Wigan currently sit in the relegation zone, three points from safety, and defender Caldwell hopes a big showing on the weekend can help them overcome that deficit and remain in the top flight.
"The Premier League and FA Cup are two different things," Caldwell said.
"But winning the FA Cup would give us the confidence and belief that anything would be possible in the last two games.
"It is a bit bizarre that the last two league games are more important than the FA Cup final, and no-one would deny that.
"But I think we have managed the situation well this year, where we have switched off from the league and gone to the FA Cup.
"At the moment we have 100 percent focus on winning the FA Cup. Come Sunday, after the final we can regroup and focus on our goal of staying in the Premier League.
"We know what it takes to stay up. There are going to be ups and downs. But thankfully it's not over and we have two games to survive in this league again."