Place the capsicum over a barbecue grill or direct flame on the stove. Cook until all sides are charred. Remove from the heat, place in a bowl and cover with cling film to sweat for 15 minutes.
Peel the charred skin, remove the seeds and slice the capsicum into thin strips. Keep 50 grams for the recipe.
In a bowl on a stand mixer, add the sugar, yeast, flour and salt. Add the milk and mix to combine.
Next, add in the eggs and butter. Mix until the mixture is coming away from the side of the bowl.
Add the chorizo and capsicum and mix until evenly distributed through the mixture.
Cover the dough with a tea towel and leave to prove in a warm place for an hour.
Preheat the oven to 180°C. Give the dough a quick knead and then weigh out 21 balls of dough, approximately 40 grams each.
Line a round baking dish with baking paper and arrange the dough balls in the baking dish. Allow a small amount of space between each ball as you lay them out.
Leave the dough to prove for 15 minutes.
Mix the egg yolk and milk to make a glaze and gently brush over the buns. Scatter over the sliced olives and grated cheese. Sprinkle several small sprigs of rosemary around the top as well.
Bake for 20-25 minutes, or until golden.