If it's the bun I'm thinking of, you start with your hair in a ponytail, and split it in two. Wrap one of the sections around the other into a cinnabun and pin into place. Then take the other section and wrap it into a cinnabun around the first.
Did that make any sense?
eta: did a google and found that a rose bun can also be a bun made from a rope braid.
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