To make the purée, peel the parsnips and cut into small cubes. Put into a pan with the double cream, butter, olive oil, bay leaf, salt and pepper and simmer until they are very soft. Remove from the heat and blend together until nice and creamy, tasting for seasoning. Return to a low heat, cover and keep warm.
To make the pesto, blend together the rocket, basil, garlic, pine nuts and olive oil to make a smooth-ish green paste. Add the Manchego and pulse so that you have little chunks of cheese, then add salt and pepper and mix together.
Cook the courgettes last. Trim them, slice them in half lengthways, then halve them again widthways. If you have round courgettes, cut them into wedges of a similar size. Put the courgettes into a bowl and season with olive oil, salt and pepper. Grill the courgettes on the barbecue or in a pan – if using the latter, carefully place each slice in the pan and turn them when they are coloured but still with a bite to them. When they are caramelized on both sides, remove to a tray or plate and drizzle with olive oil.
To serve, spoon the warm parsnip purée on to plates, top with the grilled courgettes, then dot over the pesto. Gently sprinkle over the smoked paprika, and finish with more olive oil and the grated walnuts.