Correlation is define as degree of  co-movement of two variables . I'll try to analysis the correlation of 7days shibor rate and 1 month shibor rate .  Let's examine the relation in visual first, > ts.plot(shibor$X1W, type="l",col="red") > lines(shibor$X1M, type="l",col="blue") As figure shows , for the most of time 1 Month Shibor rate will be greater than the 1 Week Shibor rate, that makes sense as it require higher return for taking premium Read more [...]