Cut through the roast at 1/2-inch intervals without cutting all the way through the base. Soak the caul in cold water. Preheat the oven to 350F. Thinly slice the cheese. Spread the mustard on both sides of each slice of meat. Place a piece of bacon and a piece of cheese between each slice. To maintain the shape of the raost, slide it onto a long skewer as you are stuffing it. Tie the roast and wrap it in the drained and dried caul. Place the roast in a roasting pan with the onions, thyme, and bay leaf. Roast for
1 1/2 hours, basting occasionally with the juice. When the roast is completely browned, baste it with the Madeira. Transfer the roast to a serving platter and pour the juice from the roasting pan into a saucepan. Spoon off the fat. Boil the sauce hard. Pour the juice either over the roast or serve them separately in a gravy boat.
