Peel the zest from the limes and cut into very fine shreds. Cut away the pith from the limes and reserve. Chop the limes into fine slices and reserve the seeds. Place the chopped lime slices and their juice with the zest in a large saucepan.
Tie up the pith and seeds in a cheesecloth or muslin bag and add it to the pan. Add the water and place the pan over medium heat. Bring to the boil and simmer until the liquid is reduced by half. Squeeze out the muslin bag and discard.
Measure how much marmalade you have, and for every cup, add one cup sugar. Bring to the boil and boil rapidly until it reaches setting point, about 30 minutes. Skim any scum that rises to the surface.
Remove from the heat and let stand 10 minutes. Stir well and ladle in sterilised jars.