Place the finished puff pastry on a baking sheet lined with baking paper. Spread the salmon evenly in the middle and spread the horseradish cream cheese on top. Fold in the edges of the puff pastry and join the long sides of the puff pastry in the middle to create a strudel. Brush with egg yolk if you like.
Bake the strudel for about 20 minutes until it is golden yellow.