Are you sure it's a lavender, Giraffe? It looks more like Perovskia atriplicifolia (Russian Sage) to me.

It has a scent of lavender and was bought as a lavender

I am sure its not a lavender nothing like any of mine.

Does not look like any of my Lavenders, But could it be a Lavender Goodwin Creek Grey?

Go to the top of the class Drc726! :-)

I reckon you're right - have a look here -
http://www.goodwincreekgardens.com/Index.asp

You'll need to search from the index page - I can't find a link direct to the right page.

It's a cultivar of French lavender (which isn't reliably hardy in the UK) and this form is recommended for indoor flowering in winter, provided you can give it enough light. So it's not hardy - you'll need to bring it indoors, Giraffe.

Thanks to all your comments. It looks like you are right Dcr726

Beattie I have no option but to leave it out doors in winter but will have to try covering it with fleece.

Thanks for all your comments.

From the comments on the website I gave a link to, I doubt if fleece will give enough protection. You could try taking some cuttings in the summer to keep at least one on a windowsill in winter.