Preheat oven to 400°F. Line a baking sheet with parchment paper or a silpat.

In a small bowl, whisk together egg and water. Set aside.

In a food processor (or stand mixer) combine almond paste, sugar and vanilla extract until well combined.

Unfold pastry sheet on prepared baking sheet. Gently roll it with a rolling pin to be a little thinner than it is out of the box.

Cut slits 1 inch apart from the 2 sides of the pastry rectangle within 1/2 inch of the center, and arrange the almond paste mixture down the center.

Starting at one end, fold the pastry strips over the almond mixture on a diagonal, alternating sides. Brush the pastry lightly with the egg wash. Sprinkle with the sliced almonds.

Bake for 10 minutes, then lower heat to 375°F and continue to bake for 17 to 20 minutes, until golden brown. Let cool on pan for 10 minutes, slice and serve.