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Structured Product Payoff Calculator

The structured product calculator shows what a note pays back at maturity for any final level of its underlying — switch between an autocallable (snowball), fixed coupon note (FCN), reverse convertible, dual currency investment, principal-protected note, shark-fin, seagull or airbag, and read the redemption, return and payoff curve. Browser-only, education only.

A structured-product calculator models a payoff built from a bond floor plus option-like participation: it shows how much upside you capture, where any barrier or cap sits, and what protection applies at maturity, so you can see the shape of returns across different final prices of the underlying.

Structure & terms

Product type

Notional

Tenor months

Underlying at maturity % of its start price

Coupon % per year

Knock-out % of start

Knock-in % of start

Knock-in touched?

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

—

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 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%.
Fixed coupon note (FCN) — pays a fixed coupon every period regardless of the underlying; can still auto-call early, and on a knock-in below the strike your principal is converted at the strike. Payoff: knocked out or no knock-in → notional + coupon; knocked in and below strike → notional × final/strike + coupon.
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).
Dual currency investment — deposit one currency, sell an option, earn an enhanced yield; if the underlying ends on the wrong side of the strike you are converted into the other currency at the strike. Buy-low sells a put (you own the dip); sell-high sells a call (your upside is capped). It is the same payoff as a cash-secured put or a covered call.
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.
Seagull — a three-strike structure: a protected band near the start, participation up to a cap, and downside only if the underlying falls through a floor (put) strike. Usually built at little or no upfront cost, which is why the floor is sold.
Airbag certificate — at least your principal back on a fall down to a barrier (the airbag), with upside participation above the start. Break the barrier and the airbag deflates into a geared loss measured from the barrier, not from the start.

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.

What is the difference between a fixed coupon note (FCN) and a snowball?

Both are autocallables with a knock-out and a knock-in. The difference is the coupon: a snowball's coupon is conditional — you only earn it while the underlying holds up — while a fixed coupon note pays the same coupon every period no matter what. In exchange the FCN's headline coupon is usually a little lower; the downside on a knock-in is the same shareholder-like loss in both.

What is a dual currency investment?

A short-dated yield product where you deposit one currency and sell an option. You always collect the enhanced yield; the catch is that if the underlying ends past the strike your money is converted into the other currency at the strike. 'Buy low' (selling a put) can leave you holding the asset, bought at the strike; 'sell high' (selling a call) caps your upside. The payoff is the same as a cash-secured put or a covered call — the yield is the option premium.

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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Funded-account checks

Use these three pages as a simple path: understand the rules, stress a scenario, then track consistency before a payout.

1Understand the ruleCompare challenge types, drawdown floors and payout logic.2Run a breach scenarioModel intraday vs end-of-day trailing drawdown before sizing a trade.3Track consistencyCheck whether one big day is blocking payout eligibility.

Information tool only. Every result is deterministic arithmetic (for the simulator, a probability estimate) from the numbers you enter. The calculators run in your browser with no account connection and nothing stored; the pairs scanner uses delayed, cached market data (daily figures, refreshed once a day), not a live feed. 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.