Richard E Grant: Despite our vast combined vintage, our paths have never crossed before, have they?

Christine Baranski: Regrettably not. We could have had some good fun a few decades ago. A girl could have got into some real trouble. But here we are, and now we’re the veterans. You’re among the great character actors, popping up delightfully in so many things and always being spot-on.

REG: My late wife said I’m in the condiment years, where you’re added to the meal in these cameo roles like vinegar or ketchup or mustard, spice or pickle or whatever. I think that’s absolutely accurate.

CB: It makes for an interesting and varied career. You have a shelf life certainly if you’re a leading lady. It’s a harder perch to descend from, which is sort of what Hay Fever is about. My character, Judith Bliss, can’t quite accept that she’s not up there doing it any more. I’ve had a long career because I was comfortable being the supporting actress. I did The Real Thing by Tom Stoppard on Broadway in 1984 [for which she won the first of two Tony awards]. My character in that, Charlotte, is so bitingly witty and she has this marvellous repartee with Henry, played by Jeremy Irons. I’d do my scenes, then go up to my dressing room, and people would say: “Oh, we wanted you to come back!” They’ll have their fill of me with Hay Fever. It’ll be more like: “When is she going to leave the stage?”

Ryan Gilbey: Judith in Hay Fever has been played by everyone from Edith Evans and Celia Johnson to Judi Dench, Penelope Keith and Lindsay Duncan. Why is the part such a magnet for great performers?

CB: Well, she’s an ageing actress, and how delicious to play that in your later years. It’s all about the vanity and vulnerability of ageing. There’s a poignancy to it; I really find her rather dear. You don’t have to be an ageing actress to feel that way as a woman, particularly in our culture. We cling to youth for dear life. You could say it all borders on the camp, but because it’s Coward and he’s writing affectionately as well as cynically about theatre people, it has a sweetness to it – it’s camp that’s elegant. He wrote it at 24, so even as a young man he had that sense of something behind all the fame and glamour.

Christine, this is your first time in the West End but your fourth Coward play. What’s the secret to mastering him?

CB: If you find out, will you please tell us? Speed, facility, lightness of tone. He uses words as weapons. I really want people to sit up and listen because we don’t use language like that any more, do we?

Judith and her husband, David, played by Richard, are decidedly poor hosts. What makes a good host and a decent party?

REG: My late wife said that everyone there should know a minimum of two people. It’s foolproof, and it means that you as the host can let people get on with it. If nobody knows anybody, you’re buggered. I’ve found that whenever a party has been awkward, it’s because there’s not enough social glue to begin with.

CB: We had the most wonderful party at Richard’s house on the first weekend I was here in London. It’s the most enchanting, magical house. You can describe it for me, Richard.

REG: Maximalist.

CB: Sitting around, having drinks and laughing were Steve Martin and Martin Short, Helena Bonham Carter, Gary Oldman, various spouses and Richard’s daughter and son-in-law. It was so relaxing despite the extraordinary pedigrees of all these talented people with big egos.

REG: There were 12 of us, so you could still hear someone at the other end of the table and you didn’t feel cut off. Christine already knew Steve, Marty and Helena but not Gary. Gary knew Helena but not Steve and Marty. There was enough glue.

You and Gary Oldman have worked together a few times, haven’t you, Richard? Including on one of your first credits, Les Blair’s BBC film Honest, Decent and True.

REG: Yes, that was 1985. The day I landed here when I emigrated from Swaziland in 1982, I went to see Gary in the play Summit Conference with Glenda Jackson as Eva Braun and Georgina Hale as Clara Petacci, the mistresses of Hitler and Mussolini. That was where I first met him. We each got married at the same time – well, Gary’s been married five times – and my daughter was born around the same time as his first child. When I had to lose weight for Withnail and I, I asked Gary how he’d done it for Sid and Nancy. I had just spent almost a year when I was unemployed trying to gain weight because I’d read in a magazine that if you’re six foot, you should weigh 12 stone. Now, I’d never weighed 12 stone in my life, so I was doing all the weight-gain powder and the gym and all that. Then Bruce Robinson, the director of Withnail, said, “Could you lose a stone?” So I called Gary, who I think had eaten nothing but tuna and melon; he even ended up hospitalised at one point. I went to Boots instead and got weight-gain-off powder, and my year’s work disappeared within a week.

Before that, didn’t Bruce say you looked like “a fat Dirk Bogarde”?

REG: He did. He still calls me Fatty.

As you were going in to audition for Withnail, you passed Bill Nighy coming out.

REG: Bill Nighy. Kenneth Branagh. A whole bunch of people went up for it. I had to read the kitchen scene at the start of the film. Bruce told me: “Drop the Noël Coward. The character is not as affected as you’re thinking. Read it with more rage.” I’d been unemployed for nine months so that rage was very easy to tap into.

Christine, do you host?

CB: I have a marvellous house on a lake in Connecticut and I’ve hosted some very famous actors there. It has a very long dock that has been “grandfathered” in, as in they don’t allow a dock that long to be built any more, but this is about 100 years old. You sit in the living room in summer and watch the sun set, and then go out into the evening and skinny dip in the lake. When I did Boeing-Boeing for nine months on Broadway with Mark Rylance, he became a great pal – he’s a godfather to my third grandson – and we’d be out there howling at the moon at four in the morning. So much fun.

REG: Have you ever had anybody who won’t take their clothes off?

CB: Oh, it’s not a prerequisite. I encourage people only if they’re comfortable and if it’s pitch dark. Although one actress I adore insisted on sunbathing stark naked in the middle of the afternoon. In fact, she would spend all night on the dock, fall asleep on there and then wake up at dawn and there she was!

You won an Emmy in 1995 for the sitcom Cybill, where you played Cybill Shepherd’s divorced best friend. But you’d been reluctant to do TV, hadn’t you?

CB: Absolutely. Mainly because I didn’t want to live in Los Angeles. I also had a very active theatre career, going from play to play; I loved it. It just became a question of raising two kids and having tuition bills to pay. So at 41 or 42, I began my television career with the caveat that I would commute. I never bought real estate in LA. I lived in a hotel and was on the first red-eye back to the kids. Winning the Emmy gave me this visibility. I’d worked with Mike Nichols on The Real Thing, but it was because of the Emmy that he cast me in The Birdcage. Most of my film and television stuff happened after the age of 40.

REG: I read yesterday that there was an unprecedented number of Emmys going to female actors over 50 this year.

CB: It’s about time.

Christine and one of this year’s winners, Jean Smart from Hacks, played biker chicks in The Odd Couple II.

CB: Well done! Yes, Jean danced with Jack Lemmon and I got to dance with Walter Matthau. It was not a good movie, but to work with those guys at the end of their careers … oh, I adored them. Lemmon was the consummate professional, always the first one on set, and Matthau was this curmudgeonly, lovable old woolly bear.

REG: Talking of Mike Nichols, I had dinner with Mike 22 years ago, the night before I went to Africa to make the only film I’ve directed, Wah-Wah. I asked him for advice and he said – apart from getting good caterers – that actors can always act faster than they think they can. He said: “Do the takes that you’re happy with. Give the actors the takes they’re happy with. And then tell them: ‘Let’s do one for Mike.’” It’s amazing, the speed and effectiveness when people aren’t pausing and breaking … up … lines … all … the … time. Because we don’t do that in life, do we? It was great advice.

CB: It was. He couldn’t tolerate indulgence. He was so fiercely intelligent and he loved clarity. Richard, did you have a wonderful time working with Robert Altman?

REG: I did. I worked with him on The Player and Gosford Park and a terrible film called Pret-a-Porter. Whereas the other two had scripts, Pret-a-Porter was like this: “Ryan, Christine and Richard meet in a small room. She spills the water. They argue. Improvise.” It had no structure and it was a car crash as a result. If you’ve got a good script, you can embellish and add stuff, but this was a free-for-all. There was one insane day when Danny Aiello completely lost the plot. Sophia Loren was supposed to have fainted, and he infiltrated the scene and started taking it over: “I’ll give her mouth-to-mouth resuscitation!” He called Lauren Bacall “a left-wing Commie bitch”. Then he insulted Rupert Everett for being English and for being …

CB: Oh dear. Did Lauren eat him up and spit him out?

REG: She took no prisoners. She ripped him five new ones. It was more dramatic than anything that happened in the actual film. None of the cast would talk to Danny after that; they sent him to Coventry.

CB: We all have our stories.

Christine, have you ever worked the way Altman did, with multiple cameras and the actors not always knowing for sure if they are in shot?

CB: A little bit on television. I think it’s a great way of keeping actors on their toes. Sitcoms can be harrowing, though. If the studio audience doesn’t laugh, the writers go away and come up with a different joke there and then. They’re always adjusting and you’ve got to nail those one-liners. You know you’ve got to get that laugh because it’s your job. It’s a wonderful discipline. After all that comedy, I told my manager: “It’s time for me to do a dramatic role.” Be careful what you wish for, because if The Gilded Age goes for a fifth year, that’ll be 18 straight years of television work, after The Good Wife and The Good Fight.

With you in The Gilded Age, and Richard in Gosford Park and Downton Abbey, you’re both part of the Julian Fellowes Dramatic Universe.

REG: Yes, but we’re not as rich as Julian Fellowes. Well, Christine probably is, but I’m not.

I noticed a few other similarities on your CVs. You both appeared in great Steve Martin comedies: Richard in LA Story, Christine in Bowfinger.

CB: Underrated, I think. It’s certainly got some of Eddie Murphy’s greatest work. He was huge then. His first day on set, I had to walk across the street and assault him. He’s a really intelligent actor. And God, does he have comedic instincts! He’s also a very private person.

REG: So he won’t be skinny-dipping in Connecticut?

CB: No skinny-dipping with Eddie Murphy.

Early in your careers, you also each appeared in a scandalous erotic movie. Richard was in Henry & June, the film for which the controversial NC-17 rating (the highest age rating) was created in the US.

REG: That’s right. It has a lot of bonking and brothel scenes.

CB: We’re not known for the erotic works, I should say. But yes, mine was 9½ Weeks. I played Kim Basinger’s friend. I have a dinner scene where I balance a teaspoon on the end of my nose. And I can drink while it’s sort of hanging there.

REG: You should do that during the breakfast scene in Hay Fever.

CB: And upstage you, my darling?

• Hay Fever is at Wyndham’s theatre, London, until 12 December