Rate Cap Calculator

Interest Rate Cap Valuation Guide

This calculator helps financial professionals analyze interest rate caps using:

• Black Model: Standard cap pricing methodology
• Greeks Calculation: Delta and Vega sensitivity
• Break-Even Analysis: Rate level required for hedge effectiveness
• Volatility Impact: Implied volatility effects on premium

Core Valuation Formula

Cap Premium = Σ [Notional × (Caplet Value) × Discount Factor]
Where Caplet Value = N(d₁) - N(d₂) × Strike
d₁ = [ln(F/K) + (σ²/2)T]/(σ√T)
d₂ = d₁ - σ√T

Typical Market Parameters