I still code in my spare time and for a while I’ve been gathering some numerical methods I did at university in an easy-to-understand generic C++ package. Despite being easy to understand, I also tried to implement the best method I knew for each problem.
For Interpolation I’m using the Natural Cubic Spline but would like to implement other types of splines (like complete, periodical, clamped etc). The interpolation is working, but I couldn’t managed to get the coefficients right yet.
Other codes I have are Monte Carlo, Runge-Kutta and Markov Chain (this one using boost graph library for C++) and will be integrated soon. I’ll let you know when it’s done.