March 31st, 2023, 3:27 am
Thanks for your research. So, given the above, my current best guess about the meaning of "one month ahead" for the US Treasury Par Yield curve is:
One month ahead from YYYY-MM-DD means:
- First, see if DD exists in the next month. If it does and is a Good Business Day take that as maturity; otherwise use the Next Good Business Day.
- Second, if DD does not exist in the next month, take the last day of the next month if that is a Good Business Day; otherwise use the Next Good Business Day.