A C++ library for IIR filter

There's octave, an open-source MatLab clone, you could use its implementation (but it will likely require you use use its special matrix type).

Searching for "C++ IIR filter" finds a bunch of other projects, such as:

• Signal Processing using C++
• dspfilterscpp

There are also a variety of books on the subject, for example:

• C++ algorithms for digital signal processing

In general, implementation of an IIR filter is very easy. Numerical robustness and efficient use of your computer hardware are more difficult, but they require knowledge of your specific application (e.g. resampling, etc) so aren't really suited for library implementations.

You could also try GNURadio (gnuradio.org), which contains all sorts of components for software defined radio (including iir filters). It was originally all C++, now it is a bunch of modules written in C++ with python bindings, but you should still be able to use the C++ code directly.