> For the complete documentation index, see [llms.txt](https://bluegamma.io/documentation/llms.txt). Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://bluegamma.io/documentation/integrations/api/how-to-guides/pricing-an-interest-rate-cap.md).
# Pricing an Interest Rate Cap
The `/cap_floor_price` endpoint prices interest rate caps (and floors) with a full caplet-level breakdown. Use this when you need to **price caps programmatically**, run **strike/tenor scenarios**, or feed cap valuations into a **risk or advisory workflow**.
***
## Basic Example: ATM Cap
Price a 3Y ATM SOFR cap on $10M notional with quarterly caplets:
```python
import requests
url = "https://api.bluegamma.io/v1/cap_floor_price"
headers = {"x-api-key": "your_api_key"}
params = {
"index": "SOFR",
"start_date": "0D",
"maturity_date": "3Y",
"cap_or_floor": "cap",
"notional": 10000000,
"frequency": "3M"
}
response = requests.get(url, headers=headers, params=params)
data = response.json()
print(f"Strike: {data['strike_rate']:.2f}% (ATM)")
print(f"NPV: ${data['npv']:,.2f}")
print(f"Premium: {data['premium_pct']:.2f}% of notional")
print(f"Delta: {data['delta']:.2f}")
print(f"Vega: {data['vega']:.2f}")
```
```bash
curl -X GET "https://api.bluegamma.io/v1/cap_floor_price?index=SOFR&start_date=0D&maturity_date=3Y&cap_or_floor=cap¬ional=10000000&frequency=3M" \
-H "x-api-key: your_api_key_here"
```
**Response (April 2026):**
```json
{
"index": "SOFR",
"currency": "USD",
"type": "cap",
"start_date": "2026-04-16",
"maturity_date": "2029-04-16",
"frequency": "3M",
"notional": 10000000.0,
"forward_rate": 3.4954,
"strike_rate": 3.4954,
"npv": 103164.16,
"premium_pct": 1.0316,
"delta": 5.6768,
"vega": 1215.31,
"num_caplets": 11,
"vol_type": "sabr_calibrated",
"sabr_rho": -0.433,
"sabr_nu": 1.3622,
"caplets": [
{
"accrual_start": "2026-07-16",
"accrual_end": "2026-10-16",
"forward_rate": 3.6645,
"strike": 3.4954,
"notional": 10000000.0,
"normal_vol_bps": 75.67,
"npv": 6298.32,
"delta": 0.6717,
"vega": 45.64,
"discount_factor": 0.9816,
"accrual_fraction": 0.2556
}
],
"timestamp": "2026-04-16T14:25:57"
}
```
{% hint style="info" %}
**ATM strike:** When no `strike_rate` is provided, the API uses the ATM forward rate. The caplets array above shows 1 of 11 caplets for brevity.
{% endhint %}
| Field | Description |
| ------------- | --------------------------------------------------------------------- |
| `npv` | Net present value of the cap in the notional currency |
| `premium_pct` | NPV as a percentage of notional |
| `strike_rate` | The cap strike (ATM forward if omitted) |
| `delta` | Rate sensitivity (sum across all caplets) |
| `vega` | Volatility sensitivity (sum across all caplets) |
| `vol_type` | Volatility model used (`sabr_calibrated` for SOFR, `flat` for others) |
| `caplets` | Array of per-caplet pricing detail |
***
## Use Case: OTM Cap with Custom Strike
Price the same cap with a 4.50% strike (out-of-the-money):
```python
params = {
"index": "SOFR",
"start_date": "0D",
"maturity_date": "3Y",
"strike_rate": 4.5,
"cap_or_floor": "cap",
"notional": 10000000,
"frequency": "3M"
}
response = requests.get(url, headers=headers, params=params)
data = response.json()
```
```bash
curl -X GET "https://api.bluegamma.io/v1/cap_floor_price?index=SOFR&start_date=0D&maturity_date=3Y&strike_rate=4.5&cap_or_floor=cap¬ional=10000000&frequency=3M" \
-H "x-api-key: your_api_key_here"
```
**Output (April 2026):**
```
Strike: 4.50%
NPV: $32,025.49
Premium: 0.32% of notional
```
The 4.50% cap costs $32k vs $103k for ATM -- reflecting the lower probability of SOFR exceeding 4.50%.
{% hint style="success" %}
**Pricing caps for clients?** Use the API to generate indicative pricing across multiple strikes and tenors in seconds.
[Book a demo](https://app.lemcal.com/@alivohra/website-demo?back=1)
{% endhint %}
***
## Use Case: Visualising the Caplet Breakdown
Each caplet represents one reset period. Plotting NPVs and forward rates shows where value concentrates:
```python
import requests
import matplotlib.pyplot as plt
from datetime import datetime
url = "https://api.bluegamma.io/v1/cap_floor_price"
headers = {"x-api-key": "your_api_key"}
data = requests.get(url, headers=headers, params={
"index": "SOFR", "start_date": "0D", "maturity_date": "3Y",
"cap_or_floor": "cap", "notional": 10000000, "frequency": "3M"
}).json()
dates = [datetime.strptime(c["accrual_start"], "%Y-%m-%d") for c in data["caplets"]]
npvs = [c["npv"] for c in data["caplets"]]
forwards = [c["forward_rate"] for c in data["caplets"]]
fig, (ax1, ax2) = plt.subplots(2, 1, figsize=(10, 7), sharex=True)
ax1.bar(dates, npvs, width=25, color="#2563eb", alpha=0.8)
ax1.set_ylabel("Caplet NPV ($)")
ax1.set_title(f"3Y ATM SOFR Cap: {data['num_caplets']} Caplets, Total NPV ${data['npv']:,.0f}")
ax2.plot(dates, forwards, "o-", color="#2563eb", label="Forward Rate")
ax2.axhline(y=data["strike_rate"], color="#ef4444", linestyle="--", label=f"Strike ({data['strike_rate']:.2f}%)")
ax2.set_ylabel("Rate (%)")
ax2.legend()
plt.tight_layout()
plt.show()
```
3Y ATM SOFR cap: caplet NPVs (top) and forward rates vs strike (bottom) -- April 2026