1) Preheat the oven to 200C Gas 6. Put a baking tray in to preheat as well.
2) Melt the butter in a pan over a medium heat and cook the shallots until pale golden, then add the mushrooms and thyme and cook until softened.
3) Pour in the Madeira, season, turn up the heat and cook until the wine has evaporated.
4) Take off the heat, and mix in the double cream, taste for seasoning, and set aside.
5) Heat the oil in a pan over a high heat and, when smoking, add the fillet and sear briefly on all sides until crusted.
6) Season well and allow to cool.
7) Roll out the pastry to a rectangle big enough to hold the fillet and about 3mm thick.
8) Brush all over with egg, and then spread with the mushroom mixture.
9) Put the beef at one end and carefully roll up, positioning it seam-side down, and then trim the edges and tuck in to seal the parcel, using a fork to press the edges together. Brush with beaten egg.
10) Put on to the hot baking sheet and cook for 30 minutes until golden, then set aside to rest for 5 minutes.