Unfortunately, there is no example for column generation with the callable library in the example codes that are distributed with CPLEX.
But for all other programming APIs there is an example called cutstock that implements a column generation algorithm. You could look at that (the Python example should be pretty close to the callable library) as well as the explanation of column generation in the user manual.
Notice however that with CPLEX you cannot do "column generation by the book" since you cannot create new variables during the branching phase. This question has come up several times on this Forum, just search for "column generation" to learn more.
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