Cook the shallot, anchovy, sherry, vinegar and spices in a bain-marie until the shallot is soft. Meanwhile melt 30 g/1 oz butter in a small pan and add the flour. Stir in to make a roux. Cook the roux well, then add it to the shallot mixture. Mix in well and cook for a few more minutes, stirring all the time, then add the double cream. Beat it in well and cook for 2 minutes, then strain through a fine sieve.
This sauce is served with poached or grilled salmon.
Adapted from Lady Llanover’s Good Cookery published in 1867.