Information for Le Caprice Sessions with Martell at Le Caprice, Outer London (Cabaret). About Le Caprice Sessions with Martell - We have teamed up with the oldest of the great Cognac houses, Martell to present the year-long "Le Caprice Sessions" in conjunction with curators of sound: Sennheiser and SoulandJazz.com - Guests will be able to book dinner for the early 7pm, or later 9.15pm sessions, which take place on the last Sunday of every month when they can enjoy the compulsive beats, seasonal menu from Head Chef, Andrew Mclay and tempting cocktails from the mixology experts at Martell.