I'll be honest, when I first watched this film I did wonder if they had actually made the effort to go all the way to Brazil to film - but of course, this was filmed largely over here and if you look closely you can see that these initial scenes were actually filmed in Coloane - the southernmost part of the Macau territory. It's a fairly long sequence with lots of stuff to see so I will split it into several posts.
It looks nice and golden there in the film, I don't think the reality lives up to it though. It's a long time since I was in Coloane and I have no plans to return in the near future, so here is a reasonable angle courtesy of Streetview. Look carefully and you can see the same white building on the left hand side of the frame in the screen capture (next to the lamp post in the picture below). That building is, of course, actually in Mainland China.
As you can see the stilt houses are very much real and line the waterfront for a couple of hundred metres before terminating just before Coloane's old colonial pier.