We develop a class of rational term structure models in the framework of the potential approach, based upon a family of positive supermartingales that are driven by an affine Markov process. These models generally feature non-negative interest rates and analytic pricing formulae for zero bonds,...

We develop a general class of multi-curve potential models for post-crisis interest rates. Our model features positive stochastic basis spreads, positive term structures, and analytic pricing formulae for interest rate derivatives. Making a quanto interpretation of LIBOR lending transactions, we...