Preheat the grill. Place the eggplant and capsicum on a baking tray then season with salt and pepper. Place under the grill for 5 to 10 minutes, until tender and browned. (Alternatively, cook on a ridged grill pan on the stove over medium heat.)
Cut baguette in half, top with eggplant and capsicum, then sprinkle with parmesan cheese. Cover with top half of baguette. Cut into 4 pieces. Serve hot or cold.