In a mixing bowl, pour in the eggnog, mascarpone, brandy and rum. Set aside. In another bowl, whip the whipping cream and vanilla until soft peaks form. Then whip the eggnog mixture until combined. (I did it this way so you don't have to clean the beaters in between.) When both mixtures are ready, fold the whipped cream into the eggnog/mascarpone mixture.
Now take your hot water in a cup and put in the espresso, sugar and Kahlua. Stir until dissolved. If you do it in a coffee mug, it's sort of like making a cup of espresso, but you are not going to drink it. Instead pour it into a shallow dish.
You are now ready to assemble the Tiramisu.
Find a pretty serving bowl that you don't mind putting in the refrigerator. Cut your angel food cake into one-inch slices. Dip a slice into the espresso mixture and then put it in your serving bowl. Repeat this with half of the cake and line the edges of the bowl with the sopping cake pieces.
Now pour half of your rich and wonderful cheesy whipped cream mixture on top. Take a grater and grate half of your chocolate on top of this mixture. A fine or medium grate will do fine.
Do another layer just like the last one. When you've finished the second chocolate layer, jazz it up even more with your sprinkle of nutmeg.
Refrigerate until just before you serve it. You can take it out of the refrigerator about 15 minutes ahead to allow the flavors to come forward. If you make this in the morning, you can serve it the same day.
Refrigerate any leftovers.