  We introduce a multiple curve framework that combines tractable dynamics and
semi-analytic pricing formulas with positive interest rates and basis spreads.
Negatives rates and positive spreads can also be accommodated in this
framework. The dynamics of OIS and LIBOR rates are specified following the
methodology of the affine LIBOR models and are driven by the wide and flexible
class of affine processes. The affine property is preserved under forward
measures, which allows us to derive Fourier pricing formulas for caps,
swaptions and basis swaptions. A model specification with dependent LIBOR rates
is developed, that allows for an efficient and accurate calibration to a system
of caplet prices.
