Prepare two sheets of aluminum foil and two sheets of parchment paper measuring 76 sq cm (30 sq in) each.
In a bowl, combine the chorizo, carrots, cashews, shallots, paprika and a few coriander leaves. Add a splash of olive oil, and mix.
Place a trout fillet, skin-side down, in the centre of each sheet of parchment paper. Season with salt and pepper. Spoon the chorizo preparation over the fillets and top each with three lemon slices.
Close the parchment paper into well-sealed packets, wrap each in a sheet of aluminum foil, and cook on the barbecue for 20 minutes. Remove from the barbecue and let stand for five minutes.
Serve accompanied by citrus wedges, remaining coriander leaves and, if desired, rice.