For the dressing, place the Dijon mustard, vinegar, capers, egg yolk and salt into a bowl and whisk until combined.
Very gradually pour in the olive oil, whisking continuously until the mixture is combined and thickened. Season with freshly ground black pepper.
For the salad, place the rocket into a large bowl, pour over the dressing and stir to coat all the leaves.
Heat the olive oil in a frying pan over a medium heat and fry the cubes of bread until golden-brown. Allow to cool slightly.
Meanwhile, place the egg into a pan of boiling water and boil for 6½ minutes. Remove from the pan and run under cold water. Peel the egg and cut it in half lengthways.
To serve, place the dressed rocket leaves onto a large serving dish. Sprinkle over the croutons and anchovies and top with the boiled egg halves.