//Binding property not exist for DataGridTemplateColumn ....
//target.column.Binding = new Binding(e.NewValue as string);
}

public static readonly DependencyProperty CellTemplateProperty = DependencyProperty.Register(
"CellTemplate",
typeof(DataTemplate),
typeof(DataGridColumnSettings),
new PropertyMetadata(null, CellTemplateChanged));
public DataTemplate CellTemplate
{
get { return GetValue(CellTemplateProperty) as DataTemplate; }
set { SetValue(CellTemplateProperty, value); }
}

private static void CellTemplateChanged(DependencyObject d, DependencyPropertyChangedEventArgs e)
{
var target = d as DataGridColumnSettings;
if (target == null)
return;

// Maybe some code here ??
}

public static readonly DependencyProperty HeaderProperty = DependencyProperty.Register(
"Header",
typeof(object),
typeof(DataGridColumnSettings));
public object Header
{
get { return GetValue(HeaderProperty); }
set { SetValue(HeaderProperty, value); }
}

private DataGridTemplateColumn column;
private object viewModel;

public void Setup(DataGridTemplateColumn column, object columnViewModel)
{
this.column = column;
viewModel = columnViewModel;
this.DataContext = columnViewModel;

if (Header is FrameworkElement)
{
(Header as FrameworkElement).DataContext = columnViewModel;
column.Header = Header;
}
else
BindingOperations.SetBinding(column, DataGridColumn.HeaderProperty, new Binding("Header") { Source = this });

//Binding property not exist for DataGridTemplateColumn ....
//column.Binding = new Binding(ColumnBindingPath);

//My changes
column.CellTemplate = CellTemplate;

}
}