Max Payne 3 is set in São Paulo, Brazil, with scenes in Hoboken, New Jersey, a yacht attack on the Panama Canal and an ending in the state of Bahia.
Max, a retired NYPD cop, leaves New York for a security job with the wealthy Branco family in São Paulo, and a kidnapping pulls him into the city's favelas. The route follows the story from Hoboken to São Paulo, the Panama Canal and Bahia. It contains spoilers.
The game names cities and regions rather than streets, and its favela is invented, so the pins are approximate.
In July 1497 four ships left Lisbon to find a sea route to India. Vasco da Gama's fleet crossed the open South Atlantic, rounded the Cape, worked its way up the African coast, and reached Calicut on 20 May 1498. The voyage ended with two ships and over half the men lost.
The route follows the voyage from the Restelo shore in Lisbon to Calicut, then home via Anjediva and the Azores. Landing sites are mostly debated or only broadly known, so most pins are approximate. Dates are as the sources give them, in the Julian calendar then in use.