 8.0);
+ timeDiscretizationVolatility = new TimeDiscretization(0.0, 4, 10.0);
}
else {
timeDiscretizationVolatility = liborPeriodDiscretization;//timeDiscretization;
@@ -400,8 +400,8 @@ public class LIBORMarketModelNormalAADSensitivitiesTest {
double bucketShift;
if(isUseReducedVolatilityMatrix) {
bucketVegaTimeIndex = 2;
- bucketVegaLIBORIndex = 3;
- bucketShift = 1E-8;
+ bucketVegaLIBORIndex = 2;
+ bucketShift = 1E-8; // Finite difference vega has problems for larger shifts
}
else {
bucketVegaTimeIndex = 40;
