I highly recommend a school in Málaga. http://www.malacainst-ch.es/left.htm I spent two weeks there last summer with two of my kids and I am returning there in February. Before going the first time, I discovered that it was used by Duke University. They have used it for more than 25 years and said they felt it was the best. It has on campus housing in a beautiful building , but we did a home stay. It is in a beautiful hilly neighborhood and is quite secure. They offer filed trips on the weekends and other things during the week. It has a very international clientele with a wide variety of ages. Its quality of teaching is excellent!!

Sorry it is not in Madrid, but we did enjoy our time in Málaga!!!