Vladimir Oselsky builds a date dimension in T-SQL:
Before we get into discussing how to create it date dimension and how to use it, first let’s talk about what it is and why do we need it. Depending on who you talk to, people can refer to this concept as “Calendar table” or “Date Dimension,” which is usually found in Data Warehouse. No matter how it is called, at the end of the day, it is a table in SQL Server which is populated with different date/calendar related information to help speed up SQL queries which require specific parts of dates.
In my case, I have created it to be able to aggregate data by quarters, years and month. Depending on how large your requirements are it will add additional complexity to building it. Since I don’t care about holidays (for now at least), I will not be creating holiday schedule which can be complicated to populate.
I love date dimensions, even on non-warehouse databases, because it’s an easy way of providing additional context to time series data. Think about graphing orders per day in an industry with weekday-versus-weekend trends; a date dimension lets you strip out weekends (maybe plotting them separately) or even lets you build day-of-week analysis for each day, or looking at week of the month, etc. You might also be interested in computing holidays.