In large bowl combine butter, mustard, allspice, nutmeg, pepper and thyme; mix until smooth. Add ground ham to butter mixture; blending well.
Slice Swiss and Cheddar cheese into 1/4-inch thick sticks.
Turn bread top side down; cut off ends. Make a lengthwise cut down the center of the loaf from one end to the other, being careful not to cut through top side.
Spread the bread apart carefully; hollow it out, leaving about 1/2-inch thick shell. (The bread removed from the center can be dried and used for breadcrumbs). Press half the ham mixture into the bread.
Arrange the Swiss cheese sticks lengthwise in one row; arrange the gherkins as the center row, the Cheddar as the third row. Press the remaining ham mixture on top. Wrap tightly in plastic wrap; then in foil. Refrigerate for several hours or overnight.
To serve, slice filled loaf thinly; arrange slices, overlapping, on serving tray.