You are not under obligation to complete training. If you are confident about your class date, give your notice and depart. The airline may choose to stop your training but it should not go against you by any means since it was due to a job offer and not a training issue. They may actually appreciate you leaving before utilizing simulator time for a job you won't be around for in two weeks. You also risk a jeopardy event with your current airline if you stay in training which may affect your prospective position?

I was in a similar situation a few years ago and chose to leave right after G/S but before starting sims. It was a non issue then and it was never one for future employment. Professional courtesy and honesty in most cases go a long way (occasionally not). People understand when you leave for a better position. It's a small world and I guarantee if you do someone wrong, it will come back to bite you at some point in your career. Congratulations on your new position and best wishes.