Long time reader, first time poster, I'm working on a paper regarding a term structure estimation using the Kalman Filter Algorithm. The model in question is the Generalized Vasicek, and since there are coupon-bonds being estimated, I'm supposed to make some changes on the Kalman Filter. Does anyone has already used R for these purposes? Any tips? Does anyone has a Kalman Filter code I could use as a starting point for an Extended Kalman Filter Approach? Thanks a lot for the patience and time, Bernardo Ribeiro [[alternative HTML version deleted]]