Quite good, but the flavor of the cognac risks getting buried, although the warmth comes through nicely. Think on balance I prefer the Christmas Daiquiri, one of my favorites. (Typo sidenote: "cognac" is currently spelled "coganc" on the default Remy Martin brand.)
This one's delicious (reminds me distantly of a Preakness Manhattan); the three ingredients really bring out one another's spicy qualities, from the peppery bite of the rye to the subtler, sweeter herbal spice of the liqueurs. Could see it working well in a range of proportions, from heavier on the liqueurs to a drier mix.