Cut an orange in half. Remove juice from both sections and reserve. Then take the rind of one half and cut into thin strips.
Cook orange rind strips with dry sherry.
Simmer, uncovered, until reduced to 1/2 cup of liquid. Remove rind from sherry and add the reserved orange juice, lemon juice, currant jelly and cayenne.
Simmer until jelly melts.
Leave to cool and hey presto your sauce in made.
Notes
This is excellent to serve over cornish game hens.