Combine split peas, ham bone or hocks, and broth in a large pot. Bring to a boil, then reduce heat and simmer for 45-60 minutes, or until peas are tender.
Remove ham bone or hocks and set aside to cool. Shred any meat from the bone and set aside.
In a separate pan, melt butter and sauté onion and carrots until softened. Add to the soup.
Remove bay leaf. Using an immersion blender or regular blender, partially blend the soup to desired consistency.
Stir in sherry, thyme, and heavy cream. Season with salt and pepper to taste.
Add shredded ham to the soup and heat through.