Update gaps in sequential table - sql-server

Question

I have a table that contains employee bank data
Employee |Bank |Date |Delta
---------------------------------------------------
Smith |Vacation |2023-01-01 |15.0
Smith |Vacation |2023-01-02 |Null
Smith |Vacation |2023-01-03 |Null
Smith |Vacation |2023-01-04 |7.5
I would like to write a statement so that I can update 2023-01-02 and 2023-01-03 with the Delta value from January 1. Essentially, I want to use the value from the most recent row that isn't > than the date on the row.
Once complete, I want the table to look like this:
Employee |Bank |Date |Delta
---------------------------------------------------
Smith |Vacation |2023-01-01 |15.0
Smith |Vacation |2023-01-02 |15.0
Smith |Vacation |2023-01-03 |15.0
Smith |Vacation |2023-01-04 |7.5
The source table has a unique index consisting of Employee, Bank and Date descending. There could be up to 2 billion rows in the table.
I currently update the table with the following, but I am wondering if there is a more efficient way to do so?
WITH cte_date
AS (SELECT dd.date_key,
db.balance_key,
feb.employee_key
FROM shared.dim_date dd
CROSS JOIN
(
SELECT DISTINCT
employee_key
FROM wfms.fact_employee_balance
) feb
CROSS JOIN wfms.dim_balance db
WHERE dd.date BETWEEN DATEFROMPARTS(DATEPART(YY, GETDATE()) - 2, 12, 31) AND GETDATE())
SELECT dd.*,
t.delta
INTO wfms.test2
FROM cte_date dd
LEFT JOIN wfms.test1 t ON dd.balance_key = t.balance_key
AND dd.employee_key = t.employee_key
AND t.date_key = (SELECT TOP 1 tt1.date_key
FROM wfms.test1 tt1
WHERE tt1.balance_key = t.balance_key
AND tt1.employee_key = t.employee_key
AND tt1.date_key < dd.date_key);

Answer 1

Just for fun, I wanted to test an idea.
For the moment, lets assume the gaps are not too wide ... In this example 7 days.
On a relative to batch, the lag() over() approach was 22% while the Cross Apply was 78%.
Again, Just for fun
Select Employee
,Bank
,Date
,Delta = coalesce(A.Delta
,lag(Delta,1) over (partition by Employee,Bank order by date)
,lag(Delta,2) over (partition by Employee,Bank order by date)
,lag(Delta,3) over (partition by Employee,Bank order by date)
,lag(Delta,4) over (partition by Employee,Bank order by date)
,lag(Delta,5) over (partition by Employee,Bank order by date)
,lag(Delta,6) over (partition by Employee,Bank order by date)
,lag(Delta,7) over (partition by Employee,Bank order by date)
)
From YourTable A
Versus
Select Employee
,Bank
,Date
,Delta = coalesce(A.Delta,B.Delta)
From YourTable A
Cross Apply ( Select top 1 Delta
From YourTable
Where Employee=A.Employee
and A.Bank = Bank
and Delta is not null
and A.Date>=Date
Order By Date desc
) B
Update
Same results with 20 days

Answer 2

Here is another way. Using sum() with window function to find the group "Grp" of rows (1 row with not null with subsequent rows of null). Finally max(Delta) of the Grp to return the not null value.
select Employee, Bank, [Date], max (max(Delta))
over (partition by Employee, Bank, Grp)
from
(
select *, Grp = sum (case when Delta is not null then 1 else 0 end)
over (partition by Employee,Bank
order by [Date])
from YourTable
) t
group by Employee, Bank, [Date], Grp