When were Wodehouse's stories set?

They seem to be sometime before the first world war. But I have never figured out when Wodehouse's books take place. From Something New by P.G. Wodehouse "Whoever carries this job through gets one thousand pounds.” Ashe started. “One thousand pounds–five thousand dollars!” “Five thousand.” Looking at historical exchange rates at www.measuringworth.com the rate stayed close to 1901s $4.87 up until the book was published in 1915. Because exchange rates did not change much at the time they do not help work out when a book was set.