<t>Hi,I am implementing the (3 factor) HJM model with VBA and Ecxel. I am using the methodology suggested in Paul Wilmott on Quantitative Finance, pp. 615-620 (2nd ed.). I have already done the principal component analysis and determined the volatility factors.My question now is: How do I get the dr...

<t>Hi,I have done the same implementation. I did the eigenvalue decomposition and estimated the volatility factors (I will use 3). So far, so good.My big problem now is, how do I get the drift term? Unfortunately, the 'Paul Wilmott on Quant Finance' doesn't give any hints here. Since I have estimate...