We describe the implementation of a model for the description of the term structure of interest rates, which is developed within the framework proposed by Heath, Jarrow and Morton (HJM). We show how to calibrate it by means of Principal Component Analysis (PCA). We propose a consistent model, in the sense introduced by Bjork and Christensen, and we calibrate our model on historical yield curves of Euro interest rates, in the period 1999-2001. We use the calibrated model to price European caps and floors in the same period. Our results show a very satisfactory agreement between model predictions and market data.