In a medium pot, melt the butter over medium heat.
Whisk in the flour and let bubble for about 30 seconds.
Pour in the milk and whisk until smooth.
Whisk in the salt, pepper, nutmeg, and cayenne. Add bay leaf.
Bring to a boil, whisking occasionally to prevent scorching.
Reduce heat and simmer for about 5 minutes, until quite thick.
Off the heat, remove bay leaf. Stir in the gruyere and parmesan.
Whisk until completely melted.
