Libraries

OnEye libraries have been developed from the ground up, in order to provide the most efficient solution for algorithmic trading.

OnEye Software integrates with legacy systems, and leverage open standards support.


Accelerated Numeric Computations

Statistics

  • Variance (volatility)
  • Covariance
  • Standard deviation
  • Variance/covariance matrix

Numerical Models

  • Adaptive Integration
  • Streamline Diffusion
  • Markovitz Model
  • Sharpe Ratio
  • Levenberg-Marquardt Algorithm (non-linear regression)
  • Least Square Method for Polynomial Approximation

Random Numbers Generators

  • Binomial Distribution
  • Poisson Distribution
  • Gauss Distribution
  • Uniform Distribution
  • Exponential Distribution
  • Log Normal Distribution
  • X2 Distribution
  • Multivariate Normal Distribution

Linear and Vector Algebra (BLAS)

  • vector-vector operations
  • vector-matrix operations
  • matrix-matrix operations

Resolution of Linear Systems (LAPACK)

  • Resolution of Linear Equations Systems
  • Choleski Factorisation
  • Matrix Determinant
  • Matrix Inversion
  • Eigenvalues and Eigenvectors Computations
  • Singular Value Decomposition
  • LU Transformation

SpaRse Matrices and Graphs

OnEye Core Library

Parallel Manager Library

Cloud (CLUSTER)
  • Provides Virtualization of CPUs and GPUs computing ressources.
  • Manages Clusters, networking flows and bandwidth.
  • Organize Load Balancing accross ressources, providing the Data Fluidity and Data Scalability.
Multicore, Many Cores
  • Organize threads for maximum cpu usage.
Massively Parallel
  • SIMD Library
  • OnEye CUDA Price

Data Library

  • Feed Handlers
  • Time Series Data
  • Streaming, Transport
  • Normalization & Aggregation
  • Reporting (periodic, triggered on event)
  • Monitoring Dynamic Dashboards.

Modeling Utilities

Dates, Time, Schedules

OnEye Pricing Library

Black-Scholes Formula

Monte Carlo Simulation

Binomial Trees

Trinomial Trees

Finite-Difference Methods

Exotic Options

Stochastic Volatility

Stochastic Multifactor Models

Single-Factor Interest Rate Models

Tree-Building

Two-Factor Models and the Heath-Jarrow-Morton Model

Bermudan and Exotic Interest Rate Derivatives

Visualization & GUI

iPhone Support

In Development.