Portfolio

Billy Leung

View project on GitHub

HOME | CV PORTFOLIO | 2026-2025 | 2023-2021 | 2020-2013 | 2013-2008 | 2007-2003 | 2003-2000

PORTFOLIO

This section outlines the projects I have been involved in during the period 2025 – 2026.

(CIBC) Quantitative Solutions Group

_ Period _: May ‘25 – May ‘26

_ Length _: 1 year

_ Team Members _: Desk Quants, RAD Developers, Front-Office Tech Team

_ Technologies _: C# 9.0, .NET 9, C++ Interop, TPL, .NET Channels, Solace MC, KDB/Q (q timewindow functions), Python, ASP.NET Core, Grafana, Kibana, Bloomberg, Refinitiv RMDS, Broadway TOC, Excel

_ Environments _: Windows, Linux

_ Methodology _: Agile, Microservices, Low-Latency Messaging, Event-Driven Architecture

_ Consultancy Experience: _ Quant Developer, eFI Trading Platforms, Interest Rate Derivatives, Fixed Income Risk

_ Description _:

Joined CIBC’s Quantitative Solutions Group to build a greenfield electronic trading platform for interest rate swaps, integrating proprietary C++ quantitative libraries, real-time pricing models, and low-latency tools for front-office desks.

The eFI platform processes live market data streams and delivers real-time valuation, pricing analytics, and curve management tools to front-office traders.

Responsibilities: The role demanded full technical ownership of quantitative tool delivery, from wrapping C++ pricing libraries and building C# front-office trading services to configuring low-latency calculation paths, automating diagnostics, and integrating streaming UI components. Led UAT and production releases for end-to-end price flows, indicative pricing streams, and live diagnostics tools while collaborating directly with desk quants and RAD developers to optimize front-office workflows.

Involvement: Worked on fixed income pricing and yield curve construction methodologies (OIS, CORRA). Responsibilities included engineering multi-source pricing logic, constructing automated fallback and calculation chaining workflows, extending rates analytics across short-end bond yields and long-end swap rates, capturing underlying OTR bond changes during curve rolls, and converting pure Excel pricing sheets into high-performance C# components. Operationalized telemetry and monitoring using KDB/Q timewindow queries alongside Grafana and Kibana dashboards for live valuation stats.

Skills Required: The role required strong domain knowledge in rates and fixed income derivatives, broad technical engineering depth spanning C# microservices, low-latency messaging, and C++ interop, alongside strong collaboration skills to partner effectively with desk quants, traders, and infrastructure engineers.

_ Projects _:

Greenfield C# / C++ Pricing Engine & Quant Integration

Objective: Integrate proprietary C++ quantitative analytics into high-performance C# front-office services to enable low-latency real-time pricing for interest rate swaps.

  • Integrated proprietary C++ quant libraries and calculators into C# front-office trading systems using native interop wrappers.
  • Optimized low-latency calculation paths, introduced configurable CSV-driven error handling, and scripted automated pricing diagnostics.
  • Standardized debugging, testing, and dependency mapping for core pricing utilities to accelerate desk releases.

Multi-Source Rates & Yield Curve Construction Engine

Objective: Build robust pricing logic and multi-curve management tools to calculate real-time swap rates derived from underlying bond yields and spreads.

  • Designed and enhanced bond and swap pricing calculators, including multi-curve construction (OIS, CORRA) and curve management tools.
  • Implemented multi-source pricing logic (e.g. deriving real-time swap rates from bond yield + swap spread) with automated fallback logic and calculation chaining.
  • Extended analytics coverage across fixed income: short-end bond yields, long-end swap rates, price flows, curve rolls (capturing underlying OTR bond changes), and full conversions of pure Excel pricing sheets into native services.

Low-Latency Streaming & Telemetry Operations

Objective: Stream real-time pricing updates to front-office UIs and implement live operational diagnostics for market data flows.

  • Collaborated with desk quants and RAD developers to streamline UI integration via Solace MC event streams and optimize front-office workflows.
  • Operationalized KDB/Q timewindow queries alongside Grafana and Kibana dashboards for live valuation monitoring, pricing anomaly detection, and data flow tracking.
  • Led UAT and production releases for end-to-end price flows, indicative pricing streams, and live diagnostics tools.