Wash the outside of the squash and split it down the middle from top to bottom. Scoop out the seeds and stringy bits and set aside. (I save the seeds for planting.) Place the squash inside part down on the prepared baking sheet and roast until the skin is browning and feels soft under slight pressure.
While the squash roasts, warm the olive oil in the pot over medium high heat. Add the onions, leeks, garlic, and ginger and cook for a few minutes until the onions and leeks are soft and translucent. Turn off the heat and cover until the squash is ready.
Remove the finished squash from the oven and cool for a few minutes, then scoop out all the flesh. Add to the pot along with the nutmeg, saffron, and cilantro (optional). Cook and stir for a few minutes until the squash starts to mix in and the nutmeg and saffron become fragrant.
Add the coconut milk, vegetable stock, and bay leaves and bring to a boil. Turn back the heat and simmer for about 15 to 20 minutes.
Take soup off the heat. If you have an immersion (stick blender), run that around the soup for about 30 seconds to puree some of the chunky pieces. If you do not have an immersion blender, pour about 2 cups of the soup into a blender jar and puree, then pour back into the pot and stir well. Serve with salad and sliced baguette for dipping.