中文摘要：

这份报纸讨论在使用性交功能提供率(LIBOR ) 的伦敦 Interbank 之间的关联结构。我们从 A 的一个简化模型开始。钩住， D。Gatarek，和 M。Musiela (1997 ) 并且发现在二 LIBOR 率之间的性交功能能被表示为一个无限的系列的和，在主要条款是分布的地方，与 Gaussian 工作性交。部分微分方程方法被用于导出性交扩大。LIBOR 的性交评估的数字结果表演和 Gaussian 性交在中央区域是很靠近的并且在尾巴，和 Gaussian 性交近似不同到在 LIBOR 率之间的性交功能处于正常状况提供令人满意的结果。

英文摘要：

This paper discusses the correlation structure between London Interbank Offered Rates （LIBOR） by using the copula function. We start from one simplified model of A. Brace, D. Gatarek, and M. Musiela （1997） and find out that the copula function between two LIBOR rates can be expressed as a sum of an infinite series, where the main term is a distribution function with Gaussian copula. Partial differential equation method is used for deriving the copula expansion. Numerical results show that the copula of the LIBOR rates and Gaussian copula are very close in the central region and differ in the tail, and the Gaussian copula approximation to the copula function between the LIBOR rates provides satisfying results in the normal situation.