  We investigate the computational aspects of the basket CDS pricing with
counterparty risk under a credit contagion model of multinames. This model
enables us to capture the systematic volatility increases in the market
triggered by a particular bankruptcy. The drawback of this problem is its
analytical complication due to its path-dependent functional, which bears a
potential failure in its convergence of numerical approximation under standing
assumptions. In this paper we find sufficient conditions for the desired
convergence of the functionals associated with a class of path-dependent
stochastic differential equations. The main ingredient is to identify the weak
convergence of the approximated solution to the underlying path-dependent
stochastic differential equation.
