SPARSE_GRID is a Python library useful for sparse grid calculations, by Jochen Garcke.
SPARSE_GRID is available in a Python version.
SMOLPACK, a C library which estimates the integral of a function over a M-dimensional hypercube using a sparse grid, by Knut Petras;
SPARSE_GRID_CC, a MATLAB library which creates sparse grids based on Clenshaw-Curtis rules.
SPARSE_GRID_HW, a MATLAB library which creates sparse grids based on Gauss-Legendre, Gauss-Hermite, Gauss-Patterson, or a nested variation of Gauss-Hermite rules, by Florian Heiss and Viktor Winschel.
SPINTERP, a MATLAB library which carries out piecewise multilinear hierarchical sparse grid interpolation; an earlier version of this software is ACM TOMS Algorithm 847, by Andreas Klimke;
SPQUAD, a MATLAB library which computes the points and weights of a sparse grid quadrature rule for a multidimensional integral, based on the Clenshaw-Curtis quadrature rule, by Greg von Winckel.
Jochen Garcke
You can go up one level to the PYTHON source codes.