In small saucepan heat the 1 1/4 cup eggnog to 110 degrees. Pour into bowl of mixer and sprinkle yeast over top. Add sugar, oil, and 1 cup flour. Mix until well combined. Add remaining flour and salt. Remove to flat surface and knead until elastic, about 5 minutes. Cover with plastic wrap and place in draft-free area to rise for 1 hour.
Mix together the filling ingredients. When dough has risen, roll out to about an 18″×10″ rectangle. Spread filling over dough. Roll from long end to long end, pinch seam. Cut into 12 even pieces (I use thread, place under dough, cross ends over and pull quickly through dough). Place in sprayed 13″×9″ pan. Cover and let rise 30-40 minutes.
Bake in preheated 350° oven for 25 minutes or until golden. Let cool to just warm and frost with eggnog frosting.
To make frosting, combine all ingredients in a medium bowl and mix by hand, making sure frosting is not too runny or thick.