I'm guessing that the "Grand Strategy" is the decision to ally formally with Hitler and Mussolini. That's why they are so concerned about keeping it from the British. The Axis was officially
established in 1940, though Japan and Germany had been friendly to each other for years. Since D-Agency was formed in 1937, and some of the agents have clearly been in place for a year or longer, it's certainly possible that the events in the past two episodes are taking place in 1939 or so, but probably before the invasion of Poland in September of that year. We would probably have heard if the War had begun in Europe.