The Cold Light of Day

Will Shaw (Henry Cavill) works as a financial advisor in San Francisco. During the summer break, he reluctantly visits his family in Spain for a holiday. He is met there by his father, Martin Shaw (Bruce Willis), who is himself an advisor for the government. That evening, a phone calls put Will in a bad mood and he decides to go fishing the next day. His preoccupation with the phone results in a sailing accident; Will leaps to save his brother's (Rafi Gavron) girlfriend Dara (Emma Hamilton) from being hit by the yacht's boom but she hits her head on a winch. While everyone is fussing over Dara, Will's phone rings again. In frustration, Martin grabs it and throws it into the ocean. Will decides to swim to town to fetch medical supplies and take some time to cool down.
They are met there by Zahir (Roschdy Zem), who knows the whereabouts of Will's family, and invites him along to be shown the way. Will senses something is amiss, and attempts to escape in the police car. Martin appears, beats the officers, and helps Will escape.
Martin reveals he is a CIA agent, and explains that the people who kidnapped their family are after a briefcase he had taken while carrying out a CIA assignment. Martin calls his CIA team leader, Jean Carrack (Sigourney Weaver) who agrees to meet him in Madrid. At the meeting, Will stays in the car while Martin talks to Carrack, who says she no longer has the briefcase. He doesn't believe her and senses something is wrong. As Martin returns to the car, he is shot and killed by a sniper (Joseph Mawle). When Will gets out to check him, Martin's phone starts ringing and the sniper, Gorman, starts shooting at Will, who grabs the phone, leaves the car, and is chased through Madrid by police and by Gorman. Will escapes, leaving his father's gun in a trash bin. During his escape, Will takes a call from the kidnappers, who want to speak to "Tom" and demand the briefcase in exchange for his family. He is given a deadline of 21 hours and a meeting point.
He arrives at Diego's office and meets receptionist Lucia Caldera (VerÃ³nica Echegui), who was the girl he spoke to on the phone and it transpires that Diego is her uncle. Will and Lucia escape across the rooftops, but Will is shot. Instead of taking Will to a hospital, Lucia takes him to a nightclub, to a friend who has medical experience. Lucia also tells Will that "Tom" is Martin's alias in Spain, and that she is actually Will's half sister, being Martin's daughter by another woman.
Lucia comes up with a plan to lure Carrack out by starting a tab on her credit card. Gorman appears and is subdued by bouncers at the nightclub and tortured for information. He gives nothing away and Will decides to let him think he has escaped and to follow him. This works and they follow him to Carrack, who then leads them to an underground car park. After an extensive car chase through Madrid, the roles are reversed and Carrack chases them, angry at their interference. The cars collide and Lucia is seriously injured. Just as Carrack is about to shoot Will, she is shot by a sniper, and Zahir retrieves the briefcase. Lucia recovers in hospital, surrounded by her half family. Will is offered a job in the CIA; whether he accepts is left unresolved.

Question: What location is Will being chased?
Answer: Madrid