I haven't looked into this at all but is this the correct behavior?
In [1]: import pandas as pd;
In [2]: p1 = pd.PeriodIndex(['2011-01-01', '2011-01-02', '2011-01-03'], freq='2D')
In [3]: p1
Out[3]: PeriodIndex(['2011-01-01', '2011-01-02', '2011-01-03'], dtype='period[2D]', freq='2D')
In [4]: p1.asfreq('D')
Out[4]: PeriodIndex(['2011-01-02', '2011-01-03', '2011-01-04'], dtype='period[D]', freq='D')
cc @jbrockmendel since I think you've been active here recently.
Comment From: TomAugspurger
Ahh, my bad is it just the how keyword? So we go to the end of the window, which shifts us 1 to the right?