Matrix Multiplication

I think I've got it and it's simpler than I initially anticipated.

Matrix Product = 
VAR _C1 = SELECTEDVALUE ( H1_CurrencyList[C1] )
VAR _C2 = SELECTEDVALUE ( H2_CurrencyList[C2] )
VAR _Matrix_ =
    ADDCOLUMNS (
        ALL ( H1_CurrencyList[C1] ),
        "Row_1",
            VAR _C = H1_CurrencyList[C1]
            RETURN
                CALCULATE (
                    [Covariance],
                    H1_CurrencyList[C1] = _C1,
                    H2_CurrencyList[C2] = _C
                ),
        "Col_2",
            VAR _C = H1_CurrencyList[C1]
            RETURN
                CALCULATE (
                    [Cross Weights],
                    H1_CurrencyList[C1] = _C,
                    H2_CurrencyList[C2] = _C2
                )
    )
RETURN
    SUMX ( _Matrix_, [Row_1] * [Col_2] )

Having a square matrix that's a cross product of a list of currencies with itself gives a nice solution that only requires one evaluation each of [Covariance] and [Cross Weights] per currency per cell in the result matrix (each of the N^2 result cells requires 2N measure calls for N currencies).

This is simpler than my comment on the gallery post I mentioned previously since I don't need to load the entire matrices, just the relevant row & column from each one. The main difficulty there is just setting up the indexing and filtering for the parts needed. The key logic in both is the same sum product.