Preheat the oven to 200°C/gas mark 6. Mix half the oil with the lemon zest, juice of half the lemon and rosemary. Brush this over the cod fillets. Lay the slices of prosciutto on a board and place one cod fillet on each slice. Wrap the prosciutto around the fillets and place in a roasting tin, lined with greaseproof paper, with the seal on the underside. Squeeze over the remaining lemon juice.
Place the cherry tomatoes around the cod fillets, and drizzle with the remaining oil. Season the whole tray with black pepper and bake in the oven for 10-12 minutes, until the fish is opaque and cooked through and the tomatoes have started to collapse.
Serve the fish with the cherry tomatoes and new potatoes or salad.