Inputs
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Result
Mid price
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Vega ($/bp)
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Caplets
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% of notional
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Per-caplet detail
| # | Period start | Period end | Days | Forward | Vol (bp) | DF | PV | Vega ($/bp) |
|---|
Mid-market SOFR cap pricer — Hagan SABR (β=0) caplet stripper, ACT/360 accrual, ACT/365 vol time, ModFol+US Federal Holidays schedule.
Static curve & vol-surface snapshot: 2026-05-19 (USD 1M Term SOFR / S558, OIS discount / S490, BVOL 25-bp cube).
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| # | Period start | Period end | Days | Forward | Vol (bp) | DF | PV | Vega ($/bp) |
|---|