She revealed the news during the premiere of her short film The Actress at the W Hotel in London, with Frost's castmates also in attendance.
© Chris James Edwards
The film marks the third time that Frost has worked with director Ben Charles Edwards.
The actress announced: "Blonde to Black productions is my new film production company which specialises in nurturing young talent.
"I am currently working with director Ben Charles Edwards on our first feature film Set The Thames on Fire, which will be shot in London early next year."
Watch a teaser for The Actress below.
