[Quantlib-dev] Default probability between 2 dates

[Francois B. <ig...@gm...>]

Hi,

Shouldn't the calculation of the default probability between 2 dates ( see
https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/termstructures/defaulttermstructure.cpp#L117
) be:
    return 1.0 - (1.0 - p2) / (1.0 - p1);

Survival probabilities are cumulative / multiplicative, right?

Francois Botha