Diego Simeone's men face city rivals Real Madrid as they look to complete a double, having already won La Liga on the final day of the season thanks to a 1-1 draw at Barcelona last week.
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"It's something every player dreams about," he told reporters.
"We know how much it would mean to win it and we are going to be completely up for it. Now, more than ever, it's vital that we are up for it and have confidence in our way of doing things.
"That's what's got us this far. If we do our job, we can come out on top."