I don't know if its possible but I'd like to make it a Zend_Db_Select object and I don't know how
SELECT *
FROM MyTable MT1
WHERE MT1.date = (
SELECT MAX(MT2.date)
FROM MyTable MT2
)
You may also do it by simply replacing the ($this->select()) subquery variable in the main query (more: https://stackoverflow.com/a/1341463/216084)