To make the filling, put the bay leaves, peppercorns, thyme and rosemary on a square of muslin, draw up the edges and tie tightly with kitchen string to enclose the flavourings. Put in a saucepan and pour on the chicken stock. Bring to a simmer, then infuse over a low heat for 5 minutes.
Add the chicken thighs to the pan, bring back to a simmer and cook gently for 25 minutes. Add the leeks and cook for 15 minutes until soft.
Strain the stock into a clean bowl, and set aside the chicken and leeks to cool. When cool enough to handle, pull the chicken off the bones and set aside on a plate.
Melt the butter in a large saucepan over a medium-low heat. Add the flour and cook, stirring, for 1 minute to make a roux. Swap the spoon for a whisk. Slowly add the reserved chicken stock to the roux, whisking constantly to keep the sauce smooth. Continue cooking the sauce over a medium-low heat for 2–3 minutes, or until the sauce thickens.
Remove from the heat and add the cream, mustard and Cheddar and stir until the cheese has melted.
Add the chicken, leeks, and ham hock and season with salt and pepper. Transfer to a large bowl and allow to cool. Stir through the chopped parsley and refrigerate until needed.
To make the hot water crust pastry, place the flour and salt in the bowl of a stand mixer fitted with the paddle attachment. Make a well in the centre and pour in the eggs. Mix on a medium speed until well incorporated – the dough will be crumbly once the egg has been worked in.
Melt the butter, lard and 250ml/9fl oz water in a small saucepan over a medium heat. Turn the mixer to a low speed and gradually pour in the hot liquid, stopping as soon as a dough forms (Alternatively, you can mix the pastry by hand, using a wooden spoon to beat in the eggs and then the melted mixture.)
Take the dough out of the bowl and divide into two pieces, one twice the size of the other: one-third for your pie lid, and the larger portion to line the pie tin.
On a lightly floured surface, roll out the larger piece to a round, 5mm thick. Use to line the base and sides of a 23cm/9in round pie tin, 5cm deep, pushing the pastry into the sides. Let the excess overhang the rim and brush the pastry with beaten egg yolk.
Roll out the other piece of pastry to a round, 5mm thick, for the pie lid. Spoon the cooled filling into the pastry-lined pie tin. Cover with the pastry lid and cut away the overhanging excess pastry from the edge. (There will be quite a lot of trimmings.) Press the edges together with your fingertips, to seal and crimp.
Brush the surface evenly with beaten egg yolk and cut a small hole in the middle of the top, to allow the steam to escape. Place in the fridge for 30 minutes to allow the pastry to set. Meanwhile, preheat the oven to 200C/180C Fan/Gas 6.
Bake the pie in the oven for 35–45 minutes or until the pastry is golden and crisp. Leave to stand for about 10 minutes before slicing and serving.