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Position Math

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Structured Product Payoff Calculator

See what a structured note pays back at maturity for a given final level of its underlying. Switch between an autocallable (snowball), a reverse convertible, a principal-protected note and a shark-fin, and read the redemption amount, return and the payoff curve.

Structure & terms

Deterministic maturity payoff — no option pricing, no probabilities.

At maturity

Pick a structure and a final level to see what you get back.
Amount returned—
Total return—
Annualized—
Coupon income—
Principal returned—
Payoff at maturityx = underlying 40–140%
Your total returnWhere you are now
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How it works

What this calculator does

It computes the deterministic payoff at maturity: you tell it where the underlying finishes (as a percentage of its starting level) and the note's terms, and it returns how much principal and coupon you get back. It is a payoff calculator, not a pricing model — it does not value the note, estimate probabilities or run Monte-Carlo.

The four structures

  • Autocallable / snowball — pays a coupon if the underlying holds above the knock-out; if it ever falls through the knock-in and finishes below its start, you absorb the full fall like a shareholder. Payoff: above knock-out or never knocked-in → notional + coupon; knocked-in and below start → notional × final%.
  • Reverse convertible — a guaranteed coupon, but below the barrier your principal is cut by the underlying's fall. Payoff: coupon + (final ≥ barrier ? notional : notional × final/strike).
  • Principal-protected note — returns protected principal plus participation in the upside, optionally capped. Payoff: notional × (protection + min(participation × max(0, return), cap)).
  • Shark-fin — protected principal plus participation while the underlying stays below a barrier; break the barrier and the upside collapses to a small rebate.

The payoff curve

The chart sweeps the underlying's final level from 40% to 140% and plots your total return at each point, using the simplified European convention (a level below the knock-in/knock-out is treated as having touched it). This is the classic 'what does my payoff look like' diagram — the autocallable's left-tail cliff and the shark-fin's fin are exactly the risks worth seeing.

What it deliberately does not do

Real notes observe barriers on a schedule (often monthly) and knock-in can trigger intraday, so a single final level is a simplification. It does not price the note, does not estimate the probability of each scenario, and ignores issuer credit risk, fees and FX. Always read the issuer's termsheet — coupon accrual, observation dates and settlement differ by product.

Frequently asked questions

What is a structured product?
A structured product is a note whose payoff is engineered from a bond plus options on an underlying (an index, stock or basket). It trades a normal return profile for a tailored one — a higher coupon, partial protection, or capped upside — in exchange for taking on a specific risk, usually downside in the underlying.
How does an autocallable (snowball) pay off?
If the underlying is at or above the knock-out on an observation date the note redeems early with the accrued coupon. If it never knocks out but also never falls through the knock-in, you still get the coupon. If it knocks in and finishes below its start, you take the underlying's full loss — that downside is what funds the high coupon.
What is the difference between an autocallable and a reverse convertible?
A reverse convertible pays its coupon no matter what; the risk is only to principal if the underlying ends below the barrier. An autocallable's coupon is conditional and it can redeem early, but its downside below the knock-in is the same shareholder-like loss.
Does 'principal protected' mean no risk?
No. Protection is a promise from the issuer, so it depends on the issuer's credit — if they default, the protection can fail. You also give up dividends and usually part of the upside, and selling before maturity can be at a loss. The floor only applies if you hold to maturity.
Does this calculator price the product or tell me if it is fair?
No. It only shows the payoff you would receive at maturity for a final level you choose. Valuing whether a note is fairly priced needs the option's implied volatility and a pricing model, which is beyond a deterministic browser tool — and is exactly where retail buyers are usually at an information disadvantage.

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Information tool only. Every result is deterministic arithmetic (for the simulator, a probability estimate) from the numbers you enter. No live data, no account connection, nothing stored. This is not investment, trading, tax, or financial advice — verify against your own broker or prop firm before acting.
Disclosure. Some outbound links may be affiliate or partner links; they never change how a tool computes.
Position Math · updated 2026-06-27 · all calculators
Information tool only — not investment, trading, tax, or financial advice. All computation runs in your browser.