The only one that I know of is in the Rquantlib package (I think). I'm
not aware of any current implementations of the HJM/BGM/LMM models in R-
those models are industrial-grade and are probably best done in C++ or
JAVA. They might very well exist for R; I just haven't seen them around
myself.

On Fri, 2010-09-17 at 07:56 +0800, JOSH C. CHIEN wrote:

> Hi R user,
> I have coded Hull White One-Factor Model in VBA added-in EXCEL.
> I need R as being a validation tool to test my module.
> Dose anyone know which library is for this model or interest rate model
> (HJM/BGM....) ??
> Any information is great and appreciate...........
> 
> Thanks a lot.
> 
> Sincerely,
> Josh
> 
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