Capital Protection Certificate with Double Knock-Out
Protected capital with participation inside a corridor; touching either barrier ends it.
Payoff at maturity
Move the parameters; the product formula and its building blocks are recomputed from the same engine that is tested against the workbook.
Barrier products are path dependent. The chart shows the redemption at maturity given the scenario you select; whether the barrier was touched is decided by the whole price path, not by the final level alone.
- No barrier touched
Redemption 100 %
Per 10'000 of nominal
| Underlying at maturity | Level | Redemption | Amount | Gain / loss |
|---|---|---|---|---|
| −30 % | 70 % | 100 % | 10'000 | +0 |
| unchanged | 100 % | 100 % | 10'000 | +0 |
| +30 % | 130 % | 130 % | 13'000 | +3'000 |
Coupons are shown as paid at maturity together with the nominal. Costs, taxes and the price you paid are not included. Scenario: No barrier touched.
Data table and formulas
Capital Protection Certificate with Double Knock-Out (1130), scenario "No barrier touched": redemption at maturity for an underlying at 0 % → 100 %; 1 % → 100 %; 5 % → 100 %; 70 % → 100 %; 100 % → 100 %; 140 % → 105 %; 200 % → 105 % of its initial level.
| Series | Formula | 0 % | 25 % | 50 % | 75 % | 100 % | 125 % | 150 % | 175 % | 200 % |
|---|---|---|---|---|---|---|---|---|---|---|
| Zero Bond | protection level | 100 | 100 | 100 | 100 | 100 | 100 | 100 | 100 | 100 |
| Double Knock-Out Long Call - ATM | if S < upper barrier and S > lower barrier: participation × max(S − strike, 0); otherwise 0 | 0 | 0 | 0 | 0 | 0 | 25 | 0 | 0 | 0 |
| Digital Barrier Long Call - OTM | if S ≥ upper barrier: rebate; otherwise 0 | 0 | 0 | 0 | 0 | 0 | 0 | 5 | 5 | 5 |
| Product | if S ≥ upper barrier: protection level + rebate; else if S ≤ lower barrier: protection level; otherwise protection level + participation × max(S − strike, 0) | 100 | 100 | 100 | 100 | 100 | 125 | 105 | 105 | 105 |
Largest difference between the sum of the blocks and the product formula over the grid: 0.0e+0.
How it is built
Each block drawn on its own, then added. The last chart is the sum, and it is identical to the product line above.
- Zero Bondprotection level
- Double Knock-Out Long Call - ATMif S < upper barrier and S > lower barrier: participation × max(S − strike, 0); otherwise 0
- Digital Barrier Long Call - OTMif S ≥ upper barrier: rebate; otherwise 0
- Product: no barrier touchedif S ≥ upper barrier: protection level + rebate; else if S ≤ lower barrier: protection level; otherwise protection level + participation × max(S − strike, 0)
Largest gap between the sum of the blocks and the product formula on this grid: 0.0e+0. The same identity is tested for every product and scenario in the site's test suite.
Construction, as listed in the workbook
- Zero Bond
- Double Knock-Out Long Call - ATM
- Digital Barrier Long Call - OTM
In plain English
The call is knocked out by an upper barrier and by a lower barrier. Only a path that stays inside the corridor for the whole term keeps the participation alive. The rebate is paid if the upper barrier is touched, so a strong rally is not a total loss of upside.
The corridor makes the option cheap, which is what finances the participation. The price of that is a narrow band of outcomes in which the product does well.
Chances and risks
Chances
- Participation in a calm, moderately rising market.
- Capital protection in every scenario.
- Rebate if the upper barrier is hit.
Risks
- Two ways to be knocked out.
- No rebate on the lower barrier.
- Issuer credit risk; protection only at maturity.
Who it fits
- Investors who expect low volatility and a gentle rise.
Who it does not fit
- Investors who expect sharp moves in either direction.
Features that can be added
Cross-category features from the workbook that issuers attach to this type.
Nearby on the map
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