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Weigh flour, salt, nutmeg, sugar, lemon zest and butter cubes into TMbowl; pulse for 2 seconds on Turbo 2 times (butter will appear sand-like)
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Weigh in yeast; pulse for 2 seconds on Turbo to combine
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Weigh milk into bowl on top of TM lid; add egg
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Pour egg and milk into TM bowl; combine for 5 seconds from speed 4-8 until dough clumps into a ball
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Knead for 2.5 minutes; remove to a well buttered bowl, place damp cloth on top and proof for 90 minutes or until double in size
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Prepare second egg by whisking it to brush on top before baking (and to use to seal edges before proofing)
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Lightly flour surface area; roll proofed dough to rectangle 17cm x 37cm or 7 x 14 inches
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Combine pistachios with fruit soaked in rum; divide into 3 equal portions and place ⅓ down the centre of the dough, leaving edges uncovered, but not the ends
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Fold each side into the centre to overlap slightly in the middle, sealing edges with a rolling pin
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Lightly dust surface area again, and turn dough over with seam on bottom; repeat process two more times (see notes)
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Roll to a final rectangle of 55 cm x 16 cm or 6 x 22 inches
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Roll marzipan into sausage-like cylinder to be just shorter than the length of the dough; place down centre of dough rectangle pushing into the dough a little with the marzipan
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Fold dough over marzipan from one side, just covering it, pulling up from the other side, and pinch to seal on seam, brushing with a little of the prepared egg wash to ensure a secure seal
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Tuck ends under and lift log to parchment covered baking sheet, seam side down
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Brush ends with beaten egg to seal well; cover and proof for 60-90 minutes
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when dough has proofed pre-heat oven to 375F
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Brush loaf completely with remaining egg wash, bake 25 minutes until golden
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Transfer to a wire rack to cool completely before icing