Beat the cheese and the sugars till soft and creamy, then add in the vanilla pudding, egg yolks and water until smooth. Spread cheese mixture into a log on 1/3 of a baking sheet, press flat and freeze till solid.
Preheat oven to 180 C
Roll out dough into a rectangle, the same length as the cheese log and triple in width. Place the frozen cheese log in the middle of the dough and plait the sides onto it to seal the cheese in.
Brush the danish with egg and bake for 25 minutes until golden.