Preheat the oven to 350 degrees F.
In a large bowl combine the flour, oats, cinnamon, and salt.
Add the grated butter and mix until it resembles fine crumbs (use your hands or a pastry cutter).
Add the yogurt, egg yolks, honey, and vanilla and mix until combined.
Add the cold water a tablespoon at a time, and mix until it just comes together.
Cover the dough and let it rest for 15 minutes.
The dough should be soft and wet, but not sticky. If it is still sticky, add a little bit more flour. If the dough is a little dry, add a little bit more water.
Roll the dough out on a floured surface in a thin layer, about ⅛ inch thick.
Cut into rectangles measuring 5 x 4 inches.
Spoon about a tablespoon of the jam onto the center of each piece of dough.
Brush the top, bottom, and left side of the dough with buttermilk.
Gently pull the right side of the dough halfway to the center of the bar and fold the left side on top of that. Gently push the seam together and flip the bar over. Pinch the end seams down so that they are sealed.
Place on a baking sheet and freeze for 15 minutes then brush the tops with the remaining buttermilk.
Bake for 16-20 minutes.