Woohoo!!! I think I have it sorted. 😀

Here's my query:

SELECT NON EMPTY { [Measures].[Actuals], [Measures].[Forecast] } ON COLUMNS,

NON EMPTY lastperiods(3,exists([Financial Periods].[Financial Periods].[Financial Year].members,[Financial Periods].[Financial Year Status].&[Current]).item(0)) ON ROWS

FROM [Financials]

WHERE ([Chart Of Accounts].[Chart Of Accounts].[Level 2].&[OPEX])

It uses the Lastperiods() function to work out the date range (3 Periods. 1 current and 2 previous), based upon the Current Financial year which derived in the second part of the function: [Financial Periods].[Financial Year Status].&[Current]).item(0)