It should all be explained in the technical brief that is linked to Henric's blog post:
Basically, you need to create a table with all combinations of letters and dates needed and join this to your fact table.
Then do a resident load, sorted by letter and dates ascending and use Peek() to retrieve the previous value, resetted when letter changes.
If(Peek(Letter) = Letter, Alt(Value, Peek(Value),0), Alt(Value,0) ) as Value,
ORDER BY Letter, Date;