• Preheat oven to 175ºC.
• Place 3 cups of boiling water from a kettle in a roasting pan and place it on the bottom of the oven, to create steam.
• In a large bowl, combine flour, baking powder, vanilla, sugar, and salt. Using your hands, rub the frozen butter into the flour and mix, until the texture feels like breadcrumbs.
• Add in milk and knead slightly to form a dough.
• Dust some flour over parchment paper and place the dough in the center. Dust the top of the dough with more flour. Using a rolling pin, roll out to 1cm thick, forming a rectangular shape.
• Spread a layer of orange jam all over it, roll it up and seal the edges.
• Transfer the baking sheet with the roly-poly into a rectangular-shaped mold. Optionally, cover with a sheet of aluminum foil and wrap loosely to create even more steam.
• Place the mold in the oven, making sure not a lot of steam is lost when opening the door. Bake for around 50 minutes.

For the icing

• Once the roly-poly is baked, put cream and butter in a pan and slightly heat until the butter melts. Turn off the heat and add in icing sugar, vanilla and orange zest. Mix well until the icing is consistent,add in more sugar if it’s too runny, and more cream if it’s too thick. Pour the icing over the roly-poly while it’s still warm. Cut it into slices and serve.