Abstract: The disclosed embodiments relate to computing a forward interest rate for a select future time period subsequent to a current date, such as 1 month, 3 month, 6 month or 12 month term, utilizing data observed or otherwise derived from the trading of futures contracts having short term interest rate based underliers, e.g. based on overnight interest rates, and, in one embodiment, are integrated with an electronic transaction processing system, e.g. an electronic trading system, to access data indicative of the trading thereof, and therefore avoid reliance upon subjective/opinion inputs. Generally, the disclosed embodiments generate a model of expected interest rates for every day of the time period for which a forward interest rate is desired based on a set of interest rate futures contract whose expiration periods cover the period.

Abstract: The disclosed embodiments relate to computing a forward interest rate for a select future time period subsequent to a current date, such as 1 month, 3 month, 6 month or 12 month term, utilizing data observed or otherwise derived from the trading of futures contracts having short term interest rate based underliers, e.g. based on overnight interest rates, and, in one embodiment, are integrated with an electronic transaction processing system, e.g. an electronic trading system, to access data indicative of the trading thereof, and therefore avoid reliance upon subjective/opinion inputs. Generally, the disclosed embodiments generate a model of expected interest rates for every day of the time period for which a forward interest rate is desired based on a set of interest rate futures contract whose expiration periods cover the period.

Abstract: The disclosed embodiments relate to an exchange computing system which selectively prematurely expires financial instruments in order to finally settle them and remove them from the computing system. In particular, the disclosed embodiments recognize that during the pendency of a futures contract between first available trade date and the expiration, the exchange computing system must facilitate trading thereof by tracking traders positions, providing regular pricing data as well as transacting trades therefore. This consumes exchange resource especially given the number of products offered and the extended length of term for some. Accordingly where contracts can be settled early and thereby removed from being transacted, exchange resources may be conserved.

Abstract: The disclosed embodiments relate to an exchange computing system which selectively prematurely expires financial instruments in order to finally settle them and remove them from the computing system. In particular, the disclosed embodiments recognize that during the pendency of a futures contract between first available trade date and the expiration, the exchange computing system must facilitate trading thereof by tracking traders positions, providing regular pricing data as well as transacting trades therefore. This consumes exchange resource especially given the number of products offered and the extended length of term for some. Accordingly where contracts can be settled early and thereby removed from being transacted, exchange resources may be conserved.

Abstract: The disclosed embodiments relate to automated generation of objective data for use in computing a forward interest rate for a future time period subsequent to a current date, as well as post validation thereof. Periodic sample sets of the prices of actual completed trades between anonymized parties of each of a set of interest rate futures contracts having consecutive expiration months which collectively include the selected future time period are obtained from an anonymized electronic trading system. The prices of current best offers to buy/sell each of those contracts are also randomly obtained. Each sample set, along with the randomly selected prices, is then processed to identify a subset thereof which are consistent with a relationship between the underlying interest rate of the set of contracts and time period covered thereby.

Abstract: The disclosed embodiments relate to an exchange computing system which selectively prematurely expires financial instruments in order to finally settle them and remove them from the computing system. In particular, the disclosed embodiments recognize that during the pendency of a futures contract between first available trade date and the expiration, the exchange computing system must facilitate trading thereof by tracking traders positions, providing regular pricing data as well as transacting trades therefore. This consumes exchange resource especially given the number of products offered and the extended length of term for some. Accordingly where contracts can be settled early and thereby removed from being transacted, exchange resources may be conserved.

Abstract: Stored invoice swap spread (IVSP) parameters may indicate that an IVSP conforming to the IVSP parameters includes a futures contract leg conforming to futures contract parameters and an interest rate swap (IRS) leg conforming to IRS parameters. A yield may be calculated based on an invoice price for a delivered debt instrument corresponding to a futures contract leg of an executed IVSP conforming to the IVSP parameters and based on the terms of the delivered debt instrument. A fixed rate for an IRS leg of the executed IVSP may be calculated based on the IRS parameters, the yield, and a price of the executed IVSP. Fixed rate payment dates for the IRS leg of the executed IVSP may be determined based on the IRS parameters and the terms of the delivered debt instrument.