We produce Bose-Einstein condensates of two different species, $^{87}$Rb and $^{41}$K, in an optical dipole trap in proximity of interspecies Feshbach resonances. We discover and characterize two Feshbach resonances, located around 35 and 79 G, by observing the three-body losses and the elastic cross-section. The narrower resonance is exploited to create a double species condensate with tunable interactions. Our system opens the way to the exploration of double species Mott insulators and, more in general, of the quantum phase diagram of the two species Bose-Hubbard model.