With the data of term structures in the Shanghai Stock Exchange from January, 1991 to April, 2002, making use of principal component analysis approach, it is found at least two factors are needed to model the term structure changes in the SSE.

• 以上交所债券价格隐含的利率期限结构数据作为分析对象；利用主成份分析法分析发现；至少需要两个状态变量；利率模型才可能反映利率期限结构的变化；因此利用Kalman滤波法及极大似然估计法；估计了连续时间的两因子Vasicek模型.