Preheat your oven to 200°C (180°C fan) or Gas Mark 6. Line a baking tray with parchment paper and set aside.
In a large mixing bowl, combine the self-raising flour, shredded suet, caster sugar, and a pinch of salt. Stir gently until evenly distributed.
Gradually add cold water a little at a time, mixing with a round bladed knife until a soft but not sticky dough forms. Aim for a pliable texture that holds its shape without being wet.
Lightly flour a clean surface and roll the dough into a rectangle about 1 cm thick. Keep the edges neat for an even roll.
Warm the jam slightly to loosen it and spread evenly across the dough, leaving a 2 cm border around the edges to prevent leakage while baking.
Starting from the shorter side, carefully roll the dough into a log. Pinch the ends to seal and ensure the seam is facing down.
Transfer the roll onto the prepared tray. Brush the top with milk and sprinkle lightly with granulated sugar for a crisp golden crust.
Bake in the preheated oven for 35 to 40 minutes until golden brown and firm to the touch. Rotate the tray halfway through for even colouring.
Remove from the oven and allow the roly poly to rest for 5 minutes. This makes slicing cleaner and helps the filling settle.
Slice into thick rounds and serve warm with custard, cream, or a scoop of vanilla ice cream. Present neatly to showcase the spiral of jam.