Melt butter in skillet. Stir in flour. Cook a few minutes. Stir in cream, salt (careful, ham is salty), pepper, and nutmeg. Stir-cook until very thick. Remove from heat. Add a couple of tablespoons sauce to yolks and then stir back into sauce. Add ham, shallot, parsley, and Madeira. To this point the recipe can be made in advance. Cover with a lid and leave until ready