It's St Paul's again - Peter Capaldi and Michelle Gomez, along with a troop of Cybermen are filming near St Paul's echoing the 1968 story, "The Invasion". These scenes are apparently for the Series 8 finale. The steps used in 1968 no longer exist - replaced with a slope with the odd small set of steps - so it certainly appears to be a present day setting.
Good to see that these are Neil Gaiman's Cybermen - I really like them but I do wish they'd change the voices. They can be a tad difficult to understand at times.
For those who haven't seen it, here's the iconic photo from 1968: