SANDIA_SGMGG is a C++ library which contains some experimental code for the investigation of sparse grids constructed in a generalized fashion, in which the set of indices corresponding to a sparse grid is chosen in a generalized way, rather than being defined by a linear constraint.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
SANDIA_SGMGG is available in a C++ version and a FORTRAN90 version and a MATLAB version.
SANDIA_RULES, a C++ library which produces 1D quadrature rules of Chebyshev, Clenshaw Curtis, Fejer 2, Gegenbauer, generalized Hermite, generalized Laguerre, Hermite, Jacobi, Laguerre, Legendre and Patterson types.
SGMGA, a C++ library which creates sparse grids based on a mixture of 1D quadrature rules, allowing anisotropic weights for each dimension.
You can go up one level to the C++ source codes.