As global climate risks intensify, frequent climate disasters will significantly impact industries such as agriculture, energy, transportation, and tourism, and it would be of positive relevance to design a type of weather index-linked structured financial product to meet the real needs of these industries. In this paper, a structured product linked to a weather index is designed. First, the weather data is modeled, and the parameters required for the product design are obtained; second, a pricing model is developed to price the structured product; and finally, the value sensitivity of the financial product is analyzed. The results show that the product's value is not sensitive to the risk-free rate of return but is more sensitive to volatility. At the same time, it is more sensitive to strike price and product maturity under certain conditions.