  During observations with RXTE we discovered two simultaneous kHz QPOs near
500 Hz and 860 Hz in the Z source Cyg X-2. In the X-ray color-color diagram and
hardness-intensity diagram (HID) a clear Z track was traced out. A single kHz
QPO peak was detected at the left end of the horizontal branch (HB) of the Z
track, with a frequency of 731+/-20 Hz and an amplitude of 4.7+0.8-0.6 % rms in
the energy band 5.0-60 keV. Further to the right on the HB, at somewhat higher
count rates, an additional peak at 532+/-43 Hz was detected with an rms
amplitude of 3.0+1.0-0.7 %. When the source moved down the HB, thus when the
inferred mass accretion rate increased, the frequency of the higher-frequency
QPO increased to 839+/-13 Hz, and its amplitude decreased to 3.5+0.4-0.3 % rms.
The higher-frequency QPO was also detected on the upper normal branch (NB) with
an rms amplitude of 1.8+0.6-0.4 % and a frequency of 1007+/-15 Hz; its peak
width did not show a clear correlation with inferred mass accretion rate. The
lower-frequency QPO was most of the time undetectable, with typical upper
limits of 2 % rms, no conclusion on how this QPO behaved with mass accretion
rate can be drawn. If the peak separation between the QPOs is the neutron star
spin frequency (as required in some beat-frequency models) then the neutron
star spin period is 2.9+/-0.2 ms (346+/-29 Hz).
