[Quantlib-users] Bootstrapping US Treasury Curve with fake zero coupon bonds

[Irakli M. <ima...@ho...>]

Hi, 

I'm trying to bootstrap treasury curve with cubic spline including t-bill( short dated with no coupon)
Since quantlib doesn't support zeros I add fixed rate bond helper with real price and very small coupon. 
During bootstrap I get an error

1st iteration: could not bootstrap the 1st instrument, maturity February 19th, 2009: 
root not bracketed: f[2.22045e-016,3] -> [-9.989025e+001,-4.726847e+001]

>From the point of view of yield calculation price 99.89 and coupon 0.00001    makes sense.
Can anyone suggest whet I'm doing wrong or it's a bug and discount bonds(price less than 100)  are not handled properly?



Below are the bonds used to fitting:
CUSIP     HASCPN FREQ        CPN       ISSUEDATE    MATDATE       BBGNAME        VALUEDATE    PRICE
912795K42    N    0           0        8/21/2008    2/19/2009     CB3 Govt      11/18/2008    0.11
912795L90    N    0           0        11/20/2008   5/21/2009     CB6 Govt      11/18/2008    0.74
912795S44    N    0           0        10/23/2008   10/22/2009    CB12 Govt     11/18/2008    0.99
912810PX0    Y    2           4.5      8/15/2008    5/15/2038     CT30 Govt     11/18/2008    106.9844
912828JP6    Y    2           1.5      10/31/2008   10/31/2010    CT02 Govt     11/18/2008    100.75
912828JQ4    Y    2           2.75     10/31/2008   10/31/2013    CT05 Govt     11/18/2008    102.8438
912828JR2    Y    2           3.75     11/17/2008   11/15/2018    CT10 Govt     11/18/2008    102.2656

For zeros I'm passing 100-price as input to quantlib and coupon  0.00001, Frequency.Annual, BusinessDayConvention.Following

Irakli

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