Cap Pricer

Price interest rate caps with scenario analysis, caplet breakdowns, and a strike/tenor price grid.

The Cap Pricer generates indicative cap pricing with scenario analysis, so you can compare capping vs fixing vs staying floating.

Go to 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.

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.

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

Scenario Analysis

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

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.

SABR volatility smile: For SOFR caps, the pricer uses a SABR model calibrated from market data. Other indices use flat ATM volatility.

The Cap Pricer supports 30+ indices including:

Last updated 3 months ago

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