Preheat the oven to 450 degrees F. Place the potato inside to bake for 1 hour.
Though these shrimp are served in the shell, run a small, sharp knife down the length of the shrimp to devein them. In a large saucepan, combine the water, lemon, parsley, peppercorns, bay leaves, salt, and hot sauce. Stir to blend and bring to a simmer. Remove from the heat and allow the liquid to cool for a few minutes. Add the shrimp and allow them to sit in the liquid, off the heat, until they are cooked in the middle, 3 to 5 minutes. Use a slotted spoon to remove the shrimp and drain them on a kitchen towel. Refrigerate until ready to serve.
When the potato is tender (check by piercing with the tip of a knife), shut the oven off, remove the potato, and place it on a flat surface. Sprinkle the curry powder in a thin layer in an oven proof skillet and toast it in the oven (with the door open) until you smell the aroma of the curry, 2 minutes. Remove and set aside to cool. Split the potato in half lengthwise and scoop out the flesh. Transfer the flesh to a blender and add the warm water, egg yolks, mustard, and lemon juice. Pulse to blend. Add the curry powder and a splash of vinegar, if desired. With the blender running, pour a steady stream of the olive oil through the top, start with 1/2 cup and then taste. If needed, add more olive oil. Serve the sauce in a bowl on the side with the shrimp.
Recipe copyright, Alex Guarnaschelli