Create a Last 30 Weekdays Named Set in SSAS

One of the most common Sets to be create is the "Last N Days" type of set which is normally just the last 30 or last 60 days from the current day. Another common request is for a Last N Working Days or Weekdays. Lets have a look at how we can create a Named Set that will always provide the last 30 Weekdays using the Adventure Works cube solution.