For the pastry, sift the flour, cayenne pepper and salt and pepper into a bowl. Rub in the butter, then add the grated cheese. Mix to a soft dough with the yolk, adding a few drops of water if necessary. Chill for 30 minutes.
Roll out the dough thinly into a square roughly 10 by 10 inches. Spread lightly with mustard, then cover the mustard with a thin film of Gentleman's Relish. Sprinkle over the Parmesan cheese and chives. Roll up as a Swiss roll, wrap in saran wrap and chill 45 minutes.
Preheat the oven to 375 degrees F.
Cut the roll across in thin slices and place on a greased and lined baking sheet. Bake for 7 to 10 minutes.