Default probability between 2 dates

Posted by igitur on Jun 27, 2015; 2:09pm
URL: http://quantlib.414.s1.nabble.com/Default-probability-between-2-dates-tp16682.html

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?

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