They appear to be filming at the New York Public Library at Bryant Park. The library is on 5th Ave. between W 42nd St. and W 40th St.
Many thanks to vea.vesper for sharing a clip on IG story and to @marinani1974 for the heads up. Clip is here.
Update: Many thanks to annikaconnor for sharing two photos from the library on instagram. She is an extra for tonight’s shoot.