Hello,
yes, it's possible to pass the tolerance. It's the "accuracy" parameter, so you can write e.g.
curve = PiecewiseLogCubicDiscount(reference, helpers, dayCounter, [], [], accuracy)
(the two empty lists are the jumps). However, it's more likely that there's a problem in the data. What rates are you passing to the curve?
Luigi
Hello,
Is it possible to change the tolerance for the PiecewiseLogCubicDiscount function in Python? If so, how? I'm currently getting an error "convergence not reached after 99 iterations" .
Best,
Ali
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