Knead together the flour, sugar, egg yolk, butter, yeast and salt with enough milk to get a light dough.
Shape into a thin roll, place on a baking tray, and let rise until doubled.
Brush with egg and bake until golden.
The next day, cut off both ends and hollow out the inside.
Prepare the filling: beat the butter until fluffy, add the ground ham, the finely chopped anchovy, the diced hard-boiled egg, the caviar, the grated Emmental and the capers, and mix well.
Fill the hollowed-out roll with the filling.
Based on: Malatinszky Fanny szakácskönyve (a classic Hungarian cookbook), modernised. Calories and protein are estimated.