Thanks @rcs and @hadley for your comments.
Actually , both proposed solutions don't seem to fit to my needs. Embedding images in Rd format is not the case, as I use transition Roxygen>Rd. The package 'helpr' is really impressive, but I think it suits more for building a knowledge base of all packages you have installed in your computer. I needed something more basic with flexibility to do changes by myself as a package developer.
Finally, I got what I expected, fitSpline.html. That is quite similar to the reference page I put in the question, prcomp.html.
I found that there is no way to adopt the package 'tools' to have images in HTML documentation, at least for now. Thus, I wrote a bash script that takes a Rd file on the input, extracts the section '\examples' and get html/image output by running Sweave. Afterwards, the html part of the 'Results' section is merged with the html page obtained by the command 'R CMD Rdconv -t html'.
That seems to be a lot of code, but I just want to share my solution with those who also writes R packages.
Best regards,
Andrey
#!/bin/bash
rdfile="fitSpline.Rd"
rdname=$(echo "$rdfile" | cut -d'.' -f1)
rfile=$rdname.R
sed -n '/\examples{/,/}/p' $rdfile > $rfile # text between two patterns
sed -i 's/\\examples{//' $rfile # remove pattern '\examples{'
sed -i 's/}$//' $rfile # remove the character '}'
rnwfile=$rdname.Rnw
cp $rfile $rnwfile
sed -i '1 i png("Rplot%03d.png")' $rnwfile
sed -i '1 i <<example, echo=true, results=tex>>=' $rnwfile
sed -i '$ a dev.off()' $rnwfile
sed -i '$ a @' $rnwfile
texfile=$rdname.tex
R CMD Sweave $rnwfile
sed -i 's/\\begin{Schunk}//' $texfile
sed -i 's/\\begin{Sinput}//' $texfile
sed -i 's/\\end{Schunk}//' $texfile
sed -i 's/\\end{Sinput}//' $texfile
sed -i '/^$/d' $texfile # remove empty lines
reshtmlfile=$rdname.results.html
echo "<h3>Results</h3>" > $reshtmlfile
echo "<pre>" >> $reshtmlfile
cat $texfile >> $reshtmlfile
echo "</pre>" >> $reshtmlfile
for fig in $(ls *.png) ; do
echo "<br><a href=\"$fig\"><img src=\"$fig\"></a>" >> $reshtmlfile
done
htmlfile=$rdname.html
R CMD Rdconv -t html $rdfile > $htmlfile
sed -i 's/<\/body>//' $htmlfile
sed -i 's/<\/html>//' $htmlfile
cat $reshtmlfile >> $htmlfile
echo "</body>" >> $htmlfile
echo "</html>" >> $htmlfile
