data-dwh-dbt-project/models/intermediate/cross/int_daily_currency_exchange_rates.sql

/* 
How deep into the future since the last available real rate should rates be
projected. Must follow be a valid postgres interval string, such as '1 years'
See examples here:
https://www.postgresql.org/docs/current/datatype-datetime.html#DATATYPE-INTERVAL-INPUT-EXAMPLES 
*/
{% set interval_into_the_future = "'3 years'" %}

with
    stg_xedotcom__exchange_rates as (
        select * from {{ ref("stg_xedotcom__exchange_rates") }}
    ),
    -- CTEs for projecting forward
    most_recent_xe_date_per_curr_pair as (
        select from_currency, to_currency, max(rate_date_utc) as most_recent_date_utc
        from stg_xedotcom__exchange_rates
        group by 1, 2
    ),
    last_xe_rate_per_curr_pair as (
        select xe.from_currency, xe.to_currency, xe.rate
        from stg_xedotcom__exchange_rates xe
        inner join
            most_recent_xe_date_per_curr_pair recent
            on xe.from_currency = recent.from_currency
            and xe.to_currency = recent.to_currency
            and xe.rate_date_utc = recent.most_recent_date_utc
    ),
    future_dates as (
        select date_trunc('day', day_series)::date as future_date
        from
            generate_series
            (
                (
                    select max(most_recent_date_utc)
                    from most_recent_xe_date_per_curr_pair
                )::timestamp
                + interval '1 days',  -- we don't want to pick the last real day
                (
                    select max(most_recent_date_utc)
                    from most_recent_xe_date_per_curr_pair
                )::timestamp
                + interval {{ interval_into_the_future }},
                '1 day'::interval
            ) day_series
    ),
    projected_future_rates as (
        select
            concat(
                last_rate.from_currency,
                last_rate.to_currency,
                future_dates.future_date,
                'xe_inferred',
                'forecast'
            ) as id_exchange_rate,
            last_rate.from_currency,
            last_rate.to_currency,
            last_rate.rate,
            future_dates.future_date as rate_date_utc,
            'xe_inferred' as source,
            'forecast' as rate_version,
            now() as updated_at_utc
        from future_dates future_dates
        cross join last_xe_rate_per_curr_pair last_rate
    ),
    -- CTEs for projecting backward
    oldest_xe_date_per_curr_pair as (
        select from_currency, to_currency, max(rate_date_utc) as oldest_date_utc
        from stg_xedotcom__exchange_rates
        group by 1, 2
    ),
    first_xe_rate_per_curr_pair as (
        select xe.from_currency, xe.to_currency, xe.rate
        from stg_xedotcom__exchange_rates xe
        inner join
            oldest_xe_date_per_curr_pair recent
            on xe.from_currency = recent.from_currency
            and xe.to_currency = recent.to_currency
            and xe.rate_date_utc = recent.oldest_date_utc
    ),
    past_dates as (
        select date_trunc('day', day_series)::date as past_date
        from
            generate_series
            (
                {{ var("start_date") }}::timestamp,
                (
                    select max(most_recent_date_utc)
                    from most_recent_xe_date_per_curr_pair
                )::timestamp
                - interval '2 days',  -- we don't want to pick the last real day,
                '1 day'::interval
            ) day_series
    ),
    projected_past_rates as (
        select
            concat(
                first_rate.from_currency,
                first_rate.to_currency,
                past_dates.past_date,
                'xe_inferred',
                'guess'
            ) as id_exchange_rate,
            first_rate.from_currency,
            first_rate.to_currency,
            first_rate.rate,
            past_dates.past_date as rate_date_utc,
            'xe_inferred' as source,
            'guess' as rate_version,
            now() as updated_at_utc
        from past_dates
        cross join first_xe_rate_per_curr_pair first_rate
    )
-- here we union actual stuff, future projected stuff and past assumed stuff
select
    concat(
        xe.from_currency, xe.to_currency, xe.rate_date_utc, 'xedotcom', 'actual'
    ) as id_exchange_rate,  -- the id from staging is not useful here because dimensionality is different: here we have rate_source and rate_version
    xe.from_currency,
    xe.to_currency,
    xe.rate,
    xe.rate_date_utc,
    'xedotcom' as source,
    'actual' as rate_version,
    xe.dwh_extracted_at_utc as updated_at_utc
from stg_xedotcom__exchange_rates xe
union all
select
    fu.id_exchange_rate,
    fu.from_currency,
    fu.to_currency,
    fu.rate,
    fu.rate_date_utc,
    fu.source,
    fu.rate_version,
    fu.updated_at_utc
from projected_future_rates fu
union all
select
    pa.id_exchange_rate,
    pa.from_currency,
    pa.to_currency,
    pa.rate,
    pa.rate_date_utc,
    pa.source,
    pa.rate_version,
    pa.updated_at_utc
from projected_past_rates pa