Hi Chien- apparently there is a way to do so in RQuantLib:
http://old.nabble.com/Estimate-parameters-of-Hull-White-single-factor-model-td28123233.html

On Thu, 2010-04-01 at 14:13 +0000, CHIH-HAO CHIEN wrote:

> Hi R user:
> 
> Does anyone know which library in R has function to 
> estimate the parameters, alpha & Sigma, of Hull-White One-Factor 
> Model ?
> 
> I'm coding pricing function in VBA for callable bond, yet
>  need an alternative tool to validate my result.
> I just know there is
>  the same function for callable bond in RQuantLib Library. However, I 
> can't find estimation function for Hull-White one-factor model.
> 
> thanks
>  a lot.
> 
> Sincerely,
> C. Chien 		 	   		  
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