Capital Protection Certificates with Twin-Win
Protected capital that gains from a move in either direction, as long as neither barrier is touched.
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 % | 130 % | 13'000 | +3'000 |
| 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 Certificates with Twin-Win (1135), scenario "No barrier touched": redemption at maturity for an underlying at 0 % → 103 %; 1 % → 103 %; 3 % → 103 %; 60 % → 103 %; 100 % → 100 %; 140 % → 103 %; 200 % → 103 % 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 |
| Up and Out Long Call - ATM | if S < upper barrier: participation × max(S − strike, 0); otherwise 0 | 0 | 0 | 0 | 0 | 0 | 25 | 0 | 0 | 0 |
| Down and Out Long Put - ATM | if S > lower barrier: participation × max(strike − S, 0); otherwise 0 | 0 | 0 | 0 | 25 | 0 | 0 | 0 | 0 | 0 |
| Digital Barrier Long Call - OTM | if S ≥ upper barrier: rebate upper; otherwise 0 | 0 | 0 | 0 | 0 | 0 | 0 | 3 | 3 | 3 |
| Digital Barrier Long Put - ITM | if S ≤ lower barrier: rebate lower; otherwise 0 | 3 | 3 | 3 | 0 | 0 | 0 | 0 | 0 | 0 |
| Product | protection level + (if S ≥ upper barrier: rebate upper; otherwise participation × max(S − strike, 0)) + (if S ≤ lower barrier: rebate lower; otherwise participation × max(strike − S, 0)) | 103 | 103 | 103 | 125 | 100 | 125 | 103 | 103 | 103 |
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
- Up and Out Long Call - ATMif S < upper barrier: participation × max(S − strike, 0); otherwise 0
- Down and Out Long Put - ATMif S > lower barrier: participation × max(strike − S, 0); otherwise 0
- Digital Barrier Long Call - OTMif S ≥ upper barrier: rebate upper; otherwise 0
- Digital Barrier Long Put - ITMif S ≤ lower barrier: rebate lower; otherwise 0
- Product: no barrier touchedprotection level + (if S ≥ upper barrier: rebate upper; otherwise participation × max(S − strike, 0)) + (if S ≤ lower barrier: rebate lower; otherwise participation × max(strike − S, 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
- Up and Out Long Call - ATM
- Down and Out Long Put - ATM
- Digital Barrier Long Call - OTM
- Digital Barrier Long Put - ITM
In plain English
Two knock-out options sit on the zero bond: an up-and-out call that pays when the underlying ends above the strike, and a down-and-out put that pays when it ends below. Whichever direction the underlying takes, you participate, until the move is large enough to touch the barrier on that side.
Each barrier has its own rebate. Touching the upper barrier kills the call and pays the upper rebate; touching the lower barrier kills the put and pays the lower rebate. Both can happen in one term, which is why the chart offers four scenarios.
Chances and risks
Chances
- Gains from rises and from falls.
- Capital protection at maturity in every scenario.
- Rebates on knock-out.
Risks
- Large moves, the ones that pay most, are exactly the ones that knock the options out.
- Issuer credit risk.
- Complex to value before maturity.
Who it fits
- Investors who expect movement but not its direction, and who want a protected floor.
Who it does not fit
- Investors with a strong directional view.
- Anyone who dislikes products whose outcome depends on the path.
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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