Season the lamb well. Heat the oil in a frying pan and fry 4 fillets over high heat for 5 minutes until seared on the outside. Remove from the pan and set aside until completely cold.
Unravel the pack of pastry on floured surface and cut into 4 rectangles, and roll them out slightly.
Brush with egg yolk and sprinkle with sage. Put a lamb fillet on the pastry and fold (like a present). Brush with more egg yolk. Place the parcels, seem side down, on a lightly oiled cookie sheet. Prick the top of each to allow steam to escape.
Bake in a preheated 375F oven for 25 minutes or until golden brown.
To make sauce, melt the jelly in a pan over gentle heat, add the port and rosemary and boil uncovered for 10-12 minutes until syrupy. Cool for 5 minutes to serve.