Whisk the egg yolks and sugar together until pale and thick.

Warm the milk with the nutmeg until steaming, then slowly whisk it into the yolks.

Return the mixture to the pan and stir over low heat until slightly thickened.

Strain into a pitcher and stir in the vanilla, then chill until cold.

Whip the heavy cream to soft peaks and fold it into the chilled base before serving.