wilmott.com

I'm looking for references to model treasury and libor/swap curves simultaneously. This is not for pricing, per se, but more of a macro modeling for risk scenarios. Things like Neslon-Siegel and term structure models are all for one curve. I could apply them to treasury, but then what to do with Libor/Swap?Is there a common approach to modeling libor/swap spreads to treasuries?

Yes, there are some approaches... I think I have posted some old papers on this subject in the past.

you have almost 3K posts can you point to the relevant ones?

Try here (link posted by 'acastaldo'):Spreads