Coquito is a Christmas tradition in the Caribbean much like Eggnog in the United States of America and elsewhere.
Combine coconut milk and sugar in a sauce pan and scald.
Beat the egg yolks with the vanilla. Add 1/2 cup of the scalded mix. Whisk the egg yolk mixture into the scalded mix. Cook over low heat, stirring constantly. Remove from heat as soon as it begins to thicken.
Strain the mixture into a bowl. Add the rum and let cool. Chill well in the refrigerator. Serve in old-fashioned glasses, sprinkle with nutmeg.

enjoy!!!

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