Here is the MDX now working, Sourav_Agasti answer was really helpful, but an issue was still there concerning the ParallelPeriod parameter. Indeed, if we exclude a member from the Set we still need to increment our parameter in order to add 1 period...
There is probably an easier solution and I will be glad to hear it!
WITH
SET P13Periods
AS
{ //Exclude P13 members (hardcode for test)
[Time].[Fiscal Calendar].[Fiscal Period].&[201013],
[Time].[Fiscal Calendar].[Fiscal Period].&[201113],
[Time].[Fiscal Calendar].[Fiscal Period].&[201213],
[Time].[Fiscal Calendar].[Fiscal Period].&[201313]
}
MEMBER [Measures].[Amount Sum 2 Months]
AS
SUM(
//Check if range Period contains a P13
//If yes, then we need to exclude this period from calculation AND add 1 Period to ParallelPeriod
IIF(
EXISTS(
P13Periods,
ParallelPeriod([Time].[Fiscal Calendar].[Fiscal Period],1):[Time].[Fiscal Calendar]
).Count =1
,EXCEPT(
ParallelPeriod([Time].[Fiscal Calendar].[Fiscal Period],2):[Time].[Fiscal Calendar]
,P13Periods
)
,ParallelPeriod([Time].[Fiscal Calendar].[Fiscal Period],1):[Time].[Fiscal Calendar]
)
,
[Measures].[Amount]
)
SELECT {[Measures].[Amount],[Measures].[Amount Sum 2 Months]} on 0
,[Time].[Fiscal Calendar].[Fiscal Period] on 1
FROM [MyCube]