voly 0.0.86__py3-none-any.whl → 0.0.87__py3-none-any.whl

voly/core/rnd.py

@@ -9,359 +9,280 @@ from typing import Dict, List, Tuple, Optional, Union, Any
 from voly.utils.logger import logger, catch_exception
 from voly.exceptions import VolyError
 from voly.models import SVIModel
+from voly.formulas import get_all_domains
 
 
+# Breeden-Litzenberger Method
 @catch_exception
-def rnd(moneyness_array: float, total_var: float) -> float:
-    return np.exp(-(moneyness_array ** 2) / (2 * total_var)) / (np.sqrt(2 * np.pi * total_var))
-
-
+def breeden(domain_params, s, o, r, t, return_domain):
+    LM = get_domain(domain_params, s, o, r, t, 'log_moneyness')
+    M = get_domain(domain_params, s, o, r, t, 'moneyness')
+    R = get_domain(domain_params, s, o, r, t, 'returns')
+    K = get_domain(domain_params, s, o, r, t, 'strikes')
+    D = get_domain(domain_params, s, o, r, t, 'delta')
+
+    c = voly.bs(s, K, r, o, t, option_type='call')
+    c1 = np.gradient(c, K)
+    c2 = np.gradient(c1, K)
+
+    rnd_k = np.maximum(np.exp(r * t) * c2, 0)
+    rnd_lm = rnd_k * K
+
+    dx = LM[1] - LM[0]
+    total_area = np.sum(rnd_lm * dx)
+    pdf_lm = rnd_lm / total_area
+    pdf_k = pdf_lm / K
+    pdf_m = pdf_k * s
+    pdf_r = pdf_lm / (1 + R)
+
+    n_d1 = stats.norm.pdf(voly.d1(s, K, r, o, t, option_type='call'))
+    dd_dK = n_d1 / (o * np.sqrt(t) * K)
+    pdf_d = pdf_k / dd_dK
+
+    cdf = np.cumsum(pdf_lm) * dx
+    cdf = cdf / cdf[-1]
+
+    if return_domain == 'log_moneyness':
+        x = LM
+        pdf = pdf_lm
+        moments = get_all_moments(x, pdf)
+        return pdf, cdf, x, moments
+    elif return_domain == 'moneyness':
+        x = M
+        pdf = pdf_m
+        moments = get_all_moments(x, pdf)
+        return pdf, cdf, x, moments
+    elif return_domain == 'returns':
+        x = R
+        pdf = pdf_r
+        moments = get_all_moments(x, pdf)
+        return pdf, cdf, x, moments
+    elif return_domain == 'strikes':
+        x = K
+        pdf = pdf_k
+        moments = get_all_moments(x, pdf)
+        return pdf, cdf, x, moments
+    elif return_domain == 'delta':
+        sort_idx = np.argsort(D)
+        x = D[sort_idx]
+        pdf = pdf_d[sort_idx]
+        moments = get_all_moments(x, pdf)
+        return pdf, cdf, x, moments
+
+
+# Rookley's Method
 @catch_exception
-def get_rnd_surface(fit_results: Dict[str, Any],
-                    moneyness_params: Tuple[float, float, int] = (-2, 2, 500)
-                    ) -> Dict[str, Any]:
-    """
-    Calculate RND for all expiries using the SVI parameter matrix.
-
-    Parameters:
-    - moneyness_params: Tuple of (min, max, num_points) for the moneyness grid
-    - fit_results: results from fit_model()
-
-    Returns:
-    - moneyness_array, rnd_surface
-    """
-    rnd_surface = {}
-
-    # Extract moneyness parameters
-    min_m, max_m, num_points = moneyness_params
-
-    # Generate moneyness grid
-    moneyness_array = np.linspace(min_m, max_m, num=num_points)
-
-    # Get YTE values from the fit results attributes
-    yte_values = fit_results['fit_performance']['YTE']
-    maturity_values = fit_results['fit_performance']['Maturity']
-    param_matrix = fit_results['raw_param_matrix']
-
-    # Generate rnd for each expiry
-    for maturity, yte in zip(maturity_values, yte_values):
-        svi_params_list = list(param_matrix[maturity].values)
-        a, b, sigma, rho, m = svi_params_list
-
-        # Calculate total variance
-        total_var = np.array([SVIModel.svi(x, a, b, sigma, rho, m) for x in moneyness_array])
-
-        # Calculate risk-neutral density using the base RND function
-        rnd_values = np.array([rnd(x, var) for x, var in zip(moneyness_array, total_var)])
-        rnd_surface[maturity] = rnd_values
-
-    return moneyness_array, rnd_surface
-
-
-@catch_exception
-def calculate_probability_thresholds(
-        moneyness_grid: np.ndarray,
-        rnd_values: np.ndarray,
-        thresholds=None
-) -> Dict[str, float]:
-    """
-    Calculate probabilities at specific log-moneyness thresholds.
-
-    Parameters:
-    - moneyness_grid: Grid of log-moneyness values
-    - rnd_values: Risk-neutral density values
-    - thresholds: Log-moneyness thresholds to calculate probabilities for
-
-    Returns:
-    - Dictionary mapping thresholds to their probabilities
-    """
-    # Calculate step size for integration
-    if thresholds is None:
-        thresholds = [-2.0, -1.5, -1.0, -0.5, 0.0, 0.5, 1.0, 1.5, 2.0]
-
-    dx = moneyness_grid[1] - moneyness_grid[0]
-
-    # Normalize the RND for proper probability
-    total_density = np.sum(rnd_values) * dx
-    normalized_rnd = rnd_values / total_density if total_density > 0 else rnd_values
-
-    # Calculate cumulative distribution function (CDF)
-    cdf = np.cumsum(normalized_rnd) * dx
-
-    # Initialize probability results dictionary
-    result = {}
-
-    # Calculate probabilities for each threshold
-    for threshold in thresholds:
-        # Find the nearest index
-        idx = np.abs(moneyness_grid - threshold).argmin()
-
-        # Get exact threshold value (may be slightly different from requested)
-        actual_threshold = moneyness_grid[idx]
-
-        # Calculate probability P(X ≤ threshold)
-        if idx < len(cdf):
-            prob = cdf[idx]
-        else:
-            prob = 1.0
-
-        # Calculate probability of exceeding positive thresholds
-        # and probability of going below negative thresholds
-        if threshold >= 0:
-            # P(X > threshold) = 1 - P(X ≤ threshold)
-            result[f"p_above_{threshold}"] = 1.0 - prob
-        else:
-            # P(X < threshold) = P(X ≤ threshold)
-            result[f"p_below_{threshold}"] = prob
-
-    return result
-
-
-@catch_exception
-def calculate_moments(
-        moneyness_grid: np.ndarray,
-        rnd_values: np.ndarray) -> Dict[str, float]:
-    """
-    Calculate statistical moments (mean, variance, skewness, kurtosis) of the RND.
-
-    Parameters:
-    - moneyness_grid: Grid of log-moneyness values
-    - rnd_values: Array of RND values
-
-    Returns:
-    - Dictionary with statistical moments
-    """
-    # Calculate total probability (for normalization)
-    dx = moneyness_grid[1] - moneyness_grid[0]
-    total_prob = np.sum(rnd_values) * dx
-
-    # Normalize the RND if needed
-    normalized_rnd = rnd_values / total_prob if total_prob > 0 else rnd_values
-
-    # Calculate moments in percentage terms
-    # First, convert log-moneyness to percentage returns
-    returns_pct = (np.exp(moneyness_grid) - 1) * 100  # Convert to percentage returns
-
-    # Calculate mean (expected return in %)
-    mean_pct = np.sum(returns_pct * normalized_rnd) * dx
-
-    # Calculate variance (in % squared)
-    centered_returns = returns_pct - mean_pct
-    variance_pct = np.sum(centered_returns ** 2 * normalized_rnd) * dx
-    std_dev_pct = np.sqrt(variance_pct)
-
-    # Skewness and kurtosis are unitless
-    skewness = np.sum(centered_returns ** 3 * normalized_rnd) * dx / (std_dev_pct ** 3) if std_dev_pct > 0 else 0
-    kurtosis = np.sum(centered_returns ** 4 * normalized_rnd) * dx / (variance_pct ** 2) if variance_pct > 0 else 0
-
-    return {
-        "mean_pct": mean_pct,  # Mean return in percentage
-        "variance_pct": variance_pct,  # Variance in percentage squared
-        "std_dev_pct": std_dev_pct,  # Standard deviation in percentage
-        "skewness": skewness,  # Unitless
-        "kurtosis": kurtosis,  # Unitless
-        "excess_kurtosis": kurtosis - 3  # Unitless
-    }
+def rookley(domain_params, s, o, r, t, return_domain):
+    LM = get_domain(domain_params, s, o, r, t, 'log_moneyness')
+    M = get_domain(domain_params, s, o, r, t, 'moneyness')
+    R = get_domain(domain_params, s, o, r, t, 'returns')
+    K = get_domain(domain_params, s, o, r, t, 'strikes')
+    D = get_domain(domain_params, s, o, r, t, 'delta')
+
+    o1 = np.gradient(o, M)
+    o2 = np.gradient(o1, M)
+
+    st = np.sqrt(t)
+    rt = r * t
+    ert = np.exp(rt)
+
+    d1 = (np.log(M) + (r + 1 / 2 * o ** 2) * t) / (o * st)
+    d2 = d1 - o * st
+
+    del_d1_M = 1 / (M * o * st)
+    del_d2_M = del_d1_M
+    del_d1_o = -(np.log(M) + rt) / (o ** 2 * st) + st / 2
+    del_d2_o = -(np.log(M) + rt) / (o ** 2 * st) - st / 2
+
+    d_d1_M = del_d1_M + del_d1_o * o1
+    d_d2_M = del_d2_M + del_d2_o * o1
+
+    dd_d1_M = (
+            -(1 / (M * o * st)) * (1 / M + o1 / o)
+            + o2 * (st / 2 - (np.log(M) + rt) / (o ** 2 * st))
+            + o1 * (2 * o1 * (np.log(M) + rt) / (o ** 3 * st) - 1 / (M * o ** 2 * st))
+    )
+    dd_d2_M = (
+            -(1 / (M * o * st)) * (1 / M + o1 / o)
+            - o2 * (st / 2 + (np.log(M) + rt) / (o ** 2 * st))
+            + o1 * (2 * o1 * (np.log(M) + rt) / (o ** 3 * st) - 1 / (M * o ** 2 * st))
+    )
+
+    d_c_M = stats.norm.pdf(d1) * d_d1_M - 1 / ert * stats.norm.pdf(d2) / M * d_d2_M + 1 / ert * stats.norm.cdf(d2) / (
+                M ** 2)
+    dd_c_M = (
+            stats.norm.pdf(d1) * (dd_d1_M - d1 * (d_d1_M) ** 2)
+            - stats.norm.pdf(d2) / (ert * M) * (dd_d2_M - 2 / M * d_d2_M - d2 * (d_d2_M) ** 2)
+            - 2 * stats.norm.cdf(d2) / (ert * M ** 3)
+    )
+
+    dd_c_K = dd_c_M * (M / K) ** 2 + 2 * d_c_M * (M / K ** 2)
+
+    rnd_k = np.maximum(ert * s * dd_c_K, 0)
+    rnd_lm = rnd_k * K
+
+    dx = LM[1] - LM[0]
+    total_area = np.sum(rnd_lm * dx)
+    pdf_lm = rnd_lm / total_area
+    pdf_k = pdf_lm / K
+    pdf_m = pdf_k * s
+    pdf_r = pdf_lm / (1 + R)
+
+    n_d1 = stats.norm.pdf(voly.d1(s, K, r, o, t, option_type='call'))
+    dd_dK = n_d1 / (o * np.sqrt(t) * K)
+    pdf_d = pdf_k / dd_dK
+
+    cdf = np.cumsum(pdf_lm) * dx
+    cdf = cdf / cdf[-1]
+
+    if return_domain == 'log_moneyness':
+        x = LM
+        pdf = pdf_lm
+        moments = get_all_moments(x, pdf)
+        return pdf, cdf, x, moments
+    elif return_domain == 'moneyness':
+        x = M
+        pdf = pdf_m
+        moments = get_all_moments(x, pdf)
+        return pdf, cdf, x, moments
+    elif return_domain == 'returns':
+        x = R
+        pdf = pdf_r
+        moments = get_all_moments(x, pdf)
+        return pdf, cdf, moments
+    elif return_domain == 'strikes':
+        x = K
+        pdf = pdf_k
+        moments = get_all_moments(x, pdf)
+        return pdf, cdf, x, moments
+    elif return_domain == 'delta':
+        sort_idx = np.argsort(D)
+        x = D[sort_idx]
+        pdf = pdf_d[sort_idx]
+        moments = get_all_moments(x, pdf)
+        return pdf, cdf, x, moments
 
 
 @catch_exception
-def analyze_rnd_statistics(
-        moneyness_grid: np.ndarray,
-        rnd_surface: Dict[str, np.ndarray],
-        param_matrix: pd.DataFrame) -> pd.DataFrame:
-    """
-    Analyze RND statistics for all expiries.
-
-    Parameters:
-    - moneyness_grid: Grid of log-moneyness values
-    - rnd_surface: Dictionary mapping maturity names to RND arrays
-    - param_matrix: Matrix containing model parameters
-
-    Returns:
-    - DataFrame with RND statistics for each expiry
-    """
-    # Get maturity information
-    dte_values = param_matrix.attrs['dte_values']
-    yte_values = param_matrix.attrs['yte_values']
-
-    # Initialize data dictionary
-    data = {
-        "maturity_name": [],
-        "dte": [],
-        "yte": [],
-        "mean_pct": [],
-        "std_dev_pct": [],
-        "skewness": [],
-        "excess_kurtosis": []
+def get_all_moments(x, pdf):
+    mean = np.trapz(x * pdf, x)  # E[X]
+    median = x[np.searchsorted(np.cumsum(pdf * np.diff(x, prepend=x[0])), 0.5)]  # Median (50th percentile)
+    mode = x[np.argmax(pdf)]  # Mode (peak of PDF)
+    variance = np.trapz((x - mean) ** 2 * pdf, x)  # Var[X] = E[(X - μ)^2]
+    std_dev = np.sqrt(variance)  # Standard deviation
+    skewness = np.trapz((x - mean) ** 3 * pdf, x) / std_dev ** 3  # Skewness
+    kurtosis = np.trapz((x - mean) ** 4 * pdf, x) / std_dev ** 4  # Kurtosis
+    excess_kurtosis = kurtosis - 3  # Excess kurtosis (relative to normal dist.)
+    q25 = x[np.searchsorted(np.cumsum(pdf * np.diff(x, prepend=x[0])), 0.25)]  # 25th percentile
+    q75 = x[np.searchsorted(np.cumsum(pdf * np.diff(x, prepend=x[0])), 0.75)]  # 75th percentile
+    iqr = q75 - q25  # Inter-quartile range
+    entropy = -np.trapz(pdf * np.log(pdf + 1e-10), x)  # Differential entropy (avoid log(0))
+
+    # Full Z-score areas
+    dx = np.diff(x, prepend=x[0])
+    z = (x - mean) / std_dev
+    o1p = np.sum(pdf[(z > 0) & (z < 1)] * dx[(z > 0) & (z < 1)])
+    o2p = np.sum(pdf[(z >= 1) & (z < 2)] * dx[(z >= 1) & (z < 2)])
+    o3p = np.sum(pdf[(z >= 2) & (z < 3)] * dx[(z >= 2) & (z < 3)])
+    o4p = np.sum(pdf[z >= 3] * dx[z >= 3])
+    o1n = np.sum(pdf[(z < 0) & (z > -1)] * dx[(z < 0) & (z > -1)])
+    o2n = np.sum(pdf[(z <= -1) & (z > -2)] * dx[(z <= -1) & (z > -2)])
+    o3n = np.sum(pdf[(z <= -2) & (z > -3)] * dx[(z <= -2) & (z > -3)])
+    o4n = np.sum(pdf[z <= -3] * dx[z <= -3])
+
+    moments = {
+        'mean': mean,
+        'median': median,
+        'mode': mode,
+        'variance': variance,
+        'std_dev': std_dev,
+        'skewness': skewness,
+        'kurtosis': kurtosis,
+        'excess_kurtosis': excess_kurtosis,
+        'q25': q25,
+        'q75': q75,
+        'iqr': iqr,
+        'entropy': entropy,
+        'o1p': o1p,
+        'o2p': o2p,
+        'o3p': o3p,
+        'o4p': o4p,
+        'o1n': o1n,
+        'o2n': o2n,
+        'o3n': o3n,
+        'o4n': o4n
     }
-
-    # Calculate moments for each expiry
-    for maturity_name, rnd in rnd_surface.items():
-        moments = calculate_moments(moneyness_grid, rnd)
-
-        data["maturity_name"].append(maturity_name)
-        data["dte"].append(dte_values[maturity_name])
-        data["yte"].append(yte_values[maturity_name])
-        data["mean_pct"].append(moments["mean_pct"])
-        data["std_dev_pct"].append(moments["std_dev_pct"])
-        data["skewness"].append(moments["skewness"])
-        data["excess_kurtosis"].append(moments["excess_kurtosis"])
-
-    # Create DataFrame and sort by DTE
-    stats_df = pd.DataFrame(data)
-    stats_df = stats_df.sort_values(by="dte")
-
-    return stats_df
+    return moments
 
 
 @catch_exception
-def calculate_pdf(
-        moneyness_grid: np.ndarray,
-        rnd_values: np.ndarray,
-        spot_price: float = 1.0
-) -> Tuple[np.ndarray, np.ndarray]:
+def get_rnd_surface(model_results: pd.DataFrame,
+                    domain_params: Tuple[float, float, int] = (-1.5, 1.5, 1000),
+                    return_domain: str = 'log_moneyness',
+                    method: str = 'rookley') -> Tuple[
+    Dict[str, np.ndarray], Dict[str, np.ndarray], Dict[str, np.ndarray], pd.DataFrame]:
     """
-    Calculate probability density function (PDF) from RND values.
+    Generate RND surface from vol smile parameters.
 
-    Parameters:
-    - moneyness_grid: Grid of log-moneyness values
-    - rnd_values: Array of RND values
-    - spot_price: Spot price of the underlying
-
-    Returns:
-    - Tuple of (prices, pdf_values) for plotting
-    """
-    # Calculate step size for normalization
-    dx = moneyness_grid[1] - moneyness_grid[0]
-
-    # Normalize the RND
-    total_density = np.sum(rnd_values) * dx
-    pdf_values = rnd_values / total_density if total_density > 0 else rnd_values
-
-    # Convert log-moneyness to actual prices
-    prices = spot_price * np.exp(moneyness_grid)
-
-    return prices, pdf_values
-
-
-@catch_exception
-def calculate_cdf(
-        moneyness_grid: np.ndarray,
-        rnd_values: np.ndarray,
-        spot_price: float = 1.0
-) -> Tuple[np.ndarray, np.ndarray]:
-    """
-    Calculate cumulative distribution function (CDF) from RND values.
+    Works with both regular fit_results and interpolated_results dataframes.
 
     Parameters:
-    - moneyness_grid: Grid of log-moneyness values
-    - rnd_values: Array of RND values
-    - spot_price: Spot price of the underlying
+    - model_results: DataFrame from fit_model() or interpolate_model(). Maturity names or DTM as Index
+    - domain_params: Tuple of (min, max, num_points) for the x-domain grid
+    - return_domain: Domain for x-axis values ('log_moneyness', 'moneyness', 'returns', 'strikes', 'delta')
+    - method: 'rookley' or 'breeden'
 
     Returns:
-    - Tuple of (prices, cdf_values) for plotting
+    - Tuple containing:
+      - pdf_surface: Dictionary mapping maturity/dtm names to PDF arrays of their requested domain
+      - cdf_surface: Dictionary mapping maturity/dtm names to CDF arrays
+      - x_surface: Dictionary mapping maturity/dtm names to requested x domain arrays
+      - moments_df: DataFrame with moments of the distributions using model_results index
     """
-    # Calculate step size for normalization
-    dx = moneyness_grid[1] - moneyness_grid[0]
-
-    # Normalize the RND
-    total_density = np.sum(rnd_values) * dx
-    normalized_rnd = rnd_values / total_density if total_density > 0 else rnd_values
-
-    # Calculate CDF
-    cdf_values = np.cumsum(normalized_rnd) * dx
-
-    # Convert log-moneyness to actual prices
-    prices = spot_price * np.exp(moneyness_grid)
-
-    return prices, cdf_values
-
-
-@catch_exception
-def calculate_strike_probability(
-        target_price: float,
-        moneyness_grid: np.ndarray,
-        rnd_values: np.ndarray,
-        spot_price: float,
-        direction: str = 'above'
-) -> float:
-    """
-    Calculate probability of price being above or below a target price.
-
-    Parameters:
-    - target_price: Target price level
-    - moneyness_grid: Grid of log-moneyness values
-    - rnd_values: Array of RND values
-    - spot_price: Current spot price
-    - direction: 'above' or 'below'
-
-    Returns:
-    - Probability (0 to 1)
-    """
-    # Convert target price to log-moneyness
-    target_moneyness = np.log(target_price / spot_price)
-
-    # Calculate CDF
-    _, cdf_values = calculate_cdf(moneyness_grid, rnd_values, spot_price)
-
-    # Find the nearest index to target moneyness
-    target_idx = np.abs(moneyness_grid - target_moneyness).argmin()
-
-    # Get probability
-    if target_idx < len(cdf_values):
-        cdf_at_target = cdf_values[target_idx]
-    else:
-        cdf_at_target = 1.0
+    # Check if required columns are present
+    required_columns = ['s', 'a', 'b', 'sigma', 'm', 'rho', 't', 'r']
+    missing_columns = [col for col in required_columns if col not in model_results.columns]
+    if missing_columns:
+        raise VolyError(f"Required columns missing in model_results: {missing_columns}")
+
+    pdf_surface = {}
+    cdf_surface = {}
+    x_surface = {}
+    all_moments = {}
+
+    # Process each maturity/dtm
+    for i in model_results.index:
+        # Calculate SVI total implied variance and convert to IV
+        params = [
+            model_results.loc[i, 'a'],
+            model_results.loc[i, 'b'],
+            model_results.loc[i, 'sigma'],
+            model_results.loc[i, 'rho'],
+            model_results.loc[i, 'm']
+        ]
+        s = model_results.loc[i, 's']
+        r = model_results.loc[i, 'r']
+        t = model_results.loc[i, 't']
+
+        # Calculate implied volatility
+        LM = np.linspace(domain_params[0], domain_params[1], domain_params[2])
+        w = np.array([SVIModel.svi(x, *params) for x in LM])
+        o = np.sqrt(w / t)
+
+        if method == 'rookley':
+            pdf, cdf, x, moments = rookley(domain_params, s, o, r, t, return_domain)
+        else:
+            pdf, cdf, x, moments = breeden(domain_params, s, o, r, t, return_domain)
 
-    # Return probability based on direction
-    if direction.lower() == 'above':
-        return 1.0 - cdf_at_target
-    else:  # below
-        return cdf_at_target
+        pdf_surface[i] = pdf
+        cdf_surface[i] = cdf
+        x_surface[i] = x
+        all_moments[i] = moments
 
+    # Create a DataFrame with moments using the same index as model_results
+    moments = pd.DataFrame(all_moments).T
 
-@catch_exception
-def calculate_rnd(
-        fit_results: Dict[str, Any],
-        maturity: Optional[str] = None) -> Dict[str, Any]:
-    """
-    Calculate risk-neutral density from fit results.
+    # Ensure the index matches the model_results index
+    moments.index = model_results.index
 
-    Parameters:
-    - fit_results: Dictionary with fitting results from fit_model()
-    - maturity: Optional maturity name to calculate RND for a specific expiry
-
-    Returns:
-    - Dictionary with RND results
-    """
-    # Extract required data from fit results
-    raw_param_matrix = fit_results['raw_param_matrix']
-    moneyness_grid = fit_results['moneyness_grid']
-
-    # Calculate RND for all expiries or just the specified one
-    if maturity is not None:
-        # Validate maturity
-        if maturity not in raw_param_matrix.columns:
-            raise VolyError(f"Maturity '{maturity}' not found in fit results")
-
-        # Just calculate for the specified maturity
-        yte = raw_param_matrix.attrs['yte_values'][maturity]
-        params = raw_param_matrix[maturity].values
-        rnd_values = calculate_risk_neutral_density(moneyness_grid, params, yte)
-        rnd_surface = {maturity: rnd_values}
-    else:
-        # Calculate for all maturities
-        rnd_surface = calculate_rnd_for_all_expiries(moneyness_grid, raw_param_matrix)
-
-    # Calculate statistics
-    rnd_statistics = analyze_rnd_statistics(moneyness_grid, rnd_surface, raw_param_matrix)
-
-    # Calculate probabilities
-    rnd_probabilities = analyze_rnd_probabilities(moneyness_grid, rnd_surface, raw_param_matrix)
-
-    return {
-        'moneyness_grid': moneyness_grid,
-        'rnd_surface': rnd_surface,
-        'rnd_statistics': rnd_statistics,
-        'rnd_probabilities': rnd_probabilities
-    }
+    return pdf_surface, cdf_surface, x_surface, moments