Heat the butter in an oven-proof frying pan with a lid. Add the onion and cook over medium heat 2 minutes or until soft. Add one chorizo sausage and stir, then add the rice and stir to coat with the butter.
Add the stock - it should cover the rice - and the saffron and water. Stir and bring to the boil. Remove from heat, put the lid on the pan and place in the oven for 10 minutes.
Pan fry the remaining sausage until brown on both sides.
Remove the pan from the oven and sprinkle the sausage, capsicum and nuts over the rice. Replace the lid and return to the oven for another 5 minutes or until the rice is tender.
Season to taste, drizzle with olive oil and yoghurt and sprinkle with parsley. Serve in the pan.