While actress Hayley Atwell did not give any details as to whether she would be playing Agent Carter in the present as her aged self like we saw in Captain America: The Winter Soldier, or if she we would be playing the younger version of Agent Carter from Captain America: The First Avenger, she did indeed confirm that she would be in the movie, and Joss Whedon, the director of Avengers: Age of Ultron, actually approached her for the part all on his own.
When talking about the encounter with the Avengers director, Hayley described it like this:
"We went out drinking one night and he was like, 'You know, it would be great to write something for you. And I was like , 'Yes, Joss, it would! It would be amazing!'"
Set reports back in April claimed Atwell and Chris Evans had filmed scenes inside the Rivoli Ballroom in London, the movie's main filming location, where there were several "Lindy Hop dancing" extras, and Joss had revealed with the first Avengers movie that the first script was written with a...
"...beautiful and poignant scene between Steve Rogers and Peggy Carter."
Could he have transcribed that scene into this one? It sounds like he's too fond of the scene not to have! However, in the original set report of the ballroom shoot in London, the reports suggest that they were accompanied on set by none other than Paul Bettany, who will be playing the Vision, which highly suggests that they were in the present, unless they begin using time travel, which was actually a major theme of the comic series "Age of Ultron", which they already announced the film is not based on.
Agent Carter will be getting her own TV show later this year on ABC. It will be interesting to see if they will connect the show and the movie somehow.