Q:

Join between different frequency tables

Assume that I have two tables, DailyTable and QuarterlyTable, where each have 3 columns: ID, Date, and Value. 
As the names indicate, the frequency of data stored in DailyTable is daily, while the frequency of data stored in QuarterlyTable is quarterly.
How can I join the two tables such that I get daily results combining the most recent (point in time) data from each table based on ID and Date?
DailyTable
    ID   |  Date   |    Value  |
---------+---------+------------
    1    |1/1/2010 |     10    |
    1    |1/2/2010 |     15    |
              ... 
    1    |3/1/2010 |     20    |
              ... 
    1    |4/1/2010 |     30    |

QuarterlyTable
    ID   |  Date   |    Value  |
---------+---------+------------
    1    |1/1/2010 |   1000    |
    1    |4/1/2010 |   2000    |
              ... 

Result
    ID   |  Date   |    Value  |    Most Recent Quarterly Value
---------+---------+-------------------------------------------
    1    |1/1/2010 |     10    |             1000
    1    |1/2/2010 |     15    |             1000
              ... 
    1    |3/1/2010 |     20    |             1000
              ... 
    1    |4/1/2010 |     30    |             2000

I am dealing with financial data, where the daily table stores stock prices, volume etc., while the quarterly table stores financial information such as net income, revenues. The update frequency of quarterly data depends on each company so it is not safe to assume that quarters have 90 days distance.
The start and end date is dependent on the ID. QuarterStart date is the earnings announcement date which is different for each ID. The table has 3,000 IDs. QuarterEnd date is simply next QuarterStart date - 1 business day (in the financial industry, Fiscal and Calendar quarter are two similar but not identical terms. Both are quarters, but calendar year is based on constant date ranges, while Fiscal is based on announcements).
I m looking for a solution that will not require the creation and maintenance of another table.

A:

Here is a solution that uses CROSS APPLY to find the value for the latest quarter that ends on or before the daily date. If your table is indexed by (ID, Date), this query will be quite efficient with a one-row seek to look up the quarterly value for each daily date.
This solution also does not require a calendar table and makes no assumption about the duration of a quarter. However, it does make an assumption that you have no gaps in your quarterly table. For example, if you were missing a year's worth of quarters, the solution would identify the "most recent quarter" as the quarter that happened a year ago. This may be perfectly fine, but you should at least be aware of the assumption.
CREATE TABLE #DailyTable (ID INT, DailyTableDate DATE, Value INT)
CREATE TABLE #QuarterlyTable (ID INT, QuarterlyTableDate DATE, Value INT)
ALTER TABLE #QuarterlyTable ADD UNIQUE CLUSTERED (ID, QuarterlyTableDate)

INSERT INTO #DailyTable (ID, DailyTableDate, VALUE) VALUES (1,'2010-01-01',10)
INSERT INTO #DailyTable (ID, DailyTableDate, VALUE) VALUES (1,'2010-02-01',15)
INSERT INTO #DailyTable (ID, DailyTableDate, VALUE) VALUES (1,'2010-03-01',20)
INSERT INTO #DailyTable (ID, DailyTableDate, VALUE) VALUES (1,'2010-04-01',30)

INSERT INTO #QuarterlyTable (ID, QuarterlyTableDate, VALUE) VALUES (1,'2010-01-01',1000)
INSERT INTO #QuarterlyTable (ID, QuarterlyTableDate, VALUE) VALUES (1,'2010-04-01',2000)

SELECT d.ID,
    d.DailyTableDate AS Result_Date,
    d.Value,
    qt.Value AS Most_Recent_Quarterly_Values
FROM #DailyTable AS d
CROSS APPLY (
    -- Find the value for latest quarter that ended on or before the daily date
    SELECT TOP 1 q.Value
    FROM #QuarterlyTable q
    WHERE q.ID = d.ID
        AND q.QuarterlyTableDate <= d.DailyTableDate
    ORDER BY q.QuarterlyTableDate DESC
) qt

