As FatFlyer already mentioned, you are allowed by JAR-OPS to dispatch with no alternate fuel if certain conditions are met.
However, in my short two-year experience as a pilot, I've seen more airports closing due to terrorist alert (Scotland last year) or RFF category falling below the minimum for commercial operations (one aeroplane had a tailpipe fire, most fire fighters went to help.... airport closed for about 30 minutes), rather than weather.
JAR-OPS only takes into account weather or runway closure... but I would not personally rule out the others factors that might close an airport.
If this happens in Madrid while you are descending thorught 10000 ft you've got nowhere to go.
Just my personal opinion
Ricky