Hi Jean-Paul,
I'm not aware of any publicly available code for efficiency frontier. You need to use OSR to compute optimal simple rule for given a value of the objective function weight. Then you need to do a Matlab loop over different values of the weight. See
http://www.dynare.org/DynareWiki/HowtoLoopsThis is one of the (rare) cases, where a Matlab loop is more appropriate than a loop using the Macro Language.
You will find the values of the optimal parameters of the Taylor rule in M_.params. M_.params is ordered as in the "parameters" statement.
You need to accumulate results inside the Matlab loop, in order to be able to draw the plot after the loop. All this is done by using Matlab statement inside the *.mod file.
Hope it helps
Michel