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 drift factor?Unfortunately, the book doesn't say anything about this. Since the computation of the drift factor involves integration of the volatility functions, and I don't have these functions as I have estimated the discrete volatility factors directly for each of my 17 maturities, I don't know how to continue.The only way I can think of is interpolating a function for the volatilities, e.g. using linear or qubic splines (I'd tend to the former to keep it simple) and then integrating it. But I'm not sure whether this is the right approach and how to implement this with VBA. Has anybody here done this before? I am very thankful for any suggestions!