Sprinkle the yeast over the warm water, add the sugar and mix together. Set aside to start to activate while you prepare everything else.
Gently warm the eggnog a minute or two until it is warm but not hot. Add the butter and allow it to melt in the eggnog.
In a large bowl, mix the flour and salt. Whisk the egg into the eggnog mixture once it is lukewarm then add the yeast mixture. Add it all to the flour and mix well - it will be relatively sticky but will come together.
Turn the mixture out onto a floured surface and knead for 2 - 5 min, adding a little flour if needed. You want to stretch out the gluten and get it so it's no longer really sticky. Transfer to an oiled bowl (I generally wash out and oil the one I used for mixing), cover and leave to rise for approx 1 hour until it has roughly doubled in size.
As it's almost ready, make the filling by melting the butter and mixing in the sugar, cinnamon and nutmeg. Butter a baking dish ( at least around 9x9in, 23x23cm but you may need bigger or more than one) - you can also use a cake pan.
Turn out the dough onto a floured surface. Flour a rolling pin and roll out the dough to roughly 10x15in (25x38cm), or you can flatten it by hand (larger is fine if you prefer, as I did here, the filling will just be a little thinner but with less dough between the layers).
Spread the filling evenly over the dough leaving a slight gap (around ½in/1cm) along one shorter edge.
Carefully roll the dough relatively tightly from the short edge with filling on towards the one with the gap. Roll onto the edge with no filling and smooth it to seal.
With a serrated knife, carefully slice the dough into slices, cleaning the knife between slices to save getting the filling over all the dough. You can make the slices as thick as you like, but I tend to make around ⅔in/2cm. You will get around 12-16 slices. Place the slices into the lined dish as you cut them with a slight gap between the slices. Note - you can also cut the roll with dental floss. If the dough is too soft to cut, wrap it in cling and chill it for 20 min or so before cutting.
Once you have cut all of the dough, cover the dish with the rolls and refrigerate overnight or if baking there and then, leave to rise another approx 30 min. As you near the end of the time, preheat the oven to 350F/175C. Note - if you refrigerate overnight, just allow approx 30 min to come back to room temp before baking.
Bake for approx 25 min until the rolls are just browning. Remove and allow to cool slightly.
Blend together the cream cheese and butter, then add the eggnog and sugar for the frosting. Drizzle or spread it over the top. Best enjoyed warm but they will keep a couple days in an airtight container.