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In a small saucepan combine the figs, water and brandy. Bring to a boil, then reduce heat and cook and stir till very thick, about 2-3 minutes. Stir in almonds and cool.
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Combine shortening and butter until fluffy; add egg and vanilla. Add half the flour and milk, then stir in the remaining flour by hand.
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Cover and chill 30 minutes.
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Divide dough in half. Roll out one portion on a floured board into a 10x9 inch rectangle. Spread half the filling to within 1/2 inch of the edge.
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Roll up, jelly roll style, starting from the 9 inch edge. Pinch edge to seal. Repeat with remaining dough and filling.
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Wrap rolld in waxed paper and freeze 2 hours or chill overnight.
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Cut into 1/4 inch slices and put on greased cookie sheets.
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Bake at 350 degrees for 10-12 minutes. Cool on cookie sheet 1 minute, then remove to rack.