1. Skin and chop the shallot finely.
2. Rub the egg yolks through a sieve.
3. Pound the shallot, egg yolks, and anchovies together to form a paste.
4. Add the mustard, vinegar, and capers, and blend together.
5. For a cold sauce, whip the cream until it forms soft peaks, and fold it carefully into the other ingredients.
6. For a hot sauce, heat the gravy to boiling point and add to the other ingredients.
7. Return to the pan and heat to just below boiling point.
8. Serve with roast or grilled meats, or grilled or baked fish.