Place the shallots, saffron, water (or white wine) and the vinegar in a small saucepan, and simmer on a LOW heat.
Gently stir until most of the liquid has evaporated and the shallots have softened.
Add the cream, and simmer for a further minute. Begin adding the butter one piece at a time, whisking thoroughly to incorporate it before adding the next piece.
Once all of the butter has been added and incorporated, season with salt to taste.