Eigen has an unsupported spline module where you can fit a spline given some data. Once a spline is fitted you can use it as a function to obtain points inbetween. The following example fits 1D data but can be modified to fit N-dimensional data.
git clone https://gist.github.com/chutsu/815c7c916c329eec85f34690a012f7cb spline_example
g++ -I/usr/include/eigen3 spline_example.cpp -o spline_example
./spline_example