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With the development of the Chinese interest rate market, SHIBOR is playing an increasingly important role. Based on principal component analysing SHIBOR, a two-factor Vasicek model is established to portray the change in SHIBOR with different terms. And parameters are estimated by using the Kalman filter. The model is also used to fit and forecast SHIBOR with different terms. The results show that two-factor Vasicek model fits SHIBOR well, especially for SHIBOR in terms of three months or more.