# Cap Pricer

The [Cap Pricer](https://app.bluegamma.io/cap-pricer) generates indicative cap pricing with scenario analysis, so you can compare capping vs fixing vs staying floating.

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### 1. Enter Your Loan Details

* **Go to** [**Cap Pricer**](https://app.bluegamma.io/cap-pricer)
* Fill in the **Loan Details** panel on the left:
  1. **Reference Rate** -- the floating rate index your loan is linked to (e.g., SOFR, SONIA, 6M EURIBOR).
  2. **Notional** -- the principal amount of the loan.
  3. **Tenor (years)** -- remaining term of the loan.
  4. **Frequency** -- how often the loan resets (Quarterly, Monthly, or Semi-Annual). Each reset becomes a caplet.

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### 2. Set the Cap Strike and Margin

Below the loan details, enter:

* **Strike (%)** -- the rate ceiling. If the reference rate rises above this, the cap pays the difference.
* **Margin (%)** -- the spread your lender charges above the reference rate (e.g., SOFR + 1.50%). This is included in the scenario analysis.
* **Amortisation (%)** -- annual amortisation rate if the loan amortises. Set to 0 for bullet.

Click **Price Cap** to calculate.

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### 3. Reading the Results

The results panel shows several sections:

**Summary Metrics**

* **Cap Premium** -- the upfront cost as a dollar amount and as a percentage of notional
* **Swap Rate** -- the equivalent fixed rate if you swapped instead of capping
* **Breakeven Rate** -- the average floating rate at which the total cost of the cap equals the swap

<figure><img src="/files/nJowjBjLqlG7SGgYjiqs" alt="Cap Pricer results showing indicative price, cap price grid, and key metrics"><figcaption><p>Results summary with indicative cap price, key metrics, and price grid across tenors and strikes</p></figcaption></figure>

**Scenario Analysis**

A table showing your all-in interest cost under different rate assumptions, comparing four strategies:

* **Floating** (unhedged)
* **Swap** (fully fixed)
* **Cap** (capped upside, floating downside)
* **50/50 Blend** (half swapped, half capped)

<figure><img src="/files/A46sCf56wYRSe779q2oK" alt="Cap vs Swap vs Floating scenario analysis chart"><figcaption><p>Cap vs Swap vs Floating: effective borrowing rate under different rate scenarios</p></figcaption></figure>

**Cap Price Grid**

A matrix of indicative cap prices across different tenors and strikes. Use this to quickly see how the cost changes if you adjust your parameters.

**Caplet Breakdown**

Per-period detail showing the forward rate, implied volatility, NPV, delta, and vega for each caplet in the structure.

{% hint style="info" %}
**SABR volatility smile:** For SOFR caps, the pricer uses a SABR model calibrated from market data. Other indices use flat ATM volatility.
{% endhint %}

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### 4. Supported Indices

The Cap Pricer supports 30+ indices including:

* **G10:** SOFR, SONIA, 1M/3M/6M EURIBOR, SARON, TONAR, TIBOR, AONIA, CDOR
* **Nordics:** NOWA, SWESTR, STINA, DESTR, CITA
* **Asia-Pacific:** HIBOR, HONIA, KLIBOR, OCR, NZONIA, TAIBOR
* **Middle East & Africa:** SAIBOR, JIBAR, ZARONIA
* **LatAm & CEEMEA:** TIIE, TIIEON, PRIBOR, BUBOR

***

### Related

{% content-ref url="/pages/yAEYZXVZ9Xmoyxuce8uC" %}
[Swap Pricer](/documentation/pricers/calculating-a-swap-rate.md)
{% endcontent-ref %}

{% content-ref url="/pages/IMxrSKFunnNzGDJfejhe" %}
[Pricing an Interest Rate Cap](/documentation/integrations/api/how-to-guides/pricing-an-interest-rate-cap.md)
{% endcontent-ref %}


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