Here are a few FX structured product examples:
All of these can be notes or swaps, notes will pay back the notional at the end and carry no credit risk (and are normally set so that they are worth 100% at inception - i.e. they'll be worth 99% and the seller will take some profit/hedging costs). Swaps will either be set to be worth 0% (same deal as above, worth -1%, sold at 0%) at inception or if specific barriers/strikes/kickout/autocall levels are wanted they'll have some upfront cost.
TARF / TARN: Target Accrual Redemption Forward / Note:
This is a note/swap where on a set of dates, the holder is obliated to make certain fx transactions at some pre agreed (favourable) rate (i.e you get to buy 120 JPY for 1 USD per unit). This structure will kick out if some other rate is achieved (i.e. USDJPY = 80). You are essentially selling puts to pay for a better rate (with a kick out).
Accumulator:
These are similar to TARF/TARNs, here you will be entering into a contract obliging you to buy JPY at some agreed rate (say USDJPY = 120) on a set of dates, where the trade will settle (either cash settling or physically settling - i.e. you would either get $ or ¥) on another set of dates (i.e. the contract buy 120¥ at a rate of USDJPY = 120 every day, and then once a month you receive the accumulated ¥). These also have knock outs, some have "double up" levels too, where you will be buying double the amount at the new strike, and all manner of other features.
PRDC - Power Reverse Dual Currency:
This structure pays you some foreign interest rate in the domestic currency. These originated in Japan when rates started decreasing, where the notes would pay NZD, AUD, or USD rates in exchange for JPY rates. As time went on these too became more complicated, and frequently would include features like the investor being short a load of puts to fund even better rates, and they were often issuer callable as well.
All of the above structures also come in chooser flavours, where the investor has the option to receive the coupons in different currencies, and TARF/TARNs and Accumulators can also be issuer callable too.
I would point out however though that the structures have become simpler in the last decade, when i think the complexity peaked.
These structures may start to test your models though i fear, since you need to have stochastic rates for both legs (i.e. domestic & foreign) rates to correctly price some of the features, meaning your model becomes stoch rates x2, + stoch fx spot + stoch fx vol. It can become quite involved...
