Read about them in the books, now need to actually evaluate buying some. How to? Any general pricing data available on CBOE or somewhere (I’ll actually check this tomorrow, hoping someone has some good insight to give me a head start)?
Bloomberg is a good place to start if you have access. SWPM is the page I would use. LIBOR or CMS caps? LIBOR caps are relatively simple. CMS caps get dicey. You could always build a Black Scholes spreadsheet although you will need to get a volatility surface.
If this is for an institutional account, the easiest way is to find some dealers and get quotes. This will be more accurate than doing it yourself, since you might make modeling errors or your data might be static. If it’s for your own personal account with small size, it will be a bit harder. You might want to think about other ways to get whatever rates exposure you want.
Before you start playing with derivatives, you should set your goals right. By that I mean, you should decide what are you - A volatility player or directional player. There isn’t a third kind… except a market maker.