ASA053, a C++ library which returns samples from the Wishart distribution.
As far as I can tell, there are two mistakes in the printed text of the algorithm; one involves incorrectly determining the number of degrees of freedom for the ChiSquared distribution; the other omits an absolute value sign when inverting the Wilson-Hilferty formula, so that square roots of negative values are occasionally requested. These mistakes have been corrected here.
The computer code and data files made available on this web page are distributed under the GNU LGPL license.
ASA053 is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.
WISHART, a C++ library which produces sample matrices from the Wishart or Bartlett distributions, useful for sampling random covariance matrices.