The C++ library KFilter (http://kalman.sourceforge.net/) has a generic airplane example but I need a financial based worked example in order to work out what I need to put in each of the libraries variables matrices. Ideally, linked to the formula 'ITOs Lemma' (https://en.wikipedia.org/wiki/It%C3%B4%27s_lemma).
Has anyone any sample code that would be willing to share with the community to help others, like me?
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