In a medium saucepan, combine all the ingredients except the rum. Cook over medium-low heat, whisking constantly, until the sauce has thickened and coats the back of a spoon, about 10 minutes. (Do not allow the sauce to boil or the egg will curdle and the sauce will not be smooth.) Remove from the heat, whisk in rum, and set aside to cool slightly before serving.
Yield: about 2 cups