The donuts I saw on Sunday morning as I went through there, were in the middle of the junction of Parliament Street, Great George Street and Bridge Street, where the white bus is
here.
It did cross my mind at the time that, given the surprising amount of rubber on the road, someone must have spent a significant amount of time there doing that - the anomaly being that - how could they get away with that, with the amount of police / security that is present there all the time.
From the limited footage I've seen, it looks like they may've been using the bit of road which leads to the Cenotaph (It's still Parliament Street, and not yet Whitehall at that point) as a run-up to the bit at the junction. The presence of the of the Cenotaph in what looks like the background (it was, apparently, shot with a long lens, so everything is foreshortened) may be coincidental.
But I'm speculating. What isn't questionable is that the new show has managed to generate itself an enormous amount of PR, just a few days before it is first broadcast.