The film was entirely shot in St. Petersburg, mainly in the city center at a bar location - the intersection of Lomonosovskaya and Dumskaya streets, near St. Isaac's Cathedral, as well as in several other historical locations. 

Filming Locations:

Bar

In the Movie

The scene where we are shown the bar's display window and all three hostesses in front of it.

In Reality

The scene was shot at the intersection of Lomonosovskaya Street and the Griboyedov Canal Embankment. This is where the famous "Dumskaya" begins.