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3D probability surface visualization.
Create interactive 3D surface plots showing Strike × Time-to-Expiry × Probability.
"""
import numpy as np
import plotly.graph_objects as go
from typing import Dict, List, Optional
from src.visualization.themes import (
create_base_layout,
create_3d_scene_config,
DARK_THEME,
COLORSCALES
)
def create_3d_surface(
pdf_data: Dict[str, Dict[str, np.ndarray]],
spot_price: Optional[float] = None,
title: str = "SPX Option-Implied Probability Surface",
colorscale: str = 'Viridis',
show_contours: bool = True
) -> go.Figure:
"""
Create 3D probability surface from multiple expiration PDFs.
Args:
pdf_data: Dictionary with format:
{
'expiration_date': {
'strikes': np.ndarray,
'pdf': np.ndarray,
'days_to_expiry': int
}
}
spot_price: Current spot price (optional, for marker)
title: Plot title
colorscale: Plotly colorscale name
show_contours: Whether to show contour lines
Returns:
Plotly 3D figure
"""
if len(pdf_data) < 2:
raise ValueError("Need at least 2 expirations for 3D surface")
# Sort by days to expiry
sorted_data = sorted(
pdf_data.items(),
key=lambda x: x[1]['days_to_expiry']
)
# Find common strike range
all_strikes = [data['strikes'] for _, data in sorted_data]
min_strike = max(strikes.min() for strikes in all_strikes)
max_strike = min(strikes.max() for strikes in all_strikes)
# Create uniform strike grid
strike_grid = np.linspace(min_strike, max_strike, 100)
# Prepare data for surface
expiry_days = []
pdf_matrix = []
for exp_date, data in sorted_data:
days = data['days_to_expiry']
strikes = data['strikes']
pdf = data['pdf']
# Interpolate to uniform grid
pdf_interp = np.interp(strike_grid, strikes, pdf)
expiry_days.append(days)
pdf_matrix.append(pdf_interp)
# Convert to 2D arrays
X = strike_grid # Strikes
Y = np.array(expiry_days) # Days to expiry
Z = np.array(pdf_matrix) # PDF values
# Create meshgrid
X_mesh, Y_mesh = np.meshgrid(X, Y)
# Create figure
fig = go.Figure()
# Add surface
contours_config = {}
if show_contours:
contours_config = {
'z': {
'show': True,
'usecolormap': True,
'highlightcolor': "limegreen",
'project': {'z': True}
}
}
fig.add_trace(go.Surface(
x=X_mesh,
y=Y_mesh,
z=Z,
colorscale=colorscale,
opacity=0.9,
name='Probability Density',
contours=contours_config,
hovertemplate=(
'<b>Strike:</b> $%{x:.2f}<br>'
'<b>Days to Expiry:</b> %{y:.0f}<br>'
'<b>Probability Density:</b> %{z:.6f}<br>'
'<extra></extra>'
)
))
# Add spot price marker (vertical line) if provided
if spot_price is not None:
# Create vertical line at spot price
z_line = np.linspace(0, Z.max(), 10)
y_line = np.full_like(z_line, Y.min())
x_line = np.full_like(z_line, spot_price)
fig.add_trace(go.Scatter3d(
x=x_line,
y=y_line,
z=z_line,
mode='lines',
name=f'Spot: ${spot_price:.2f}',
line=dict(
color=DARK_THEME['success'],
width=5,
dash='dash'
),
showlegend=True
))
# Configure 3D scene
scene = create_3d_scene_config(
xaxis_title="Strike Price ($)",
yaxis_title="Days to Expiration",
zaxis_title="Probability Density"
)
# Layout
layout = create_base_layout(
title=title,
showlegend=True,
scene=scene,
legend=dict(
x=0.02,
y=0.98,
bgcolor='rgba(20,20,20,0.8)',
bordercolor=DARK_THEME['grid'],
borderwidth=1
)
)
fig.update_layout(**layout)
# Set camera angle for better view
fig.update_layout(
scene_camera=dict(
eye=dict(x=1.5, y=1.5, z=1.3),
center=dict(x=0, y=0, z=-0.1)
)
)
return fig
def create_heatmap_2d(
pdf_data: Dict[str, Dict[str, np.ndarray]],
spot_price: Optional[float] = None,
title: str = "Probability Density Heatmap",
colorscale: str = 'Viridis'
) -> go.Figure:
"""
Create 2D heatmap of probability density (alternative to 3D surface).
Args:
pdf_data: PDF data for multiple expirations
spot_price: Current spot price
title: Plot title
colorscale: Plotly colorscale name
Returns:
Plotly figure
"""
if len(pdf_data) < 2:
raise ValueError("Need at least 2 expirations for heatmap")
# Sort by days to expiry
sorted_data = sorted(
pdf_data.items(),
key=lambda x: x[1]['days_to_expiry']
)
# Find common strike range
all_strikes = [data['strikes'] for _, data in sorted_data]
min_strike = max(strikes.min() for strikes in all_strikes)
max_strike = min(strikes.max() for strikes in all_strikes)
# Create uniform strike grid
strike_grid = np.linspace(min_strike, max_strike, 100)
# Prepare data
expiry_labels = []
pdf_matrix = []
for exp_date, data in sorted_data:
days = data['days_to_expiry']
strikes = data['strikes']
pdf = data['pdf']
# Interpolate to uniform grid
pdf_interp = np.interp(strike_grid, strikes, pdf)
expiry_labels.append(f"{days}D")
pdf_matrix.append(pdf_interp)
# Transpose for correct orientation
Z = np.array(pdf_matrix)
# Create heatmap
fig = go.Figure()
fig.add_trace(go.Heatmap(
x=strike_grid,
y=expiry_labels,
z=Z,
colorscale=colorscale,
colorbar=dict(
title="Probability<br>Density",
titleside="right"
),
hovertemplate=(
'<b>Strike:</b> $%{x:.2f}<br>'
'<b>Expiration:</b> %{y}<br>'
'<b>Probability:</b> %{z:.6f}<br>'
'<extra></extra>'
)
))
# Add spot price line
if spot_price is not None:
fig.add_vline(
x=spot_price,
line_dash="dash",
line_color=DARK_THEME['success'],
line_width=3,
annotation_text=f"Spot: ${spot_price:.2f}",
annotation_position="top"
)
# Layout
layout = create_base_layout(
title=title,
xaxis_title="Strike Price ($)",
yaxis_title="Days to Expiration"
)
fig.update_layout(**layout)
return fig
def create_wireframe_3d(
pdf_data: Dict[str, Dict[str, np.ndarray]],
spot_price: Optional[float] = None,
title: str = "Probability Wireframe",
line_color: str = None
) -> go.Figure:
"""
Create 3D wireframe plot (lighter alternative to surface).
Args:
pdf_data: PDF data for multiple expirations
spot_price: Current spot price
title: Plot title
line_color: Line color (default: cyan)
Returns:
Plotly figure
"""
if line_color is None:
line_color = DARK_THEME['primary']
# Sort by days to expiry
sorted_data = sorted(
pdf_data.items(),
key=lambda x: x[1]['days_to_expiry']
)
fig = go.Figure()
# Add each expiration as a 3D line
for idx, (exp_date, data) in enumerate(sorted_data):
strikes = data['strikes']
pdf = data['pdf']
days = data['days_to_expiry']
# Create y-values (all same for this expiration)
y_vals = np.full_like(strikes, days)
fig.add_trace(go.Scatter3d(
x=strikes,
y=y_vals,
z=pdf,
mode='lines',
name=f"{days}D",
line=dict(
color=line_color,
width=2
),
hovertemplate=(
f'<b>Strike:</b> %{{x:.2f}}<br>'
f'<b>Days:</b> {days}<br>'
f'<b>PDF:</b> %{{z:.6f}}<br>'
'<extra></extra>'
)
))
# Configure 3D scene
scene = create_3d_scene_config(
xaxis_title="Strike Price ($)",
yaxis_title="Days to Expiration",
zaxis_title="Probability Density"
)
# Layout
layout = create_base_layout(
title=title,
showlegend=True,
scene=scene,
legend=dict(
x=0.02,
y=0.98,
bgcolor='rgba(20,20,20,0.8)',
bordercolor=DARK_THEME['grid'],
borderwidth=1
)
)
fig.update_layout(**layout)
# Set camera angle
fig.update_layout(
scene_camera=dict(
eye=dict(x=1.5, y=1.5, z=1.3)
)
)
return fig
if __name__ == "__main__":
# Test 3D surface plots
print("Testing 3D probability surface...")
# Create synthetic PDF data for multiple expirations
from scipy.stats import norm
spot = 450.0
strikes_base = np.linspace(400, 500, 100)
# Create PDFs for different expirations
pdf_data = {}
expirations = [
('2025-01-15', 15),
('2025-02-01', 30),
('2025-02-15', 45),
('2025-03-01', 60)
]
for exp_date, days in expirations:
# Adjust std based on time (more spread for longer dated)
std = 10 * np.sqrt(days / 30)
pdf = norm.pdf(strikes_base, loc=spot, scale=std)
pdf_data[exp_date] = {
'strikes': strikes_base,
'pdf': pdf,
'days_to_expiry': days
}
# Test 3D surface
fig1 = create_3d_surface(pdf_data, spot_price=spot)
fig1.write_html("test_3d_surface.html")
print("✅ 3D surface saved to test_3d_surface.html")
# Test heatmap
fig2 = create_heatmap_2d(pdf_data, spot_price=spot)
fig2.write_html("test_heatmap.html")
print("✅ Heatmap saved to test_heatmap.html")
# Test wireframe
fig3 = create_wireframe_3d(pdf_data, spot_price=spot)
fig3.write_html("test_wireframe.html")
print("✅ Wireframe saved to test_wireframe.html")
print("\n✅ All 3D visualization tests passed!")
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