Select to_date(to_char(date_part('year',current_date),'0000') || trim(to_char(date_part('month',current_date),'00')) || '01','YYYYMMDD')
So far, this is the best I can come up with.
I am also unable to find a comprehensive language reference for Netezza SQL that has all functions in it, so please include a source in your answer.