When Lomax leaves to meet Milton, he walks through 57th Street in New York, which is abnormally devoid of people or vehicles. It was shot at the actual 57th Street, with the filmmakers having it emptied at 7:30 a.m. on a Sunday. The offices were shot at the Continental Club in Manhattan, and the Continental Plaza, though the water outside Milton's office was added later by computer effects. In constructing the firm sets, Hackford and Rubeo consulted one architect from Japan and one from Italy to craft an "ultra-modern" look, to display Milton's taste. Donald Trump's penthouse in Trump Tower, Fifth Avenue was lent to the production for Alexander Cullen's residence.