  We present a flexible approach for the valuation of interest rate derivatives
based on Affine Processes. We extend the methodology proposed in Keller-Ressel
et al. (2009) by changing the choice of the state space. We provide
semi-closed-form solutions for the pricing of caps and floors. We then show
that it is possible to price swaptions in a multifactor setting with a good
degree of analytical tractability. This is done via the Edgeworth expansion
approach developed in Collin-Dufresne and Goldstein (2002). A numerical
exercise illustrates the flexibility of Wishart Libor model in describing the
movements of the implied volatility surface.
