Yeats likes to capture important moments in history. In fact, he had a whole complicated theory of history, symbolized by the image of the gyre, a kind of spiral that looks like a vortex or tornado.
According to Yeats, history is always in the process of shifting between two different phases or cycles. The two phases are governed by opposed principles, like anarchy and order. The cycles are represented as gyres, and as one grows wider (the top of the tornado), the other grows skinnier (the bottom of tornado), until the process begins again in the opposite direction. (Read more.)
"Leda and the Swan" is set in one of these pivotal moments in history, between the ancient world preceding the Trojan War and the modern world that succeeded it. Many of Yeats's other poems, like "The Second Coming" and "Easter 1916," also describe such turning points in history.