I am constructing discount curve for tenor 1 month.

First Instrument - PLN_1M_WIBOR has Effective Date on 2015-01-29 (spot). I was wondering what Maturity Date should be? 2015-02-27 or 2015-03-02? I am using modified following convention. According to to this convention I suppose it should be 2015-02-27, but I am not sure.

Second instrument is FRA_0102 dated on today (2015-01-27), so it`s Effective Date should be 2015-02-27?


Using modified following, the date should never fall into the next month. If the target date is in the next month, you should move it back to the end of the current month. So Feb 27, 2015 is the correct answer.

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