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Radial++ is a C++ template library for scattered data interpolation in any dimension and also the numerical solution of partial differential equations. It provides generalized Radial Basis Functions (p.e. multiquadric, this-plate spline, etc).
Implementation of algorithm from paper 'Numerical Approximation of Option Premia in Displaced-Lognormal Heston Models' by A Dickinson. For code: click link under 'Develop' & checkout via svn or click link under Browse Code->SVN & download tarball