Changed tolerance.
package net.finmath.singleswaprate.calibration;
-
import java.io.EOFException;
import java.io.File;
import java.io.FileInputStream;
@@ -38,8 +37,8 @@ import net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHo
public class SABRCubeCalibrationTest {
- private final double testAccuracy = 0.01;
- private final int calibrationMaxIteration = 5;
+ private final double testAccuracy = 0.03;
+ private final int calibrationMaxIteration = 8;
private static boolean useLinearInterpolation = true;
private final boolean replicationUseAsOffset = true;
