Place the egg yolks and sugar in an electric mixer and beat until light and fluffy, at least 10 minutes. Add half of the sherry and rum, and transfer the mixture to a bowl that will fit over a large saucepan of boiling water. The water should not touch the bowl. Whisk continuously until the mixture comes to the boil – this will take at least 30 minutes.
Stir in the remaining sherry and