Peel the parsnips and shallots and cut into small pieces.
Heat the oil in a saucepan, add the vegetables and sweat until translucent. Cut open the vanilla pod, remove the pulp with a knife and add to the vegetables. Put the stock and the cream in the saucepan. Cook the parsnips until you can easily mash them with a fork.
Sieve the parsnip, the liquid and finely puree with a blender or hand blender. Add butter, salt, nutmeg and pepper and puree finely. To taste.
Put in a piping bag, tie with a twine and keep warm in a water bath.