To make the custard, put the cream, milk, vanilla, cinnamon stick and nutmeg into a large pan and slowly bring to a simmer. Turn off the heat, cover and allow to infuse for an hour. Put back on the heat and bring to a boil. Meanwhile, put the egg yolks and sugar in a large bowl and whisk together until smooth. Pour the cream mixture through a fine sieve, over the egg yolk mixture, whisking to combine. Pour in the rum and mix again. If bubbles appear on the surface, carefully spoon these off and discard.