Preheat oven to 200 degrees. Spike lamb around 20 times to depth of 3mm each, insert slice of garlic and sprig of rosemary in each opening. Rub with 1 tablespoon oil and season with salt and pepper.
Place on roasting rack and cook for 20 minutes at 200 degrees, reduce heat to 170 degrees for further 30 minutes.
For the olive sauce gently fry olives for 1 to 2 minutes, until fragrant. Add garlic, anchovy and capers fry for further 1 to 2 minutes. Add cream, remove from heat, and stir well. Add chopped herbs and lemon juice.
Serve lamb with vegetables and top with olive sauce.