Quill for VS Code

Language support for Quill, the quant-finance payoff/contract DSL from quantc. A .quill script describes a derivative product declaratively and compiles to vectorised Monte Carlo with AAD (adjoint) Greeks.

The extension reuses the project's own parser, type-checker, printer, and pricing engine — bundled into the extension — so diagnostics, formatting, and pricing always match the compiler exactly.

Features

Syntax highlighting — products, events, schedules, payoffs, control flow, models, built-in functions, operators, numbers, and // comments.
Live diagnostics — parse and type errors from the real Quill front end, shown inline and in the Problems panel as you type.
Completion — keywords, built-in functions (with call snippets), and all stochastic models, each with documentation.
Hover — signatures and descriptions for keywords, built-ins, and models.
Formatting — Format Document pretty-prints through the canonical Quill printer.
Pricing — Quill: Price Current File runs the Monte Carlo engine on the open script and reports price, standard error, and Greeks in the Quill output channel.
Snippets — product, european, event, eventsched, schedule, pay, if, ifelse, exercise, param, var, underlying.
Editor config — bracket matching, auto-closing pairs, comment toggling (Ctrl/Cmd+/), and block indentation.

Models

Completion and hover cover every model the engine supports:

Model	Description
`gbm`	Geometric Brownian motion (lognormal).
`bachelier`	Normal model with absolute volatility.
`displaced`	Displaced diffusion — GBM on `(S + shift)`.
`cev`	Constant-elasticity-of-variance local vol.
`heston`	Heston stochastic volatility.
`merton`	Merton jump-diffusion.
`hw1f`	Hull–White 1-factor short rate.
`g2pp`	G2++ two-factor short rate.
`fx`	FX rate (Garman–Kohlhagen).

Commands

Command	Description
Quill: Price Current File	Prices the active `.quill` file and prints price, standard error, and Greeks to the Quill output channel.
Quill: Check Current File	Re-runs diagnostics on the active file.

Settings

Setting	Default	Description
`quill.market.spot`	`100`	Spot price used when pricing.
`quill.market.rate`	`0.03`	Risk-free rate used when pricing.
`quill.market.vol`	`0.2`	Volatility used when pricing.
`quill.pricing.paths`	`100000`	Number of Monte Carlo paths.
`quill.pricing.seed`	`1`	RNG seed.

Example

product Autocall {
  underlying S model gbm
  param coupon = 0.02
  var accrued = 0
  event t in schedule(0.25, 3.0, 0.25) {
    accrued = accrued + coupon
    if S(t) >= S(0) then {
      pay 1 + accrued at t
      stop
    }
  }
  event T = 3.0 {
    pay min(S(T) / S(0), 1) at T
  }
}

Open the file, run Quill: Price Current File, and the price, standard error, and Greeks appear in the Quill output channel.

License

MIT — see LICENSE.

Quill quant-finance payoff/contract DSL

Sinh Truong