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, combine almond paste, sugar, and vanilla extract until well combined.

Unfold pastry sheet on prepared baking sheet. Gently roll it to be a little thinner.

Cut slits 1 inch apart from the two sides of the pastry rectangle within 1/2 inch of the center mixture. 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 with the egg wash and sprinkle with sliced almonds.

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