Previous 15.04 version had an easy solution to change language on Caps Lock in
System > Keyboard > Shortcuts > Typing
After update to 15.10 bind Caps Lock to 'Switch to next input source' is gone.
Gnome tweak tool GUI check:
Gnome tweak tool > typing > Caps Lock key behavior check Caps Lock is disabled.
gsettings set org.gnome.desktop.wm.keybindings switch-input-source "['VoidSymbol']"