Meagan Longoria shows how to create a date dimension in Azure SQL Data Warehouse:
Most data warehouses and data marts require a date dimension or calendar table. Those of us that have been building data warehouses in SQL Server for a while have collected our favorite scripts to build out a date dimension. For a standard date dimension, I am a fan of Aaron Bertrand’s script posted on MSSQLTips.com. But the current version (as of Aug 8, 2016) of Azure SQL Data Warehouse doesn’t support computed columns, which are used in Aaron’s script.
Click through for the script.