OpenGamma/OG-Platform — pull request #204 by marc-opengamma (2014-09-18 15:13:45+00:00)
Title: Topic/plt 431

Created a new instrument (CouponFixedFxResetDefinition) in Definition and Derivative version. Added the instrument in the difference visitors. Pricing method with pv, curve sensitivity and currency exposure. Added the instrument in the present value discounting and present value curve sensitivity calculators.

Moved the optimised "Pricer" from the PresentValueDiscountingCalculator to a util class MultipleCurrencyAmountPricer.

Changed some previous coupon variables to standardised names.

Test coverage is almost 100%. Only "accept" for some visitors are not covered.

The documentation on the formula used is available in the documentation "Coupon with FX Reset Notional", OpenGamma documentation 26, September 2014.