Wash the sweet potato, cut into quarters and put on a sheet on tinfoil. Drizzle with a little olive oil, season with salt and pepper, and fold en papillote or into a package or pouch. Put the tin envelope on a baking sheet and bake for 30 minutes. Once the centre is cooked, (test with a knife tip), set aside and let cool.
In the meantime, finely chop onion. Slice asparagus spears lengthwise, then cut in half.
Drizzle a little vegetable oil in a non-stick, ovenproof pan and heat at medium. Add salt and pepper. Add asparagus and cook for 2 more minutes.
Remove from heat.
In a large bowl, beat eggs, add milk, paprika, half of the crumbled feta, half of the cheddar, salt and pepper. Mix well.
Pour the mixture into the greased, non-stick pan (or use a round mould lined with parchment paper). Add unpeeled sweet potato quarters and the remaining feta and cheddar.
Bake for 20 minutes or until the frittata is puffed and golden.