See: https://github.com/lballabio/QuantLib/pull/507/ --- ql/termstructures/volatility/equityfx/fixedlocalvolsurface.cpp +++ ql/termstructures/volatility/equityfx/fixedlocalvolsurface.cpp @@ -132,7 +132,8 @@ namespace QuantLib { for (Size i=0; i < strikes_.size(); ++i) for (Size j=1; jsize(); j++) { - QL_REQUIRE(strikes_[i]->at(j)>=strikes_[i]->at(j-1), + QL_REQUIRE(strikes_[i]->at(j)>=strikes_[i]->at(j-1) + || close_enough(strikes_[i]->at(j),strikes_[i]->at(j-1)), "strikes must be sorted"); } } --- test-suite/hestonslvmodel.cpp +++ test-suite/hestonslvmodel.cpp @@ -2446,7 +2446,7 @@ void HestonSLVModelTest::testMoustacheGraph() { -0.0293,-0.0297,-0.0251,-0.0192,-0.0134,-0.0084,-0.0045, -0.0015, 0.0005, 0.0017, 0.0020 }; - const Real tol = 8e-3; + const Real tol = 1e-2; for (Size i=0; i < 18; ++i) { const Real dist = 10.0+5.0*i; --- test-suite/fdheston.cpp 2018-05-21 08:58:38.000000000 -0400 +++ test-suite/fdheston.cpp 2018-07-20 18:51:34.213199000 -0400 @@ -469,5 +469,5 @@ new FdHestonVanillaEngine(boost::shared_ptr( new HestonModel(hestonProcess)), - 500, 400, 3, 0, + 4000, 400, 3, 0, FdmSchemeDesc::ExplicitEuler())));