;WITH 
Tens (N)     AS (SELECT 0 UNION ALL SELECT 1 UNION ALL SELECT 2 UNION ALL SELECT 3 UNION ALL SELECT 4 UNION ALL
                 SELECT 5 UNION ALL SELECT 6 UNION ALL SELECT 7 UNION ALL SELECT 8 UNION ALL SELECT 9), 
Thousands(N) AS (SELECT t1.N FROM Tens t1 CROSS JOIN Tens t2 CROSS JOIN Tens t3), 
Millions (N) AS (SELECT t1.N FROM Thousands t1 CROSS JOIN Thousands t2), 
Tally (N)    AS (SELECT ROW_NUMBER() OVER (ORDER BY (SELECT 0)) FROM Millions),
Rate AS 
(
    SELECT *, 
        DATEDIFF(DAY, 0, CurDate) AS DayNum,
        ROW_NUMBER() OVER(PARTITION BY CurrCode ORDER BY CurDate) AS RowNum
    FROM CurrencyExchangeRates
)

SELECT 
    D.CurrCode,
    D.CurrRate,
    DATEADD(DAY, T.N, 0) AS Curdate
FROM
    (
        -- Get Day Range
        SELECT 
            A.CurrCode,
            A.CurrRate,
            A.DayNum AS StartDayNum,
            COALESCE(B.DayNum, A.DayNum) AS EndDayNum
        FROM 
            Rate AS A
        LEFT OUTER JOIN
            Rate AS B
            ON A.CurrCode = B.CurrCode
            AND A.RowNum + 1 = B.RowNum
    ) AS D
INNER  JOIN
    Tally AS T
    ON T.N BETWEEN D.StartDayNum AND D.EndDayNum        
ORDER BY
    D.CurrCode,
    DATEADD(DAY, T.N, 0)

Rate AS 
(
    SELECT 
        CurrCode, 
        CurDate,
        MIN(CurrRate) AS CurrRate,
        DATEDIFF(DAY, 0, CurDate) AS DayNum,
        ROW_NUMBER() OVER(PARTITION BY CurrCode ORDER BY CurDate) AS RowNum
    FROM 
        CurrencyExchangeRates
    GROUP BY
        CurrCode, 
        CurDate
)