Microgrids have become attractive electricity supply and management options that support local power generation, increased reliability, sustainability, and cost reductions. Microgrid sources often include solar PV, wind, and a thermal generation. Thermal generation alone has low conversion efficiency. On the other hand, a combined heat and power (CHP) generator provides additional benefits by taking advantage of the exhaust heat from the generator to fulfill the thermal demand of a building. Thus an integrated microgrid that includes renewable energy and a CHP unit to serve electrical and thermal loads of buildings can achieve higher overall efficiency. In this paper, we model a thermal and electrical energy microgrid, which accounts for the nonlinear efficiency of a Capstone CHP unit and the thermal dynamics of a building. We present the steady-state model as well as the optimization scheduling formulation to minimize the integrated operating cost of the microgrids. The model is simulated under three electricity pricing structures to gain insight into the impacts of pricing on the daily operation of the microgrid.