Combine the yogurt, olive oil, lemon zest and juice, rosemary, salt, and pepper in a large non-reactive bowl. Add the lamb, making sure it is covered with marinade. Marinate in the refrigerator, covered, overnight or for up to 3 days.
Bring the lamb to room temperature. Prepare a charcoal grill with hot coals. Scrape the marinade off the lamb, wipe the meat with paper towels, and season it generously with salt and pepper. Brush the grill with oil to keep the lamb from sticking, and grill on both sides until the internal temperature is 120 to 125 degrees for rare. This will take 40 minutes to 1 hour, depending on how hot the grill is.
Remove the lamb to a cutting board, cover with aluminum foil, and allow to rest for 20 minutes. Then slice and serve.
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