Consider two tables:
Transactions, with amounts in a foreign currency:
Date Amount
========= =======
1/2/2009 1500
2/4/
SELECT
a.tranDate,
a.Amount,
a.Amount/a.Rate as convertedRate
FROM
(
SELECT
t.date tranDate,
e.date as rateDate,
t.Amount,
e.rate,
RANK() OVER (Partition BY t.date ORDER BY
CASE WHEN DATEDIFF(day,e.date,t.date) < 0 THEN
DATEDIFF(day,e.date,t.date) * -100000
ELSE DATEDIFF(day,e.date,t.date)
END ) AS diff
FROM
ExchangeRates e
CROSS JOIN
Transactions t
) a
WHERE a.diff = 1
The difference between tran and rate date is calculated, then negative values ( condition b) are multiplied by -10000 so that they can still be ranked but positive values (condition a always take priority. we then select the minimum date difference for each tran date using the rank over clause.