Sharpe's Prey by Bernard Cornwell

It is 1807 and Lieutenant Richard Sharpe, recently returned to England, is offered a new job: go to Copenhagen, help the Honourable John Lavisser deliver a bribe, and so stop a war. It seems very easy.
But nothing is easy in a Europe stirred by French ambitions. The Danes possess a battle fleet that could replace every warship the French lost at Trafalgar and Napoleon′s forces are gathering to take it. The British must stop them.
Sharpe is ordered to protect Lavisser against the French agents who infest the Danish capital. It is a shadow war of spies and brutality in which Sharpe is a sacrificial pawn. But sometimes pawns can change the game and Sharpe, when he discovers a traitor in their midst, makes his own rules.
As the Danish army attempts to raise the British siege, it is met by Sir Arthur Wellesley with a force of redcoats and riflemen. Copenhagen is doomed. In nights of merciless British bombardment, Sharpe must protect a woman, hunt his traitor and stay alive.