Cut bottom of orange just enough to let it stand on it's own. Remove top of orange. Hollow out orange leaving just a shell of peel. Mix egg yolks and sugar, heat over double boiler, making sure heat never gets to simmering. Add Marsala and Grand Marnier. Return to heat and whip, watching temperature. When consistency is stiffer, add chilled water.
Whip some more. When firm, pour into orange shell, serve hot or cold.
