Automated and reliable determination of a forward value associated with a future time period based on objectively determined expectations related thereto

A computer implemented method comprising:

• automatically determining, by a data transaction processing system in which data items are transacted by a hardware matching processor, an overall interest rate associated with a selection of one or more periods of time subsequent to a current date, the hardware matching processor matching groups of electronic data transaction request messages to buy or sell the data items, the electronic data transaction request messages received from different client computers over a data communications network, each of the groups of the electronic data transaction request messages including an incoming electronic data transaction request message and one or more previously received but unmatched electronic data transaction request messages represented in a data structure stored in a memory coupled with the hardware matching processor, each of the electronic data transaction request messages having multiple transaction parameters, the multiple transaction parameters specifying a one time period of a set of available future expiration time periods and a proposed transaction price indicative of an expected settlement interest rate value, the actual settlement interest rate value determined at the end of the specified one time period based on a daily interest rate set the day preceding the end of the specified one time period by a governing authority, the hardware matching processor matching each of the groups of the electronic data transaction request messages for one of the data items based on the multiple transaction parameters, each matched group of electronic data transaction request messages being associated with a prevailing transaction price indicative of the expected settlement interest rate value, the automatically determining of the overall interest rate further comprising:
• receiving, by a hardware forward rate processor separate from the hardware matching processor, the selection of the one or more periods of time subsequent to the current date, wherein the determination of one or more associated interest rates is based on the selection of the one or more periods of time subsequent to the current date;
• determining, by the hardware forward rate processor, a consecutive set of expiration time periods which include at least the selected one or more periods of time and for each expiration time period of the consecutive set of expiration time periods:
• identifying, by the hardware forward rate processor, a set of matched groups of the electronic data transaction request messages processed by the hardware matching processor based on the specified one time period of each of the electronic data transaction request messages of the set of the matched groups, wherein the specified one time period of each of the electronic transaction request messages includes the expiration time period, computing, by the hardware forward rate processor, an aggregate prevailing transaction price for the identified set of matched groups electronic data transaction request messages, and computing, by the hardware forward rate processor based on the computed aggregate prevailing transaction price, an aggregate implied expected interest rate value determined for the end of the specified one time period;
• determining, by the hardware forward rate processor, a subset of the set of days within the expiration time period as non-adjustable days, each of the non-adjustable days being accorded a baseline expected interest rate value computed based on transactions transacted by the hardware matching processor, the remainder of the set of days being designated as adjustable days on which a deviation from the baseline expected interest rate value occurs based on transactions transacted by the hardware matching processor, and further determining, by the hardware forward rate processor, a magnitude of the deviation based on a historical data of transactions transacted by the hardware matching processor during the adjustable days;
• computing, by the hardware forward rate processor, based on the magnitude of the deviation, an adjusted baseline expected interest rate value being accorded to each of the adjustable days;
• and
• determining, by the hardware forward rate processor, whether the expiration time period includes a non-transactional change day on which a non-transactional deviation from the baseline expected interest rate value occurs based on an event other than a transaction transacted by the hardware matching processor;
• the method further comprising:
• determining, by the hardware forward rate processor, an initial interest rate value as the interest rate value set for the day preceding the current day by the governing authority, wherein if the current day is not one of the determined non-adjustable days and if the current day is one of the determined adjustable days, adjusting, by the hardware forward rate processor, the initial interest rate value based on the determined magnitude of the deviation, and
• according, by the hardware forward rate processor, the initial interest rate value to the current day;
• for each expiration time period determined not to include a non-transactional change day, starting from the current date, according, by the hardware forward rate processor, the baseline expected interest rate value for that expiration time period to each day of the determined non-adjustable days of the expiration time period and the adjusted baseline expected interest rate value to each of the adjustable days of the expiration time period;
• for each expiration time period determined to include a non-transactional change day, starting with the expiration time period furthest from the current date, determining, by the hardware forward rate processor, an extrapolated interest rate value for each day prior thereto until the non-transactional change day, the extrapolated interest value determined based on the baseline expected interest rate value or the adjusted baseline expected interest rate value accorded to the last day of the subsequent time period, and according, by the hardware forward rate processor, the extrapolated expected interest rate value to each day of the expiration time period from the non-transactional change day to the last day thereof, and further deriving, by the hardware forward rate processor, a derived expected interest rate value based on the extrapolated expected interest rate value and the aggregate implied expected interest rate value determined for the end of the expiration time period, and according, by the hardware forward rate processor, the derived expected interest rate value to each day of the expiration time period from a first day thereof until the non-transactional change day, back to the current day;
• and
• storing, by the hardware forward rate processor in a data structure stored in a memory coupled therewith, for every day of the set of the expiration time periods including the current day, the adjustable and the non-adjustable days, data indicative of the accorded one of the initial interest rate value, the baseline expected interest rate value, the adjusted baseline expected interest rate value, the extrapolated expected interest value or the derived expected interest rate value in association with every day of the set of expiration time periods;
• and
• the method further comprising:
• computing, by the hardware forward rate processor for each of the selected one or more time periods based on the data stored in the data structure, the overall interest rate by retrieving from the memory and combining the data indicative of the accorded one of the initial interest rate value, the baseline expected interest rate value, the adjusted baseline expected interest rate value, the extrapolated expected interest value or the derived expected interest rate value for each day of the selected one or more time periods.