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1
Preheat a grill or broiler to moderately hot and put the rack 4 to 6 inches from the heat source.
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2
Combine the anchovies, parsley, garlic, lemon juice and zest, and 2 tablespoons of the oil in a small food processor or blender.
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3
Process until pureed, adding a little bit of hot water (or more olive oil) if necessary to allow the machine to do its work.
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4
Combine the puree with the capers.
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5
Cut the swordfish in half horizontally, leaving the skin attached as a hinge.
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6
Spread about half of the mixture on the inside of the sandwich, then close the steak with a couple of toothpicks.
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7
Brush with the remaining oil, then sprinkle with salt and pepper.
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8
Grill for at least 5 minutes per side, or until the swordfish is done (it should remain slightly translucent in the center).
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9
Serve with the remaining green sauce.
