The following bit of code uses a common table expression (CTE) to generate a contiguous list of dates in SQL Server.
with mycte as
(
select cast('20080101' as datetime) DateValue
union all
select DateValue + 1
from mycte
where DateValue + 1 < '20080731'
)
select convert(char(8),DateValue,112) DateValue
from mycte
OPTION (MAXRECURSION 0)
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