Cadiz newspaper 'Diario de Cadiz' has reported that the construction of a purpose-built tower has been completed. The tower was reportedly completed on March 13 and is attached to an existing tower, the Sagrario Tower (Torre del Sagrario).
The Tower During Mid-Construction
The purpose of the tower is to allow film crews to transport equipment to the top of the Sagrario Tower. In simple terms, it's just an elevator shaft.
The 'Diario de Cadiz' has reported that the Sagrario Tower will feature in Die Another Day in a scene with scene "with Pierce Brosnan talking to another person". The paper indicates that filming will begin on April 3 with both Pierce Brosnan and Halle Berry in attendance. As a result we could presume that the scene will feature Bond talking to Jinx with Cadiz in the background.
Thanks to 'Draco' for letting us know about the news, which you can discuss in this thread of the Die Another Day (Bond 20) Forums.