The set expression is calculated once for the object, i.e. if that is a table is the same for every row.
If you want to show a date, current month and prior quarter (meaning 3 months ago, or meaning accounting quarter end, not sure I understand your data) you could use something like ABOVE function with a suitable offset;
How would you do that in a pivot table where the dimension is on the left hand side, but the quarter timescale at the top? That's where I'd imagine the set analysis one would only look at the previous quarter for the item in question.