  In the context of multi-curve modeling we consider a two-curve setup, with
one curve for discounting (OIS swap curve) and one for generating future cash
flows (LIBOR for a give tenor). Within this context we present an approach for
the clean-valuation pricing of FRAs and CAPs (linear and nonlinear derivatives)
with one of the main goals being also that of exhibiting an "adjustment factor"
when passing from the one-curve to the two-curve setting. The model itself
corresponds to short rate modeling where the short rate and a short rate spread
are driven by affine factors; this allows for correlation between short rate
and short rate spread as well as to exploit the convenient affine structure
methodology. We briefly comment also on the calibration of the model
parameters, including the correlation factor.
