1. Preheat oven to 200°C (400°F).
2. Put flour, cheese, Parmesan, salt, and cayenne pepper into a food processor. Blend for 30 seconds.
3. Add diced butter and egg yolk.
4. Use pulse setting to blend until mixture is smooth and forms a ball.
5. Divide the dough in half and shape into two rolls, 3 cm (1¼ in.) in diameter. Roll in walnuts.
6. Wrap in plastic wrap and refrigerate 2 hours or until dough is firm.
7. Cut rolls into ½ cm (1/8 in.) slices and place on a parchment-lined baking sheet. Bake on upper rack for 12 minutes, or until nicely coloured.
8. Set aside to cool. Serve as an appetizer with olives and fresh vegetables.
9. Will keep at room temperature for one week in an airtight container.

Note:

Using cheddar produces shortbread with a more intense flavour while the Oka shortbread will have a milder taste.